ANNUAL REPORT AND AUDITED ACCOUNTS TITLE (40–50 CHARACTERS) BLACKROCK STRATEGIC FUNDS (BSF) SUBTITLE (40-50 CHARACTERS) R.C.S. Luxembourg: B 127481
BlackRock Strategic Funds, Société d’investissement à capital variable (SICAV) under Luxembourg Law
Report for Investors in Switzerland
Some sub-funds of the SICAV are not approved for distribution to non-qualified investors in or from Switzerland. Therefore, no information in relation with these sub-funds is mentioned in this report. However, the investors’ attention is drawn to the fact that certain information contained in this report is expressed on a consolidated basis and, as a consequence, contains also information concerning the sub-funds which are not approved for distribution to non-qualified investors in or from Switzerland. 31 MAY 2014
Contents
BSF Chairman’s Letter to Shareholders 2
BSF Investment Adviser’s Report 4
BSF Directors’ Report 8
Board of Directors 12
Management and Administration 12
Statement of Net Assets 13
Three Year Summary of Net Asset Values 17
Statement of Operations and Changes in Net Assets 21
Statement of Changes in Shares Outstanding 25
Portfolio of Investments BlackRock Americas Diversified Equity Absolute Return Fund 28 BlackRock Asia Extension Fund 53 BlackRock Emerging Markets Absolute Return Fund 58 BlackRock Emerging Markets Allocation Fund 61 BlackRock Emerging Markets Flexi Dynamic Bond Fund 73 BlackRock Euro Dynamic Diversified Growth Fund 76 BlackRock European Absolute Return Fund 80 BlackRock European Credit Strategies Fund 83 BlackRock European Diversified Equity Absolute Return Fund 99 BlackRock European Opportunities Extension Fund 112 BlackRock Fixed Income Strategies Fund 115 BlackRock Fund of iShares – Conservative 123 BlackRock Fund of iShares – Dynamic 124 BlackRock Fund of iShares – Growth 125 BlackRock Fund of iShares – Moderate 126 BlackRock Global Absolute Return Bond Fund 127 BlackRock Latin American Opportunities Fund 167
Notes to the Financial Statements 169
Report of the Réviseur d’Entreprises Agréé 180
General Information 182
Appendix I – Global Exposure and Leverage (Unaudited) 183
Appendix II – Total Expense Ratio (Unaudited) 185
Appendix III – Portfolio Turnover Rates (Unaudited) 187
Subscriptions can only be made on the basis of the current Prospectus, together with the most recent audited annual report and accounts and unaudited interim report and accounts. Copies are available from the Investor Services Centre, the Transfer Agent, the Manager or any of the Distributors.
Annual Report and Audited Accounts 1 BSF Chairman’s Letter to Shareholders
Dear Shareholder
I am writing to update you on the activities of BlackRock Strategic Funds (the “Company”), a Luxembourg UCITS Fund range providing clients with access to BlackRock investment products which seek to take full advantage of the expanded investment powers incorporated in the UCITS directive. This report covers the Company’s financial year from 1 June 2013 to 31 May 2014.
For many developed market assets, 2013 proved to be a strong year, with global equities continuing to march to new highs. The rally seemed to be supported by low yields, a steady flow of cash, mergers and acquisitions activity, share buybacks and improving economic indicators.
Market performance for much of the second half of 2013 was driven in large part by growth-oriented assets that in turn benefited from an acceleration of economic growth, which was better than expected. Central banks also remained accommodative, and some of the key risks that had worried many investors faded, most notably in the Euro area. In this environment, many risk assets (such as equities and corporate bonds) performed strongly, with the exception of emerging- market equities and commodities that continued to see weaker economic growth in China and heightened political risks.
The US Federal Reserve (the “Fed”) finally decided to begin reducing (or ‘tapering’) its spending in support of its economy at its December 2013 policy meeting when it confirmed it would reduce its programme of purchasing fixed income assets by USD 10 billion. It then took the decision in January 2014 to trim by a further USD 10 billion. While the Fed and the Bank of England (“BoE”) are expected to reduce their stimulus programmes as their economies improve, monetary policies of the European Central Bank (“ECB”) and the Bank of Japan continue to be supportive.
Following a period of strong performance, many asset classes began to look fairly valued as investors entered 2014, though we still do not see much sign of irrational exuberance in market pricing. Expectations for economic growth in financial markets have also risen. In addition, some important differences have started to emerge in monetary policies of major central banks, particularly in the Anglo-Saxon economies, and the pace of quantitative easing in the US is slowing.
The combination of improving economic indicators and the decision of the Fed to reduce its quantitative easing programme weighed on government bond prices for much of the year. Monetary policy seemed to continue to be the main decisive factor in the performance of bonds, outweighing such beneficial factors for bond performance as weak economic growth and low inflation.
The performance of the Funds is covered in more detail in the separate Investment Adviser's Report, which also sets out some views regarding the investment outlook.
Overall, the assets under management in the Company range have almost doubled from USD 3,937m to USD 7,598m, which reflected a strong risk appetite among investors over the twelve month period.
Some of the fastest growing Funds within the range were the BlackRock European Opportunities Extension Fund, which increased in size from EUR 11.1m to EUR 512.2m, and the BlackRock Fixed Income Strategies Fund, which increased from EUR 113.0m to EUR 625.5m over the year. The BlackRock Emerging Markets Flexi Dynamic Bond Fund, which was launched during the year, has done well, attracting USD 148.0m. Other notable strategies in terms of asset growth included the BlackRock Asia Extension Fund, which increased from USD 46.4m to USD 202.7m and the BlackRock European Credit Strategies Fund, which grew from EUR 766.7m to EUR 1.5 billion.
BlackRock is fully committed to remaining at the forefront of the European mutual funds industry by bringing innovative investment products to our clients and is actively working on adding other funds to the range as our product development process brings forward appropriate investment opportunities for clients.
In June 2013 we launched the BlackRock Emerging Markets Flexi Dynamic Bond Fund, which seeks a combination of capital growth and income by investing predominantly in emerging market debt. In the middle of November 2013 we also launched the BlackRock Emerging Markets Allocation Fund, which seeks to achieve capital growth and income through investment in a mixture of emerging market equities and bonds.
2 BlackRock Strategic Funds (BSF) BSF Chairman’s Letter to Shareholders
Following a review of our existing fund range, the Board of Directors of the Company took the decision to close the BlackRock European Opportunities Absolute Return Fund on 17 July 2013, following some large redemptions that reduced the size of its portfolio from about EUR 8.3m to less than EUR 1m. Similar reasons also led to the closure of the BlackRock Mining Opportunities Fund on 18 March 2014, which became uneconomic to manage after it reduced in size from about USD 9m to less than USD 1m.
Should you have any questions on any of this Letter, please contact us via our website: www.blackrockinternational.com
Subsequent Events In a letter to shareholders dated 27 June 2014, the Board of Directors of the Company advised shareholders of its decision to liquidate the assets held in the underlying investment portfolio for each of the following Funds, with the intention of distributing redemption proceeds to shareholders on 1 September 2014:
BlackRock Fund of iShares – Conservative BlackRock Fund of iShares – Dynamic BlackRock Fund of iShares – Growth BlackRock Fund of iShares – Moderate
In a subsequent letter to shareholders dated 21 July 2014, in order to facilitate an orderly exit from the Funds for all shareholders, the Board of Directors of the Company decided to postpone the effective date of the closure until 31 December 2014 (the “New Effective Date”). The Funds were reopened to subscriptions from 8 July 2014. The Board of Directors of the Company will write to shareholders closer to the New Effective Date but shareholders may redeem their investment at any time before this.
Yours faithfully,
Nicholas C.D. Hall Chairman
June 2014
Annual Report and Audited Accounts 3 BSF Investment Adviser’s Report Performance Overview 1 June 2013 – 31 May 2014
Disclosed in the table below are the performance returns for the primary non-distributing share class for each Fund, which has been selected as a representative share class.
Calculation methodology is based on industry standards.
The figures indicated relate to share classes publicly distributed in Switzerland. Performance figures for any other share class can be made available upon request.
Past performance is not a guide to future performance and should not be the sole factor of consideration when selecting a product. All financial investments involve an element of risk. Therefore, the value of your investment and the income from it will vary and your initial investment amount cannot be guaranteed. The Fund invests a large portion of assets which are denominated in other currencies; hence changes in the relevant exchange rate will affect the value of the investment. The performance figures do not consider charges and fees that may be levied at the time of subscription or redemption of shares. Levels and bases of taxation may change from time to time. Subscriptions may be made only on the basis of the current Prospectus, of which the most recent annual report and audited accounts and interim report and unaudited accounts form an integral part, and Key Investor Information Document (the “KIID”). Copies are available from Investor Services, the Transfer Agent, the Manager or any of the Representatives or Distributors. BlackRock Strategic Funds is only available for investment by non-US citizens who are not residents of the US. It is not offered for sale or sold in the US, its territories or possessions.
Financial Year Performance to 31 May 2014 Calendar Year Performance
1 year 2013 2012 2011 Launch Date
BlackRock Americas Diversified Equity Absolute Return Fund 'A' Non Dist (USD) 3.72% (0.98)% 10.27% – 17 February 2012 LIBOR 3 Month Index (USD) 0.26% 0.29% 0.41% –
BlackRock Asia Extension Fund 'A' Non Dist (USD) 6.38% 6.71% 11.00% – 10 February 2012 MSCI All Country Asia ex Japan (USD) 7.31% 3.07% 7.98% –
BlackRock Emerging Markets Absolute Return Fund 'D' Non Dist (USD) 4.24% 4.84% 1.81% – 15 November 2012 LIBOR 3 Month Index (USD) 0.26% 0.29% 0.04% –
BlackRock Emerging Markets Allocation Fund 'A' Non Dist (USD) 3.20% (0.94)% – – 15 November 2013 60% MSCI Emerging Markets Index / 40% JPMorgan Emerging Markets Bond Index Plus (USD) 5.47% (0.02)% – –
BlackRock Emerging Markets Flexi Dynamic Bond Fund 'A' Non Dist (USD) 0.69% (0.34)% – – 12 June 2013 50% JPMorgan EMBI Global Diversified / 50% JPMorgan Government Bond Index - Emerging Markets Global Diversified Index (USD) 4.50% (1.99)% – –
BlackRock Euro Dynamic Diversified Growth Fund 'A' Non Dist (EUR) 4.94% 6.40% 5.83% (2.19)% 28 January 2011 Euro Overnight Index Average (EUR) 0.15% 0.09% 0.23% 0.82%
BlackRock European Absolute Return Fund 'A' Non Dist (EUR) 2.30% 3.66% 4.98% 6.11% 27 February 2009 3 Month Euro LIBOR Rate (EUR) 0.21% 0.15% 0.51% 1.36%
BlackRock European Credit Strategies Fund 'H' Non Dist (EUR) 6.61% 5.22% 6.96% 2.04% 16 February 2011 3 Month Euro LIBOR Rate (EUR) 0.21% 0.15% 0.51% 1.23%
The information stated in this report is historical and not necessarily indicative of future performance.
4 BlackRock Strategic Funds (BSF) BSF Investment Adviser’s Report Performance Overview 1 June 2013 – 31 May 2014 continued
Financial Year Performance to 31 May 2014 Calendar Year Performance
1 year 2013 2012 2011 Launch Date
BlackRock European Diversified Equity Absolute Return Fund 'A' Non Dist (EUR) 6.77% 18.00% (0.53)% (4.55)% 6 August 2010 3 Month Euro LIBOR Rate (EUR) 0.21% 0.15% 0.51% 1.36%
BlackRock European Opportunities Absolute Return Fund 'A' Non Dist (EUR)* (0.25)% 3.69% 2.00% 3.79% 6 August 2010 3 Month Euro LIBOR Rate (EUR) 0.02% 0.07% 0.51% 1.36%
BlackRock European Opportunities Extension Fund 'A' Non Dist (EUR) 38.92% 44.94% 22.92% (8.79)% 31 August 2007 S&P Europe BMI Index (Developed Markets only) (EUR) b1 19.02% 22.32% 19.09% (8.59)% MSCI Europe (net) (EUR) 16.98% 19.82% 17.29% (8.08)%
BlackRock Fixed Income Strategies Fund 'A' Non Dist (EUR) 5.27% 3.80% 7.64% (1.30)% 30 September 2009 Euro Overnight Index Average (EUR) 0.15% 0.09% 0.23% 0.87%
BlackRock Fund of iShares - Conservative 'K' Non Dist (EUR) 3.60% 0.27% 9.05% (0.76)% 17 September 2010 BlackRock Fund of iShares Conservative Customised Benchmark (EUR) 4.85% 1.78% 10.43% 0.89%
BlackRock Fund of iShares - Dynamic 'K' Non Dist (EUR) 10.17% 12.37% 10.13% (9.92)% 17 September 2010 BlackRock Fund of iShares Dynamic Customised Benchmark (EUR) 11.25% 12.96% 12.29% (7.56)%
BlackRock Fund of iShares - Growth 'K' Non Dist (EUR) 8.11% 8.18% 10.29% (6.75)% 17 September 2010 BlackRock Fund of iShares Growth Customised Benchmark (EUR) 9.07% 8.89% 12.18% (4.72)%
BlackRock Fund of iShares - Moderate 'K' Non Dist (EUR) 5.99% 3.82% 10.19% (2.97)% 17 September 2010 BlackRock Fund of iShares Moderate Customised Benchmark (EUR) 6.72% 4.66% 11.84% (1.33)%
BlackRock Global Absolute Return Bond Fund 'A' Non Dist (EUR) 0.88% 1.51% 2.20% – 25 May 2012 3 month Euribor Index (EUR) 0.24% 0.20% 0.33% –
BlackRock Latin American Opportunities Fund 'A' Non Dist (USD) (5.63)% (13.15)% 20.03% (28.12)% 14 November 2007 MSCI Emerging Market Latin America Index (USD) (4.75)% (13.36)% 8.66% (19.35)% MSCI Emerging Market Latin America 10/40 (net) (USD) (4.75)% (13.36)% 9.58% (18.57)%
BlackRock Mining Opportunities Fund 'D' Non Dist RF (USD)** 1.01% (28.09)% 7.21% – 31 May 2012 HSBC Global Mining (USD) (0.16)% (22.63)% 16.94% –
* The Fund was liquidated on 17 July 2013. ** The Fund was liquidated on 18 March 2014. b1 Previously known as Citigroup BMI Europe Index. Fund performance returns are based on dealing prices with net dividends (after deduction of withholding tax) reinvested and are shown net of fees. Index Sources: Indices – Financial Times, MSCI, Citigroup, DataStream, MorningStar; Funds – BlackRock Investment Management (UK) Limited.
The information stated in this report is historical and not necessarily indicative of future performance.
Annual Report and Audited Accounts 5 BSF Investment Adviser’s Report Performance Overview 1 June 2013 – 31 May 2014 continued
Market Review Fund Performance Most global equity markets delivered good positive gains over the twelve month period, with the FTSE All-World Index Equity Fund Performance up by 17.7%1. The gains were pared back to some extent by All equity-based funds within the BlackRock Strategic concerns about the potential timing and extent of a reduction Funds range produced positive returns over the year with in monetary easing by the Fed, but positive economic news the exception of our Latin American equity strategy. For the proved the bigger influence over the year. year under review, Latin American small and mid-caps, the focus of our strategy, underperformed their larger peers. In The main exceptions to this were Latin America (-5.6%) particular, large-cap names in the Brazilian banking and oil and Eastern Europe (-2.1%), which registered declines amid and gas sectors, some of the key components of the Fund’s concerns over slow economic growth and heightened political all-cap benchmark, performed well on the back of strong third risks. Brazil was a key negative contributor to Latin America’s quarter 2013 earnings for the banks and optimism around underperformance as it fell by 6.7%, while Eastern European a price adjustment mechanism for Petrobras. Later in the companies became affected by geopolitical concerns over year, these sectors were buoyed by the growing potential for the tensions between Russia and Ukraine, with the Russian an opposition win in the forthcoming presidential elections market posting a loss of 3.0% over the year. in Brazil. The BlackRock Latin American Opportunities Fund declined by 5.63%, underperforming the MSCI Emerging US equities (+20.8%), which represent over a half of the Market Latin America Index and the MSCI Emerging Market global equity market and Europe outperformed the broader Latin America 10/40 Index, which were down by 4.75% global market. Italy (+36.9%), France (+26.1%) and Germany (+25.4%) were strong, while Greece and Ireland continued Within our absolute return strategies, the BlackRock to recover strongly following a period of underperformance European Diversified Equity Absolute Return Fund rose with gains of 44.7% and 41.2% respectively. UK equities also by 6.77% and the BlackRock European Absolute Return finished the year well, with a total return of 19.0%. Fund rose by 2.30%. Both Funds generated good positive annualised returns since their inception, 17.39% and 23.97% Asia Pacific ex Japan equities underperformed the broader since 6 August 2010 and 27 February 2009 respectively, thus global market but still produced a respectable gain of 9.0%. continuing to match their long-term objectives of providing Their performance was affected by concerns about the health positive performance within a low-volatility and risk-aware of the Chinese economy and the impact of the Fed’s reduced strategy. Both of these Funds are based on model-driven monetary stimulus measures. India gained 17.9%, as the investment insights. landslide victory of Narenda Modi and his party brought high hopes that the new administration’s focus on ‘less government The BlackRock Americas Diversified Equity Absolute Return and more governance’ will help unlock India’s economic Fund gained 3.72%, outperforming the LIBOR 3 Month Index potential. (USD), which was up by 0.26%.
Japanese equities performed relatively well, gaining 6.7%, One of our more recent additions to the range, the BlackRock as they drew strength from supportive monetary policies. Emerging Markets Absolute Return Fund, produced a positive absolute return of 4.24%, outperforming the LIBOR 3 Month From the sector perspective, technology, health care and Index (USD), which was up by 0.26%. industrials were the strongest areas, while basic materials underperformed. The BlackRock European Opportunities Extension Fund was the best-performing Fund within the range over the year, In fixed income, the combination of improving economic returning 38.92% and outperforming its benchmark, the S&P news in developed economies and the Fed’s decision to taper Europe BMI Index (Developed Markets Only), which was up weighed on government bond prices over the year, as they by 19.02%. The BlackRock Asia Extension Fund, meanwhile, underperformed corporate bonds. Over the first few months returned 6.38% but underperformed its benchmark, the MSCI of 2014, government bonds recovered some of the ground All Country Asia ex Japan Index, which was up by 7.31%. they lost in 2013. They benefited from the Fed and the BoE reassuring investors that they will continue to support their The BlackRock Emerging Markets Flexi Dynamic Bond respective economies until there is notable improvement in Fund rose by 0.69% from its launch on 12 June 2013, employment figures, with low inflation also remaining a key underperforming its composite benchmark, which was concern. up by 4.50%. The recently launched BlackRock Emerging
1 All returns quoted are total returns, given in US dollar terms. Source: FTSE All World indices, over 12 months to 31 May 2014.
The information stated in this report is historical and not necessarily indicative of future performance.
6 BlackRock Strategic Funds (BSF) BSF Investment Adviser’s Report Performance Overview 1 June 2013 – 31 May 2014 continued
Markets Allocation Fund returned 3.20% since its launch on Firstly, we expect some firming of economic growth. One of 15 November 2013, underperforming the 60% MSCI Emerging the challenges in the markets so far this year is that this has Markets Index / 40% JPMorgan Emerging Markets Bond Index been a consensus view, and in the first few months of 2014 Plus, which was up by 5.47% over the same period. global economic growth has actually lost some momentum. This partly appeared to reflect some random effects such Bond Fund Performance as poor weather in the US, and recent signs, albeit tentative, The best-performing bond Fund within the range was are that growth momentum is beginning to pick up again. It’s the BlackRock European Credit Strategies Fund, which important to stress that this improvement is focused on the returned 6.61% compared to 0.21% for its benchmark, US and Europe – it is less evident in Japan, partly as a result the 3 Month Euro Libor Rate. It was followed closely by the of the VAT increase, or in emerging markets. Nevertheless, BlackRock Fixed Income Strategies Fund, which was up by there is some evidence emerging that is consistent with a 5.27%, which also outperformed its benchmark, the Euro realistically positive view on global growth. It’s also interesting Overnight Index Average, which rose by 0.15%. The Fund offers to note that commodity prices have strengthened materially in the option of dynamic asset allocation across the whole recent weeks. This increase has been broadly based, including investment universe and an ability to go net short duration. cyclically sensitive areas such as industrial metals. And while It gives investors an opportunity to take advantage of relative several drivers have caused this increase, it would be unusual value opportunities without being locked into a benchmark- to see such a broad-based rise in commodity prices in the constrained product. absence of economic activity.
The BlackRock Global Absolute Return Bond Fund gained The second element in the positive market view is that we 0.88%, ahead of its benchmark, the 3 Month Euribor Index, expect this firming of economic growth to translate into which was up by 0.24%. stronger corporate earnings growth. One major concern is that high margins in the US mean that there is now a materially Mixed Fund Performance higher risk to corporate earnings. However, there are two The BlackRock Euro Dynamic Diversified Growth Fund counters to this point. The first is that margins can remain produced an absolute return of 4.94% over the year, elevated for an extended, multi-year period, and US earnings outperforming its benchmark, the Euro Overnight Index are still coming in ahead of expectations. Secondly, outside Average, which was up by 0.15%. the US, earnings are still relatively depressed, so at the global level, profit margins are a long way from peak levels. The third Fund of Funds Performance component of a pro-risk view is that the policy background in The BlackRock Funds of iShares range, which was launched the developed world remains supportive. in September 2010, offers investors four diversified, multi- asset class funds for different risk appetites: Conservative, Our central case is still that the Fed will not raise interest Moderate, Growth and Dynamic. The Funds deliver their rates for at least another year, and possibly longer. For the objectives via a combination of the asset-allocation expertise moment, the risk is that monetary policy in the developed of BlackRock and subsequent investment in BlackRock’s economies gets even looser if the Bank of Japan, and possibly award-winning iShares Exchange Traded Funds (“ETF”) range. the ECB, loosens policy further over the coming months. The All four Funds achieved levels of risk appropriate to their final element of the pro-risk view is valuations. As we have respective profiles. said, risk-asset valuations have normalised, but they have not become unrealistic. At some stage in the current cycle, The best-performing Fund in this range was the BlackRock though, it is feasible that they will do so. Fund of iShares – Dynamic, which delivered an absolute There are four particular triggers for a more defensive stance return of 10.17%, which was followed by the BlackRock Fund to become more appropriate: of iShares – Growth +8.11%, the BlackRock Fund of iShares – Moderate +5.99% and the BlackRock Fund of iShares Increased geopolitical risks – Conservative +3.60%. A material slowdown in economic growth Earlier-than-expected policy tightening Outlook Valuations become unsustainable An important question for investors is whether we are simply in a more mature phase of an economic cycle, so that future June 2014 returns will be weaker than we have seen but ultimately worth playing for? Or are we at a later stage in the cycle warranting a fundamentally more negative stance for a period? We remain in the first camp.
The information stated in this report is historical and not necessarily indicative of future performance.
Annual Report and Audited Accounts 7 BSF Directors’ Report
Corporate Governance Statement The Board supports a planned and progressive renewing of the Board. BlackRock is committed to ensuring that Directors Introduction put forward for election by the shareholders possess the skills BlackRock Strategic Funds (the “Company”) is a public needed to maintain this balance. The Board is committed limited company (société anonyme) established under to carrying out an annual review of its performance and the laws of the Grand Duchy of Luxembourg as an open activities. ended variable capital investment company (société d’investissement à capital variable). The Company has been The Directors have a continuing obligation to ensure they have authorised by the Commission de Surveillance du Secteur sufficient time to discharge their duties. The details of each Financier (the “CSSF”) as an undertaking for collective Director’s (including the Chairman), other appointments and investment in transferable securities (“UCITS”) pursuant commitments are made available to the Board and BlackRock to the provisions of Part I of the law of 17 December 2010 Investment Management (UK) Limited (“BIM UK”) for relating to undertakings for collective investments, as inspection. All new appointments or significant commitments amended from time to time and is regulated pursuant to such require the prior approval of BIM UK. law. The Company is an “umbrella” structure comprising a number of different Funds, each having a separate portfolio Before a new Director is proposed to the shareholders of investments. The Company complies with the principles for appointment he or she will receive a full induction set out in the Association of the Luxembourg Fund Industry incorporating relevant information regarding the Company (the “ALFI”) Code of Conduct Revision 2013 (the “Code”) issued and his or her duties and responsibilities as a Director. In by ALFI in June 2013. addition, a new Director is required to spend some time with representatives of BIM UK so that the new Director The Board of Directors of the Company (the “Board”) will become familiar with the various processes which are is committed to maintaining the highest standards of considered necessary for the proper performance of his or her corporate governance and is accountable to shareholders duties and responsibilities to the Company. for the governance of the Company’s affairs. The Board has considered the principles and recommendations of The Company’s policy is to encourage Directors to keep up the Code and has put in place a framework for corporate to date with developments relevant to the Company. The governance which it believes is appropriate for adherence to Directors have attended and will continue to attend updates the principles of the Code given the nature of its structure and briefings run by BIM UK and affiliated entities in the U.S. as an investment company. This statement summarises the and elsewhere. The Directors also receive regular briefings corporate governance structure and processes in place for from, amongst others, the auditors, investment strategists, the Company for the year under review from 1 June 2013 to risk specialists, custodian and legal advisors regarding 31 May 2014. any proposed product developments or changes in laws or regulations that could affect the Company. Board Composition The Board currently consists of six non-executive Directors Board’s Responsibilities (including one independent Director). The Board is committed The Board meets at least quarterly and also on an ad hoc basis to maintaining an appropriate balance of skills, experience, as required. The Board is supplied with information in a timely independence and knowledge amongst its members. manner and in a form and of a quality appropriate to enable it to discharge its duties. The Board is responsible for the long- The Directors’ biographies, on pages 10 and 11, collectively term success of the Company and recognises its responsibility demonstrate a breadth of investment knowledge and to provide leadership, direction and control to the Company experience, business and financial skills and legal and within a framework of prudent and effective controls which regulatory familiarity which enables them to provide effective enables risk to be assessed and managed. The Board reserves strategic leadership, oversight and proper governance of the to itself decisions relating to the determination of investment Company. BlackRock considers the current compositions to be policy and objectives, any change in investment strategy a suitable and appropriate balance for the Board. and entering into any material contracts. The Board has responsibility for the KIID and also approves the prospectus Article 13 of the Company’s Articles of Association, in and any addenda to it, circulars to shareholders, the financial accordance with Luxembourg law, provides that Directors statements and other relevant legal documentation. shall be elected by the shareholders at their annual general meeting for a period ending at the next annual general The Chairman’s main responsibility is to lead and manage the meeting and until their successors are elected. Any Director Board, encourage critical discussions and promote effective who resigns his/her position is obliged to confirm to the Board communication within the Board. In addition, he is responsible and the CSSF that the resignation is not connected with any for promoting best practice corporate governance and issues with or claims against the Company. effective communication with shareholders.
8 BlackRock Strategic Funds (BSF) BSF Directors’ Report continued
The Directors have access to the advice and services of State Street Bank Luxembourg S.A. (the ‘Administrator’). The external counsel and the resources of BIM UK and BlackRock Administrator has the responsibility for the administration (Luxembourg) S.A. (the “Management Company”) should of the Company’s affairs including the calculation of the net they be needed. Where necessary, in the furtherance of asset value and preparation of the financial statements of the their duties, the Board and individual Directors may seek Company, subject to the overall supervision of the Directors independent professional advice. The Board has responsibility and the Management Company. The Administrator is a for ensuring that the Company keeps proper accounting subsidiary of State Street Bank & Trust Co. The Company has records which disclose, with reasonable accuracy, at any time appointed State Street Bank Luxembourg S.A. as Custodian the financial position of the Company and which enable it to of its assets, which has responsibility for safe-keeping of ensure that the financial statements comply with relevant such assets, pursuant to the regulations. The Custodian is a accounting standards. It is the Board’s responsibility to subsidiary of State Street Bank & Trust Co. The Management present a balanced and understandable assessment of Company has delegated transfer agent and share registration the Company’s financial position, which extends to interim services to J.P. Morgan Bank Luxembourg S.A. financial statements and other reports made available to shareholders and the public. The Board is responsible for The Management Company reports to the Board on a taking reasonable steps for safeguarding the assets of the quarterly basis and by exception where necessary. Reporting Company and for taking reasonable steps in the prevention is in place to ensure that the Board can effectively oversee the and detection of fraud and other irregularities. actions of its delegates.
Insurance The Management Company is responsible for the risk The Company maintains appropriate Directors’ and Officers’ management and internal controls of the Company and for liability insurance cover. reviewing their effectiveness, for ensuring that financial information published or used within the business is reliable, Delegation of Responsibilities and for regularly monitoring compliance with regulations As an open ended variable capital investment company most governing the operation of the Company. The Management of the Company’s day-to-day management and administration Company reviews the effectiveness of the internal control and is delegated to BlackRock Group companies such as the risk management systems on an on-going basis to identify, Management Company which employs dedicated compliance evaluate and manage the Company’s significant risks. As part and risk professionals, the Investment Advisers and other of that process, there are procedures designed to capture third party service providers. The Board has delegated the and evaluate any failings or weaknesses. Should a case be following areas of responsibility: categorised by the Board as significant, procedures exist to ensure that necessary action is taken to remedy the failings. Management and Administration The Board is also responsible for establishing and The Board of the Company has delegated the investment maintaining adequate internal control and risk management management, distribution and administration of the systems of the Company in relation to the financial Company and its Funds to the Management Company. The reporting process. Such systems are designed to manage Management Company has delegated the management of rather than eliminate the risk of failure to achieve the the investment portfolio to the Investment Advisers. The Company’s financial reporting objectives. The Company Investment Advisers operate under guidelines determined has procedures in place to ensure all relevant accounting by the Board and as detailed in the Company’s prospectus records are properly maintained and are readily available, relating to the Company’s Funds. The relevant Investment including production of annual and half-yearly financial Advisers have direct responsibility for the decisions relating statements. These procedures include appointing the to the day-to-day running of the Company’s Funds and are Administrator to maintain the accounting records of the accountable to both the Management Company and the Company independently of the Investment Manager and Company for the investment performance of the Funds. the Custodian. The financial statements are prepared in The Board has also delegated the exercise of voting rights accordance with applicable law and Luxembourg Generally attaching to the securities held in the portfolio to the Accepted Accounting Principles (“GAAP”) and are approved respective Investment Advisers who may in turn delegate by the Board of Directors of the Company. The accounting to BIM UK. Voting on behalf of shareholders is done so in a information given in the annual report is required to be manner which is believed to be in the best economic interest audited and the Auditor’s report, including any qualifications, of shareholders as long-term investors. is reproduced in full in the annual report of the Company.
The Management Company has delegated its responsibilities The control processes over the risks identified, covering for administrative services of the Company and its Funds to financial, operational, compliance and risk management, is
Annual Report and Audited Accounts 9 BSF Directors’ Report continued
embedded in the operations of the Management Company, with by way of separate resolution. Proxy voting figures are BIM UK and other parties including the Administrator and noted by the chairman of the general meeting. the Custodian. There is a monitoring and reporting process to review these controls, which has been in place throughout the The proceedings of general meetings are governed by the year under review and up to the date of this report, carried out Articles of Association of the Company. by BIM UK’s internal audit department. The Board has reporting procedures in place such that BIM UK’s internal audit and operational risk units report to client communication with BIM UK and/or the Management the Board through the Management Company on a quarterly Company is reported to the Board, including shareholder basis. The Management Company also receives a report complaints. In addition to this the Company has appointed from the Administrator and the Custodian on the internal BlackRock (Channel Islands) Limited as Principal Distributor controls of the administrative and custodial operations of the who are tasked with actively managing the relationship Company. The Board recognises that these control systems between the Company and its shareholders. can only be designed to manage rather than eliminate the risk of failure to achieve fund objectives, and to provide Directors Biographies reasonable, but not absolute, assurance against material misstatement or loss, and relies on the operating controls Nicholas C.D. Hall (Chairman) (British): Mr Hall was, until established by the service providers. he retired in May 2009, General Counsel of BlackRock International (previously known as Merrill Lynch Investment Financial Reporting Managers International) based in London which was a position The Company prepares its financial statements under he held from his appointment in August 1998. He joined the Luxembourg GAAP and on a going concern basis. Group in 1983. He was educated at St. Catharine’s College, Cambridge graduating with a MA (Law) degree in 1975. He Remuneration qualified as a solicitor in England and Wales in 1978 and in The Company is an investment company and has no Hong Kong in 1987. He is a non-executive director of BlackRock employees or executive Directors. No Director (past or Investment Management (UK) Limited, BlackRock Advisors present) has any entitlement to a pension and the Company (UK) Limited, BlackRock International Limited, Chairman of has not awarded any share options or long-term performance the Board of BlackRock Life Limited, BlackRock Global Funds incentives. No element of Directors’ remuneration is and BlackRock Global Index Funds and serves on the Boards performance-related. Those Directors who are also of a number of other BlackRock entities and sponsored funds. employees of the BlackRock group are not entitled to receive Mr Hall is a member of the BlackRock Group Limited Audit a Director’s fee. All other Directors are paid fees which are and Risk Committees and he Chairs the BlackRock Conflicts submitted for approval by the shareholders at the annual Management Committee and the BlackRock Europe, Middle general meeting and are disclosed on page 175. The Board East and Africa (“EMEA”) Nominations Committee. believes that the level of remuneration for those Directors who take a fee properly reflects the time commitment Francine Keiser (Luxembourgish): Mrs Keiser is a former and responsibilities of their roles. The maximum amount Partner of Linklaters LLP and is now a consultant to the firm. of remuneration payable to the Directors is determined She has been a member of the Luxembourg Bar since 1989. by the Board. Mrs Keiser is an experienced investment funds lawyer with wide expertise in all legal aspects of investment management, The Directors have a continuing obligation to ensure they have in particular in the UCITS area. She serves on the Boards of sufficient time to discharge their duties. The detail of each flagship funds of several major fund promoters, including Director’s, including the Chairman’s, other appointments and BlackRock Global Funds and BlackRock Global Index Funds. commitments are made available to the Board for inspection and all new appointments or significant commitments require Alexander C. Hoctor-Duncan (British): Mr Hoctor-Duncan is the prior approval of the Investment Manager. a Managing Director of BlackRock and is Head of BlackRock’s Europe, Middle East and Africa Retail business. He is a Communication with Shareholders member of the Global Client Group Executive Committee, The Board is responsible for convening the annual general Leadership Committee, European Executive Committee and meeting and all other general meetings of the Company. also serves as a Director on the Boards of BlackRock Global Shareholders have the opportunity to and are encouraged Funds and BlackRock Global Index Funds. Mr Hoctor-Duncan to attend and vote at general meetings. Notice of general is based in London. meetings is issued in accordance with the Articles of Association of the Company and notice of the annual general Prior to moving to his current role, Mr Hoctor-Duncan was meeting is sent out at least 8 days in advance of the meeting. Head of Retail Sales in the EMEA region. Mr Hoctor-Duncan’s All substantive matters put before a general meeting are dealt service with the firm dates back to 1997, including his
10 BlackRock Strategic Funds (BSF) BSF Directors’ Report continued
years with Mercury Asset Management and Merrill Lynch Investment Management (“MLIM”), which merged with BlackRock in 2006. At MLIM, he was head of the UK Retail business and Head of Sales in the UK retail market.
Frank P. Le Feuvre (British nationality, Jersey resident): Mr Le Feuvre is the Country Manager for the Channel Islands and a member of BlackRock’s Global Client Group. He is also the Managing Director of BlackRock (Channel Islands) Limited. Mr Le Feuvre’s service with the firm dates back to 1972, including his years with Merrill Lynch Investment Managers (MLIM), which merged with BlackRock in 2006. At MLIM, he was Head of the Jersey business and Managing Director of Merrill Lynch Investment Management (Channel Islands) Limited. Mr Le Feuvre also serves as Director on the Boards of BlackRock Global Funds and BlackRock Global Index Funds and serves on the Boards of a number of other BlackRock entities and sponsored funds.
Geoffrey D. Radcliffe (British nationality, Luxembourg resident): Mr Radcliffe is a Managing Director of BlackRock and is based in Luxembourg. He is a Fellow of The Institute of Chartered Accountants in England and Wales and an Associate of The Chartered Institute of Bankers. Mr Radcliffe has 30 years of banking, accounting and fund experience in the Isle of Man, London, Bermuda and Luxembourg. Mr Radcliffe joined the BlackRock Group in 1998. He is responsible for BlackRock EMEA and Asia Pacific Fund Administration and is also a Director of a number of BlackRock funds including BlackRock Global Funds and BlackRock Global Index Funds.
Bruno Rovelli (Italian): Mr Rovelli is Head of Investment Advisory for BlackRock in Italy. Before joining BlackRock in 2011 Mr Rovelli had been working for over 11 years at Eurizon Capital, the largest asset manager in Italy. At Eurizon Capital Mr Rovelli served in various roles including Chief Strategist, Chief Investment Officer of the institutional business, Head of Quantitative Strategies and, from 2005 onwards, Chief Investment Officer for the mutual funds business. Prior to joining Eurizon Capital Mr Rovelli served as an economist and fixed income strategist for Citigroup, Bank of America and Unicredit. Mr Rovelli is a graduate in economics (First Class Honours) from Luigi Bocconi University in Milan. Mr Rovelli also serves as a Director on the Board of BlackRock Global Funds and BlackRock Global Index Funds.
Annual Report and Audited Accounts 11 Board of Directors 1 Management and Administration continued
Nicholas C.D. Hall (Chairman) BlackRock Japan Co., Ltd. Frank P. Le Feuvre 1-8-3 Marunouchi Alexander C. Hoctor-Duncan Chiyoda-ku Francine Keiser Tokyo 100-8217 Geoffrey D. Radcliffe Japan Bruno Rovelli2 Principal Distributor
1 All Directors are non-executive Directors. BlackRock (Channel Islands) Limited 2 Appointed 20 November 2013 One Waverley Place Union Street St. Helier Management Jersey JE1 0BR and Administration Channel Islands Enquiries In the absence of other arrangements, enquiries regarding Management Company the Company should be addressed as follows: BlackRock (Luxembourg) S.A. Written Enquiries: 6D, route de Trèves BlackRock Investment Management (UK) Limited, L-2633 Senningerberg c/o BlackRock (Luxembourg) S.A. Grand Duchy of Luxembourg P.O. Box 1058 Investment Advisers L-1010 Luxembourg BlackRock Financial Management, Inc., Grand Duchy of Luxembourg Park Avenue Plaza All other enquiries: 55 East 52nd Street Telephone: + 44 207 743 3300, New York, NY 10055 Fax: + 44 207 743 1143 USA Email: [email protected] BlackRock Institutional Trust Company N.A. 400 Howard Street Custodian Bank and Administrative Agent State Street Bank Luxembourg S.A. San Francisco CA 94105 49, avenue J.F. Kennedy USA L-1855 Luxembourg BlackRock Investment Management, LLC Grand Duchy of Luxembourg 100 Bellevue Parkway Wilmington Transfer Agent and Registrar Delaware 19809 J.P. Morgan Bank Luxembourg S.A. USA 6C, route de Trèves L-2633 Senningerberg BlackRock Investment Management (UK) Limited Grand Duchy of Luxembourg 12 Throgmorton Avenue London EC2N 2DL Réviseur d’Entreprises Agréé United Kingdom Deloitte Audit, Société à responsabilité limitée 560, rue de Neudorf BlackRock (Singapore) Limited L-2220 Luxembourg #18-01 Twenty Anson Grand Duchy of Luxembourg 20 Anson Road Singapore, 079912 Legal Adviser Linklaters LLP Sub-Investment Advisers 35, avenue J.F. Kennedy BlackRock Asset Management North Asia Limited* L-1855 Luxembourg 16/F Cheung Kong Center Grand Duchy of Luxembourg 2 Queen’s Road Central Hong Kong Paying Agents A list of Paying Agents is to be found on page 182. BlackRock Investment Management (Australia) Limited Level 26, 101 Collins Street Registered Office Melbourne 3000 49, avenue J.F. Kennedy Australia L-1855 Luxembourg Grand Duchy of Luxembourg
* Appointed on 4 October 2013
12 BlackRock Strategic Funds (BSF) Statement of Net Assets as at 31 May 2014
BlackRock Americas BlackRock Diversified Emerging BlackRock BlackRock Equity BlackRock Markets Emerging Strategic Absolute Asia Absolute Markets Funds Return Extension Return Allocation Combined Fund Fund Fund Fund* Note USD USD USD USD USD
Assets Securities portfolio at cost 6,923,087,298 98,991,876 161,624,569 29,024,312 46,486,868 Unrealised appreciation/(depreciation) 226,426,952 5,289 3,180 1,349,895 932,864
Securities portfolio at market value 7,149,514,250 98,997,165 161,627,749 30,374,207 47,419,732 Cash at bank 2(a) 464,826,342 23,544,654 33,275,907 1,144,110 6,979,589 Time Deposits 2(a) 148,480,518 – – 9,280,000 – Due from broker 15 64,435,216 – 2,415,000 3,219,019 – Dividend receivable on contracts for difference 3,889,794 243,715 2,208,782 – 405,883 Interest and dividends receivable 41,593,436 115,447 42,859 167,368 327,069 Interest and dividends receivable on swaps 409 409 – – – Receivable for investments sold 2(a) 417,909,036 66,534 21,592 1,600,946 11,221 Receivable for Fund shares subscribed 112,662,087 1,136,101 – 93,115 – Unrealised appreciation on: Open Forward foreign exchange transactions 2(d) 2,364,005 – – – – Contracts for difference 2(d) 16,738,283 3,454,563 8,367,938 – 436,361 Market value of swaps 2(d) 6,283,090 – – – – Market value of purchased options/swaptions 2(d) 3,870,665 – – – – Other assets 226,918 – – 14,934 1,377
Total assets 8,432,794,049 127,558,588 207,959,827 45,893,699 55,581,232
Liabilities Interest payable on contracts for difference 2,080,532 352,935 630,864 27,977 218,345 Due to broker 15 13,087,601 2,742,000 – – 2,954,803 Interest and dividends payable on swaps 5,495,135 – – – – Dividend payable on contracts for difference 1,995,327 – – 168,046 – Dividends payable 129,633 – – – – Payable for investments purchased 2(a) 632,731,196 875,255 4,027,119 477,907 530,182 Payable for Fund shares redeemed 18,635,050 935,880 92,539 4,771 – Unrealised depreciation on: Open Exchange traded futures contracts 2(d) 25,431,065 – 174,897 49,627 30,484 Open Forward foreign exchange transactions 2(d) 20,541,311 745,912 53 98,377 – Contracts for difference 2(d) 17,196,648 – – 2,653,536 – Market value of swaps 2(d) 30,800,865 113,278 – – – Market value of written options/swaptions 2(d) 3,443,837 – – – – Other liabilities 4,5,6,7 63,459,676 796,775 368,202 342,463 245,425
Total liabilities 835,027,876 6,562,035 5,293,674 3,822,704 3,979,239
Total net assets 7,597,766,173 120,996,553 202,666,153 42,070,995 51,601,993
* The Fund commenced trading on 15 November 2013.
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 13 Statement of Net Assets as at 31 May 2014 continued
BlackRock BlackRock BlackRock European Emerging Euro BlackRock BlackRock Diversified Markets Flexi Dynamic European European Equity Dynamic Diversified Absolute Credit Absolute Bond Growth Return Strategies Return Fund* Fund Fund Fund Fund Note USD EUR EUR EUR EUR
Assets Securities portfolio at cost 121,479,093 359,249,120 1,136,536,679 1,491,914,818 217,654,955 Unrealised appreciation/(depreciation) 5,586,325 21,977,142 14,894,027 79,800,551 (457)
Securities portfolio at market value 127,065,418 381,226,262 1,151,430,706 1,571,715,369 217,654,498 Cash at bank 2(a) 22,226,655 46,450,058 154,970,071 3,961,871 36,974,618 Time Deposits 2(a) – – – – – Due from broker 15 4,582,956 1,280,221 24,114,598 10,030,209 – Dividend receivable on contracts for difference – – – – – Interest and dividends receivable 1,516,742 222,104 789,126 19,632,083 61,451 Interest and dividends receivable on swaps – – – – – Receivable for investments sold 2(a) – 3,555,164 8,849,356 96,359,489 – Receivable for Fund shares subscribed 80,050 755,360 – 18,772,219 4,062,851 Unrealised appreciation on: Open Forward foreign exchange transactions 2(d) 431,062 – 19,631 – – Contracts for difference 2(d) – – – – 626,777 Market value of swaps 2(d) – 3,389,528 – – – Market value of purchased options/swaptions 2(d) – 1,898,065 – 234,850 – Other assets 4,034 64,972 – – –
Total assets 155,906,917 438,841,734 1,340,173,488 1,720,706,090 259,380,195
Liabilities Interest payable on contracts for difference – – 189,482 – 297,027 Due to broker 15 – – – – 1,782,000 Interest and dividends payable on swaps 540,357 5,258 – 2,910,030 – Dividend payable on contracts for difference – – 581,456 – 760,134 Dividends payable 86,863 – – – – Payable for investments purchased 2(a) 2,840,476 – 5,814,984 167,797,404 17,180,950 Payable for Fund shares redeemed – 18,108 3,290,806 5,999,774 289,709 Unrealised depreciation on: Open Exchange traded futures contracts 2(d) 1,362 320,825 9,805,833 6,302,518 – Open Forward foreign exchange transactions 2(d) – 2,931,511 – 5,425,274 754,663 Contracts for difference 2(d) – – 10,677,553 – – Market value of swaps 2(d) 4,378,934 – – 17,394,370 – Market value of written options/swaptions 2(d) – 951,317 347,107 – – Other liabilities 4,5,6,7 58,953 763,294 13,706,295 20,988,470 2,435,623
Total liabilities 7,906,945 4,990,313 44,413,516 226,817,840 23,500,106
Total net assets 147,999,972 433,851,421 1,295,759,972 1,493,888,250 235,880,089
* The Fund commenced trading on 12 June 2013.
14 BlackRock Strategic Funds (BSF) Statement of Net Assets as at 31 May 2014 continued
BlackRock European BlackRock BlackRock BlackRock BlackRock Opportunities Fixed Income Fund of Fund of Fund of Extension Strategies iShares – iShares – iShares – Fund Fund Conservative Dynamic Growth Note EUR EUR EUR EUR EUR
Assets Securities portfolio at cost 397,480,596 625,123,642 3,988,154 3,589,412 9,730,171 Unrealised appreciation/(depreciation) 17,499,899 7,649,498 193,291 532,059 1,098,441
Securities portfolio at market value 414,980,495 632,773,140 4,181,445 4,121,471 10,828,612 Cash at bank 2(a) 9,220,531 12,254,441 12,753 8,409 21,732 Time Deposits 2(a) 84,200,429 – – – – Due from broker 15 – 2,865,612 – – – Dividend receivable on contracts for difference 757,264 – – – – Interest and dividends receivable 686,786 3,883,895 4,382 20,251 39,984 Interest and dividends receivable on swaps – – – – – Receivable for investments sold 2(a) 15,003,726 11,031,330 – – – Receivable for Fund shares subscribed 23,197,486 9,625,827 – 25 110 Unrealised appreciation on: Open Forward foreign exchange transactions 2(d) 1,399,536 – – – – Contracts for difference 2(d) 2,662,014 – – – – Market value of swaps 2(d) – 799,270 – – – Market value of purchased options/swaptions 2(d) – – – – – Other assets 6,317 – 14,255 13,301 17,081
Total assets 552,114,584 673,233,515 4,212,835 4,163,457 10,907,519
Liabilities Interest payable on contracts for difference 137,863 – – – – Due to broker 15 2,428,000 – – – – Interest and dividends payable on swaps – 60,574 – – – Dividend payable on contracts for difference – – – – – Dividends payable – 31,402 – – – Payable for investments purchased 2(a) 33,668,668 42,397,626 – – – Payable for Fund shares redeemed 1,042,655 1,326,853 237 195 – Unrealised depreciation on: Open Exchange traded futures contracts 2(d) – 761,505 – – – Open Forward foreign exchange transactions 2(d) – 1,765,545 – – – Contracts for difference 2(d) – – – – – Market value of swaps 2(d) – – – – – Market value of written options/swaptions 2(d) – – – – – Other liabilities 4,5,6,7 2,620,474 1,364,369 16,548 16,685 29,011
Total liabilities 39,897,660 47,707,874 16,785 16,880 29,011
Total net assets 512,216,924 625,525,641 4,196,050 4,146,577 10,878,508
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 15 Statement of Net Assets as at 31 May 2014 continued
BlackRock Global BlackRock BlackRock Absolute Latin Fund of Return American iShares – Bond Opportunities Moderate Fund Fund Note EUR EUR USD
Assets Securities portfolio at cost 16,254,058 262,311,948 115,243,974 Unrealised appreciation/(depreciation) 1,258,231 3,764,881 6,376,087
Securities portfolio at market value 17,512,289 266,076,829 121,620,061 Cash at bank 2(a) 36,294 8,554,860 4,965,931 Time Deposits 2(a) – 18,000,591 – Due from broker 15 – – – Dividend receivable on contracts for difference – – – Interest and dividends receivable 41,380 1,615,963 114,075 Interest and dividends receivable on swaps – – – Receivable for investments sold 2(a) – 161,386,967* 298,145 Receivable for Fund shares subscribed 28,616 25,311,303 – Unrealised appreciation on: Open Forward foreign exchange transactions 2(d) – – – Contracts for difference 2(d) – – – Market value of swaps 2(d) – 417,771 – Market value of purchased options/swaptions 2(d) – 678,400 – Other assets 21,794 13,822 –
Total assets 17,640,373 482,056,507 126,998,212
Liabilities Interest payable on contracts for difference – – – Due to broker 15 – 1,216,324 – Interest and dividends payable on swaps – 260,722 – Dividend payable on contracts for difference – – – Dividends payable – – – Payable for investments purchased 2(a) – 176,698,746* 189,004 Payable for Fund shares redeemed 3,641 81,060 – Unrealised depreciation on: Open Exchange traded futures contracts 2(d) – 549,702 – Open Forward foreign exchange transactions 2(d) – 2,916,717 – Contracts for difference 2(d) – – – Market value of swaps 2(d) – – – Market value of written options/swaptions 2(d) – 1,228,224 – Other liabilities 4,5,6,7 41,383 501,360 901,817
Total liabilities 45,024 183,452,855 1,090,821
Total net assets 17,595,349 298,603,652 125,907,391
* Includes To be Announced (“TBA”), see Notes 2(a), for further details.
16 BlackRock Strategic Funds (BSF) Three Year Summary of Net Asset Values as at 31 May 2014
Currency 31 May 2014 31 May 2013 31 May 2012
BlackRock Americas Diversified Equity Absolute Return Fund Total net assets USD 120,996,553 235,107,890 6,805,522 Net asset value per: A Class non-distributing share AUD 119.84 112.33 – A Class non-distributing share USD 111.12 107.13 105.15 A Class non-distributing share EUR hedged EUR 110.64 106.99 105.07 A Class non-distributing share SEK hedged SEK 112.54 107.71 105.06 A Class UK reporting non-distributing fund share GBP 105.36 112.20 108.44 D Class UK reporting non-distributing fund share EUR hedged 1 EUR 111.13 106.90 104.81 X Class non-distributing share USD 114.97 107.98 – BlackRock Asia Extension Fund Total net assets USD 202,666,153 46,420,675 9,075,074 Net asset value per: A Class non-distributing share AUD 128.84 117.45 – A Class non-distributing share USD 119.72 112.54 90.70 A Class UK reporting non-distributing fund share GBP hedged GBP 119.64 112.13 90.73 D Class non-distributing share USD 121.15 113.06 90.77 E Class non-distributing share USD 118.74 111.94 90.59 X Class non-distributing share USD 106.07 – – BlackRock Emerging Markets Absolute Return Fund Total net assets USD 42,070,995 13,023,136 – Net asset value per: A Class non-distributing share USD 103.08 – – A Class non-distributing share EUR hedged EUR 101.48 – – A Class UK reporting distributing fund share GBP hedged GBP 102.05 – – D Class non-distributing share USD 108.31 103.90 – D Class non-distributing share EUR hedged EUR 107.81 103.47 – D Class UK reporting distributing fund share GBP hedged GBP 103.31 – – E Class non-distributing share EUR hedged EUR 101.96 – – I Class non-distributing share EUR 109.63 – – I Class non-distributing share USD 102.93 – – I Class non-distributing share EUR hedged EUR 108.61 104.03 – I Class UK reporting distributing fund share GBP GBP 89.16 – – I Class UK reporting distributing fund share GBP hedged GBP 102.34 – – X Class non-distributing share USD 112.17 105.32 – BlackRock Emerging Markets Allocation Fund* Total net assets USD 51,601,993 – – Net asset value per: A Class non-distributing share USD 103.20 – – C Class non-distributing share USD 102.67 – – D Class non-distributing share USD 103.64 – – E Class non-distributing share USD 102.89 – – I Class non-distributing share USD 103.76 – – X Class non-distributing share USD 104.18 – – BlackRock Emerging Markets Flexi Dynamic Bond Fund** Total net assets USD 147,999,972 – – Net asset value per: A Class non-distributing share USD 100.69 – – A Class non-distributing share EUR hedged EUR 100.47 – – D Class non-distributing share USD 101.74 – – D Class non-distributing share EUR hedged EUR 102.34 – – D Class UK reporting distributing fund share GBP 80.82 – – E Class non-distributing share USD 100.31 – – E Class non-distributing share EUR hedged EUR 101.31 – – X Class non-distributing share USD 103.94 – –
1 Class name changed, see Note 1, for further details. * The Fund commenced trading on 15 November 2013. ** The Fund commenced trading on 12 June 2013.
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 17 Three Year Summary of Net Asset Values as at 31 May 2014 continued
Currency 31 May 2014 31 May 2013 31 May 2012
BlackRock Euro Dynamic Diversified Growth Fund Total net assets EUR 433,851,421 160,499,726 66,828,783 Net asset value per: A Class non-distributing share EUR 113.16 107.83 99.03 A Class non-distributing share SEK hedged SEK 115.99 109.75 99.54 D Class non-distributing share EUR 115.29 109.20 99.69 E Class non-distributing share EUR 111.92 107.20 98.91 I Class non-distributing share EUR 116.40 109.99 100.17 I Class non-distributing share SEK hedged SEK 117.36 110.11 – X Class non-distributing share EUR 118.26 111.03 100.46 BlackRock European Absolute Return Fund Total net assets EUR 1,295,759,972 1,203,613,796 418,453,107 Net asset value per: A Class distributing share EUR 123.97 121.18 118.76 A Class non-distributing share EUR 123.97 121.18 118.77 A Class non-distributing share SEK hedged SEK 126.39 122.63 – D Class distributing share EUR 124.49 121.21 – D Class non-distributing share EUR 126.48 123.14 120.20 D Class non-distributing share CHF hedged CHF 125.70 122.78 120.08 D Class UK reporting non-distributing fund share GBP hedged GBP 127.26 123.60 – E Class non-distributing share EUR 121.63 119.37 117.46 I Class non-distributing share EUR 127.07 123.43 120.22 BlackRock European Credit Strategies Fund Total net assets EUR 1,493,888,250 766,717,402 473,259,688 Net asset value per: H Class non-distributing share EUR 118.60 111.25 104.64 H Class non-distributing share CHF hedged CHF 118.02 111.12 – H Class non-distributing share USD hedged USD 118.66 111.33 104.42 H Class UK reporting non-distributing fund share GBP hedged GBP 119.38 111.79 104.65 I Class non-distributing share SEK hedged SEK 1,016.19 – – I Class UK reporting non-distributing fund share 1 EUR 120.16 112.11 104.87 I Class UK reporting non-distributing fund share GBP hedged GBP 121.31 112.91 105.14 I Class UK reporting non-distributing fund share USD hedged 1 USD 120.39 112.29 104.74 T Class non-distributing share EUR 107.58 100.30 – U Class non-distributing share EUR 119.25 111.57 – U Class UK reporting non-distributing fund share GBP 96.93 95.36 – U Class UK reporting non-distributing fund share USD hedged 1 USD 119.48 111.72 – X Class non-distributing share EUR 130.31 118.32 107.81 X Class UK reporting non-distributing fund share GBP hedged GBP – – 105.57 BlackRock European Diversified Equity Absolute Return Fund Total net assets EUR 235,880,089 147,192,059 225,899,516 Net asset value per: A Class non-distributing share AUD 169.30 147.17 – A Class non-distributing share EUR 117.39 109.95 99.92 A Class non-distributing share CHF hedged CHF 116.10 108.15 98.56 A Class non-distributing share SEK hedged SEK 120.53 111.86 100.49 A Class UK reporting non-distributing fund share GBP hedged GBP 118.88 110.55 100.06 D Class non-distributing share USD hedged USD 116.81 108.43 97.94 D Class UK reporting non-distributing fund share EUR 117.43 109.84 100.74 D Class UK reporting non-distributing fund share GBP hedged GBP 120.65 111.69 100.63 E Class non-distributing share EUR 115.61 108.28 98.90 I Class non-distributing share EUR 120.86 112.03 101.02 I Class UK reporting non-distributing fund share GBP hedged GBP – – 101.07 X Class non-distributing share EUR 132.28 120.24 107.35
1 Class name changed, see Note 1, for further details.
18 BlackRock Strategic Funds (BSF) Three Year Summary of Net Asset Values as at 31 May 2014 continued
Currency 31 May 2014 31 May 2013 31 May 2012
BlackRock European Opportunities Absolute Return Fund* Total net assets EUR – 1,000,951 22,780,307 Net asset value per: A Class non-distributing share EUR – 112.26 104.30 D Class non-distributing share EUR – 113.03 104.22 D Class UK reporting non-distributing fund share GBP hedged GBP – 113.57 104.34 E Class non-distributing share EUR – 110.75 103.44 I Class non-distributing share EUR – 114.57 106.01 BlackRock European Opportunities Extension Fund Total net assets EUR 512,216,924 11,081,561 10,575,753 Net asset value per: A Class non-distributing share EUR 193.42 139.23 101.37 A Class UK reporting distributing fund share GBP 155.86 117.84 80.44 D Class non-distributing share EUR 194.50 139.94 101.47 D Class UK reporting distributing fund share GBP 156.82 118.07 – E Class non-distributing share EUR 189.50 136.98 100.16 I Class non-distributing share EUR 101.73 – – BlackRock Fixed Income Strategies Fund Total net assets EUR 625,525,641 113,006,228 67,454,855 Net asset value per: A Class distributing share EUR 101.21 – – A Class distributing share CHF hedged CHF 100.53 – – A Class distributing share USD hedged USD 100.57 – – A Class non-distributing share EUR 115.84 110.04 103.12 A Class non-distributing share CHF hedged CHF 100.67 – – A Class non-distributing share USD hedged USD 100.71 – – D Class non-distributing share EUR 117.92 111.57 104.12 E Class non-distributing share EUR 113.40 108.28 101.99 I Class non-distributing share EUR 117.34 110.81 103.25 X Class non-distributing share EUR 120.35 112.96 104.60 BlackRock Fund of iShares – Conservative Total net assets EUR 4,196,050 2,923,530 1,309,304 Net asset value per: K Class non-distributing share EUR 11.52 11.12 10.34 L Class non-distributing share EUR 11.31 10.97 10.24 M Class non-distributing share EUR 11.20 10.90 10.20 BlackRock Fund of iShares – Dynamic Total net assets EUR 4,146,577 2,848,575 1,718,713 Net asset value per: K Class non-distributing share EUR 12.46 11.31 9.60 L Class non-distributing share EUR 12.23 11.16 9.52 M Class non-distributing share EUR 12.12 11.08 9.48 BlackRock Fund of iShares – Growth Total net assets EUR 10,878,508 6,633,192 3,962,973 Net asset value per: K Class non-distributing share EUR 12.27 11.35 9.91 L Class non-distributing share EUR 12.05 11.20 9.83 M Class non-distributing share EUR 11.95 11.14 9.80 BlackRock Fund of iShares – Moderate Total net assets EUR 17,595,349 9,895,030 5,183,611 Net asset value per: K Class non-distributing share EUR 12.03 11.35 10.23 L Class non-distributing share EUR 11.82 11.20 10.15 M Class non-distributing share EUR 11.71 11.13 10.11
* The Fund was liquidated on 17 July 2013.
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 19 Three Year Summary of Net Asset Values as at 31 May 2014 continued
Currency 31 May 2014 31 May 2013 31 May 2012
BlackRock Global Absolute Return Bond Fund Total net assets EUR 298,603,652 111,704,772 50,002,078 Net asset value per: A Class non-distributing share EUR 104.38 103.47 99.99 A Class non-distributing share SEK hedged SEK 1,024.74 1,008.37 – A Class non-distributing share USD hedged USD 101.36 – – D Class non-distributing share EUR 105.29 103.84 – E Class non-distributing share EUR 103.50 103.04 – X Class non-distributing share EUR 107.37 105.05 100.00 BlackRock Latin American Opportunities Fund Total net assets USD 125,907,391 169,714,453 173,326,906 Net asset value per: A Class non-distributing share EUR 87.58 97.33 90.57 A Class non-distributing share USD 123.22 130.57 115.57 A Class UK reporting non-distributing fund share GBP 70.49 82.49 71.97 C Class non-distributing share USD 114.30 122.32 109.18 D Class non-distributing share EUR 90.43 100.42 – D Class non-distributing share USD 123.70 130.56 115.57 D Class UK reporting non-distributing fund share GBP 71.29 82.76 – BlackRock Mining Opportunities Fund* Total net assets USD – 10,317,581 10,445,632 Net asset value per: D Class UK reporting non-distributing fund share GBP – 85.63 – D Class UK reporting non-distributing fund share USD – 83.16 99.48
* The Fund was liquidated on 18 March 2014.
20 BlackRock Strategic Funds (BSF) Statement of Operations and Changes in Net Assets for the year ended 31 May 2014
BlackRock BlackRock Americas BlackRock Emerging Diversified Emerging BlackRock Markets BlackRock Equity BlackRock Markets Emerging Flexi Strategic Absolute Asia Absolute Markets Dynamic Funds Return Extension Return Allocation Bond Combined Fund Fund Fund Fund* Fund** Note USD USD USD USD USD USD
Net assets at the beginning of the year(1) 4,085,272,001 235,107,890 46,420,675 13,023,136 – – Income Bank interest 574,483 – 68,243 5,105 24,249 – Bond interest 100,119,846 190,273 87,528 – 627,428 4,987,540 Swap interest and dividends 173,683 – – – – 77,877 Dividends 18,901,095 – – 398,899 3,557 – Contracts for difference dividends 2(d) 5,873,555 1,150,343 3,754,046 – 469,641 –
Total income 2(c) 125,642,662 1,340,616 3,909,817 404,004 1,124,875 5,065,417
Expenses Bank interest 74,637 22,870 – – – 40,348 Contracts for difference interest 2(d) 19,641,487 5,408,341 1,335,627 58,072 218,539 – Swap interest and dividends 17,905,715 7,810 – – – – Contracts for difference dividends 2(d) 5,629,856 – – 356,612 – – Administration fees 5 10,086,481 231,887 170,040 45,104 66,200 81,041 Custodian and depositary fees 6 911,657 4,327 2,546 15,542 537 20,582 Custodian transaction fees 6 2,202,558 212,032 124,812 81,734 26,313 61,990 Luxembourg tax 8 1,995,764 39,558 33,000 8,547 16,664 25,349 Performance fees 7 39,379,738 481,159 53,497 167,266 – – Distribution fees 4 1,249,633 – 330 – 40 84 Management fees 4 56,881,335 691,767 664,264 152,879 397,188 360,657 Less Management fee rebate 4 (340,645) – – – (4,894) –
Total expenses before reimbursement 155,618,216 7,099,751 2,384,116 885,756 720,587 590,051
Reimbursement of expenses 4 195,786 – – 17,216 – –
Total expenses after reimbursement 155,422,430 7,099,751 2,384,116 868,540 720,587 590,051
Net investment income/(deficit) (29,779,768) (5,759,135) 1,525,701 (464,536) 404,288 4,475,366 Net gain/(loss) realised on: Investments 2(a) 251,110,457 64,045 630 1,383,190 207,486 (202,062) Contracts for difference 2(d) 92,543,278 1,524,470 (3,858,154) 1,428,931 (346,118) – Exchange traded futures contracts 2(d) (62,576,646) 1,218,774 1,654,217 88,659 209,453 (15,632) Foreign currencies and forward foreign exchange transactions 2(d) (11,896,211) 2,362,361 (1,326) 381,919 (211,862) (3,959,471) Swap transactions 2(d) (9,324,352) 243,566 – – – (1,133,998) Options contracts 2(d) (5,778,206) – – (104,016) – (378,210)
Net realised gain/(loss) for the year 254,078,320 5,413,216 (2,204,633) 3,178,683 (141,041) (5,689,373)
Net change in unrealised appreciation/ (depreciation) on: Investments 2(a) 118,584,021 (22,962) (3,175) 1,846,717 932,864 5,586,325 Foreign currencies on other transactions 341,997 – – 2,005 5 (7,714) Contracts for difference 2(d) (3,175,574) 12,853,159 6,026,110 (2,878,128) 436,361 – Open exchange traded futures contracts 2(d) (30,904,647) (376,800) (174,897) (49,627) (30,484) (1,362) Forward foreign exchange transactions 2(d) (11,117,729) (628,293) 32 (218,172) – 431,062 Swap transactions 2(d) (22,386,212) (113,278) – – – (1,776,418) Options contracts 2(d) 127,426 – – – – –
Net change in unrealised appreciation/ (depreciation) for the year 51,469,282 11,711,826 5,848,070 (1,297,205) 1,338,746 4,231,893
Increase/(Decrease) in net assets as a result of operations 275,767,834 11,365,907 5,169,138 1,416,942 1,601,993 3,017,886
Movements in share capital Net receipts as a result of issue of shares 5,442,247,541 39,072,798 174,997,186 37,491,708 50,000,000 187,170,536 Net payments as a result of repurchase of shares (2,253,149,949) (164,550,042) (23,920,846) (9,860,791) – (42,101,587)
Increase/(Decrease) in net assets as a result of movements in share capital 3,189,097,592 (125,477,244) 151,076,340 27,630,917 50,000,000 145,068,949
Dividends declared (129,344) – – – – (86,863) Foreign exchange adjustment 47,758,090 – – – – – Net assets at the end of the year 7,597,766,173 120,996,553 202,666,153 42,070,995 51,601,993 147,999,972
* The Fund commenced trading on 15 November 2013. ** The Fund commenced trading on 12 June 2013. (1) The opening balance was combined using the average foreign exchange rates for the year (see Note 2(f)). The same net assets when converted using the average exchange rates for the year ended 31 May 2013 reflected a figure of USD 3,936,993,045.
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 21 Statement of Operations and Changes in Net Assets for the year ended 31 May 2014 continued
BlackRock BlackRock European BlackRock Euro BlackRock BlackRock Diversified European Dynamic European European Equity Opportunities Diversified Absolute Credit Absolute Absolute Growth Return Strategies Return Return Fund Fund Fund Fund Fund* Note EUR EUR EUR EUR EUR
Net assets at the beginning of the year(1) 160,499,726 1,203,613,796 766,717,402 147,192,059 1,000,951 Income Bank interest 21,310 251,340 23,942 11,161 – Bond interest 653,525 75,557 53,061,408 328,118 – Swap interest and dividends 70,810 – – – – Dividends 899,163 5,226,259 1,557,392 26,433 – Contracts for difference dividends 2(d) – – – – 10,188
Total income 2(c) 1,644,808 5,553,156 54,642,742 365,712 10,188
Expenses Bank interest – – – – 943 Contracts for difference interest 2(d) – 3,931,267 – 4,845,711 – Swap interest and dividends – – 10,851,941 – – Contracts for difference dividends 2(d) – 3,545,482 – 352,500 – Administration fees 5 325,446 4,003,510 790,539 516,913 260 Custodian and depositary fees 6 23,390 245,090 115,148 4,659 470 Custodian transaction fees 6 33,098 161,326 106,500 228,262 10,400 Luxembourg tax 8 71,492 669,422 197,093 96,571 – Performance fees 7 – 7,565,210 17,212,181 1,374,195 – Distribution fees 4 4,396 450,061 – 45,584 171 Management fees 4 1,725,210 18,448,140 10,507,112 2,344,336 1,181 Less Management fee rebate 4 (105,496) – – – –
Total expenses before reimbursement 2,077,536 39,019,508 39,780,514 9,808,731 13,425
Reimbursement of expenses 4 – – – – 9,061
Total expenses after reimbursement 2,077,536 39,019,508 39,780,514 9,808,731 4,364
Net investment income/(deficit) (432,728) (33,466,352) 14,862,228 (9,443,019) 5,824 Net gain/(loss) realised on: Investments 2(a) 3,462,441 91,974,083 53,385,074 22,472 – Contracts for difference 2(d) – 52,288,519 – 17,220,624 23,654 Exchange traded futures contracts 2(d) 2,304,666 (31,496,008) (11,318,429) (1,392) – Foreign currencies and forward foreign exchange transactions 2(d) 1,680,659 (1,482,524) 4,129,792 (1,056,038) 22,317 Swap transactions 2(d) 539,567 – (3,596,440) – – Options contracts 2(d) 1,261,610 2,725,894 (6,830,304) – –
Net realised gain/(loss) for the year 9,248,943 114,009,964 35,769,693 16,185,666 45,971
Net change in unrealised appreciation/ (depreciation) on: Investments 2(a) 13,134,355 (20,843,220) 62,186,903 7,731 – Foreign currencies on other transactions 3,772 (168) 75,060 1,134 (1,338) Contracts for difference 2(d) – (13,920,761) – (2,711,519) (31,660) Open exchange traded futures contracts 2(d) (949,414) (11,893,695) (7,197,124) – – Forward foreign exchange transactions 2(d) (3,202,503) 234,400 (1,678,279) (536,643) (20,611) Swap transactions 2(d) 3,278,114 – (15,434,587) – – Options contracts 2(d) 444,817 239,213 (718,267) – –
Net change in unrealised appreciation/ (depreciation) for the year 12,709,141 (46,184,231) 37,233,706 (3,239,297) (53,609)
Increase/(Decrease) in net assets as a result of operations 21,525,356 34,359,381 87,865,627 3,503,350 (1,814)
Movements in share capital Net receipts as a result of issue of shares 274,274,816 760,782,290 1,016,659,095 222,648,833 5,156 Net payments as a result of repurchase of shares (22,448,477) (702,995,495) (377,353,874) (137,464,153) (1,004,293)
Increase/(Decrease) in net assets as a result of movements in share capital 251,826,339 57,786,795 639,305,221 85,184,680 (999,137)
Dividends declared – – – – – Foreign exchange adjustment – – – – – Net assets at the end of the year 433,851,421 1,295,759,972 1,493,888,250 235,880,089 –
* The Fund was liquidated on 17 July 2013. (1) The opening balance was combined using the average foreign exchange rates for the year (see Note 2(f)). The same net assets when converted using the average exchange rates for the year ended 31 May 2013 reflected a figure of USD 3,936,993,045.
22 BlackRock Strategic Funds (BSF) Statement of Operations and Changes in Net Assets for the year ended 31 May 2014 continued
BlackRock BlackRock European Fixed BlackRock BlackRock BlackRock Opportunities Income Fund of Fund of Fund of Extension Strategies iShares – iShares – iShares – Fund Fund Conservative Dynamic Growth Note EUR EUR EUR EUR EUR
Net assets at the beginning of the year(1) 11,081,561 113,006,228 2,923,530 2,848,575 6,633,192 Income Bank interest 14,804 – – – 30 Bond interest – 5,627,239 – – – Swap interest and dividends – – – – – Dividends 3,500,745 10,985 75,438 63,287 160,615 Contracts for difference dividends 2(d) 358,808 – – – –
Total income 2(c) 3,874,357 5,638,224 75,438 63,287 160,645
Expenses Bank interest – 7,498 – – – Contracts for difference interest 2(d) 552,191 – – – – Swap interest and dividends – 313,736 – – – Contracts for difference dividends 2(d) – – – – – Administration fees 5 415,399 340,709 3,750 3,447 8,193 Custodian and depositary fees 6 4,585 20,404 6,810 7,318 7,844 Custodian transaction fees 6 224,673 122,140 22,548 14,198 18,466 Luxembourg tax 8 102,515 112,191 2,083 1,907 4,322 Performance fees 7 583,822 – – – – Distribution fees 4 151,663 243,070 721 3,058 2,190 Management fees 4 1,892,027 1,241,720 22,497 20,685 49,160 Less Management fee rebate 4 – – (11,712) (15,670) (34,591)
Total expenses before reimbursement 3,926,875 2,401,468 46,697 34,943 55,584
Reimbursement of expenses 4 51,099 – 24,486 16,992 15,659
Total expenses after reimbursement 3,875,776 2,401,468 22,211 17,951 39,925
Net investment income/(deficit) (1,419) 3,236,756 53,227 45,336 120,720 Net gain/(loss) realised on: Investments 2(a) 3,158,339 12,346,204 16,946 29,171 50,377 Contracts for difference 2(d) (200,162) – – – – Exchange traded futures contracts 2(d) – (4,849,936) – – – Foreign currencies and forward foreign exchange transactions 2(d) 1,677,619 346,759 (114) (263) (542) Swap transactions 2(d) – (1,003,373) – – – Options contracts 2(d) – (22,341) – – –
Net realised gain/(loss) for the year 4,635,796 6,817,313 16,832 28,908 49,835
Net change in unrealised appreciation/ (depreciation) on: Investments 2(a) 16,712,674 6,769,185 92,289 285,633 572,755 Foreign currencies on other transactions (12,026) 58,144 49 171 314 Contracts for difference 2(d) 2,217,281 – – – – Open exchange traded futures contracts 2(d) – (831,104) – – – Forward foreign exchange transactions 2(d) 1,427,230 (1,505,538) – – – Swap transactions 2(d) – 14,351 – – – Options contracts 2(d) – (14,042) – – –
Net change in unrealised appreciation/ (depreciation) for the year 20,345,159 4,490,996 92,338 285,804 573,069
Increase/(Decrease) in net assets as a result of operations 24,979,536 14,545,065 162,397 360,048 743,624
Movements in share capital Net receipts as a result of issue of shares 575,133,397 520,063,279 2,037,426 1,784,149 4,155,057 Net payments as a result of repurchase of shares (98,977,570) (22,057,529) (927,303) (846,195) (653,365)
Increase/(Decrease) in net assets as a result of movements in share capital 476,155,827 498,005,750 1,110,123 937,954 3,501,692
Dividends declared – (31,402) – – – Foreign exchange adjustment – – – – – Net assets at the end of the year 512,216,924 625,525,641 4,196,050 4,146,577 10,878,508
(1) The opening balance was combined using the average foreign exchange rates for the year (see Note 2(f)). The same net assets when converted using the average exchange rates for the year ended 31 May 2013 reflected a figure of USD 3,936,993,045.
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 23 Statement of Operations and Changes in Net Assets for the year ended 31 May 2014 continued
BlackRock Global BlackRock BlackRock Absolute Latin BlackRock Fund of Return American Mining iShares – Bond Opportunities Opportunities Moderate Fund Fund Fund* Note EUR EUR USD USD
Net assets at the beginning of the year(1) 9,895,030 111,704,772 169,714,453 10,317,581 Income Bank interest – 10,992 8,495 674 Bond interest – 4,234,745 86,462 27,740 Swap interest and dividends – – – – Dividends 268,652 – 2,190,517 96,584 Contracts for difference dividends 2(d) – – – 342
Total income 2(c) 268,652 4,245,737 2,285,474 125,340
Expenses Bank interest – – – – Contracts for difference interest 2(d) – – – 279 Swap interest and dividends – 303,544 – – Contracts for difference dividends 2(d) – – – – Administration fees 5 12,920 203,413 418,645 19,211 Custodian and depositary fees 6 10,326 2,976 222,944 6,546 Custodian transaction fees 6 21,172 145,812 42,924 46,103 Luxembourg tax 8 6,833 55,111 65,142 2,687 Performance fees 7 – 79,675 64,388 – Distribution fees 4 730 1,000 28,069 – Management fees 4 77,518 599,945 2,739,839 64,036 Less Management fee rebate 4 (49,060) (31,644) – –
Total expenses before reimbursement 80,439 1,359,832 3,581,951 138,862
Reimbursement of expenses 4 14,702 – – –
Total expenses after reimbursement 65,737 1,359,832 3,581,951 138,862
Net investment income/(deficit) 202,915 2,885,905 (1,296,477) (13,522) Net gain/(loss) realised on: Investments 2(a) 47,344 3,892,634 14,017,018 (2,510,320) Contracts for difference 2(d) – – – 146,834 Exchange traded futures contracts 2(d) – (2,054,514) – – Foreign currencies and forward foreign exchange transactions 2(d) (602) (1,331,533) (15,305,175) (697,872) Swap transactions 2(d) – (1,311,320) – – Options contracts 2(d) – (153,349) – –
Net realised gain/(loss) for the year 46,742 (958,082) (1,288,157) (3,061,358)
Net change in unrealised appreciation/(depreciation) on: Investments 2(a) 687,053 3,676,710 (10,981,243) 2,454,545 Foreign currencies on other transactions 333 77,990 46,722 7,821 Contracts for difference 2(d) – – – (69,436) Open exchange traded futures contracts 2(d) – (578,071) – – Forward foreign exchange transactions 2(d) – (2,268,684) – – Swap transactions 2(d) – (1,206,628) – – Options contracts 2(d) – 215,782 – –
Net change in unrealised appreciation/ (depreciation) for the year 687,386 (82,901) (10,934,521) 2,392,930
Increase/(Decrease) in net assets as a result of operations 937,043 1,844,922 (13,519,155) (681,950)
Movements in share capital Net receipts as a result of issue of shares 7,680,183 203,906,028 34,128,994 53,273 Net payments as a result of repurchase of shares (916,907) (18,852,070) (64,416,901) (9,688,904)
Increase/(Decrease) in net assets as a result of movements in share capital 6,763,276 185,053,958 (30,287,907) (9,635,631)
Dividends declared – – – – Foreign exchange adjustment – – – – Net assets at the end of the year 17,595,349 298,603,652 125,907,391 –
* The Fund was liquidated on 18 March 2014. (1) The opening balance was combined using the average foreign exchange rates for the year (see Note 2(f)). The same net assets when converted using the average exchange rates for the year ended 31 May 2013 reflected a figure of USD 3,936,993,045.
24 BlackRock Strategic Funds (BSF) Statement of Changes in Shares Outstanding as at 31 May 2014
Shares outstanding Shares outstanding at the beginning Shares Shares at the end of the year issued repurchased of the year BlackRock Americas Diversified Equity Absolute Return Fund A Class non-distributing share AUD 49 25,765 15,313 10,501 A Class non-distributing share USD 7,747 173 2,688 5,232 A Class non-distributing share EUR hedged 621 14,078 444 14,255 A Class non-distributing share SEK hedged 785,353 809,570 197,751 1,397,172 A Class UK reporting non-distributing fund share GBP 6,259 4,186 10,415 30 D Class UK reporting non-distributing fund share EUR hedged 1 263,631 78,474 119,373 222,732 X Class non-distributing share USD 1,701,980 75,042 1,256,825 520,197 BlackRock Asia Extension Fund A Class non-distributing share AUD 166,870 – 81,155 85,715 A Class non-distributing share USD 204,292 213,777 99,901 318,168 A Class UK reporting non-distributing fund share GBP hedged 32––32 D Class non-distributing share USD 40,876 – 25,725 15,151 E Class non-distributing share USD 548 57 – 605 X Class non-distributing share USD – 1,436,832 49 1,436,783 BlackRock Emerging Markets Absolute Return Fund A Class non-distributing share USD – 26,750 1,667 25,083 A Class non-distributing share EUR hedged – 50,696 39,846 10,850 A Class UK reporting distributing fund share GBP hedged – 12,778 30 12,748 D Class non-distributing share USD 64,981 26,315 7,307 83,989 D Class non-distributing share EUR hedged 7,579 51,474 23,373 35,680 D Class UK reporting distributing fund share GBP hedged – 111 31 80 E Class non-distributing share EUR hedged –37–37 I Class non-distributing share EUR –35–35 I Class non-distributing share USD – 24,247 1,362 22,885 I Class non-distributing share EUR hedged 38––38 I Class UK reporting distributing fund share GBP –35–35 I Class UK reporting distributing fund share GBP hedged –30–30 X Class non-distributing share USD 49,840 120,221 – 170,061 BlackRock Emerging Markets Allocation Fund* A Class non-distributing share USD – 499,750 – 499,750 C Class non-distributing share USD –50–50 D Class non-distributing share USD –50–50 E Class non-distributing share USD –50–50 I Class non-distributing share USD –50–50 X Class non-distributing share USD –50–50 BlackRock Emerging Markets Flexi Dynamic Bond Fund** A Class non-distributing share USD – 350,101 349,998 103 A Class non-distributing share EUR hedged –38–38 D Class non-distributing share USD – 217,784 49 217,735 D Class non-distributing share EUR hedged – 59,301 35,898 23,403 D Class UK reporting distributing fund share GBP – 24,393 37 24,356 E Class non-distributing share USD – 301 251 50 E Class non-distributing share EUR hedged –39–39 X Class non-distributing share USD – 1,181,503 34,029 1,147,474 BlackRock Euro Dynamic Diversified Growth Fund A Class non-distributing share EUR 89,399 81,651 16,680 154,370 A Class non-distributing share SEK hedged 1,265,931 3,021,323 549,512 3,737,742 D Class non-distributing share EUR 217,214 313,871 9,207 521,878 E Class non-distributing share EUR 301 33,405 1,293 32,413 I Class non-distributing share EUR 779,122 772,607 111,424 1,440,305 I Class non-distributing share SEK hedged 329,073 261,678 – 590,751 X Class non-distributing share EUR 189,863 907,430 – 1,097,293
1 Class name changed, see Note 1, for further details. * The Fund commenced trading on 15 November 2013. ** The Fund commenced trading on 12 June 2013.
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 25 Statement of Changes in Shares Outstanding as at 31 May 2014 continued
Shares outstanding Shares outstanding at the beginning Shares Shares at the end of the year issued repurchased of the year BlackRock European Absolute Return Fund A Class distributing share EUR 185,603 66,301 49,413 202,491 A Class non-distributing share EUR 4,702,550 3,241,875 2,681,143 5,263,282 A Class non-distributing share SEK hedged 12,994 5,011 14,082 3,923 D Class distributing share EUR 94,725 16,735 31,185 80,275 D Class non-distributing share EUR 3,549,507 1,763,146 2,299,388 3,013,265 D Class non-distributing share CHF hedged 68,737 68,743 57,431 80,049 D Class UK reporting non-distributing fund share GBP hedged 115,604 19,510 31,658 103,456 E Class non-distributing share EUR 499,576 531,810 381,898 649,488 I Class non-distributing share EUR 642,945 462,361 132,651 972,655 BlackRock European Credit Strategies Fund H Class non-distributing share EUR 504,066 1,490,136 339,494 1,654,708 H Class non-distributing share CHF hedged 7,150 161,240 6,436 161,954 H Class non-distributing share USD hedged 94,894 863,701 35,870 922,725 H Class UK reporting non-distributing fund share GBP hedged 16,488 79,082 1,079 94,491 I Class non-distributing share SEK hedged – 296,852 32 296,820 I Class UK reporting non-distributing fund share EUR 1 2,873,160 4,306,711 2,109,276 5,070,595 I Class UK reporting non-distributing fund share GBP hedged 1,038,394 747,576 174,874 1,611,096 I Class UK reporting non-distributing fund share USD hedged 1 850,338 709,059 760,173 799,224 T Class non-distributing share EUR 457,421 94,000 38 551,383 U Class non-distributing share EUR 533 234,941 7,366 228,108 U Class UK reporting non-distributing fund share GBP 36 7,124 558 6,602 U Class UK reporting non-distributing fund share USD hedged 1 46 158,455 1,387 157,114 X Class non-distributing share EUR 1,022,586 – – 1,022,586 BlackRock European Diversified Equity Absolute Return Fund A Class non-distributing share AUD 35,927 7,856 20,958 22,825 A Class non-distributing share EUR 115,031 498,068 295,453 317,646 A Class non-distributing share CHF hedged 1,490 101 – 1,591 A Class non-distributing share SEK hedged 2,772,237 7,766,131 3,173,746 7,364,622 A Class UK reporting non-distributing fund share GBP hedged 7,746 4,064 10,368 1,442 D Class non-distributing share USD hedged 23,858 4,687 8,544 20,001 D Class UK reporting non-distributing fund share EUR 569,512 428,525 396,288 601,749 D Class UK reporting non-distributing fund share GBP hedged 46,784 13,658 9,150 51,292 E Class non-distributing share EUR 93,871 489 33,302 61,058 I Class non-distributing share EUR 112,205 2,589 25,100 89,694 X Class non-distributing share EUR 92––92 BlackRock European Opportunities Absolute Return Fund*** A Class non-distributing share EUR 2,621 46 2,667 – D Class non-distributing share EUR 2,018 – 2,018 – D Class UK reporting non-distributing fund share GBP hedged 1,158 – 1,158 – E Class non-distributing share EUR 2,934 – 2,934 – I Class non-distributing share EUR 1–1– BlackRock European Opportunities Extension Fund A Class non-distributing share EUR 62,317 1,453,482 337,070 1,178,729 A Class UK reporting distributing fund share GBP 3,668 18,545 4,661 17,552 D Class non-distributing share EUR 35 957,190 105,902 851,323 D Class UK reporting distributing fund share GBP 33 2,384 177 2,240 E Class non-distributing share EUR 13,799 634,766 96,191 552,374 I Class non-distributing share EUR – 100,037 37 100,000
1 Class name changed, see Note 1, for further details. *** The Fund was liquidated on 17 July 2013.
26 BlackRock Strategic Funds (BSF) Statement of Changes in Shares Outstanding as at 31 May 2014 continued
Shares outstanding Shares outstanding at the beginning Shares Shares at the end of the year issued repurchased of the year BlackRock Fixed Income Strategies Fund A Class distributing share EUR – 187,933 1,332 186,601 A Class distributing share CHF hedged –45–45 A Class distributing share USD hedged –50–50 A Class non-distributing share EUR 54,822 956,709 75,582 935,949 A Class non-distributing share CHF hedged –45–45 A Class non-distributing share USD hedged –50–50 D Class non-distributing share EUR 235,149 1,429,820 75,528 1,589,441 E Class non-distributing share EUR 16,579 1,865,930 40,927 1,841,582 I Class non-distributing share EUR 37 61,455 36 61,456 X Class non-distributing share EUR 698,840 88,351 – 787,191 BlackRock Fund of iShares – Conservative K Class non-distributing share EUR 253,634 138,331 40,719 351,246 L Class non-distributing share EUR 7,536 4,871 95 12,312 M Class non-distributing share EUR 1,784 43,554 44,550 788 BlackRock Fund of iShares – Dynamic K Class non-distributing share EUR 179,456 147,704 19,348 307,812 L Class non-distributing share EUR 58,504 4,966 51,000 12,470 M Class non-distributing share EUR 15,074 691 2,646 13,119 BlackRock Fund of iShares – Growth K Class non-distributing share EUR 547,189 353,249 44,018 856,420 L Class non-distributing share EUR 23,492 5,872 6,153 23,211 M Class non-distributing share EUR 14,435 710 7,331 7,814 BlackRock Fund of iShares – Moderate K Class non-distributing share EUR 861,605 662,625 78,390 1,445,840 L Class non-distributing share EUR 6,745 8,720 891 14,574 M Class non-distributing share EUR 3,946 216 1,109 3,053 BlackRock Global Absolute Return Bond Fund A Class non-distributing share EUR 230 171,356 139 171,447 A Class non-distributing share SEK hedged 59,301 804,382 27,832 835,851 A Class non-distributing share USD hedged –50–50 D Class non-distributing share EUR 260,349 27,413 146,052 141,710 E Class non-distributing share EUR 939 4,430 3,533 1,836 X Class non-distributing share EUR 738,527 860,250 – 1,598,777 BlackRock Latin American Opportunities Fund A Class non-distributing share EUR 129,140 11,887 75,727 65,300 A Class non-distributing share USD 790,784 82,332 388,219 484,897 A Class UK reporting non-distributing fund share GBP 326,906 105,154 9,173 422,887 C Class non-distributing share USD 37,553 100 22,483 15,170 D Class non-distributing share EUR 40 9,292 3,451 5,881 D Class non-distributing share USD 18,588 76,690 47,325 47,953 D Class UK reporting non-distributing fund share GBP 42 23 – 65 BlackRock Mining Opportunities Fund**** D Class UK reporting non-distributing fund share GBP 35 14 49 – D Class UK reporting non-distributing fund share USD 124,022 661 124,683 –
**** The Fund was liquidated on 18 March 2014.
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 27 BlackRock Americas Diversified Equity Absolute Return Fund Portfolio of Investments as at 31 May 2014 Transferable Securities and Money Market Instruments Admitted to an Transferable Securities and Money Market Instruments Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Official Stock Exchange Listing or Dealt in on Another Regulated Market
Market % of Market % of Value Net Value Net Holding Description USD Assets Holding Description USD Assets
BONDS United States continued USD 2,000,000 Regency Markets No.1 LLC United States 18/6/2014 (Zero Coupon) 1,999,860 1.65 USD 5,000,000 Federal Home Loan Bank Discount USD 3,000,000 Salisbury Receivables Company Notes 6/8/2014 (Zero Coupon) 4,999,715 4.13 LLC 9/6/2014 (Zero Coupon) 2,999,865 2.48 USD 1,500,000 Federal Home Loan Banks USD 2,000,000 Sheffield Receivables Corp 0.18% 9/1/2015 1,501,026 1.24 11/7/2014 (Zero Coupon) 1,999,590 1.65 USD 2,800,000 Federal Home Loan Mortgage USD 6,500,000 Societe Generale North America Corp 1.00% 20/8/2014 2,805,936 2.32 Inc 4/8/2014 (Zero Coupon) 6,498,122 5.37 USD 3,000,000 United States Treasury Bill USD 4,500,000 Sumitomo Mitsui Banking Corp 19/6/2014 (Zero Coupon) 2,999,934 2.48 6/8/2014 (Zero Coupon) 4,498,241 3.72 USD 10,000,000 United States Treasury Note USD 1,200,000 Sumitomo Mitsui Banking Corp 2.125% 30/11/2014 10,103,520 8.35 7/8/2014 (Zero Coupon) 1,199,501 0.99 22,410,131 18.52 USD 4,000,000 Svenska Handelsbanken Inc Total Bonds 22,410,131 18.52 11/6/2014 (Zero Coupon) 3,999,792 3.31 64,783,114 53.54 Total Commercial Paper 64,783,114 53.54 CERTIFICATES OF DEPOSIT Total Transferable Securities and Money United States Market Instruments Admitted to an USD 4,000,000 Bank of Nova Scotia 0.24% Official Stock Exchange Listing or 17/2/2015 4,000,025 3.31 Dealt in on Another Regulated Market 98,997,165 81.82 USD 1,500,000 Nordea Bank Finland Plc 0.29% Securities portfolio at market value 98,997,165 81.82 20/11/2014 1,502,457 1.24 USD 1,300,000 Nordea Bank Finland Plc 0.205% Other Net Assets 21,999,388 18.18 10/10/2014 1,299,976 1.08 USD 5,000,000 Oversea Chinese Banking Corp Ltd Total Net Assets (USD) 120,996,553 100.00 0.22% 12/9/2014 5,001,462 4.13 11,803,920 9.76 Total Certificates of Deposit 11,803,920 9.76
COMMERCIAL PAPER United States USD 3,514,000 Alpine Securitization Corp 22/10/2014 (Zero Coupon) 3,510,345 2.90 USD 6,000,000 Antalis US Funding Corp 5/8/2014 (Zero Coupon) 5,997,580 4.96 USD 1,100,000 Antalis US Funding Corp 11/8/2014 (Zero Coupon) 1,099,516 0.91 USD 2,000,000 Bank of Tokyo-Mitsubishi UFJ Ltd/ The 27/6/2014 (Zero Coupon) 1,999,750 1.65 USD 2,900,000 Bank of Tokyo-Mitsubishi UFJ Ltd/ The 9/6/2014 (Zero Coupon) 2,899,917 2.40 USD 4,000,000 Cafco LLC 10/9/2014 (Zero Coupon) 3,997,393 3.30 USD 1,500,000 Caisse centrale Desjardins du Quebec 3/7/2014 (Zero Coupon) 1,499,801 1.24 USD 4,000,000 Cancara Asset Securization LLC 9/6/2014 (Zero Coupon) 3,999,820 3.31 USD 4,000,000 DnB Bank ASA 30/7/2014 (Zero Coupon) 3,998,500 3.30 USD 3,090,000 ING (US) Funding LLC 8/8/2014 (Zero Coupon) 3,088,816 2.55 USD 2,000,000 Matchpoint Master 15/9/2014 (Zero Coupon) 1,998,217 1.65 USD 3,000,000 Mont Blanc Capital Corp 9/6/2014 (Zero Coupon) 2,999,850 2.48 USD 2,000,000 Oversea-Chinese Banking Corp Ltd 6/8/2014 (Zero Coupon) 1,999,144 1.65 USD 2,500,000 Rabobank USA Financial Corp 27/6/2014 (Zero Coupon) 2,499,494 2.07
28 BlackRock Strategic Funds (BSF) BlackRock Americas Diversified Equity Absolute Return Fund continued Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
Bermuda Brazil continued (705) Nordic American Tankers Ltd (5,865) 1,389 (39,300) Fibria Celulose SA (364,103) 23,103 (5,865) 1,389 (4,700) Fleury SA (35,459) (1,176) (75,100) Gafisa SA (112,115) 4,897 Brazil (600) General Shopping Brasil SA (2,401) (340) (49,600) Abril Educacao SA (722,560) (8,342) 31,400 Gerdau SA (Pref) 190,723 (11,819) 95,000 AES Tiete SA (Pref) 733,668 4,107 47,700 GP Investments Ltd BDR 90,128 2,974 13,100 Agrenco Ltd BDR 934 42 53,700 Grendene SA 341,727 (25,699) (86,400) Aliansce Shopping Centers SA (705,754) (65,604) 1,100 Grupo BTG Pactual (Unit) 16,608 (181) 900 Alpargatas SA (Pref) 4,769 (106) (131,560) Helbor Empreendimentos SA (412,737) (675) 69 AMBEV SA 498 (1) (21,600) Hypermarcas SA (175,668) (14,577) 50,200 AMBEV SA 362,183 4,853 2,100 Iguatemi Empresa de Shopping 16,600 Arteris SA 130,122 (3,820) Centers SA 21,393 2,402 59,040 Banco ABC Brasil SA (Pref) 345,979 26,547 (23,200) International Meal Co Holdings SA (186,923) (14,960) 21,600 Banco Daycoval SA (Pref) 87,690 8,525 21,600 Itau Unibanco Holding SA (Pref) 342,096 27,803 3,500 Banco do Brasil SA 35,951 6,862 175,536 Itausa - Investimentos Itau SA (Pref) 679,772 113,739 67,300 Banco do Estado do Rio Grande 72,600 JBS SA 245,559 (11,074) do Sul SA 'B' (Pref) 329,902 775 (69,000) JHSF Participacoes SA (102,701) 13,978 9,200 Banco Industrial e Comercial SA (Pref) 30,913 47 13,900 JSL SA 75,447 826 (28,900) Banco Panamericano SA (Pref) (43,659) 4,093 4,651 Klabin SA (Right) 21 8 99,700 BM&FBovespa SA 507,830 55,596 710,700 Klabin SA (Pref) 715,767 139,453 (65,500) BR Malls Participacoes SA (544,666) (42,642) 38,000 Laep Investments Ltd BDR 4,742 118 (89,800) BR Properties SA (729,525) (73,486) (112) Latam Airlines Group SA BDR (1,682) (45) (96,600) Brasil Brokers Participacoes SA (167,457) 26,117 36,875 Lojas Americanas SA (Pref) 222,828 6,800 (20,302) Brasil Pharma SA (Right) (181) (181) (1,900) Lojas Renner SA (58,075) (533) (65,600) Brasil Pharma SA (109,333) (9,685) 55,000 Magazine Luiza SA 204,902 32,052 51,100 Braskem SA 'A' (Pref) 334,974 (13,298) (256,300) Magnesita Refratarios SA (524,250) 30,880 (15,300) BRF SA (331,364) (45,978) 46,900 Mahle-Metal Leve SA Industria (89,100) CCR SA (696,838) (83,323) e Comercio 476,733 (20,914) (36) CETIP SA - Mercados Organizados (184,500) Marcopolo SA (Pref) (389,719) (59,708) (Right) (72) (72) 1,500 Marfrig Global Foods SA 3,523 265 (50,200) CETIP SA - Mercados Organizados (647,857) (117,528) (400) Metalurgica Gerdau SA (Pref) (2,961) 75 7,900 Cia Brasileira de Distribuicao (Pref) 359,830 37,387 (59,700) Mills Estruturas e Servicos de 2,700 Cia de Gas de Sao Paulo Engenharia SA (691,445) (43,568) COMGAS 'A' (Pref) 60,160 894 (22,114) Multiplan Empreendimentos 6,600 Cia de Saneamento Basico do Estado Imobiliarios SA (478,940) (5,033) de Sao Paulo 65,794 1,425 15,900 Multiplus SA 235,666 9,907 5,300 Cia de Saneamento de Minas (34,800) Natura Cosmeticos SA (619,545) 6,462 Gerais-COPASA 92,112 11,487 (21,400) Odontoprev SA (91,455) 2,069 (400) Cia Ferro Ligas da Bahia - Ferbasa 397,000 Oi SA 359,140 (48,289) (Pref) (2,175) 121 221,100 Oi SA (Pref) 190,162 (63,072) (56,400) Cia Hering (565,005) 63,235 (949,500) PDG Realty SA Empreendimentos (89,900) Cia Siderurgica Nacional SA (346,540) 19,000 e Participacoes (668,543) 33,067 (40,400) Cielo SA (728,244) (33,140) 44,900 Petroleo Brasileiro SA (Pref) 342,753 (21,988) 34,900 Contax Participacoes SA (Pref) 49,768 694 37,200 Porto Seguro SA 528,989 29,517 30,100 Cosan SA Industria e Comercio 510,117 (5,077) (800) Profarma Distribuidora de Produtos 118,800 Cyrela Brazil Realty SA Farmaceuticos SA (7,590) (958) Empreendimentos (372) Profarma Distribuidora de Produtos e Participacoes 708,882 57,320 Farmaceuticos SA (Right) (51) (14) (2,300) Cyrela Commercial Properties SA (21,300) Prumo Logistica SA (12,245) 743 Empreendimentos 20,300 Qualicorp SA 213,222 25,518 e Participacoes (18,962) (71) 63,600 Raia Drogasil SA 545,872 53,547 61,300 Direcional Engenharia SA 308,412 30,016 236,275 Randon Participacoes SA (Pref) 704,403 29,508 (163,530) Duratex SA (666,800) (6,067) (77,500) Refinaria De Petroleos (Pref) (8,289) 784 (113,600) EcoRodovias Infraestrutura 6,051 Refinaria de Petroleos e Logistica SA (738,603) (61,745) de Manguinhos SA 647 (179) (600) Embraer SA (5,428) (255) (113,200) Rossi Residencial SA (83,740) (8,886) (244,733) Eneva SA (Right) (5,453) (3,611) 21,100 Saraiva SA Livreiros Editores (Pref) 176,492 3,230 (789,800) Eneva SA (429,392) 115,135 26,700 Sonae Sierra Brasil SA 213,100 (1,176) (72,300) Equatorial Energia SA (733,955) (152,636) (14,400) Souza Cruz SA (151,444) (20,914) 9,500 Estacio Participacoes SA 114,051 25,552 (1,200) Sul America SA (Unit) (9,241) 161 143,100 Eternit SA 561,176 7,864 65,900 Suzano Papel e Celulose SA 'A' (Pref) 234,350 (6,148) 235,400 Even Construtora e Incorporadora SA 717,529 (38,223) 6,400 T4F Entretenimento SA 13,519 (1,335) 62,900 Ez Tec Empreendimentos (39,279) Technos SA (201,121) 31,608 e Participacoes SA 667,121 (36,045) 122,600 Tecnisa SA 399,925 16,854 (2,600) Fertilizantes Heringer SA (8,458) (1,310) (26,900) Tegma Gestao Logistica (221,290) (11,528)
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 29 BlackRock Americas Diversified Equity Absolute Return Fund continued Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
Brazil continued Canada continued 314 Telecomun Brasileiras SA (Pref) 329 11 32,300 Brookfield Renewable Energy 1,800 Telefonica Brasil SA (Pref) 36,650 (858) Partners LP/CA 931,662 (7,784) 9,200 Tereos Internacional SA 8,200 (49) (2,550) BRP Inc/CA (68,945) (1,140) (66,000) Tim Participacoes SA (357,059) (16,661) 800 CAE Inc 10,907 (27) 40,900 Totvs SA 723,223 88,530 (12,950) Calfrac Well Services Ltd (440,501) (13,423) (48,100) Tractebel Energia SA (729,645) (84,504) (48,364) Calloway Real Estate Investment (1,400) Unicasa Industria De Moveis (2,408) 81 Trust (Reit) (1,196,617) (79,299) (51,400) Usinas Siderurgicas de (62,222) Cameco Corp (1,244,669) 210,328 Minas Gerais SA 'A' (Pref) (182,328) 9,994 52,100 Canaccord Genuity Group Inc 503,326 119,988 29,200 Vale SA (Pref) 337,023 12 2,150 Canadian Apartment Properties (Reit) 44,475 (1,356) 30,000 Valid Solucoes e Servicos de (29,650) Canadian Energy Services Seguranca em Meios de & Technology Corp (878,458) (47,867) Pagamento e Identificacao SA 486,898 105,199 7,200 Canadian Imperial Bank (505,800) Vanguarda Agro SA (662,679) (31,585) of Commerce/Canada 640,885 19,854 (2,200) Viver Incorporadora (13,777) Canadian National Railway Co (830,963) (58,096) e Construtora SA (137) 22 3,750 Canadian Natural Resources Ltd 151,756 323 42,710 WEG SA 502,280 35,571 (58,850) Canadian Oil Sands Ltd (1,232,552) 278 16,600 Wilson Sons Ltd BDR 247,816 26,001 (3) Canadian Pacific Railway Ltd (501) (40) 756,723 84,771 (4,450) Canadian Real Estate Investment Trust (188,247) (4,277) Canada 12,150 Canadian Tire Corp Ltd 'A' 1,165,831 62,724 30,835 Advantage Oil & Gas Ltd 184,476 51,709 22,864 Canadian Utilities Ltd 'A' 825,785 14,794 76,503 Aecon Group Inc 1,192,539 37,281 (8,800) Canadian Western Bank (300,310) (893) (26,164) AGF Management Ltd 'B' (312,820) (36,913) (124,640) Canexus Corp (580,229) (25,534) 38,600 Agnico Eagle Mines Ltd 1,150,385 (33,391) (963) Canfor Corp (21,261) 3,627 (12,760) Agrium Inc (1,145,671) 24,467 (11,938) Capital Power Corp (286,675) (19,603) 68,911 Aimia Inc 1,234,910 137,729 102,080 Capstone Mining Corp 245,602 5,262 109,735 Alacer Gold Corp 236,707 (74,120) 6,300 Cardina Energy Ltd 96,289 4,306 8,823 Alamos Gold Inc 73,037 (15,706) (5,350) Catamaran Corp (232,879) 9,850 (40,400) Alaris Royalty Corp (1,020,055) 68,890 12,428 CCL Industries Inc 'B' 1,202,817 123,386 (148,803) Algonquin Power & Utilities Corp (1,108,341) (93,546) 5,600 Celestica Inc 66,541 5,967 43,500 Alimentation Couche Tard Inc 'B' 1,170,907 588,710 (40,255) Cenovus Energy Inc (1,180,413) (7,816) (7,600) Allied Properties Real Estate 58,845 Centerra Gold Inc 249,527 (47,737) Investment Trust (Reit) (245,977) 2,046 (23,750) CGI Group Inc 'A' (799,548) (28,811) (26,402) AltaGas Ltd (1,177,965) (126,586) 22,973 Chartwell Retirement (18,700) ARC Resources Ltd (538,866) 15,913 Residences (Reit) 225,960 14,996 (50,194) Argonaut Gold Inc (166,573) 87,593 2,200 Chemtrade Logistics Income Fund 40,561 (546) (81,637) Artis Real Estate Investment (25,954) China Gold International Resources Trust (Reit) (1,185,272) (32,022) Corp Ltd (65,316) 6,093 24,756 Atco Ltd/Canada 'I' 1,179,835 18,136 23,688 CI Financial Corp 745,927 9,089 (26,400) Athabasca Oil Corp (182,765) (7,003) (5,200) Cineplex Inc (193,562) 1,482 (67,800) ATS Automation Tooling 9,000 Cogeco Cable Inc 520,603 24,198 Systems Inc (927,500) (51,467) (3,900) Cominar Real Estate Investment (80,719) AuRico Gold Inc (280,522) 114,863 Trust (Reit) (68,056) (630) (52,000) Avigilon Corp (1,015,265) 345,143 5,200 Constellation Software Inc/Canada 1,184,189 (33,464) 224,736 B2Gold Corp 540,709 (124,245) (50,586) Corus Entertainment Inc 'B' (1,158,330) (45,342) (3,450) Badger Daylighting Ltd (112,297) (6,973) 72,900 Cott Corp 504,010 (80,611) 17,150 Bank of Montreal 1,201,986 40,133 20,250 Crescent Point Energy Corp 820,230 (2,024) (18,350) Bank of Nova Scotia (1,169,711) (97,274) (32,440) Crew Energy Inc (311,601) (69,461) 120,836 Bankers Petroleum Ltd 725,150 157,241 (96,892) Crombie Real Estate Investment (6,200) Barrick Gold Corp (99,447) (1,184) Trust (Reit) (1,183,461) (22,466) 27,350 Baytex Energy Corp 1,143,365 88,506 11,368 DeeThree Exploration Ltd 109,404 15,983 17,000 BCE Inc 775,562 34,475 (1,800) Descartes Systems Group Inc/The (23,844) 1,600 (45,219) Bell Aliant Inc (1,193,001) (92,972) (39,000) DH Corp (1,179,923) (113,729) 74,650 Bellatrix Exploration Ltd 650,297 67,478 (5,450) Dollarama Inc (456,377) (20,375) 31,150 Birchcliff Energy Ltd 385,068 107,723 91,156 Dominion Diamond Corp 1,177,264 (49,078) 39,234 Black Diamond Group Ltd 1,204,362 130,373 300 Dorel Industries Inc 'B' 11,424 103 (59,879) BlackPearl Resources Inc (124,748) 8,130 (400) Dream Office (Reit) (10,767) 42 1,920 Boardwalk Real Estate (121,700) Dream Office (Reit) (1,090,454) (79,352) Investment Trust (Reit) 114,496 13,001 (27,220) Dream Unlimited Corp 'A' (353,549) 37,350 59,901 Bombardier Inc 'B' 209,278 9,347 10,200 Dundee Corp 'A' 150,913 (2,490) (42,231) Bonavista Energy Corp (619,372) (20,508) (81,233) Eldorado Gold Corp (460,530) 97,853 15,450 Bonterra Energy Corp 813,945 38,632 (27,358) Emera Inc (856,703) (41,245) 33,382 Brookfield Asset Management Inc 'A' 1,441,845 98,796 (19,400) Empire Co Ltd 'A' (1,175,481) 26,645 46,350 Brookfield Property Partners LP 931,871 48,776 (1,650) Enbridge Inc (77,694) (170)
30 BlackRock Strategic Funds (BSF) BlackRock Americas Diversified Equity Absolute Return Fund continued Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
Canada continued Canada continued (47,183) Enbridge Income Fund Holdings Inc (1,190,014) (98,763) 11,100 Open Text Corp 519,699 (32,949) 51,550 Encana Corp 1,197,986 61,748 2,150 Pacific Rubiales Energy Corp 40,986 (1,291) 80,499 Enerflex Ltd 1,222,178 37,008 15,343 Pan American Silver Corp 188,393 (29,043) 55,187 Enerplus Corp 1,237,231 202,241 (1,510) Paramount Resources Ltd 'A' (79,342) (18,046) (10,779) Ensign Energy Services Inc (159,181) 3,668 19,850 Parkland Fuel Corp 391,767 5,170 1,900 Extendicare Inc 12,873 1,184 29,947 Pason Systems Inc 821,003 41,693 1,450 Finning International Inc 39,017 80 15,948 Pembina Pipeline Corp 647,152 71,238 (70,305) First Capital Realty Inc (1,207,395) (81,698) 16,300 Pengrowth Energy Corp 103,828 3,695 (44,420) First Majestic Silver Corp (373,442) 48,918 (46,646) Penn West Petroleum Ltd (430,426) (36,993) (55,000) First Quantum Minerals Ltd (1,142,284) (177,558) (26,058) Poseidon Concepts Corp (6,486) (139) 20,898 FirstService Corp/Canada 1,035,460 35,586 32,343 Potash Corp of Saskatchewan Inc 1,171,122 (24,623) (13,973) Fortis Inc/Canada (416,176) (28,202) 44,860 Power Corp of Canada 1,207,928 (5,371) 5,000 Fortuna Silver Mines Inc 19,220 (1,979) (29,582) Power Financial Corp (886,260) 43,189 7,250 Freehold Royalties Ltd 173,965 26,225 5,550 Precision Drilling Corp 70,705 4,178 33,110 Genworth MI Canada Inc 1,176,614 32,589 (18,650) Pretium Resources Inc (119,141) 11,076 2,250 George Weston Ltd 163,876 (5,150) 15,650 Progressive Waste Solutions Ltd 405,677 10,638 40,408 Gibson Energy Inc 1,173,352 139,960 (87,533) Reitmans Canada Ltd 'A' (518,033) (75,058) 11,869 Gildan Activewear Inc 648,703 11,564 23,150 RioCan Real Estate Investment (2,850) Goldcorp Inc (65,864) 6,918 Trust (Reit) 586,219 33,234 162,650 Gran Tierra Energy Inc 1,184,490 56,366 (19,300) Ritchie Bros Auctioneers Inc (444,249) (7,152) 32,100 Granite Real Estate Investment 3,208 Rogers Communications Inc 'B' 129,216 2,155 Trust (Reit) 1,171,792 39,699 (115,382) RONA Inc (1,167,860) 37,429 (6,974) Great-West Lifeco Inc (185,279) 5,782 1,950 Royal Bank of Canada 133,865 (1,369) (3,850) H&R Real Estate Investment (13,700) Russel Metals Inc (413,160) (48,337) Trust (Reit) (82,515) (2,151) 147,790 Sandvine Corp 502,715 70,764 (2,050) Home Capital Group Inc (92,239) (4,994) (22,286) Saputo Inc (1,200,995) (85,106) (124,400) HudBay Minerals Inc (1,113,499) (149,504) 124,475 Savanna Energy Services Corp 946,643 95,513 (73,450) Hudson's Bay Co (1,166,615) 21,129 (67,705) Secure Energy Services Inc (1,217,042) (89,805) 51,010 IAMGOLD Corp 155,644 (33,938) 105,529 SEMAFO Inc 343,397 (74,511) (11,000) IGM Financial Inc (524,548) 5,997 (47,392) Shaw Communications Inc 'B' (1,176,499) (58,193) (24,703) Imperial Oil Ltd (1,213,061) (82,480) 2,200 Shawcor Ltd 110,446 292 (22,150) Industrial Alliance Insurance (439) Silver Standard Resources Inc (2,857) 1,796 & Financial Services Inc (847,368) 48,330 22,000 Silver Wheaton Corp 445,962 (53,492) (7,100) Intact Financial Corp (469,799) (19,345) 71,750 Silvercorp Metals Inc 116,078 (41,202) 43,600 Intertape Polymer Group Inc 504,406 (3,179) (25,679) SNC-Lavalin Group Inc (1,225,954) (123,951) (69,550) Ithaca Energy Inc (157,077) 21,413 18,822 Stantec Inc 1,170,649 19,639 54,763 Jean Coutu Group PJC Inc/The 'A' 1,191,378 113,193 35,400 Sun Life Financial Inc 1,193,053 (34,380) 68,221 Kelt Exploration Ltd 817,545 61,825 (20,050) Suncor Energy Inc (767,955) 8,411 13,681 Keyera Corp 923,165 104,934 99,056 Superior Plus Corp 1,222,677 146,864 (22,950) Laurentian Bank of Canada (1,012,736) (66,622) (47,425) Tahoe Resources Inc (972,720) 86,473 64,700 Legacy Oil + Gas Inc 502,785 116,995 (300) Teck Resources Ltd 'B' (6,712) 261 (38,892) Lightstream Resources Ltd (277,493) (83,480) 32,156 TELUS Corp 1,213,557 93,758 21,758 Linamar Corp 1,208,042 229,642 (32,200) Thomson Reuters Corp (1,119,639) (6,535) (12,950) Loblaw Cos Ltd (547,223) (8,236) 4,650 Tim Hortons Inc 250,118 (5,142) (42,038) Lundin Mining Corp (223,598) (35,886) 11,750 Tmx Group Ltd 621,511 61,861 5,900 MacDonald Dettwiler & Associates Ltd 479,538 29,203 (225,766) Torex Gold Resources Inc (251,822) (1,322) 12,100 Magna International Inc 1,229,297 59,510 (14,450) Toromont Industries Ltd (353,791) 1,276 (37,409) Manitoba Telecom Services Inc (1,109,373) (87,206) 9,650 Toronto-Dominion Bank/The 477,607 16,831 (22,000) Manulife Financial Corp (402,563) 23,129 (85,882) TransAlta Corp (1,032,357) (46,124) (75,869) Maple Leaf Foods Inc (1,337,219) (213,918) (13,400) TransCanada Corp (627,013) (20,505) 500 Martinrea International Inc 5,448 165 79,887 Transcontinental Inc 'A' 1,097,268 49,452 (35,400) MEG Energy Corp (1,211,980) (121,199) (5,200) TransForce Inc (112,839) (1,780) (7,350) Methanex Corp (424,481) 27,805 1,750 TransGlobe Energy Corp 11,970 (1,243) (7,338) Mullen Group Ltd (195,017) (8,647) (81,300) Trican Well Service Ltd (1,232,091) (255,898) (2,150) National Bank Of Canada (89,762) (4,677) (9,100) Trilogy Energy Corp (239,328) (17,294) 83,566 Nevsun Resources Ltd 280,787 (23,007) 104,589 Trinidad Drilling Ltd 1,094,289 23,444 (13,900) Newalta Corp (255,628) (2,292) 3,600 Valeant Pharmaceuticals (44,450) Norbord Inc (1,127,230) 66,872 International Inc 462,312 (10,267) 36,875 North West Co Inc/The 814,119 (40,770) (72,668) Veresen Inc (1,137,447) (104,343) 47,184 Northern Property Real Estate 2,600 Vermilion Energy Inc 174,316 5,234 Investment Trust (Reit) 1,187,429 (6,757) 55,963 Vicwest Inc 523,106 (35,237) 16,741 Northland Power Inc 275,467 24,136 (4,509) Wajax Corp (143,816) 13,189 (210,612) Novagold Resources Inc (630,982) 216,368 8,994 West Fraser Timber Co Ltd 413,800 (4,162) (61,050) NuVista Energy Ltd (617,366) (136,037) 28,250 Westjet Airlines Ltd 632,031 (14,510) 3,100 Onex Corp 190,978 13,925 (650) Westshore Terminals Investment Corp (20,103) 768
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 31 BlackRock Americas Diversified Equity Absolute Return Fund continued Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
Canada continued Mexico continued 75,114 Whitecap Resources Inc 1,038,634 245,856 27,900 Fomento Economico Mexicano SAB (30,250) Wi-Lan Inc (94,810) (3,123) de CV 267,891 (3,452) (34,921) WSP Global Inc (1,231,313) (134,575) (207,700) Genomma Lab Internacional SAB 13,451 1,501,354 de CV 'B' (535,754) (1,131) 69,500 Gruma SAB de CV 'B' 710,553 140,854 Chile (2,200) Grupo Aeromexico SAB de CV (3,715) 11 52,540 Aguas Andinas SA 'A' 33,269 (598) 56,700 Grupo Aeroportuario del Centro 1,743 Antarchile SA 23,655 (2,883) Norte Sab de CV 217,311 29,181 192,230 Banco de Chile 25,949 (390) 57,907 Grupo Aeroportuario del Pacifico 5,527 CAP SA 80,726 (26,084) SAB de CV 'B' 358,926 5,182 6,226 Coca-Cola Embonor SA 'B' (Pref) 11,749 (5,585) 27,659 Grupo Aeroportuario del Sureste 4,201 Colbun SA 1,064 (4) SAB de CV 'B' 357,737 28,073 94,672 Cruz Blanca Salud SA 81,592 19,770 (104,987) Grupo Bimbo SAB de CV 'A' (304,518) (12,215) 6,093 Empresa Nacional de Electricidad 100,700 Grupo Carso SAB de CV 'A1' 522,557 12,060 SA/Chile 9,064 851 (191,000) Grupo Comercial Chedraui SA de CV (637,303) (56,111) (10,926) Empresas COPEC SA (148,680) 1,293 (35) Grupo Elektra SAB de CV (915) 5 305 Empresas Hites SA 174 (61) (220,700) Grupo Famsa SAB de CV 'A' (297,683) (8,989) 348,287 Empresas Iansa SA 13,586 (5,653) (32,000) Grupo Financiero Banorte SAB 1,118,815 Enersis SA 366,409 (21,080) de CV 'O' (235,364) (13,888) 18,439 Forus SA 75,643 (23,220) 216,000 Grupo Financiero Inbursa SAB 19,917 Inversiones Aguas Metropolitanas SA 32,343 13 de CV 'O' 606,029 106,421 52,744 Norte Grande SA 225 7 (234,191) Grupo Herdez SAB de CV (711,868) (52,353) 81,763 Parque Arauco SA 151,317 (40,629) (138,000) Grupo Mexico SAB de CV 'B' (459,387) (6,969) 15,519 PAZ Corp SA 8,870 631 44,007 Grupo Simec SAB de CV 'B' 196,786 24,701 407,700 Ripley Corp SA 288,493 (43,407) (54,400) Grupo Televisa SAB 'CPO' (373,221) (15,388) 25,515 Salfacorp SA 22,777 (1,406) (79,853) Industrias CH SAB de CV 'B' (447,961) (7,950) 78,315 Sigdo Koppers SA 125,185 (1,881) (3,905) Industrias Penoles SAB de CV (96,341) (2,218) 227,939 Sonda SA 544,382 (60,494) 258,400 Kimberly-Clark de Mexico SAB 2,010 Vina Concha y Toro SA 4,175 452 de CV 'A' 706,308 28,677 168,292 Megacable Holdings SAB de CV 'CPO' 698,254 19,066 1,751,967 (210,358) 103,000 Mexichem SAB de CV 417,264 (6,804) Colombia (218,685) Minera Frisco SAB de CV 'A1' (425,022) (38,735) 40,500 OHL Mexico SAB de CV 114,354 4,727 411 Almacenes Exito SA 6,715 1,313 (115,021) Organizacion Soriana SAB de CV 'B' (352,847) (13,411) 8,055 Avianca Holdings SA (Pref) 15,870 (3,475) 13,358 Promotora y Operadora de 40,154 Cementos Argos SA 226,148 45,170 Infraestructura SAB de CV 185,907 34 7,630 Cemex Latam Holdings SA 69,990 8,337 43,014 Sare Holding SAB de CV 'B' 1,311 87 1,670 Grupo Argos SA 18,951 905 (505,182) TV Azteca SAB de CV 'CPO' (301,228) (13,958) 92 Grupo Aval Acciones y Valores 63 1 (155,600) Urbi Desarrollos Urbanos SAB de CV (62) 18,799 5,330 Grupo De Inv Suramericana SA (Pref) 108,314 10,782 102,700 Wal-Mart de Mexico SAB de CV 260,599 140 3,124 Grupo de Inversiones Suramericana SA 62,861 4,151 (634,956) 217,480 8,681 Grupo Nutresa SA 124,510 13,662 Peru 633,422 80,846 523 Grana y Montero SA 1,736 (721) Mexico 300,587 Minsur SA 190,176 49,616 59,069 Volcan Cia Minera SAA 'B' 23,064 443 (251,300) Alfa SAB de CV 'A' (717,378) (10,141) (322,200) Alpek SA de CV (622,200) (27,392) 214,976 49,338 68,200 Alsea SAB de CV 234,824 1,821 (357,900) America Movil SAB de CV 'L' (351,969) 7,185 United States 110,785 Arca Continental SAB de CV 720,012 18,390 9,185 1-800-Flowers.com Inc 'A' 51,620 1,378 (917,910) Axtel SAB de CV 'CPO' (326,827) (2,945) 16,514 1st Source Corp 507,475 (15,523) (122,379) Banregio Grupo Financiero SAB de CV (707,455) (22,131) 3,114 2U Inc 44,343 3,456 59,800 Bolsa Mexicana de Valores SAB de CV 125,986 3,153 3,579 3D Systems Corp 185,213 1,491 248,412 Cemex SAB de CV 'CPO' 324,054 15,007 477 A Schulman Inc 16,786 (518) 259,200 Cia Minera Autlan SAB de CV 'B' 296,213 49,848 (1,312) AAON Inc (41,066) (4,323) (16,600) Coca-Cola Femsa SAB de CV 'L' (194,389) (2,014) (1,679) AAR Corp (40,884) 4,693 (301,100) Compartamos SAB de CV (530,892) (8,290) 1,268 AAR Corp 30,876 (7,747) (208,200) Consorcio ARA SAB de CV (96,791) (6,098) 12,652 Aaron's Inc 416,630 22,978 53,500 Controladora Comercial Mexicana (1,005) Aaron's Inc (33,095) (292) SAB de CV 205,255 (4,966) (5,734) Abaxis Inc (240,885) (14,588) (475,534) Corp GEO SAB de CV 'B'* – 60,058 6,903 AbbVie Inc 373,314 9,776 (274,200) Desarrolladora Homex SAB de CV (67,148) (459) (291) Abercrombie & Fitch Co 'A' (10,918) (134) 204,098 Fibra Uno Administracion SA de CV (7,108) ABIOMED Inc (159,219) 47,450 (Reit) 635,151 (17,992) 8,598 ABM Industries Inc 235,671 (8,241)
* Investments which are less than 0.5 USD have been rounded down to zero.
32 BlackRock Strategic Funds (BSF) BlackRock Americas Diversified Equity Absolute Return Fund continued Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
United States continued United States continued 5,780 Abraxas Petroleum Corp 29,536 3,545 (17,924) Alexander & Baldwin Inc (694,197) 1,959 (2,555) Acacia Research Corp (41,774) (4,964) 161 Alexander's Inc (Reit) 59,565 3,215 (13,141) Acadia Healthcare Co Inc (563,880) 20,422 1,289 Alexion Pharmaceuticals Inc 213,652 10,364 (4,928) ACADIA Pharmaceuticals Inc (103,389) (6,308) (894) Alico Inc (33,382) 143 (27,198) Acadia Realty Trust (Reit) (748,489) (39,169) 1,691 Align Technology Inc 92,734 8,709 (479) Accelerate Diagnostics Inc (11,831) (3,784) (4,155) Alimera Sciences Inc (24,618) 2,860 (4,875) Accenture Plc 'A' (392,584) (5,107) (680) Alkermes Plc (31,110) (1,176) 29,329 Access National Corp 443,161 (54,552) (44) Alleghany Corp (18,565) 11 (1,766) Acco Brands Corp (10,737) (270) (17,712) Allegheny Technologies Inc (723,004) (6,322) 443 Accretive Health Inc 3,256 89 (1,618) Allegiant Travel Co (187,478) 1,553 (11,086) Accretive Health Inc (81,482) 14,744 2,508 Allegion Plc 133,538 12,427 (7,959) Accuray Inc (70,119) 7,720 528 Allergan Inc/United States 83,429 (1,261) (2,377) Accuride Corp (13,097) (2,014) 11,636 ALLETE Inc 576,098 (7,716) 16 ACE Ltd 1,658 17 (1,262) Alliance Data Systems Corp (321,305) (22,023) (1,090) AcelRx Pharmaceuticals Inc (9,908) 3,063 2,020 Alliance Fiber Optic Products Inc 44,137 18,887 5,312 Achaogen Inc 75,218 5,688 (100) Alliance HealthCare Services Inc (2,900) 14 (4,677) ACI Worldwide Inc (253,914) 37,697 3,537 Alliant Energy Corp 204,615 (115) 727 Acorda Therapeutics Inc 23,649 1,283 (5,676) Allied Nevada Gold Corp (15,893) 15,268 (12,374) Acorn Energy Inc (18,314) 24,748 3,026 Allied World Assurance Co (592) Actavis Plc (126,380) (4,695) Holdings AG 112,961 235 (11,688) Activision Blizzard Inc (240,188) (2,073) 6,144 Allison Transmission Holdings Inc 190,648 5,516 21,643 Actuant Corp 'A' 769,625 33,328 6,712 Allstate Corp/The 392,316 5,974 (2,265) Acuity Brands Inc (282,038) (9,183) 1,710 Ally Financial Inc 40,442 (1,112) 16,918 Acxiom Corp 384,715 23,416 (2,193) Almost Family Inc (46,601) 4,658 358 Adams Resources & Energy Inc 23,052 (2,732) (3,894) Alnylam Pharmaceuticals Inc (233,562) (13,163) (305) Addus HomeCare Corp (7,079) 245 732 Alon USA Energy Inc 10,848 123 957 Adept Technology Inc 11,446 (5,758) 4,965 Alpha & Omega Semiconductor Ltd 40,713 3,376 186 Adt Corp/The 6,056 91 (19,360) Alpha Natural Resources Inc (68,147) 18,131 (15,315) ADTRAN Inc (340,606) 33,739 48,531 Alphatec Holdings Inc 72,311 (1,470) 701 Advance Auto Parts Inc 86,356 557 30,031 Altera Corp 997,930 (12,111) (3,351) Advanced Emissions Solutions Inc (76,570) 12,303 (2,458) Altisource Portfolio Solutions SA (271,486) (3,454) 302 Advanced Energy Industries Inc 6,001 (1,673) (437) Altisource Residential Corp (Reit) (12,039) 1,325 (9,497) Advanced Micro Devices Inc (38,178) (783) (1,096) Altria Group Inc (45,374) (1,480) (16,050) Advent Software Inc (483,908) (22,944) 675 Amazon.com Inc 209,540 6,271 (6,672) Advisory Board Co/The (327,795) 104,067 (11,022) Ambac Financial Group Inc (313,135) 6,572 (13,910) AECOM Technology Corp (447,763) (3,650) 984 Ambarella Inc 26,165 (1,019) (4,721) Aegion Corp (114,248) (2,311) 50,296 Ambev SA ADR 360,622 (19,406) (881) AEP Industries Inc (28,218) 6,038 7,752 Ambit Biosciences Corp 55,582 (16,345) 10,963 Aerohive Networks Inc 107,437 (4,997) 3,979 AMC Entertainment Holdings Inc 'A' 90,284 (5,262) (15,999) Aeropostale Inc (63,996) 50,397 (621) AMC Networks Inc 'A' (38,496) 1,521 3,180 Aerovironment Inc 102,587 (15,919) 6,649 Amdocs Ltd 320,083 10,239 (36,376) AES Corp/VA (502,353) 11,513 (23,191) Amedisys Inc (339,284) 15,041 1,767 Aetna Inc 136,448 5,008 677 AMERCO 186,087 11,854 5,754 Affiliated Managers Group Inc 1,085,492 (286) (6,531) Ameren Corp (255,036) 11,102 (4,024) Affymetrix Inc (33,560) (4,024) (10,205) America's Car-Mart Inc/TX (367,686) 8,674 4,631 AGCO Corp 250,537 556 623 American Airlines Group Inc 24,833 1,182 (25,953) Agilysys Inc (380,471) (5,530) (1,350) American Axle & Manufacturing (20,662) AGL Resources Inc (1,095,912) (46,832) Holdings Inc (24,840) 65 1,481 Agnico Eagle Mines Ltd 44,312 364 1,046 American Campus Communities 4,290 AH Belo Corp 'A' 50,107 (1,845) Inc (Reit) 40,627 (213) 30,617 Air Lease Corp 1,252,235 87,918 (15,614) American Capital Agency (2,480) Air Methods Corp (120,950) 12,040 Corp (Reit) (367,085) (3,219) (1,714) Air Products & Chemicals Inc (205,080) (4,576) (6,880) American Capital Ltd (101,618) 490 (1,509) Air Transport Services Group Inc (13,943) (808) 16,066 American Eagle Energy Corp 97,681 (13,236) 23,184 Aircastle Ltd 384,623 (4,572) (12,796) American Eagle Outfitters Inc (138,837) 11,376 (6,554) Airgas Inc (694,921) (918) 15,297 American Electric Power Co Inc 808,905 13,155 (25,921) AK Steel Holding Corp (159,933) 19,157 (209) American Express Co (19,057) (559) 3,800 Akamai Technologies Inc 206,834 4,241 499 American Financial Group Inc/OH 29,137 309 (379) Akorn Inc (10,745) (584) 2,745 American Homes 4 Rent 'A' (Reit) 48,312 4,088 239 Alamo Group Inc 12,442 (1,467) 1,338 American International Group Inc 72,198 1,472 711 Alaska Air Group Inc 69,870 1,863 (606) American National Insurance Co (68,472) (1,037) (6,112) Albany International Corp 'A' (232,256) (10,453) (3,293) American Public Education Inc (115,156) (106) (25,054) Alcoa Inc (337,978) (4,446) 27,536 American States Water Co 823,877 8,967 (1,535) Alere Inc (55,199) (476) 1,408 American Superconductor Corp 1,985 (94) 325 Alere Inc 11,687 (351) (13,381) American Superconductor Corp (18,867) 12,043 562 Alexander & Baldwin Inc 21,766 (101) 1,046 American Tower Corp 93,481 743
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 33 BlackRock Americas Diversified Equity Absolute Return Fund continued Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
United States continued United States continued (3,358) American Vanguard Corp (50,404) 4,509 (38,407) Arrow Financial Corp (1,000,502) (6,427) 2,461 American Water Works Co Inc 118,448 2,290 3,730 Artisan Partners Asset (188) American Woodmark Corp (5,260) 887 Management Inc 'A' 216,228 10,634 1,296 Ameriprise Financial Inc 146,215 5,949 2,831 Aruba Networks Inc 52,713 (7,049) (1,023) AmerisourceBergen Corp (74,996) (262) (811) Asbury Automotive Group Inc (52,455) (793) 8,032 AmerisourceBergen Corp 588,826 46,666 (743) Ascena Retail Group Inc (12,445) 190 897 AMETEK Inc 47,478 (37) 1,413 Ascena Retail Group Inc 23,668 (975) 3,947 Amgen Inc 455,050 19,735 854 Ascent Capital Group Inc 'A' 53,110 (11,333) (5,023) Amkor Technology Inc (50,431) (739) 17 Ashland Inc 1,752 8 40,780 Amkor Technology Inc 409,431 141,828 (2,361) ASML Holding NV/NY Reg (202,562) (11,560) 9,392 AMN Healthcare Services Inc 105,378 (27,894) 15,496 Aspen Insurance Holdings Ltd 710,956 6,353 5,097 Ampco-Pittsburgh Corp 109,484 14,475 26,172 Aspen Technology Inc 1,135,865 (11,457) (1,496) Ampio Pharmaceuticals Inc (11,744) (1,616) 2,809 Assurant Inc 191,209 3,034 (3,065) Amtech Systems Inc (30,190) 6,912 5,359 Assured Guaranty Ltd 131,510 41 798 Amtrust Financial Services Inc 34,857 (920) (5,978) Astec Industries Inc (241,989) 10,581 (385) Amtrust Financial Services Inc (16,817) (176) (10,686) Astoria Financial Corp (138,384) 13,392 5,272 Anadarko Petroleum Corp 545,441 18,834 (795) Astronics Corp (43,622) (566) (3,302) Analog Devices Inc (172,860) (5,184) (315) Astronics Corp 'B' (17,215) 3,005 2,127 Andersons Inc/The 106,988 5,065 1,668 Athlon Energy Inc 71,124 4,031 (392) Andersons Inc/The (19,718) 2,882 (4,777) Atlantic Tele-Network Inc (267,703) 45,814 11,008 AngioDynamics Inc 157,304 (17,172) (1,096) Atlas Air Worldwide Holdings Inc (40,892) (923) 2,165 Anika Therapeutics Inc 103,422 12,579 (6,503) Atmel Corp (54,560) (3,796) 939 Anixter International Inc 95,318 919 (4,111) AtriCure Inc (67,544) (2,814) (12,824) Annaly Capital Management Inc 407 Atrion Corp 128,307 5,100 (Reit) (149,656) 389 (246) Atwood Oceanics Inc (12,155) (122) (2,953) Annie's Inc (91,986) 24,687 530 Audience Inc 6,652 (402) 2,336 ANSYS Inc 171,112 (5,865) 9,250 AuRico Gold Inc 32,190 (6,666) (63,319) Antares Pharma Inc (194,389) 75,983 (7,115) Autoliv Inc (751,842) (15,316) 765 Antero Resources Corp 47,323 114 (3,103) AutoNation Inc (176,747) (1,606) (945) Antero Resources Corp (58,458) 398 (12,423) Auxilium Pharmaceuticals Inc (282,002) (29,554) (1,679) Anworth Mortgage Asset Corp (Reit) (8,983) (210) 120 AV Homes Inc 1,993 (20) 3,731 AOL Inc 136,144 (1,901) 649 Avago Technologies Ltd 45,190 (649) (2,451) Aon Plc (219,855) 109 (672) AvalonBay Communities Inc (Reit) (94,544) (2,365) (4,206) Apache Corp (390,191) (16,283) 5,487 Avery Dennison Corp 276,874 16,626 1,145 Apartment Investment 3,491 AVG Technologies NV 68,947 (1,571) & Management Co 'A' (Reit) 35,987 334 (7,190) AVG Technologies NV (142,003) (4,521) 2,175 Apco Oil and Gas International Inc 30,559 (1,875) 84,025 Aviat Networks Inc 88,226 (67,220) 35,297 API Technologies Corp 96,008 1,417 8,717 Avid Technology Inc 64,767 5,405 468 Apogee Enterprises Inc 14,213 (962) (2,453) Avis Budget Group Inc (139,232) (4,146) 729 Apollo Education Group Inc 19,435 (4,090) (3,417) Avista Corp (106,542) 1,670 6,135 Apollo Residential Mortgage Inc 25,399 Avista Corp 791,941 51,560 (Reit) 101,835 (558) (4,710) Avnet Inc (204,932) (5,753) 242 Applied Industrial Technologies Inc 11,577 1 26,527 AVX Corp 353,605 10,467 (22,288) Applied Materials Inc (450,440) (33,878) (28,073) Aware Inc (161,139) 2,527 (5,328) Applied Micro Circuits Corp (48,538) 8,258 (1,084) Axcelis Technologies Inc (2,005) (216) (935) Applied Optoelectronics Inc (19,831) 3,946 47,764 AXT Inc 106,991 (4,299) (553) Approach Resources Inc (10,772) 841 (4,404) AZZ Inc (195,009) (2,247) (9,110) Aptargroup Inc (605,542) (4,464) (2,071) B&G Foods Inc (70,849) (9,775) 2,586 Aqua America Inc 64,728 436 2,387 B&G Foods Inc 81,659 4,795 (881) Aratana Therapeutics Inc (11,902) (630) 1,050 B/E Aerospace Inc 99,761 (1,470) 10,407 Arbor Realty Trust Inc (Reit) 75,659 5,724 (4,048) Badger Meter Inc (200,821) 14,816 14,532 ARC Document Solutions Inc 90,534 (22,815) 376 Baker Hughes Inc 26,500 587 213 ARC Group Worldwide Inc 2,758 12 (1,152) Balchem Corp (63,729) (1,454) (16,044) Arch Capital Group Ltd (915,631) (11,357) 6,747 Balchem Corp 373,244 7,382 (40,508) Arch Coal Inc (143,803) 39,714 (2,569) Ball Corp (155,039) (454) 4,891 Archer-Daniels-Midland Co 218,628 5,722 4,979 Ballantyne Strong Inc 21,161 (2,738) 11,365 Arcos Dorados Holdings Inc 'A' 101,149 (7,501) 681 Bally Technologies Inc 40,022 (99) 4,101 Argan Inc 125,860 12,057 8,881 Banc of California Inc 96,403 (19,316) 4,551 Argo Group International 4,354 BancFirst Corp 259,847 14,063 Holdings Ltd 219,904 5,545 4,365 Banco de Chile ADR 353,390 18,854 (7,015) Argo Group International 29,538 Banco Latinoamericano Holdings Ltd (338,965) (25,068) de Comercio Exterior SA 795,458 13,292 (4,244) ARIAD Pharmaceuticals Inc (27,119) 3,185 (53,818) Banco Santander Brasil (3,021) ARMOUR Residential Inc (Reit) (13,051) (576) SA/Brazil ADR (362,733) (2,153) (2,143) Armstrong World Industries Inc (114,565) 2,258 (245) Banco Santander Chile ADR (6,221) (96) 7,509 ARRIS Group Inc 246,896 23,710 (6,592) Bancolombia SA ADR (365,988) (1,538)
34 BlackRock Strategic Funds (BSF) BlackRock Americas Diversified Equity Absolute Return Fund continued Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
United States continued United States continued (21,173) Bancorp Inc/DE (333,051) 74,112 (984) Boston Beer Co Inc/The 'A' (215,014) 21,489 6,900 Bank Mutual Corp 41,538 (4,172) (134) Boston Private Financial Holdings Inc (1,699) 201 10,718 Bank of America Corp 162,806 2,505 (1,952) Boston Properties Inc (Reit) (234,357) (1,312) (8,161) Bank of Hawaii Corp (459,872) (10,467) 2,122 Boston Scientific Corp 27,628 700 (10,711) Bank of New York Mellon Corp/The (369,315) (8,890) (7,948) Bottomline Technologies (DE) Inc (231,446) 46,056 (1,672) BankFinancial Corp (16,887) (451) (8,182) Boyd Gaming Corp (90,329) 12,187 855 BankUnited Inc 27,933 1,120 4,601 Brady Corp 'A' 126,666 3,762 1,485 Banner Corp 57,395 (3,267) 1,564 Brandywine Realty Trust (Reit) 23,992 131 (6,545) Barnes & Noble Inc (118,268) (10,781) 23,781 Braskem SA ADR 312,245 (4,746) 55 Barrett Business Services Inc 2,581 237 10,053 Bravo Brio Restaurant Group Inc 159,943 6,711 3,492 Barrick Gold Corp 56,047 991 (10,567) BRF SA ADR (229,093) 18,281 (2,580) Basic Energy Services Inc (69,995) (2,619) (439) Bridge Bancorp Inc (10,751) 740 (1,194) Bassett Furniture Industries Inc (16,489) 2,390 (392) Bridge Capital Holdings (8,847) (121) 27,393 Baxter International Inc 2,034,752 (9,515) (7,985) Bridgepoint Education Inc (105,083) 21,390 163 Baytex Energy Corp 6,817 30 (4,293) Briggs & Stratton Corp (89,509) 4,905 (25,330) Bazaarvoice Inc (167,685) 32,676 130 Briggs & Stratton Corp 2,711 62 (10,812) BB+T Corp (412,045) (4,341) (7,305) Bright Horizons Family Solutions Inc (285,187) 4,383 (3,380) BBCN Bancorp Inc (52,086) 5,662 114 Brink's Co/The 3,050 87 (1,725) Beacon Roofing Supply Inc (59,806) 2,505 6,825 Bristol-Myers Squibb Co 337,906 5,006 (2,564) Beazer Homes USA Inc (50,767) 352 3,651 Bristow Group Inc 279,192 10,290 628 bebe stores inc 2,594 (1,689) 6,965 Brixmor Property Group Inc (Reit) 152,046 (2,043) 3,393 Becton Dickinson and Co 398,711 5,870 8,519 Broadridge Financial Solutions Inc 350,983 23,086 283 Bed Bath & Beyond Inc 17,255 (291) (1,754) BroadSoft Inc (38,167) 11,945 6,356 Bel Fuse Inc 'B' 172,184 51,317 3,666 Brookdale Senior Living Inc 121,161 3,850 (2,599) Belden Inc (187,102) (9,304) 17,509 Brookfield Office Properties Inc 352,806 231 5,545 Belden Inc 399,185 8,859 10,902 Brown & Brown Inc 330,331 5,662 (132) Bemis Co Inc (5,454) (16) 1,312 Brown Shoe Co Inc 36,880 3,542 25,292 Benchmark Electronics Inc 594,615 (7,889) (4,968) Brown Shoe Co Inc (139,650) (588) 853 Beneficial Mutual Bancorp Inc 11,516 230 101 Brown-Forman Corp 'B' 9,350 67 (553) Berkshire Hills Bancorp Inc (12,603) 1,731 2,242 Bruker Corp 47,239 64 16,364 Berry Plastics Group Inc 388,318 6,516 1,400 Brunswick Corp/DE 60,914 4,284 1,959 Best Buy Co Inc 54,450 4,555 (11,661) BSB Bancorp Inc/MA (209,315) (7,113) (35,617) BGC Partners Inc 'A' (251,456) 3,308 (8,779) Buckle Inc/The (393,211) 9,395 5,690 Big 5 Sporting Goods Corp 64,752 (20,427) 1,435 Build-A-Bear Workshop Inc 20,033 6,974 (134) Big Lots Inc (5,603) (279) 5,585 Builders FirstSource Inc 40,212 (7,093) (229) Biglari Holdings Inc (97,096) 15,394 7,157 Bunge Ltd 555,240 9,161 932 BIND Therapeutics Inc 8,285 (3,653) (11,853) Burger King Worldwide Inc (301,659) (2,208) 175 Bio-Rad Laboratories Inc 'A' 21,130 (79) (621) Burlington Stores Inc (17,556) 349 (7,408) Bio-Reference Labs Inc (200,090) (11,112) 1,427 C&F Financial Corp 48,875 (845) 2,442 Bioamber Inc 24,176 (9,646) (2,624) C&J Energy Services Inc (81,265) (872) (15,035) BioDelivery Sciences International Inc (148,095) (6,014) (4,187) Cabela's Inc (254,444) 13,022 28 Biogen Idec Inc 8,932 822 (1,272) Cablevision Systems Corp 'A' (22,247) (176) (3,472) BioMarin Pharmaceutical Inc (197,730) 1,701 204 Cabot Corp 11,563 83 (5,054) BioScrip Inc (39,522) (2,904) (68) Cabot Microelectronics Corp (2,942) 158 4,157 BioSpecifics Technologies Corp 112,447 5,363 3,003 Cabot Oil & Gas Corp 109,339 383 (928) BJ's Restaurants Inc (29,009) 1,953 (219) CACI International Inc 'A' (15,571) (160) 2,989 Black Box Corp 73,739 10,322 (1,240) Cadence Design Systems Inc (20,882) (1,553) (29,387) Black Diamond Inc (318,261) (14,737) (23,580) Cadiz Inc (200,902) (14,170) (754) Blackbaud Inc (26,398) (1,066) 10,612 Caesars Acquisition Co 'A' 131,483 (35,656) 22,120 Blackstone Mortgage Trust Inc 'A' (Reit) 658,070 25,344 (12,724) Caesars Entertainment Corp (233,485) 8,835 (889) Bloomin' Brands Inc (18,518) 76 (916) Caesarstone Sdot-Yam Ltd (41,687) 2,894 4,398 Bloomin' Brands Inc 91,610 (1,205) 1,166 Cal Dive International Inc 1,504 (152) 7,312 Blount International Inc 89,645 1,328 577 Cal-Maine Foods Inc 39,525 2,028 7,926 Blucora Inc 153,923 (4,597) 27,301 Calamos Asset Management Inc 'A' 338,805 (8,736) 1,837 Blyth Inc 16,239 (1,047) (169) California First National Bancorp (2,577) (125) (5,534) BNC Bancorp (93,801) 4,150 3,048 California Water Service Group 66,142 754 (3,055) Bob Evans Farms Inc/DE (137,597) 4,481 10,298 Calix Inc 84,341 (4,105) 5,063 Boeing Co/The 682,239 17,923 3,667 Callidus Software Inc 39,090 (5,318) 3,611 Boise Cascade Co 93,886 (6,702) 12,862 Callon Petroleum Co 135,437 44,117 (5,068) BOK Financial Corp (319,436) 20,771 316 Calpine Corp 7,309 292 101 Bolt Technology Corp 1,802 93 (13,350) Camden National Corp (494,751) 30,311 (5,934) Bon-Ton Stores Inc/The (62,604) (4,391) 1,020 Camden Property Trust (Reit) 71,390 130 2,163 Bonanza Creek Energy Inc 115,353 15,163 75 Cameron International Corp 4,774 48 9,182 Booz Allen Hamilton Holding Corp 203,565 (18,574) (39,175) Campbell Soup Co (1,800,483) (50,319) 5,543 Borderfree Inc 83,145 4,595 (228) Cantel Medical Corp (7,925) (811) (2,849) BorgWarner Inc (179,658) (11,396) 5,677 Cape Bancorp Inc 59,892 (227)
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 35 BlackRock Americas Diversified Equity Absolute Return Fund continued Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
United States continued United States continued 979 Capella Educations Co 55,891 (5,086) 10,628 Chemtura Corp 264,425 9,412 4,103 Capital Southwest Corp 147,093 2,257 (1,240) Cheniere Energy Inc (77,984) (7,328) 669 Capitol Federal Financial Inc 8,102 (298) 18,085 Cheniere Energy Partners Lp 455,561 49,117 15,063 Capstead Mortgage Corp (Reit) 197,325 4,519 (1,329) Chesapeake Energy Corp (37,877) 651 (853) CARBO Ceramics Inc (115,795) (1,655) 21,781 Chesapeake Lodging Trust (Reit) 637,312 24,188 (328) Cardinal Financial Corp (5,802) 223 (2,974) Chevron Corp (363,690) 6,216 16,881 Cardinal Health Inc 1,191,967 76,635 (2,242) Chicago Bridge & Iron Co NV (183,979) (8,677) 5,772 Cardtronics Inc 169,408 (76,306) (320) Chipotle Mexican Grill Inc (175,078) (5,019) 1,800 Care.Com Inc 19,584 (16,506) 2,490 Chiquita Brands International Inc 25,597 (4,451) (1,361) CareFusion Corp (58,686) (167) 796 Choice Hotels International Inc 35,812 713 (14,269) CarMax Inc (641,820) (10,857) 639 Chubb Corp/The 59,280 137 (693) Carnival Corp (27,574) (866) (4,462) Church & Dwight Co Inc (307,744) (5,455) 5,393 Carrizo Oil & Gas Inc 311,931 15,636 (4,920) Churchill Downs Inc (421,644) 26,137 (184) Carrizo Oil & Gas Inc (10,643) (205) (1,820) Chuy's Holdings Inc (59,623) 13,834 418 Carter's Inc 30,251 (424) 7,888 Cia Brasileira de Distribuicao ADR 359,141 2,841 15,464 Cascade Bancorp 66,959 (70,112) 945 Cia Cervecerias Unidas SA ADR 22,208 5 (2,691) Casella Waste Systems Inc 'A' (14,774) (1,034) (26,631) Cia de Minas Buenaventura SA ADR (278,028) 11,204 (3,589) Cash America International Inc (170,406) (9,836) (90,730) Cia Siderurgica Nacional SA ADR (351,125) 36,874 (6,996) Cass Information Systems Inc (353,788) 32,252 5,155 Ciena Corp 99,543 2,452 8,988 Catamaran Corp 390,708 8,563 3,443 Cimarex Energy Co 450,723 34,087 (952) Caterpillar Inc (97,361) 2,326 (15,090) Cincinnati Financial Corp (739,108) (11,022) 19,531 Cathay General Bancorp 472,455 (2,577) 4,476 Cinemark Holdings Inc 140,367 8,409 271 Cato Corp/The 7,873 566 (17,313) Cintas Corp (1,073,579) (39,258) 2,504 Cavco Industries Inc 192,207 (13,412) 685 CIRCOR International Inc 52,368 2,437 1,477 CBL & Associates Properties Inc (Reit) 27,768 15 (5,683) Cirrus Logic Inc (127,299) (10,399) (44) CBOE Holdings Inc (2,232) (73) 721 Cirrus Logic Inc 16,150 324 375 CBRE Group Inc 'A' 11,070 248 15,772 CIT Group Inc 704,693 39,115 12,631 CBS Corp 'B' 754,576 12,245 (6,566) Citi Trends Inc (132,436) (23,909) 2,169 CBS Outdoor Americas Inc 70,341 (325) 15,507 Citigroup Inc 736,272 9,975 (2,946) CBS Outdoor Americas Inc (95,539) (921) (288) Citizens & Northern Corp (5,458) 320 (5,125) CDI Corp (71,750) 15,202 (41,148) Citizens Inc/TX (277,749) 25,100 (7,935) Ceco Environmental Corp (115,296) 29,121 90 Citrix Systems Inc 5,584 62 17,327 Cedar Realty Trust Inc (Reit) 107,081 1,386 (1,591) Citrix Systems Inc (98,706) (1,841) (1,115) Celadon Group Inc (25,578) 1,079 (2,689) City Holding Co (117,240) (2,574) 8,543 Celanese Corp 'A' 531,545 32,805 264 City National Corp/CA 18,990 257 3,254 Celgene Corp 493,957 9,599 20,399 CLARCOR Inc 1,194,769 27,418 (4,331) Celldex Therapeutics Inc (62,496) (1,776) 673 Clayton Williams Energy Inc 84,939 7,080 27,811 Cemex SAB de CV ADR 361,821 24,497 (3,944) Clean Energy Fuels Corp (42,832) (7,832) 1,483 Cempra Inc 14,148 (2,405) (7,387) Clean Harbors Inc (451,198) (26,243) 2,592 Centene Corp 192,586 12,364 (7,608) Clear Channel Outdoor Holdings 96,304 CenterPoint Energy Inc 2,314,185 40,655 Inc 'A' (61,853) 8,597 4,401 Centerstate Banks Inc 46,651 (1,188) 4,249 Clearwater Paper Corp 262,588 (1,065) (35,819) Central European Media (43,214) Clifton Bancorp Inc (518,568) 1,106 Enterprises Ltd 'A' (104,233) 26,767 (4,202) Clorox Co/The (375,533) (4,286) 28,061 Central Garden and Pet Co 218,876 1,964 3,731 Cloud Peak Energy Inc 68,464 (2,505) (34,775) Central Garden and Pet Co 'A' (276,114) 486 (3,540) Cloud Peak Energy Inc (64,959) 4,173 45,151 Central Pacific Financial Corp 855,160 (46,957) (1,553) Clovis Oncology Inc (80,803) 11,213 (36,540) Century Aluminum Co (499,136) (23,146) 27,155 CMS Energy Corp 801,072 7,332 1,195 Century Bancorp Inc/MA 'A' 40,009 (1,219) (15,375) CNA Financial Corp (618,998) (4,940) 9,485 Century Casinos Inc 58,522 (7,873) 15,494 CNA Financial Corp 623,788 (1,085) (6,023) CenturyLink Inc (227,188) (17,945) (3,240) CNB Financial Corp/PA (54,756) 5,378 23,751 Cenveo Inc 74,103 (4,536) 21,851 CNH Industrial NV 240,142 845 (5,453) Cepheid Inc (245,167) (16,023) 48,872 CNO Financial Group Inc 796,614 11,467 (1,141) Cerner Corp (62,207) (4,393) 5,846 Coach Inc 238,517 (2,345) (11,718) Cerus Corp (49,919) 20,741 (2,774) Cobalt International Energy Inc (50,653) (574) (4,198) Ceva Inc (65,657) 5,520 (2,024) CoBiz Financial Inc (21,495) 1,154 (8,054) CH Robinson Worldwide Inc (481,065) (24,690) (15,132) Coca-Cola Co/The (615,267) (646) (2,415) ChannelAdvisor Corp (51,657) 55,916 20,309 Coca-Cola Enterprises Inc 929,746 (8,574) (11,235) Charles Schwab Corp/The (287,841) (6,966) (3,092) Coca-Cola Femsa SAB de CV ADR (361,053) (4,303) 10,725 Chatham Lodging Trust (Reit) 243,994 23,595 19,779 Codexis Inc 28,086 (10,681) 13,092 Chc Group Ltd 91,251 (4,581) 630 Coeur Mining Inc 4,297 (707) (890) Cheesecake Factory Inc/The (40,780) (117) (3,820) Coeur Mining Inc (26,052) 14,831 (22,954) Chefs' Warehouse Inc/The (423,960) 91,586 (9,346) Cogent Communications Group Inc (342,437) (6,195) 1,328 Chegg Inc 7,370 (1,089) (2,058) Cognex Corp (73,594) (4,507) (5,612) Chemed Corp (501,208) (12,696) 207 Cognizant Technology Solutions 12,813 Chemical Financial Corp 371,961 (22,679) Corp 'A' 10,118 352
36 BlackRock Strategic Funds (BSF) BlackRock Americas Diversified Equity Absolute Return Fund continued Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
United States continued United States continued (21,714) Cohen & Steers Inc (885,931) (52,072) 5,078 Corvel Corp 239,885 (10,918) 14,364 Coherent Inc 861,265 7,954 2,884 Cosan Ltd 'A' 36,454 1,159 (21,204) Cohu Inc (230,487) (4,029) 2,579 Costco Wholesale Corp 296,688 6,771 (14,378) Colfax Corp (1,050,457) (7,054) (83,023) Coty Inc 'A' (1,371,540) (57,522) 6,081 Colgate-Palmolive Co 407,305 3,007 (2,101) Coupons.com Inc (53,849) (11,027) 11,114 Collectors Universe Inc 232,060 17,116 293 Courier Corp 4,158 (448) 18,441 Colony Financial Inc (Reit) 403,305 3,580 778 Cousins Properties Inc (Reit) 9,336 91 16,973 Columbia Banking System Inc 424,325 (54,823) (1,773) Covance Inc (148,985) 2,336 8,180 Columbia Property Trust Inc (Reit) 213,825 (12,125) 2,032 Covance Inc 170,749 (322) (627) Columbus McKinnon Corp/NY (18,183) (1,628) 544 Covidien Plc 39,679 1,072 (2,723) Comcast Corp 'A' (141,405) 295 (226) Covisint Corp (1,184) 1,153 1,991 Comerica Inc 94,752 3,365 (28,966) Cowen Group Inc 'A' (121,078) 2,506 211 Comfort Systems USA Inc 3,433 (40) 2,742 CPI Aerostructures Inc 34,220 (539) (116) Commerce Bancshares Inc/MO (5,097) (67) (292) CR Bard Inc (43,038) (356) 18,595 Commercial Metals Co 334,710 (8,114) 11,289 CRA International Inc 253,438 2,596 (15,290) Commercial Vehicle Group Inc (146,631) (13,608) (88) Cracker Barrel Old Country Store Inc (8,800) (422) (1,416) CommonWealth REIT (Reit) (37,425) (1,690) (13,753) Craft Brew Alliance Inc (151,558) 54,193 1,199 CommScope Holding Co Inc 32,097 2,307 159 Crane Co 11,747 446 1,080 Community Bank System Inc 38,837 529 6,341 Crawford & Co 'B' 62,078 (1,395) (10,761) Community Bank System Inc (386,966) 18,939 (8,370) Cray Inc (235,071) 54,392 660 Community Health Systems Inc 27,357 265 (2,317) Credicorp Ltd (361,081) (22,149) (9,088) Community Health Systems Inc (62,038) Crocs Inc (934,292) 7,455 CVR (Right) (682) (150) 23,593 Cross Country Healthcare Inc 134,480 (63,465) (144) Community Trust Bancorp Inc (4,968) (182) 11,630 Crown Castle International Corp (Reit) 892,835 2,020 2,501 Communityone Bancorp 25,135 1,583 32,714 Crown Media Holdings Inc 'A' 115,480 (11,123) (632) CommVault Systems Inc (31,410) (373) 358 CryoLife Inc 3,161 (333) (3,225) Compass Minerals International Inc (299,957) 327 (1,303) CSG Systems International Inc (34,230) 1,422 (328) Computer Programs & Systems (20,943) 1,073 (1,237) CST Brands Inc (40,623) (355) (21,249) Computer Task Group Inc (335,734) 12,075 372 CST Brands Inc 12,216 813 1,401 Compuware Corp 13,800 (616) 32,895 CTC Media Inc 342,108 37,121 (15,089) comScore Inc (478,170) (5,281) (13,895) CTC Media Inc (144,508) (5,031) (3,325) Comstock Resources Inc (91,039) (1,537) (1,628) CTS Corp (28,588) 5,169 1,484 Comverse Inc 37,234 907 526 CubeSmart (Reit) 9,589 129 145 ConAgra Foods Inc 4,659 148 (4,715) CubeSmart (Reit) (85,954) (4,432) 2,440 Concert Pharmaceuticals Inc 21,496 (5,827) (14,999) Cubic Corp (727,152) 42,754 383 Concho Resources Inc 50,380 295 (176) Cubist Pharmaceuticals Inc (11,651) 37 81 Concur Technologies Inc 6,989 302 1,832 Cullen/Frost Bankers Inc 138,279 2,601 10,365 CONMED Corp 467,461 (5,817) (272) Cullen/Frost Bankers Inc (20,531) (129) (2,601) Conn's Inc (121,675) (29,534) 14,698 Culp Inc 276,322 (14,698) (2,213) Connecticut Water Service Inc (71,259) 1,881 35,166 Cumberland Pharmaceuticals Inc 158,950 (6,330) (1,271) ConnectOne Bancorp Inc (61,415) (38) (896) Cummins Inc (136,282) (168) (7,865) ConocoPhillips (623,537) (24,992) (17,748) Cumulus Media Inc 'A' (115,539) 1,255 (2,429) CONSOL Energy Inc (107,362) (1,071) 1,003 Customers Bancorp Inc 19,047 1,071 (8,050) Consolidated Communications 4,199 Cutera Inc 41,444 (2,058) Holdings Inc (165,025) (9,016) 4,092 Cvent Inc 103,446 1,004 6,691 Consolidated-Tomoka Land Co 313,607 45,966 760 CVS Caremark Corp 59,219 1,794 3,203 Constant Contact Inc 93,688 8,451 (1,471) Cyberonics Inc (91,011) (292) 2,786 Constellation Brands Inc 'A' 234,330 13,122 (8,342) Cypress Semiconductor Corp (85,422) (3,616) 3,336 Constellium NV 'A' 97,478 3,088 7,500 CyrusOne Inc (Reit) 170,925 4,436 3,859 Consumer Portfolio Services Inc 28,132 (1,196) 1,870 CYS Investments Inc (Reit) 17,073 1,103 455 Contango Oil & Gas Co 19,843 46 1,020 Cytec Industries Inc 101,572 2,744 1,840 Continental Building Products Inc 29,661 981 (307) Daily Journal Corp (52,359) 1,366 (1,600) Continental Resources Inc/OK (223,936) (5,740) 2,907 Daktronics Inc 36,250 (3,721) 11,243 Convergys Corp 247,234 (1,038) (26,099) Dana Holding Corp (578,615) (22,860) (4,170) Conversant Inc (99,538) 3,872 310 Danaher Corp 24,227 986 (666) Cooper Tire & Rubber Co (18,462) 127 (5,515) Darden Restaurants Inc (273,930) 5,561 3,369 Copa Holdings SA 'A' 481,329 19,528 (36,767) Darling International Inc (742,693) (25,107) (6,181) Corcept Therapeutics Inc (13,660) 10,924 1,863 Darling International Inc 37,633 736 1,107 Core-Mark Holding Co Inc 91,438 9,443 (5,878) Datalink Corp (54,783) 29,801 5,338 CoreLogic Inc/United States 152,347 4,909 (4,025) Datawatch Corp (63,072) 58,808 92 Cornerstone OnDemand Inc 3,780 150 (63) DaVita HealthCare Partners Inc (4,413) (71) (19,242) Corning Inc (411,009) (5,491) (364) Dawson Geophysical Co (9,817) 564 8,309 Corporate Executive Board Co 571,659 (9,081) (1,470) Dealertrack Technologies Inc (58,352) 123 (1,094) Corporate Executive Board Co (75,267) (570) (16,416) Dean Foods Co (282,191) (7,317) (4,326) Corporate Resource Services Inc (10,469) (822) 5,110 Dean Foods Co 87,841 12,315 2,649 Corrections Corp of America (Reit) 86,437 2,601 713 Deckers Outdoor Corp 55,539 (503)
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 37 BlackRock Americas Diversified Equity Absolute Return Fund continued Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
United States continued United States continued (1,237) Deckers Outdoor Corp (96,356) 2,001 (8,374) DTS Inc/CA (152,156) 21,528 (15,080) Deere & Co (1,371,224) 32,827 2,896 Ducommun Inc 74,001 (889) (2,927) Delek US Holdings Inc (89,566) 1,021 970 Dun & Bradstreet Corp/The 100,919 458 1,253 Delphi Automotive Plc 86,495 3,847 20,989 DuPont Fabros Technology Inc (Reit) 540,467 16,553 8,925 Delta Air Lines Inc 359,499 19,189 (1,179) Dycom Industries Inc (35,464) 1,869 25,549 Delta Apparel Inc 383,746 (37,813) (2,993) Dynamic Materials Corp (62,793) (4,929) (318) Deltic Timber Corp (19,570) (279) 783 Dynegy Inc 26,027 1,660 254 Deluxe Corp 14,107 (62) (1,484) Dynergy Inc (49,328) (13,549) 13,794 Demand Media Inc 63,590 (1,104) (13,516) E2open Inc (238,693) 71,326 (2,687) Demandware Inc (162,268) (7,639) (7,769) Eagle Bancorp Inc (255,367) 24,705 (27,905) Denbury Resources Inc (471,036) 2,023 101,095 EarthLink Holdings Corp 363,437 (31,828) (14,234) Denny's Corp (93,233) (755) 295 East West Bancorp Inc 9,900 47 (2,027) DENTSPLY International Inc (95,918) (1,769) 268 Eastern Co/The 4,122 (5) (1,487) Depomed Inc (17,547) 4,178 10,470 EastGroup Properties Inc (Reit) 664,845 9,910 (14,112) Derma Sciences Inc (141,543) 52,073 5,841 Eastman Chemical Co 511,788 21,203 (6,192) Destination Xl Group Inc (33,313) 5,016 (26,453) Eaton Vance Corp (983,523) (48,883) 1,264 Devon Energy Corp 93,005 3,590 10,204 eBay Inc 511,935 (27,910) (8,817) DeVry Education Group Inc (369,520) 17,960 27,600 Echelon Corp 73,140 (15,732) 281 DEX MEDIA Inc 2,847 281 6,897 Echo Global Logistics Inc 129,939 12,415 4,253 DexCom Inc 145,835 15,518 6,596 EchoStar Corp 'A' 335,736 10,450 (656) DFC Global Corp (6,075) (634) (13,628) Education Management Corp (26,166) 48,516 (2,735) Diamond Foods Inc (87,110) (5,197) (6,226) Edwards Lifesciences Corp (507,979) 15,824 (735) Diamond Offshore Drilling Inc (37,507) (312) (1,426) eGain Corp (9,412) 1,155 11,886 Diamond Resorts International Inc 227,023 11,276 2,529 Egalet Corp 31,815 4,831 (1,260) Diamondback Energy Inc (94,349) (5,254) (357) eHealth Inc (13,098) 5,698 4,911 Diana Shipping Inc 53,923 22 (7,992) EI du Pont de Nemours & Co (550,249) (14,582) 548 Dice Holdings Inc 3,841 (44) 30,508 Einstein Noah Restaurant Group Inc 469,518 (39,355) 26,838 Dick's Sporting Goods Inc 1,197,780 (138,299) 4,019 El Paso Electric Co 152,722 6,932 (24,691) Diebold Inc (929,122) 12,089 (428) El Paso Electric Co (16,264) (1,390) 1,099 Digi International Inc 9,539 (1,319) 1,052 Electro Rent Corp 17,200 998 367 Digimarc Corp 11,872 1,101 23,528 Electro Scientific Industries Inc 174,578 (24,559) 6,272 Digital Realty Trust Inc (Reit) 362,459 598 (7,049) Electronic Arts Inc (245,164) (19,925) 205 DigitalGlobe Inc 6,281 263 (201) Elephant Talk Communications Corp (165) 111 (2,763) Dillard's Inc 'A' (312,191) (8,771) (1,681) Elizabeth Arden Inc (44,025) 6,405 422 Dillard's Inc 'A' 47,682 6,917 (3,267) Ellie Mae Inc (90,398) 7,586 (44,209) Dime Community Bancshares Inc (677,724) 80,460 (10,099) Embraer SA ADR (365,584) (16,868) 6,412 DineEquity Inc 509,818 1,878 (180) EMCOR Group Inc (8,026) (33) (637) DineEquity Inc (50,648) 1,192 6,654 Emerson Electric Co 442,624 3,406 887 Diodes Inc 24,738 9 (2,989) Empire District Electric Co/The (71,437) 882 3,498 DIRECTV 287,361 (6,090) (7,486) Empire Resorts Inc (46,713) 6,838 6,623 Discovery Communications Inc 'A' 514,077 8,416 3,965 Employers Holdings Inc 84,613 1,864 (3,301) DISH Network Corp 'A' (194,660) 4,291 4,110 Empresa Nacional de Electricidad (1,859) Dixie Group Inc/The (21,732) 7,622 SA/Chile ADR 183,758 16,007 (30,903) Dolby Laboratories Inc 'A' (1,281,547) 23,585 (17,437) Empresas ICA SAB de CV ADR (140,368) (11,744) 7,709 Dollar General Corp 412,431 (16,811) 17,212 Emulex Corp 91,396 (3,634) 106 Dollar Tree Inc 5,635 27 (51,915) Enbridge Energy Management LLC (1,535,646) (48,636) 27,839 Dominion Diamond Corp 359,680 (17,817) (893) Encore Capital Group Inc (38,988) 3,911 (8,812) Dominion Resources Inc/VA (602,917) 14,628 144 Encore Wire 7,047 46 4,181 Domino's Pizza Inc 301,785 4,056 (1,843) Endocyte Inc (11,740) 11,961 1,522 Domtar Corp 140,054 2,384 9,116 Endurance International Group 393 Donaldson Co Inc 16,066 (504) Holdings Inc 119,967 2,426 2,213 Dorman Products 119,458 (954) (100) Energen Corp (8,486) (64) 2,213 Dot Hill Systems Corp 9,427 575 158 Energizer Holdings Inc 18,249 289 8,303 Douglas Dynamics Inc 146,880 2,736 22,747 Energy XXI Bermuda Ltd 513,400 (656) (46,003) Douglas Emmett Inc (Reit) (1,306,945) (25,600) (173) EnerNOC Inc (3,327) 240 (275) Dow Chemical Co/The (14,262) 96 22,388 Enersis SA ADR 365,596 19,077 (3,457) DR Horton Inc (82,726) (7,845) 11,849 EnerSys Inc 823,861 32,145 27 Dr Pepper Snapple Group Inc 1,561 17 1,124 Engility Holdings Inc 43,712 (6,238) (2,920) Dream Office Real Estate Investment 9,274 Ennis Inc 141,150 (7,125) Trust (Reit) (78,840) (3,558) 3,409 Enphase Energy Inc 28,636 385 (32,146) DreamWorks Animation SKG Inc 'A' (895,909) (66,578) (1,361) EnPro Industries Inc (99,367) (3,067) (3,903) Dresser-Rand Group Inc (240,191) (1,667) 4,773 Ensco Plc 'A' 251,585 12,533 15,672 Drew Industries Inc 764,167 (31,277) 643 Ensign Group Inc/The 30,440 2,752 3,540 Dril-Quip Inc 360,514 (14,775) (1,874) Enstar Group Ltd (266,277) (13,530) (287) DST Systems Inc (26,045) (730) 15,423 Entegris Inc 176,593 444 14,135 DSW Inc 'A' 350,689 (39,856) (6,049) Entercom Communications Corp 'A' (63,152) 149
38 BlackRock Strategic Funds (BSF) BlackRock Americas Diversified Equity Absolute Return Fund continued Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
United States continued United States continued (14,586) Entergy Corp (1,096,138) (19,173) (865) Federated Investors Inc 'B' (24,635) 19 2,429 Enterprise Financial Services Corp 42,848 (4,154) 171 Federated National Holding Co 4,044 848 2,685 Entropic Communications Inc 8,861 203 1,364 FedEx Corp 197,016 5,225 154 Enventis Corp 2,087 12 1,890 FEI Co 157,456 (13,211) 336 Envestnet Inc 13,705 (803) (242) FEI Co (20,161) (745) (2,959) Envestnet Inc (120,698) (6,218) (10,445) FelCor Lodging Trust Inc (Reit) (106,643) (10,486) 12,504 Envivio Inc 26,634 (16,505) (705) Ferro Corp (9,172) 92 88,110 Enzon Pharmaceuticals Inc 79,299 (14,098) (39,144) Fibria Celulose SA ADR (363,648) 51,908 726 EOG Resources Inc 76,753 1,432 8,874 Fidelity & Guaranty Life 190,791 (13,311) 3,940 EP Energy Corp 'A' 78,564 3,507 (27,469) Fidelity National Financial Inc 'A' (922,134) 7,143 (1,732) EPAM Systems Inc (73,333) (4,647) 1,926 Fidelity National Information 485 EPL Oil & Gas Inc 18,643 1,140 Services Inc 103,975 1,177 2,352 ePlus Inc 133,476 10,325 1,731 Fidelity Southern Corp 23,109 (658) (5,064) EPR Properties (Reit) (274,469) (2,932) (3,650) Fidus Investment Corp (67,708) 5,840 1,499 EQT Corp 157,290 408 1,852 Fiesta Restaurant Group Inc 74,710 4,843 (828) EQT Corp (86,882) (1,462) (1,889) Financial Engines Inc (78,847) (831) (6,682) Equifax Inc (472,150) (1,700) (554) Finisar Corp (13,567) (637) 16,252 Equity Lifestyle Properties Inc (Reit) 708,100 14,556 (6,931) Finish Line Inc/The 'A' (200,375) 1,589 (2,265) Equity Residential (Reit) (139,683) (6,880) 1,187 FireEye Inc 39,242 1,159 78 Era Group Inc 2,293 (20) (16,627) First American Financial Corp (473,038) (14,904) (4,672) Erickson Air Crane Inc (76,434) 18,081 (2,758) First Bancorp Inc/ME (44,762) (276) (22,807) ESB Financial Corp (287,596) 16,421 (12,308) First BanCorp/Puerto Rico (61,540) 4,649 2,120 Essent Group Ltd 42,400 (6,129) (8,936) First Bancorp/Troy NC (165,137) 5,719 6,370 Estee Lauder Cos Inc/The 'A' 486,222 20,766 5,817 First Busey Corp 33,041 (2,327) 1,031 Esterline Technologies Corp 114,266 3,513 (6,461) First Cash Financial Services Inc (339,978) 5,880 (491) Ethan Allen Interiors Inc (11,701) 319 5,413 First Citizens BancShares Inc/NC 'A' 1,190,265 (60,904) 2,999 Euronet Worldwide Inc 143,442 4,212 (2,234) First Defiance Financial Corp (63,803) (3,018) (1,734) EverBank Financial Corp (33,137) (892) (983) First Financial Bancorp (16,082) (509) 21,807 EverBank Financial Corp 416,732 5,234 20,337 First Financial Bankshares Inc 1,224,694 6,106 (167) Evercore Partners Inc 'A' (9,305) 67 (307) First Financial Corp/IN (9,962) 442 3,732 Evertec Inc 89,419 1,828 13,904 First Financial Holdings Inc 817,555 (44,202) 3,396 Everyday Health Inc 59,939 13,793 10,378 First Financial Northwest Inc 114,988 8,606 (1,342) Everyware Global Inc (1,449) 3,531 191 First Interstate Bancsystem Inc 4,955 (132) 797 Evolution Petroleum Corp 9,046 (1,235) (1,162) First Majestic Silver Corp (9,784) 694 (13,117) EW Scripps Co 'A' (257,356) (16,021) (15,480) First Marblehead Corp/The (67,028) 22,593 12,063 Exa Corp 110,256 (35,618) 34,533 First Merchants Corp 694,804 (61,814) 9,907 Exactech Inc 232,220 9,973 2,242 First of Long Island Corp/The 86,429 2,426 (162) ExamWorks Group Inc (4,803) 878 27,886 First Security Group Inc/TN 57,027 3,038 (35,450) Exar Corp (387,469) 28,225 3,493 First Solar Inc 218,382 2,786 3,319 Excel Trust Inc (Reit) 44,176 2,688 218 Fiserv Inc 13,119 107 (29,262) EXCO Resources Inc (156,552) 19,323 (2,774) Five Below (97,978) 7,018 21,760 Exelis Inc 367,962 – 1,744 Five9 Inc 12,208 1,900 (7,402) Exelon Corp (270,395) (5,733) 1,941 Flagstar Bancorp Inc 33,424 (8,851) 375 ExlService Holdings 10,721 (94) 275 Fleetmatics Group Plc 8,030 154 (760) ExOne Co/The (22,101) 10,146 1,110 Flexsteel Industries Inc 37,496 (4,262) 879 Expedia Inc 64,272 2,420 33,834 Flextronics International Ltd 344,768 28,591 1,439 Express Inc 17,138 (8,484) (8,823) FLIR Systems Inc (305,452) (3,674) 373 Express Scripts Holding Co 26,511 1,625 (7,447) Flotek Industries Inc (215,814) (5,304) 1,589 Extended Stay America Inc 34,958 468 12,312 Flowers Foods Inc 262,246 9,390 28,922 Extreme Networks Inc 113,519 (53,940) 4,263 Flowserve Corp 314,268 (2,046) (14,000) Exxon Mobil Corp (1,407,140) (12,639) (4,758) Fluidigm Corp (134,889) 88,437 1,566 Ezcorp Inc 'A' 19,465 461 4,541 Fluor Corp 341,529 4,541 5,937 Fabrinet 110,844 (4,156) (5,533) FMC Corp (424,049) (24,069) 1,049 Facebook Inc 'A' 66,821 1,793 1,249 FMC Technologies Inc 72,280 2,923 370 FactSet Research Systems Inc 39,749 973 59,332 FNB Corp/PA 730,970 (23,518) (6,063) Fair Isaac Corp (360,749) (29,947) 1,027 Foot Locker Inc 49,686 1,471 (25,302) Fairchild Semiconductor 7,511 Forbes Energy Services Ltd 30,194 1,352 International Inc (371,686) (17,502) 16,776 Forestar Group Inc 291,064 (32,881) (16,012) Fairpoint Communications Inc (227,531) (13,130) (4,915) FormFactor Inc (35,486) (1,425) (226) Fairway Group Holdings Corp (1,510) 549 (2,715) Forrester Research Inc (103,170) (1,017) 1,169 Farmer Bros Co 23,298 (694) 51,587 Fortegra Financial Corp 370,911 (8,254) (5,972) Farmers Capital Bank Corp (114,543) 10,059 (3,723) Fortinet Inc (83,991) 672 (2,946) FARO Technologies Inc (125,087) 17,596 (4,388) Fortune Brands Home & Security Inc (176,003) (5,790) (3,426) Fastenal Co (167,360) (1,727) (8,820) Forum Energy Technologies Inc (294,412) (32,051) 5,060 FBR & Co 134,849 2,226 422 Forward Air 18,830 831 6,362 Federal Home Loan Mortgage Corp 28,311 2,608 (4,434) Forward Air Corp (197,845) 881
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 39 BlackRock Americas Diversified Equity Absolute Return Fund continued Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
United States continued United States continued 2,740 Fossil Group Inc 285,152 8,378 (1,834) Global Payments Inc (127,096) (799) (9,265) Foster Wheeler AG (312,972) (4,437) (9,048) Global Power Equipment Group Inc (150,016) 22,591 (8,197) Fox Chase Bancorp Inc (132,054) 7,541 7,274 Global Sources Ltd 59,720 7,410 (3,981) Francesca's Holdings Corp (62,462) 17,350 41,967 Globalstar Inc 141,009 13,603 1,083 Frank's International NV 25,667 (370) 1,531 Globe Specialty Metals Inc 30,620 284 (425) Franklin Covey Co (9,193) (192) (3,147) Globus Medical Inc 'A' (76,850) 1,127 17,541 Franklin Electric Co Inc 669,365 (18,797) 6,672 Glori Energy Inc 61,716 6,861 (48,663) Franklin Financial Corp/VA (972,287) (12,448) 6,060 GNC Holdings Inc 'A' 221,008 (3,879) 3,782 Franklin Street Properties Corp (Reit) 47,615 713 8,748 Gogo Inc 161,313 (8,812) (18,736) Fred's Inc (282,539) 70,811 (6,660) Golar LNG Ltd (308,957) (6,869) (2,547) Freescale Semiconductor Ltd (57,078) 2,812 35,155 Gold Reserve Inc 108,980 (1,758) (11,030) FreightCar America Inc (288,159) (21,122) 1,213 Gold Resource Corp 5,398 (61) 4,687 Fresh Del Monte Produce Inc 134,329 1,033 3,743 Goldman Sachs Group Inc/The 599,554 5,890 1,455 Fresh Market Inc /The 44,276 1,199 (39,459) Golub Capital BDC Inc (671,198) 82,075 (4,156) Fresh Market Inc/The (126,467) 11,259 55 Google Inc 'A' 31,208 1,726 (43,456) Frontier Communications Corp (251,610) (9,156) 13,091 Gordmans Stores Inc 55,637 (26,967) (6,856) Frontline Ltd/Bermuda (16,454) 11,107 410 Gorman-Rupp Co/The 12,944 201 (1,027) FTI Consulting Inc (32,669) (326) (3,521) Government Properties Income (183) Fuel Systems Solutions Inc (1,861) 49 Trust (Reit) (89,786) (2,601) (11,751) Fusion-io Inc (96,241) 32,533 (14,983) GrafTech International Ltd (157,471) (3,840) 5,232 FutureFuel Corp 90,147 105 (87) Graham Corp (2,490) 519 (14,851) FX Energy Inc (55,543) 7,077 43 Graham Holdings Co 'B' 29,059 (357) (9,661) FXCM Inc 'A' (129,844) 19,129 2,511 Gran Tierra Energy Inc 18,280 1,030 807 G & K Services Inc 'A' 41,964 (1,442) 1,066 Grand Canyon Education Inc 46,712 (3,251) (872) G-III Apparel Group Ltd (63,822) (747) (7,142) Granite Construction Inc (256,898) (1,130) (109,512) Gafisa SA ADR (332,916) (25,157) 30,982 Graphic Packaging Holding Co 338,943 19,931 299 Gain Capital Holdings Inc 2,395 (903) 1,875 Great Northern Iron Ore Properties 32,625 (8,475) 78 GAMCO Investors Inc 'A' 5,985 (376) 7,311 Greatbatch Inc 342,009 5,168 1,577 GameStop Corp 'A' 59,847 3,280 (1,330) Green Plains Inc (38,543) (715) 4,272 Gaming and Leisure 1,085 Green Plains Renewable Energy Inc 31,443 2,691 Properties Inc (Reit) 143,539 (2,974) 5,675 Greenbrier Cos Inc/The 315,360 58,754 4,715 Gannett Co Inc 131,501 2,462 (3,282) Greenbrier Cos Inc/The (182,381) (29,335) 741 Gap Inc/The 30,500 326 (2,646) Greenhill & Co Inc (132,141) (110) (8,528) Garmin Ltd (498,206) (22,422) 7,758 Greenlight Capital Re Ltd 'A' 247,635 (7,267) 652 GasLog Ltd 15,550 104 (16,469) Greif Inc 'A' (893,773) (32,349) (548) GATX Corp (35,768) (29) (7,759) Griffin Land & Nurseries Inc (215,778) 17,557 955 Geeknet Inc 13,418 66 6,441 Griffon Corp 76,133 (3,607) 8,274 General Cable Corp 207,760 7,422 (7,545) Group 1 Automotive Inc (607,976) (21,341) 244 General Communication Inc 'A' 2,769 66 (20,220) Groupon Inc (120,309) 43,306 5,594 General Electric 148,968 585 (804) GrubHub Inc (27,883) (2,564) 3,557 General Finance Corp 30,946 874 8,110 Grupo Aeroportuario del Centro Norte (15,817) General Growth Properties Inc (Reit) (374,388) (5,220) Sab de CV ADR 248,490 34,711 (2,839) General Mills Inc (155,378) (3,747) 5,244 Grupo Aeroportuario del Pacifico 3,000 General Motors Co 102,810 (1,160) SAB de CV ADR 324,499 3,671 (644) Genesco Inc (49,137) (1,984) (10,872) Grupo Televisa SAB ADR (372,583) (16,554) (3,633) Genesee & Wyoming Inc 'A' (351,093) (5,849) 11,780 GSE Holding Inc 1,178 (3,181) (18,979) GenMark Diagnostics Inc (212,185) 16,891 (173) GSI Group Inc (2,123) 41 12,875 Genpact Ltd 216,300 (4,787) 1,846 GSV Capital Corp 17,500 (6,184) 279 Gentherm Inc 11,514 2,709 (14,097) GT Advanced Technologies Inc (242,609) (27,800) (1,253) Gentiva Health Services Inc (17,078) (6,031) 1,076 GTT Communications Inc 11,707 1,316 4,042 Genuine Parts Co 347,935 6,225 1,278 Guess? Inc 33,202 (1,101) (17,839) Genworth Financial Inc 'A' (305,582) 18,046 (32,160) Guidance Software Inc (315,168) 30,530 (646) Geospace Technologies Corp (33,204) 14,312 (20,737) Guidewire Software Inc (800,033) (17,854) 40,575 Gerdau SA ADR 245,073 (1,540) 9,455 Guidewire Software Inc 364,774 7,740 4,959 German American Bancorp Inc 134,488 (10,166) (4,464) Gulf Island Fabrication Inc (88,566) 12,345 (10,716) Getty Realty Corp (Reit) (210,998) (11,807) 3,990 Gulfmark Offshore Inc 'A' 186,014 6,163 (2,177) GFI Group Inc (7,293) 776 4,672 Gulfport Energy Corp 294,663 3,304 (17,239) Gibraltar Industries Inc (274,617) 38,892 5,292 H&E Equipment Services Inc 182,098 (9,157) 1,378 Gilead Sciences Inc 112,211 1,833 1,601 H&R Block Inc 47,374 2,642 216 Glacier Bancorp Inc 5,748 139 43,874 Hackett Group Inc/The 264,560 (491) (70,564) Glimcher Realty Trust (Reit) (770,559) (86,794) (334) Haemonetics (11,516) (361) 28,931 Global Brass & Copper Holdings Inc 464,053 (13,019) 5,250 Haemonetics Corp 181,020 (8,312) 43,686 Global Cash Access Holdings Inc 389,242 6,990 (2,103) Hain Celestial Group Inc/The (193,034) (874) 548 Global Eagle Entertainment Inc 6,192 (3,332) 14,867 Hallador Energy Co 138,560 8,489 14,159 Global Geophysical Services Inc 780 (18,618) 691 Halliburton Co 44,162 1,091 (14,595) Global Indemnity Plc (399,611) (18,782) 25,892 Hallmark Financial Services Inc 252,706 30,294
40 BlackRock Strategic Funds (BSF) BlackRock Americas Diversified Equity Absolute Return Fund continued Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
United States continued United States continued (5,955) Hampton Roads Bankshares Inc (10,183) (419) 441 Hingham Institution for Savings 32,634 857 3,490 Hancock Holding Co 117,683 535 (6,322) Hittite Microwave Corp (368,193) 14,355 (6,550) Hanesbrands Inc (552,296) (14,987) 2,862 Hittite Microwave Corp 166,683 2,670 8,834 Hanger Inc 268,465 (7,673) 274 HMS Holdings Corp 5,157 419 2,699 Hanmi Financial Corp 58,568 (8,394) (5,808) HMS Holdings Corp (109,307) (10,025) (6,478) Hannon Armstrong Sustainable 7,642 HNI Corp 285,964 4,269 Infrastructure Capital Inc (91,275) 3,076 3,151 HollyFrontier Corp 155,848 1,260 (959) Hanover Insurance Group Inc/The (58,451) (131) (4,748) HollyFrontier Corp (234,836) 427 3,006 Hanover Insurance Group Inc/The 183,216 4,398 (8,726) Home Bancorp Inc (183,421) (4,676) (71,754) Hansen Medical Inc (100,456) 63,861 4,337 Home BancShares Inc/AR 134,794 3,886 3,295 Harbinger Group Inc 39,540 (2,405) 401 Home Depot Inc/The 31,928 654 (414) Harley-Davidson Inc (29,454) (52) (302) Home Loan Servicing Solutions Ltd (6,783) (32) 319 Harman International Industries Inc 33,897 240 3,919 Home Loan Servicing Solutions Ltd 88,021 4,284 19,632 Harmonic Inc 144,492 15,117 (952) Home Properties Inc (Reit) (59,091) 126 8,907 Harsco Corp 237,104 43,514 54,131 HomeStreet Inc 974,358 (32,320) 19,545 Harte-Hanks Inc 145,219 (16,027) 8,668 Honeywell International Inc 803,090 9,356 9,218 Harvard Bioscience Inc 38,347 (3,872) 14,792 Horace Mann Educators Corp 434,145 1,769 718 Harvest Natural Resources Inc 3,468 517 (5,215) Horizon Pharma Inc (75,722) (3,723) 2,401 Hasbro Inc 128,958 261 159 Hormel Foods Corp 7,805 7 (8,180) Hatteras Financial Corp (Reit) (165,890) (1,083) (7,511) Horsehead Holding Corp (126,185) 5,189 3,130 Haverty Furniture Cos Inc 78,720 (12,356) (20,047) Hospira Inc (974,685) (67,235) 3,826 Hawaiian Electric Industries Inc 91,805 (279) 17,492 Host Hotels & Resorts Inc (Reit) 383,949 9,096 (208) Haynes International Inc (11,082) (605) (10,644) Houghton Mifflin Harcourt Co (191,805) (466) (722) HB Fuller Co (34,627) (780) 2,385 Houston Wire & Cable Co 28,489 (1,184) 5,702 HB Fuller Co 273,468 475 (17,864) Hovnanian Enterprises Inc 'A' (85,033) 2,165 581 HCA Holdings Inc 30,764 (263) 6,092 HSN Inc 336,705 (4,407) 126 HCP Inc 5,273 (52) (633) Hub Group Inc 'A' (29,909) (1,074) (4,813) Hd Supply Holdings Inc (125,860) (1,740) 4,577 Hub Group Inc 'A' 216,263 23,736 (5,767) Health Insurance Innovations Inc 'A' (55,133) 12,918 968 Hubbell Inc 'B' 113,208 1,132 (1,234) Health Net Inc/CA (49,237) (388) (81,732) Hudson City Bancorp Inc (805,878) (15,178) 4,572 Health Net Inc/CA 182,423 1,339 (5,272) Hudson Pacific Properties Inc (Reit) (125,210) (1,346) (15,797) Healthcare Realty Trust Inc (Reit) (393,503) (1,470) (23,582) Hudson Valley Holding Corp (424,004) 36,804 4,314 Healthcare Services Group Inc 128,859 4,027 (867) Humana Inc (107,820) (4,528) (20,085) Healthcare Services Group Inc (599,939) (47,200) 946 Huntington Ingalls Industries Inc 94,061 2,819 (3,377) Healthcare Trust of America Inc 'A' 4,149 Huntsman Corp 111,152 7,302 (Reit) (40,862) (203) (97) Hurco Cos Inc (2,670) (176) (7,030) Healthways Inc (122,674) (11,347) 175 Huron Consulting Group Inc 11,825 236 (17,755) Heartland Express Inc (389,722) 5,172 7,325 Hyatt Hotels Corp 'A' 442,137 29,037 494 Heartland Payment Systems Inc 20,447 219 530 Hyster-Yale Materials Handling Inc 44,721 (9,169) (3,231) HeartWare International Inc (297,834) 1,618 33,572 IAMGOLD Corp 102,395 (11,569) 870 Hecla Mining Co 2,384 (167) (19,444) ICG Group Inc (379,158) 10,305 (63,423) Hecla Mining Co (173,779) 39,906 4,178 ICON Plc 174,264 (16,366) 3,198 HEICO Corp 168,279 1,171 4,652 Iconix Brand Group Inc 196,826 4,269 (2,030) Heidrick & Struggles International Inc (38,144) 1,137 4,536 ICU Medical Inc 274,927 7,957 (3,457) Helen of Troy Ltd (202,079) 28,683 210 IDACORP Inc 11,558 349 26,782 Helix Energy Solutions Group Inc 619,735 (1,559) 13,375 IDT Corp 'B' 215,739 (10,165) (2,969) Helmerich & Payne Inc (326,174) (11,627) (6,075) iGATE Corp (214,387) (9,993) 1,456 Hemisphere Media Group Inc 16,569 (868) (3,333) Ignite Restaurant Group Inc (50,962) (3,216) (1,605) Henry Schein Inc (190,818) (7,527) 3,573 Ignyta Inc 25,726 1,621 49,147 Heritage Financial Group Inc 907,745 (27,821) (963) IHS Inc 'A' (121,377) (4,032) 40,365 Heritage Oaks Bancorp 294,261 (25,026) 12,511 II-VI Inc 173,653 (26,698) (6,390) Heritage-Crystal Clean Inc (109,141) (3,101) 585 Imax Corp 14,935 353 416 Herman Miller Inc 13,037 (165) 13,653 Immersion Corp 148,272 6,280 (8,096) Hersha Hospitality Trust (Reit) (51,248) (1,305) (6,113) Impax Laboratories Inc (169,391) (9,918) (7,842) Hewlett-Packard Co (262,942) (869) 21,430 Imperial Holdings Inc 141,009 23,573 2,861 Hewlett-Packard Co 95,929 3,204 3,070 IMS Health Holdings Inc 74,939 749 8,653 Hexcel Corp 355,984 648 (16,164) inContact Inc (134,808) 22,953 11,709 HFF Inc 'A' 378,903 (10,320) (43) Incyte Corp Ltd (2,110) 81 2,030 hhgregg Inc 18,778 503 (16,408) Independence Holding Co (231,845) (8,543) (9,779) Hibbett Sports Inc (508,801) 46,721 (14,616) Independent Bank Corp (191,031) (3,844) 2,232 Higher One Holdings Inc 8,169 (1,783) (24,835) Independent Bank Corp/Rockland MA (902,504) 45,945 (7,035) Hill-Rom Holdings Inc (278,305) (7,954) (946) Independent Bank Group Inc (44,046) 918 553 Hillenbrand Inc 16,767 (870) (7,813) Infinera Corp (72,192) (6,172) 123 Hillshire Brands Co 6,494 1,970 353 Infinera Corp 3,262 279 (6,331) Hillshire Brands Co/The (334,277) (402) 561 Infinity Property & Casualty Corp 36,168 (342) 10,998 Hilltop Holdings Inc 228,758 (854) (281) Infoblox Inc (3,602) 2,759
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 41 BlackRock Americas Diversified Equity Absolute Return Fund continued Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
United States continued United States continued 1,760 Informatica Corp 64,645 370 1,577 Jack in the Box Inc 90,678 (2,795) 5,389 Ingles Markets Inc 'A' 146,581 18,376 13,771 Jacobs Engineering Group Inc 756,166 10,316 17,290 Ingram Micro Inc 'A' 477,896 24,033 (7,333) JAKKS Pacific Inc (64,457) (5,318) (207) Ingredion Inc (15,691) (336) (14,100) Jamba Inc (150,165) 32,378 63,258 Inland Real Estate Corp (Reit) 671,167 11,527 1,925 Janus Capital Group Inc 22,638 1,136 (863) InnerWorkings Inc (6,636) 331 (52,665) Janus Capital Group Inc (619,340) (15,086) 144 Innophos Holdings Inc 7,569 (385) (1,060) JB Hunt Transport Services Inc (82,320) (579) (119) Innospec Inc (4,990) 241 (4,558) JC Penney Co Inc (41,387) (3,521) (480) Innovative Solutions & Support Inc (3,240) 552 17,433 JDS Uniphase Corp 191,240 2,908 4,234 Inogen Inc 72,232 (6,363) (3,625) JetBlue Airways Corp (34,873) (1,317) 10,299 Inphi Corp 155,103 (5,767) 6,231 JGWPT Holdings Inc 'A' 66,609 (26,545) (127) Insperity Inc (4,064) (413) (14,792) Jive Software Inc (122,034) 6,052 382 Installed Building Products Inc 5,161 85 (207) JM Smucker Co/The (21,325) (497) 3,566 Insulet Corp 132,370 10,817 6,076 John B Sanfilippo & Son Inc 156,214 17,966 (14,508) Integra LifeSciences Holdings Corp (662,000) 16,359 9,342 John Bean Technologies Corp 271,759 (16,909) (3,752) Integrated Device Technology Inc (50,277) (4,605) (8,598) John Wiley & Sons Inc 'A' (472,632) (2,923) (2,807) Integrys Energy Group Inc (161,234) 9,183 1,487 Johnson Controls Inc 71,748 5,383 14,999 Inteliquent Inc 221,535 6,321 2,988 Johnson Outdoors Inc 'A' 73,535 4,751 541 Intelsat SA 10,452 249 (2,921) Jones Lang LaSalle Inc (352,389) (5,636) (10,459) Inter Parfums Inc (315,757) 42,223 349 Jones Lang LaSalle Inc 42,103 691 3,545 Interactive Brokers Group Inc 'A' 81,287 1,357 675 Jos A Bank Clothiers Inc 43,281 (68) 4,779 Interactive Intelligence Group Inc 242,056 (17,782) 5,530 Journal Communications Inc 'A' 46,010 (3,217) (401) Intercept Pharmaceuticals Inc (95,010) 18,116 (14,403) Joy Global Inc (826,156) 15,207 157 IntercontinentalExchange Group Inc 30,711 648 4,901 JPMorgan Chase & Co 273,574 11,321 (2,190) InterDigital Inc/PA (83,308) (15,199) (9,263) JTH Holding Inc 'A' (254,825) (3,798) 16,716 Interface Inc 306,739 9,519 313 Juniper Networks Inc 7,828 94 (255) Interface Inc (4,679) 527 3,370 K12 Inc 77,072 (640) 24,500 Intermolecular Inc 59,780 (7,840) 1,203 Kadant Inc 45,413 (1,160) (3,190) InterMune Inc (126,133) (14,451) 2,285 Kaiser Aluminum Corp 157,551 (9,253) (3,250) International Business Machines Corp (595,660) 10,335 (722) Kansas City Life Insurance Co (31,147) 4,043 2,570 International Flavors & Fragrances Inc 256,846 9,511 1,447 Kansas City Southern 155,191 1,653 11,530 International Game Technology 144,067 1,557 9,856 KapStone Paper and Packaging Corp 287,667 (4,953) 1,138 International Paper Co 53,532 228 (16,366) Kate Spade & Co (596,050) (12,046) 11,758 International Rectifier Corp 317,466 361 (1,177) KB Home (19,538) 956 (3,337) International Speedway Corp 'A' (104,181) (1,357) 8,396 KBR Inc 203,183 (14,713) (75) InterOil Corp (4,922) (389) (30,984) KCAP Financial Inc (248,492) 5,272 13,882 Intersections Inc 59,276 (30,957) (47,514) Kearny Financial Corp (669,947) 21,381 (8,692) Intersil Corp 'A' (122,036) (3,472) (13,994) Kellogg Co (958,169) (17,467) 17,134 Interval Leisure Group Inc 350,219 7,244 (448) Kelly Services Inc 'A' (7,970) 3,306 (2,491) Intevac Inc (18,234) 869 (180) Kemper Corp (6,356) 671 (8,952) INTL. FCStone Inc (165,433) 306 (3,167) Kennametal Inc (142,800) 4,237 3,016 IntraLinks Holdings Inc 25,998 (5,730) (12,427) Key Energy Services Inc (102,398) (2,456) 2,512 Intrawest Resorts Holdings Inc 29,265 (88) 4,957 Key Tronic Corp 52,643 991 (41,562) Intrepid Potash Inc (675,383) (21,770) 1,741 KeyCorp 23,956 1,027 (616) Intrexon Corp (13,139) 3,940 (12,190) KEYW Holding Corp/The (132,749) 119,706 (170) Intuitive Surgical Inc (63,271) (1,134) 15,455 Kforce Inc 338,619 1,236 (4,492) Inventure Foods Inc (56,734) 4,518 4,427 Kimball International Inc 'B' 71,850 (11,289) 1,080 Invesco Ltd 39,550 1,751 19,691 Kinder Morgan Inc/DE 658,861 8,535 3,101 Invesco Mortgage Capital Inc (Reit) 54,516 2,481 (204) Kindred Healthcare Inc (5,171) (219) (27,373) Investors Bancorp Inc (293,302) (6,239) 18,566 Kinross Gold Corp 69,251 (5,312) 6,900 Investors Real Estate Trust (Reit) 61,686 821 100 Kirby Corp 11,054 558 59 Investors Title Co 3,971 (485) 9,335 Kirkland's Inc 163,736 (8,775) 597 ION Geophysical Corp 2,501 113 2,050 KMG Chemicals Inc 33,989 (595) (759) Iron Mountain Inc (23,567) (138) (173) Knight Transportation Inc (4,244) (315) 1,341 Isis Pharmaceuticals Inc 39,962 5,726 (377) Knightsbridge Tankers Ltd (5,176) 215 (8,363) Isle of Capri Casinos Inc (58,457) 8,948 2,014 Knoll Inc 35,809 586 (1,078) Isramco Inc (136,626) 17,690 6,893 Knowles Corp 194,658 (14,140) 12,036 Itau Unibanco Holding SA ADR (Pref) 189,868 (845) (3,385) Kohl's Corp (185,227) (8,496) 811 ITC Holdings 29,674 (208) (171) Kona Grill Inc (3,499) (148) 13,970 ITT Corp 607,276 (2,920) (38,200) Kopin Corp (124,532) 26,358 (176) ITT Educational Services Inc (3,001) 2,144 3,373 Koppers Holdings Inc 122,507 (1,210) 1,899 Ixia 22,218 (3,665) (1,442) Korn/Ferry International (43,808) (588) 38,266 IXYS Corp 438,146 (9,184) 4,539 Korn/Ferry International 137,895 7,749 2,473 j2 Global Inc 117,245 1,559 4,565 Kraft Foods Group Inc 268,239 8,034 (28,415) Jabil Circuit Inc (535,907) (20,664) 2,096 Kraton Performance Polymers Inc 52,400 (3,375) 132 Jack Henry & Associates Inc 7,698 239 (7,998) Krispy Kreme Doughnuts Inc (152,682) (2,855)
42 BlackRock Strategic Funds (BSF) BlackRock Americas Diversified Equity Absolute Return Fund continued Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
United States continued United States continued 810 Kroger Co/The 38,167 672 1,830 Lorillard Inc 111,721 7,011 (11,033) Kronos Worldwide Inc (166,598) (1,876) 12,693 Louisiana-Pacific Corp 181,002 (1,855) (22,620) KVH Industries Inc (305,596) (5,529) 328 Lowe's Cos Inc 15,308 669 2,822 L&L Energy Inc 1,157 (3,584) 10 LPL Financial Holdings Inc 474 2 600 La-Z-Boy Inc 14,796 (626) (4,961) LPL Financial Holdings Inc (235,102) 572 (1,894) La-Z-Boy Inc (46,706) 4,571 (2,021) LSB Industries Inc (76,838) (5,819) (8,100) Laboratory Corp of America Holdings (827,901) (17,969) 13,023 LSI Industries Inc 104,575 – 7,284 Laclede Group 337,613 3,067 5,756 LTC Properties Inc (Reit) 227,880 6,487 1,153 Ladder Capital Corp 'A' 20,535 (1,500) 1,242 Luby's Inc 6,285 (1,277) 5,230 Lakeland Financial Corp 190,895 (13,906) 1,890 Luminex Corp 32,584 (5,632) (6,807) Lam Research Corp (421,081) (8,693) 1,873 Lumos Networks Corp 27,814 2,016 2,117 Lam Research Corp 130,958 12,962 1,958 Lydall Inc 53,649 9,899 8,279 Lamar Advertising Co 'A' 410,224 (2,566) 8,467 LyondellBasell Industries NV 'A' 841,535 35,138 707 Lancaster Colony Corp 63,651 734 (613) M&T Bank Corp (74,596) (1,821) 1,849 Lands' End Inc 50,237 1,153 (4,719) M/A-COM Technology Solutions (3,922) Landstar System Inc (256,499) (614) Holdings Inc (84,753) 11,187 (1,713) Lannett (71,963) (9,378) (6,490) M/I Homes Inc (150,763) (4,529) 1,312 Lannett Co Inc 55,117 (2,335) (29,973) Macatawa Bank Corp (152,862) 4,438 1,491 Laredo Petroleum Inc 41,122 (3,227) (10,270) Macerich Co/The (Reit) (675,355) (28,702) 3,857 Las Vegas Sands Corp 296,950 12,903 2,413 Macquarie Infrastructure Co LLC 147,531 4,855 (24,583) Latam Airlines Group SA ADR (356,945) 1,966 1,579 Macy's Inc 94,203 3,201 7,764 Lattice Semiconductor Corp 62,306 2,576 (5,553) Madison Square Garden Co/The 'A' (306,581) (20,984) (678) Layne Christensen Co (10,292) 1,562 263 Magellan Health Services Inc 15,990 390 (10,353) LCNB Corp (158,711) 17,201 5,631 magicJack VocalTec Ltd 79,256 (16,077) (464) LDR Holding Corp (10,737) 53 5,338 Magnachip Semiconductor Corp 66,138 (10,356) (7,927) LeapFrog Enterprises Inc (55,013) 240 (16,204) Magnum Hunter Resources Corp (124,609) (99) 5,349 Lear Corp 472,531 19,620 148 Main Street Capital Corp 4,625 (247) (10,525) Legg Mason Inc (517,514) (10,557) 1,434 MainSource Financial Group Inc 24,321 829 (13,328) Leggett & Platt Inc (451,286) (12,697) (1,923) Mallinckrodt Plc (148,571) (13,491) (13,829) Leidos Holdings Inc (524,949) (6,025) 31,042 Manhattan Associates Inc 1,008,865 (119,467) (296) Lennar Corp 'A' (12,083) (690) (3,909) Manitowoc Co Inc/The (106,520) 1,055 4,427 Lennox International Inc 375,719 1,007 26,588 Manning & Napier Inc 447,742 43,654 3,788 Leucadia National Corp 96,746 1,439 (306) MannKind Corp (2,711) (336) (3,855) Level 3 Communications Inc (167,693) (15,308) 12,311 Manpowergroup Inc 1,009,502 28,021 22,191 Lexington Realty Trust (Reit) 251,646 2,707 (6,151) ManTech International Corp/VA 'A' (181,947) 6,140 (4,136) Lexmark International Inc 'A' (179,296) (656) 8,769 Marathon Oil Corp 321,121 3,508 1,504 Lexmark International Inc 'A' 65,198 (301) 2,587 Marathon Petroleum Corp 231,278 5,272 (1,610) Libbey Inc (43,663) (4,444) 9,057 Marcus & Millichap Inc 186,665 29,130 8,957 Liberty Interactive Corp 'A' 260,111 3,418 9,001 Marcus Corp/The 152,297 21,692 412 Liberty Media Corp 'A' 52,369 191 553 Marin Software Inc 5,524 (116) 396 Liberty Ventures 'A' 26,176 888 (3,352) Markel Corp (2,134,185) (34,140) (13,269) Life Time Fitness Inc (705,911) (58,228) (8,050) MarketAxess Holdings Inc (434,459) 3,799 18,203 LifeLock Inc 206,786 (25,942) (487) Marketo Inc (11,688) 517 (14,178) LifePoint Hospitals Inc (875,208) (38,509) 7,005 Marlin Business Services Corp 146,194 4,664 (7,651) Lifeway Foods Inc (100,611) 7,789 358 Marlin Midstream Partners LP 6,859 430 107,642 Lihua International Inc 1 (566,196) (7,149) Marrone Bio Innovations Inc (78,639) 24,135 84,520 Limelight Networks Inc 189,325 10,142 (845) Marsh & McLennan Cos Inc (42,275) (1,822) (7,637) Limoneira Co (177,866) (8,883) (876) Martha Stewart Living (418) Lin Media Llc 'A' (10,555) (1,714) Omnimedia Inc 'A' (4,126) 433 (1,246) Lincoln Educational Services Corp (4,859) 511 (982) Martin Marietta Materials Inc (120,992) (4,043) (165) Lincoln Electric Holdings Inc (10,862) (247) 1,073 Marvell Technology Group Ltd 16,889 590 2,172 Lincoln National Corp 104,712 742 745 Masco Corp 15,854 842 (1,218) Lindsay Corp (103,372) (964) 415 MasTec Inc 15,853 (333) 5,935 Linear Technology Corp 274,078 11,573 3,845 MasterCard Inc 'A' 294,911 13,919 (38) LinkedIn Corp 'A' (6,178) (283) 1,231 Matador Resources Co 30,726 1,463 3,435 LinnCo LLC 95,218 (1,093) 5,704 Materion Corp 191,883 2,127 8,670 Lions Gate Entertainment Corp 227,587 6,502 8,767 Matrix Service Co 285,278 6,575 1,147 Liposcience Inc 3,670 (826) 14,474 Matson Inc 357,797 (1,107) 6,687 Littelfuse Inc 587,453 (32,242) (2,918) Mattel Inc (113,335) (117) (8,449) Live Nation Entertainment Inc (200,410) (20,345) (7,998) Matthews International Corp 'A' (326,318) 156 (24,817) LivePerson Inc (238,988) 61,546 (8,390) Mattress Firm Holding Corp (378,892) (5,900) 2,113 LKQ Corp 59,122 (803) (1,353) Maui Land & Pineapple Co Inc (10,743) 1,088 1,049 LMI Aerospace 14,686 366 141 MAXIMUS Inc 6,310 217 12,346 Loews Corp 534,211 1,002 1,515 MaxLinear Inc 'A' 13,877 702 (15,360) Logitech International SA (199,680) 21,657 (1,205) Maxwell Technologies Inc (20,678) (4,661) 2,786 LogMeIn Inc 118,656 (5,120) 86,652 Maxygen Inc 2,600 (216,630)
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 43 BlackRock Americas Diversified Equity Absolute Return Fund continued Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
United States continued United States continued 163 MB Financial Inc 4,435 23 (6,527) Mitek Systems Inc (21,539) 9,651 23,204 MBIA Inc 273,575 (9,140) 20,708 MKS Instruments Inc 602,603 12,576 (7,643) McClatchy Co/The 'A' (39,514) 7,567 3,319 Mobile Mini Inc 145,239 7,524 (627) McCormick & Co Inc/MD (45,269) (1,078) (6,176) Mobile Mini Inc (270,262) (2,285) (18,262) McDermott International Inc (135,321) 6,587 (3,797) Model N Inc (41,881) (4,647) (1,476) McDonald's Corp (148,869) 2,421 (6,577) Modine Manufacturing Co (100,299) (2,294) 7,541 MCG Capital Corp 25,639 (3,469) 2,489 Moelis & Co 75,690 1,761 (13,508) McGrath RentCorp (464,810) (8,645) (319) Mohawk Industries Inc (43,113) (976) (995) McGraw-Hill Cos Inc/The (80,764) (1,777) (8,085) Molina Healthcare Inc (350,970) (28,191) 558 McKesson Corp 104,776 3,555 (6,689) Molycorp Inc (18,595) 13,414 (1,394) MDC Holdings Inc (40,314) (1,080) (4,262) MoneyGram International Inc (57,409) 12,594 551 MDC Partners Inc 'A' 11,709 (1,209) 1,930 Monolithic Power Systems Inc 76,409 2,973 (3,577) MDC Partners Inc 'A' (76,011) 8,709 (8,599) Monro Muffler Brake Inc (461,766) 60,945 3,475 Mead Johnson Nutrition Co 308,615 8,383 2,883 Monsanto Co 350,573 17,875 (13,618) MeadWestvaco Corp (553,980) (27,233) 1,984 Monster Beverage Corp 137,035 (2,496) (5,939) Measurement Specialties Inc (379,086) (7,661) 9,290 Monster Worldwide Inc 52,303 (21,739) 922 Medallion Financial Corp 12,530 341 229 Montpelier Re Holdings Ltd 7,234 127 (354) MedAssets Inc (8,400) 33 (2,590) Montpelier Re Holdings Ltd (81,818) (830) 1,756 MedAssets Inc 41,670 (1,375) (1,845) Moody's Corp (156,899) (3,954) 1,432 MedCath Corp 1,962 (9,150) (7,861) Moog Inc 'A' (568,036) (21,153) (9,280) Media General Inc (166,762) (7,935) 3,501 Morgan Stanley 108,391 4,936 19,809 Medical Action Industries Inc 139,257 1,981 (549) Morgans Hotel Group Co (4,343) 33 (4,253) Medicines Co/The (117,681) (6,892) (76,603) MoSys Inc (267,344) 123,207 (291) Medidata Solutions Inc (11,273) 343 2,156 Motorcar Parts of America Inc 53,728 798 2,889 Medifast Inc 90,570 12,654 (3,181) Motorola Solutions Inc (213,222) (2,096) 3,384 MEDNAX Inc 196,272 3,367 15,152 Movado Group Inc 584,110 (85,847) (3,261) Men's Wearhouse Inc/The (158,256) 3,037 9,041 Move Inc 119,251 11,822 22,527 Mentor Graphics Corp 478,699 17,414 15,452 MRC Global Inc 446,408 9,463 (112) Mercantile Bank Corp (2,352) 82 (8,875) MSA Safety Inc (482,623) (12,367) (39,104) Mercer International Inc (348,026) (25,932) (8,529) MSC Industrial Direct Co Inc 'A' (784,156) (19,835) 2,011 Merchants Bancshares Inc 61,718 (3,399) (1,039) MSCI Inc (44,926) 233 746 Merck & Co Inc 43,067 1,085 (5,476) MTS Systems Corp (366,782) 14,046 (3,479) Mercury General Corp (164,661) 1,670 6,803 Mueller Industries Inc 197,627 2,004 (609) Meredith Corp (27,435) 122 845 Mueller Water Products Inc 'A' 7,174 (178) 2,634 Merge Healthcare Inc 6,006 (1,133) (9,041) Multi-Color Corp (315,260) 287 3,815 Meridian Bioscience Inc 78,131 (4,891) (2,123) Multi-Fineline Electronix Inc (22,652) 8,131 5,159 Meridian Interstate Bancorp Inc 133,205 (6,888) (2,190) Murphy Oil Corp (134,816) (1,007) 838 Merit Medical Systems Inc 11,900 968 7,218 Murphy USA Inc 366,169 67,560 (2,966) Meritor Inc (41,227) (1,559) (2,983) Murphy USA Inc (151,328) (12,406) (4,483) Mesa Laboratories Inc (362,899) 43,974 (100) MWI Veterinary Supply Inc (13,925) 179 76,527 Metalico Inc 94,128 (54,334) 1,246 MWI Veterinary Supply Inc 173,505 751 263 Methode Electronics Inc 8,158 (710) 733 Mylan Inc/PA 36,745 2,688 (2,072) Methode Electronics Inc (64,273) (3,714) 6,950 MYR Group Inc 175,348 4,448 463 MetLife Inc 23,641 625 818 Myriad Genetics Inc 27,411 (3,566) (1,073) Metro Bancorp Inc (23,552) (2,314) (23,277) Nabors Industries Ltd (604,504) (10,372) (110) MGE Energy Inc (4,159) 166 862 NACCO Industries Inc 'A' 46,660 300 (7,630) MGIC Investment Corp (65,542) (411) 1,007 NanoString Technologies Inc 15,478 (5,287) 346 Michael Kors Holdings Ltd 32,784 1,204 (10,970) NASB Financial Inc (253,297) 21,940 6,273 Micrel Inc 67,184 1,882 (6,038) Nathan's Famous Inc (297,613) 801 15,396 MicroFinancial Inc 119,165 (5,543) 15,926 National American University 408 Micron Technology Inc 11,738 791 Holdings Inc 54,148 (7,485) 12,234 MICROS Systems Inc 651,705 14,520 33,862 National Bank Holdings Corp 'A' 671,822 (7,450) 22,807 Microsemi Corp 557,859 2,184 (16,529) National Bankshares Inc (528,928) 58,843 (1,748) MicroStrategy Inc 'A' (247,587) (26,538) 7,735 National Beverage Corp 148,744 (15,702) (536) Mid-America Apartment 5,745 National CineMedia Inc 90,197 2,184 Communities Inc (Reit) (38,437) (3) (661) National Fuel Gas Co (49,416) (264) 562 Middleburg Financial Corp 10,065 (321) 22,735 National Instruments Corp 645,901 2,474 911 Middleby Corp 216,244 6,196 (4,636) National Interstate Corp (134,444) 4,636 1,525 MidSouth Bancorp Inc 28,899 980 (3,802) National Oilwell Varco Inc (310,814) (1,072) (1,008) Midstates Petroleum Co Inc (5,846) (605) 700 National Oilwell Varco Inc 57,225 846 588 MidWestOne Financial Group Inc 13,877 82 176 National Penn Bancshares Inc 1,808 74 (3,151) Millennial Media Inc (12,572) 8,240 1,150 National Research Corp 'B' 46,920 311 (10,673) Miller Energy Resources Inc (57,421) 15,049 1,568 National Retail Properties Inc (Reit) 55,147 261 128 Minerals Technologies Inc 7,986 539 1,062 National Western Life Insurance Co 'A' 256,898 5,108 3,102 Mistras Group Inc 71,966 1,908 1,209 Nationstar Mortgage Holdings Inc 42,762 5,233 (852) Mitcham Industries Inc (11,511) 571 (1,533) Natural Gas Services Group Inc (46,588) 1,309
44 BlackRock Strategic Funds (BSF) BlackRock Americas Diversified Equity Absolute Return Fund continued Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
United States continued United States continued (1,589) Natural Grocers by Vitamin Cottage Inc (32,797) 33,764 609 Northrim BanCorp Inc 15,079 (359) 6,205 Nature's Sunshine Products Inc 93,447 7,621 1,488 Northrop Grumman Corp 178,694 1,339 10,046 Natus Medical Inc 248,438 (11,854) 1,872 NorthStar Realty Finance Corp (Reit) 30,869 1,361 (1,855) Navigant Consulting Inc (31,275) 1,062 797 Northwest Bancshares Inc 10,696 175 291 Navigators Group Inc/The 18,141 267 7,498 Northwest Natural Gas Co 339,210 26,618 (7,746) Navistar International Corp (268,864) (6,184) (2,804) Northwest Pipe Co (102,318) (4,241) (43,513) NBT Bancorp Inc (1,001,669) 54,417 30,106 NorthWestern Corp 1,429,132 25,332 1,589 NCI Building Systems Inc 26,743 79 (886) Norwegian Cruise Line Holdings Ltd (29,477) 583 18,695 NCR Corp 610,205 (16,871) 3,967 Norwegian Cruise Line Holdings Ltd 131,982 2,460 (3,710) Nektar Therapeutics (44,594) (3,532) 8,941 Novatel Wireless Inc 14,753 (3,934) 7,654 Nelnet Inc 'A' 316,646 (10,185) (2,405) NPS Pharmaceuticals Inc (65,921) (1,178) 8,330 Neogen Corp 310,292 (24,732) 199 NRG Energy Inc 7,088 423 (6,515) Neogen Corp (242,684) 50,938 (922) NRG Yield Inc 'A' (43,325) (8,842) 845 NeoGenomics Inc 2,865 (25) 1,274 Nu Skin Enterprises Inc 'A' 94,518 (3,971) (3,999) Neonode Inc (14,436) 12,437 (26,678) Nuance Communications Inc (434,585) 8,789 7,890 Net 1 UEPS Technologies Inc 87,974 5,602 650 Nucor Corp 33,144 (184) 500 Net Element Inc 1,150 122 (10,029) Numerex Corp 'A' (115,534) 12,637 7,969 NetApp Inc 294,375 12,678 (1,829) NuVasive Inc (61,509) (260) (290) Netflix Inc (120,599) (9,950) (2,948) Nuverra Environmental Solutions (50,352) (5,395) (14,736) NETGEAR Inc (488,056) 11,034 (2,911) NVE Corp (159,086) (15) 765 NetSuite Inc 62,470 2,691 (19,822) NVIDIA Corp (374,834) (3,643) (2,629) NetSuite Inc (214,684) (25,975) (84) NVR Inc (94,109) 33 (263) NeuStar Inc 'A' (7,503) 114 10,707 NXP Semiconductor NV 664,691 19,072 (8,764) New Jersey Resources Corp (477,375) (23,881) (4,187) NxStage Medical Inc (57,781) 42 7,762 New Jersey Resources Corp 422,796 52,865 1,917 Oasis Petroleum Inc 94,987 2,837 6,424 New Mountain Finance Corp 91,670 (3,662) 1,074 Ocean Rig UDW Inc 19,375 1,452 20,445 New Residential Investment 8,168 Oceaneering International Inc 592,997 (2,784) Corp (Reit) 130,746 307 (113) OceanFirst Financial Corp (1,863) 143 487 New York Community Bancorp 7,485 190 134 Ocera Therapeutics Inc 925 (969) (56,922) New York Mortgage Trust Inc (Reit) (450,822) (18,784) (1,690) Oclaro Inc (3,600) 1,393 (40,733) New York Times Co/The 'A' (601,626) 45,117 9,641 Ocwen Financial Corp 336,953 1,368 11,089 NewBridge Bancorp 83,500 4,296 (66,982) Odyssey Marine Exploration Inc (93,105) 73,010 750 Newell Rubbermaid Inc 21,900 (38) (81,280) Office Depot Inc (422,656) 10,512 (3,159) Newfield Exploration Co (115,082) (3,541) (3,039) OFG Bancorp (54,915) (2,402) 637 Newfield Exploration Co 23,206 1,949 395 Oi SA ADR 337 4 932 NewMarket Corp 363,825 11,818 200 Oil-Dri Corp of America 6,594 (174) (273) NewMarket Corp (106,571) (1) 2,442 Old Republic International Corp 41,612 1,249 502 Newmont Mining Corp 11,441 (753) (4,151) Olin Corp (112,866) (340) 446 Newpark Resources Inc 5,044 (9) 286 Olympic Steel Inc 6,893 (861) 34,723 Newport Corp 643,764 (89,933) 20,584 OM Group Inc 624,107 (12,406) (5,891) News Corp 'A' (100,854) (1,473) 12,830 Omega Protein Corp 185,907 22,452 (21,027) NewStar Financial Inc (283,865) 27,349 1,457 OmniAmerican Bancorp Inc 35,026 2,625 (4,487) Nexstar Broadcasting Group Inc 'A' (207,165) (38,510) 1,028 Omnicare Inc 65,381 239 (639) NGP Capital Resources Co (4,083) 578 2,401 Omnicell Inc 63,867 (5,042) 6,341 NIC Inc 107,924 (1,293) 11,108 Omnicom Group Inc 785,336 17,672 (4,309) Nicholas Financial Inc (62,868) 5,146 351 OmniVision Technologies Inc 7,975 1,171 (5,697) Nielsen NV (271,405) (9,654) (1,813) OmniVision Technologies Inc (41,191) (5,827) 4,680 NIKE Inc 'B' 358,441 17,082 2,816 OMNOVA Solutions Inc 26,611 (2,196) 1,895 Nimble Storage Inc 52,131 7,980 2,925 ON Semiconductor Corp 25,740 927 (9,005) NL Industries Inc (78,974) 16,620 2,084 One Gas Inc 76,129 2,082 12,531 NMI Holdings Inc 'A' 133,455 (16,242) 4,130 One Liberty Properties Inc (Reit) 88,754 (4,213) 3,633 NN Inc 88,645 18,892 2,285 OneBeacon Insurance Group Ltd 'A' 35,143 480 1,123 Noble Corp Plc 35,139 167 (1,440) ONEOK Inc (93,240) (3,294) 5,398 Noble Energy Inc 388,656 12,847 (824) OpenTable Inc (56,609) 611 (600) Noodles & Co (19,632) 294 1,682 Oplink Communications Inc 28,459 (1,362) (2,464) Noranda Aluminum Holding Corp (7,663) 2,668 6,380 Oppenheimer Holdings Inc 'A' 151,334 (28,519) 8,615 Nord Anglia Education Inc 154,467 510 (1,975) Oracle Corp (82,713) 99 3,388 Nordic American Tankers Ltd 28,188 (474) (1,100) Oramed Pharmaceuticals Inc (9,009) 6,930 (5,162) Nordson Corp (426,226) (380) (39,946) ORBCOMM Inc (258,451) 49,134 (1,766) Nordstrom Inc (120,450) (11,859) 4,897 Orbital Sciences Corp 129,281 (2,605) (7,720) Norfolk Southern Corp (777,790) (34,104) 7,835 Orbitz Worldwide Inc 58,684 (11,988) 257 Nortek Inc 21,927 1,566 377 Orion Marine Group Inc 4,260 (26) 95,041 North Atlantic Drilling Ltd 947,559 124,813 2,416 Oritani Financial Corp 36,409 317 (4,307) Northern Oil and Gas Inc (65,466) (520) (3,704) Ormat Technologies Inc (108,675) (2,719) (1,232) Northern Trust Corp (74,598) (968) (4,142) Orrstown Financial Services Inc (67,515) (1,036)
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 45 BlackRock Americas Diversified Equity Absolute Return Fund continued Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
United States continued United States continued 3,686 Orthofix International NV 117,030 29,304 1,494 PetroQuest Energy Inc 9,113 805 3,572 OSH 1 Liquidating Corp* – (679) 25,390 Pfizer Inc 750,528 (9,104) 218 OSI Systems Inc 12,568 (687) (34,034) PG&E Corp (1,550,249) (80,130) 19,553 OTC HC2 Holdings Inc 79,385 7,039 24,784 PGT Inc 212,895 (75,096) 931 Outerwall Inc 67,237 5,051 934 PH Glatfelter Co 24,457 19 (1,553) Outerwall Inc (112,158) (1,251) 11,822 PHH Corp 296,732 1,583 (289) Overstock.com Inc (4,417) 1,649 1,462 PHI Inc 65,176 (226) (358) Owens Corning (14,642) 333 (1,361) Phoenix Cos Inc/The (66,390) 4,450 1,522 Owens-Illinois Inc 50,393 487 16,509 Piedmont Natural Gas Co Inc 588,711 11,809 (326) Oxford Industries Inc (21,148) 4,686 (149) Piedmont Natural Gas Co Inc (5,313) (167) 4,392 Oxford Industries Inc 284,909 (4,167) (52,197) Piedmont Office Realty 8,174 PACCAR Inc 517,005 6,998 Trust Inc 'A' (Reit) (969,820) (64,050) 2,884 Pacific Biosciences of California Inc 14,189 (3,144) (1,329) Pier 1 Imports Inc (23,550) 2,168 11,586 Pacific Continental Corp 161,161 (2,619) 11,016 Pike Corp 99,695 (20,490) (2,903) Pacific Mercantile Bancorp (19,131) (1,074) 32,283 Pilgrim's Pride Corp 812,563 34,787 9,099 Pacific Premier Bancorp Inc 130,116 (18,738) (9,433) Pinnacle Entertainment Inc (232,335) (4,222) (137) Pacira Pharmaceuticals Inc/DE (10,624) (321) (766) Pinnacle West Capital Corp (42,145) (251) 11,957 Packaging Corp of America 831,251 30,077 (545) Pioneer Natural Resources Co (114,047) (3,793) (6,347) PacWest Bancorp (257,815) (2,457) (743) Piper Jaffray Cos (33,205) (1,545) (6,064) Pall Corp (515,804) 3,853 (17,842) Pitney Bowes Inc (492,082) (25,348) 200 Palmetto Bancshares Inc 2,700 (92) 1,646 Plains GP Holdings LP 'A' 45,265 165 (4,037) Pandora Media Inc (100,239) (4,696) 17,452 Planet Payment Inc 47,731 (712) 63 Panhandle Oil and Gas Inc 'A' 3,386 599 10,548 Plantronics Inc 478,879 10,779 12,612 Pantry Inc/The 213,143 26,359 (1,237) Plexus Corp (51,818) (2,324) 2,919 Papa John's International Inc 125,692 (239) (33,595) PLX Technology Inc (193,843) 9,743 1,387 PAREXEL International Corp 69,503 5,368 833 Ply Gem Holdings Inc 10,029 (258) 82 Park National Corp 6,149 291 (32,963) PMC - Sierra Inc (235,026) 16,152 4,625 Park Sterling Corp 30,294 419 (14,819) PMFG Inc (74,688) 24,837 (32) Park-Ohio Holdings Corp (1,719) 209 384 Polaris Industries Inc 49,828 895 28,616 Parker Drilling Co 185,146 (22,607) 2,865 Polycom Inc 36,729 (74) (316) Parker Hannifin Corp (39,216) 568 2,252 PolyOne Corp 90,305 5,461 (3,243) Parkervision Inc (16,345) (1,560) (147) Polypore International Inc (6,539) (194) 1,210 Parkway Properties Inc/Md (Reit) 24,224 430 14,669 Pool Corp 851,389 (1,844) (20,373) Parkway Properties Inc/Md (Reit) (407,867) (41,765) 2,868 Popeyes Louisiana Kitchen Inc 126,393 20,399 (985) Patrick Industries Inc (37,440) 1,385 205 Popular Inc 6,226 287 (188) Patriot Transportation Holding Inc (6,439) 298 760 Portfolio Recovery Associates Inc 42,606 774 4,715 Pattern Energy Group Inc 145,316 15,005 204 Portland General Electric Co 6,716 (69) (395) Patterson Cos Inc (15,480) 664 153 Post Holdings Inc 7,664 613 (4,479) Patterson-UTI Energy Inc (148,344) 244 16,546 Potlatch Corp (Reit) 666,969 25,746 1,636 Paycom Software Inc 21,965 (1,113) (923) Power Integrations Inc (46,842) (1,148) 2,219 Paylocity Holding Corp 41,961 (3,032) (37) Power Solutions International Inc (2,922) (157) (4,875) Paylocity Holding Corp (92,186) (779) 7,160 Pozen Inc 61,791 2,649 1,233 PBF Energy Inc 'A' 39,579 2,569 3,769 PPG Industries Inc 757,757 24,197 (325) PC Connection Inc (6,864) 61 (14,597) PPL Corp (509,143) (16,692) (6,679) PC-Tel Inc (47,221) 9,964 (2,953) Precision Drilling Corp (37,621) (1,132) (592) PDF Solutions Inc (11,929) (373) 9,221 Preferred Bank/Los Angeles CA 209,593 (16,598) (7,177) Peabody Energy Corp (118,421) 16,522 (2,990) Preformed Line Products Co (158,171) 35,647 5,837 Pegasystems Inc 123,336 6,543 21,710 Premier Exhibitions Inc 20,160 (1,767) (112,912) Pendrell Corp (188,563) (6,840) 494 Premier Inc 'A' 14,958 905 (1,854) Penford Corp (21,914) 5,488 29,924 Premiere Global Services Inc 397,391 43,091 (4,397) Penns Woods Bancorp Inc (204,592) 6,557 8,962 Prestige Brands Holdings Inc 307,486 50,623 556 PennyMac Financial Services Inc 'A' 8,846 (1,140) 6,128 PRGX Global Inc 39,035 (3,922) 6,669 Penske Automotive Group Inc 310,309 6,913 157 Priceline Group Inc 201,112 22,721 4,122 People's United Financial Inc 59,728 862 (6,378) PriceSmart Inc (582,503) 9,168 4,962 Peoples Bancorp Inc/OH 121,321 (4,098) 9,277 Primerica Inc 420,619 9,060 (3,435) Pep Boys-Manny Moe & Jack/The (35,415) 8,553 6,585 Principal Financial Group Inc 308,046 6,581 (2,742) Pepco Holdings Inc (75,844) 55 3,395 ProAssurance Corp 154,506 3,834 (2,881) Peregrine Semiconductor Corp (18,035) 2,132 (20,584) Procera Networks Inc (196,371) 46,726 14,407 Performant Financial Corp 136,434 21,899 4,553 Progress Software Corp 99,756 (2,732) 19,695 Pericom Semiconductor Corp 177,649 9,651 (16,887) Progressive Corp/The (423,695) 3,715 (13,891) Pernix Therapeutics Holdings (99,460) (47,507) 914 Prologis Inc (Reit) 37,876 319 1,427 Perrigo Co PLC 197,054 12,106 (4,698) Proofpoint Inc (153,672) 2,216 7,776 Perry Ellis International Inc 131,570 19,518 (425) PROS Holdings Inc (9,860) (956) 4,442 Petroleo Brasileiro SA ADR 67,741 (2,830) 5,652 Prosperity Bancshares Inc 329,625 (3,833)
* Investments which are less than 0.5 USD have been rounded down to zero.
46 BlackRock Strategic Funds (BSF) BlackRock Americas Diversified Equity Absolute Return Fund continued Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
United States continued United States continued 24,352 Protective Life Corp 1,277,019 620 2,327 Rent-A-Center Inc/TX 66,110 7,609 (122) Proto Labs Inc (8,062) 71 (62,367) Rentech Inc (147,498) (33,990) (72) Providence Service Corp/The (2,930) (883) (2,267) Rentrak Corp (117,657) 25,016 29,594 Provident Financial Holdings Inc 430,593 (38,768) (4,206) Repros Therapeutics Inc (68,474) 241 10,748 PS Business Parks Inc (Reit) 908,958 (3,355) 15,110 Republic Airways Holdings Inc 159,864 15,714 18,083 PTC Inc 664,912 28,906 (6,885) Republic Bancorp Inc/KY 'A' (161,316) (523) (2,043) Public Service Enterprise Group Inc (78,799) (1,240) (1,280) Republic Services Inc (45,248) (447) (10,810) Public Storage (Reit) (1,856,293) (23,336) (3,545) ResMed Inc (177,711) (389) 21,656 PulteGroup Inc 426,840 14,865 637 Resolute Forest Products Inc 9,682 18 (912) Puma Biotechnology Inc (68,938) (12,458) (6,502) Resolute Forest Products Inc (98,830) 15,262 (37,269) Pure Cycle Corp (213,551) 10,808 9,461 Resources Connection Inc 117,411 (20,128) (3,191) PVH Corp (419,840) (3,095) (2,457) Restoration Hardware Holdings Inc (159,705) (4,310) 4,093 Q2 Holdings Inc 53,700 (4,937) (810) RetailMeNot Inc (21,060) 9,141 14,674 QAD Inc 'A' 314,024 32,430 458 Revance Therapeutics Inc 14,610 (2,033) (2,362) QEP Resources Inc (74,852) (921) 9,622 RevettMining Co Inc 7,601 17 (15,942) QIAGEN NV (364,753) (4,504) (1,629) Revlon Inc 'A' (50,027) (8,281) 2,715 Qlik Technologies Inc 58,916 (1,765) (15,259) Revolution Lighting Technologies Inc (36,622) 21,363 13,683 QLogic Corp 135,325 (23,398) 927 REX American Resources Corp 67,124 19,550 497 QTS Realty Trust Inc 'A' (Reit) 14,368 836 5,213 Rex Energy Corp 103,374 9,428 (1,345) Quaker Chemical Corp (100,983) 5,419 (26,164) Rf Micro Devices Inc (245,680) (23,287) 4,268 QUALCOMM Inc 341,227 726 14,431 Rice Energy Inc 452,845 55,250 (11,132) Quality Systems Inc (176,999) (7,870) (31,517) Richardson Electronics (924) Qualys Inc (22,703) 2,088 Ltd/United States (325,571) 16,775 (371) Quanex Building Products Corp (6,730) 297 (60) RigNet Inc (2,820) 198 1,111 Quanta Services Inc 37,563 889 12,493 RingCentral Inc 'A' 154,164 (56,465) (2,641) Quest Diagnostics Inc (156,321) (4,437) (6,804) Rite Aid Corp (56,745) (8,875) 38,022 Questar Corp 911,768 15,751 (10,999) Riverbed Technology Inc (222,400) (8,872) (8,287) Quidel Corp (186,872) 9,949 (857) RLI Corp (38,428) (640) (10,890) Quiksilver Inc (66,974) 21,998 111 RLI Corp 4,977 14 11,504 Quiksilver Inc 70,750 (702) 22,408 RLJ Lodging Trust (Reit) 626,080 21,736 25,032 QuinStreet Inc 145,436 (24,281) (84) Roadrunner Transportation 1,364 Quintiles Transnational Holdings Inc 69,182 2,046 Systems Inc (2,193) (128) (1,037) Quintiles Transnational Holdings Inc (52,597) 382 (3,559) Robert Half International Inc (163,678) (2,635) (286) Radian Group Inc (4,164) (173) 647 Rock Tenn Co 'A' 65,282 679 19,862 Radisys Corp 64,750 (12,910) 431 Rocket Fuel Inc 10,581 (10,512) (233) RAIT Financial Trust (Reit) (1,831) 37 (5,713) Rockwell Automation Inc (687,217) 3,008 3,054 Ralph Lauren Corp 467,506 14,588 (24,283) Rockwell Collins Inc (1,913,015) (23,267) (7,959) Rambus Inc (95,110) 1,136 (799) Rofin-Sinar Technologies Inc (18,800) 453 304 Ramco-Gershenson Properties (1,011) Rogers Corp (62,793) (1,342) Trust (Reit) 5,052 19 (778) Roper Industries Inc (110,040) (228) (1,676) Range Resources Corp (153,362) (3,246) (3,330) Rosetta Resources Inc (155,678) (4,895) 8,359 Raymond James Financial Inc 405,411 1,755 6,869 Ross Stores Inc 469,908 (2,086) 38,745 Rayonier Inc (Reit) 1,831,089 65,310 7,300 Roundy's Inc 38,471 (6,935) (876) Raytheon Co (85,112) (1,020) (3,958) Rouse Properties Inc (Reit) (65,386) 4,132 7,224 RBC Bearings Inc 430,334 (8,019) (12,499) Rovi Corp (303,976) (18,162) (3,781) RCS Capital Corp 'A' (104,356) 17,407 266 Rowan Cos Plc 'A' 8,227 80 2,762 RealD Inc 32,647 994 57 Royal Caribbean Cruises Ltd 3,109 148 (1,810) RealNetworks Inc (14,082) (320) 823 Royal Gold Inc 50,804 (2,058) 13,768 Realogy Holdings Corp 515,680 (11,806) (3,415) Royal Gold Inc (210,808) 4,466 (15,655) RealPage Inc (333,138) (36,994) (6,285) RPC Inc (140,470) (1,523) (1,353) Realty Income Corp (Reit) (58,707) (284) 32,028 RPX Corp 527,181 26,263 8,025 Red Lion Hotels Corp 46,625 (401) 13,169 RR Donnelley & Sons Co 209,914 10,389 293 Redwood Trust Inc (Reit) 5,693 – 8,045 RSP Permian Inc 214,721 (5,725) (18,702) Redwood Trust Inc (Reit) (363,380) (230) 7,314 RTI International Metals Inc 195,723 535 4,080 Regado Bioscience Inc 24,521 (1,242) 30,004 RTI Surgical Inc 127,517 9,001 27,989 Regal Entertainment Group 'A' 547,745 13,544 3,217 Rubicon Project Inc/The 40,052 (304) 4,187 Regional Management Corp 59,539 (20,521) (5,580) Rubicon Technology Inc (48,044) 30,734 5,279 Regions Financial Corp 53,635 (824) (670) Ruby Tuesday Inc (5,179) (40) (7,981) Regis Corp (109,260) (456) (11,965) Rudolph Technologies Inc (114,625) 20,340 (6,178) Reinsurance Group of America Inc (485,220) (7,112) (11,712) Rush Enterprises Inc 'A' (392,938) (35,216) (18,869) Reis Inc (347,756) 21,699 4,973 Ruth's Hospitality Group Inc 60,372 (1,989) 476 Reliance Steel & Aluminum Co 34,486 96 2,843 Ryder System Inc 246,630 28,032 1,179 Renewable Energy Group Inc 11,554 (1,096) 2,739 Ryland Group Inc/The 104,164 767
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 47 BlackRock Americas Diversified Equity Absolute Return Fund continued Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
United States continued United States continued 1,209 Ryman Hospitality Properties (Reit) 56,049 1,355 (555) SI Financial Group Inc (6,294) 172 (200) Sabre Corp (3,760) (245) 13,314 Sierra Bancorp 213,423 3,142 3,262 Safety Insurance Group Inc 169,918 (6,338) 5,474 Sigma Designs Inc 18,776 (8,375) (3,790) Saga Communications Inc 'A' (177,069) 12,712 (8,409) Sigma-Aldrich Corp (826,857) (22,325) 11,199 Salem Communications Corp 'A' 94,520 (11,199) (1,216) Signet Jewelers Ltd (129,455) (9,313) (2,232) Salesforce.com Inc (120,550) (5,781) (5,990) Silgan Holdings Inc (292,013) 1,210 241 Salix Pharmaceuticals Ltd 27,613 1,063 (10,659) Silicon Graphics International Corp (96,038) 34,857 (1,352) Salix Pharmaceuticals Ltd (154,905) (7,065) 2,745 Silicon Image Inc 14,494 (4,063) 4,046 Sally Beauty Holdings Inc 103,537 (2,509) (1,127) Silver Spring Networks Inc (13,558) 5,263 3,713 Sanderson Farms Inc 339,777 36,012 533 Silvercrest Asset Management 'A' 9,493 275 (1,000) SanDisk Corp (96,350) (6,945) (1,698) Simon Property Group Inc (Reit) (279,049) 14,707 367 SanDisk Corp 35,360 2,947 3,332 Simplicity Bancorp Inc 56,744 (1,366) (665) Sandy Spring Bancorp Inc (15,907) 584 11,829 Simpson Manufacturing Co Inc 396,153 8,338 (10,532) Sanmina Corp (216,222) 2,003 1,402 SINA Corp/China 64,254 (1,013) 11,822 Santander Consumer USA (5,574) Sinclair Broadcast Group Inc 'A' (168,558) (19,903) Holdings Inc 233,957 (19,583) (7,230) Sirius XM Holdings Inc (23,895) (1,150) (2,606) Sapiens International Corp NV (20,666) 142 (3,470) Sirona Dental Systems Inc (263,304) (4,138) 324 Sapient Corp 5,323 70 2,961 Six Flags Entertainment Corp 119,595 (210) 2,210 SBA Communications Corp 'A' 223,144 1,368 5,513 Sizmek Inc 53,311 (13,946) (20,461) SCANA Corp (1,056,401) (56,619) (595) Skechers U.S.A. Inc 'A' (26,614) (1,543) 1,347 ScanSources Inc 50,459 (2,115) 3,970 Skechers U.S.A. Inc 'A' 177,578 26,461 (1,457) Schawk Inc (29,461) (7,673) (6,123) Skilled Healthcare Group Inc 'A' (40,106) (9,958) 261 Schlumberger Ltd 27,076 1,107 (877) SkyWest (10,235) 43 (8,745) Scholastic Corp (278,353) 25,550 7,909 Skyworks Solutions Inc 341,352 18,349 4,855 Schweitzer-Mauduit International Inc 203,036 1,433 777 SL Industries Inc 23,403 2,113 10,928 Sciclone Pharmaceuticals Inc 55,514 4,153 8,546 SLM Corp 73,923 (1,818) 2,138 Science Applications International 82,869 3,824 3,638 SM Energy Co 277,070 (8,112) (1) Science Applications International (39) (1) 2,814 Snap-on Inc 328,731 8,048 (13,242) Scientific Games Corp 'A' (118,251) 62,717 13,640 Snyder's-Lance Inc 375,782 11,209 1,101 Scientific Games Corp 'A' 9,832 (3,446) (11,833) Sociedad Quimica y Minera (3,615) SciQuest Inc (61,310) 45,657 de Chile SA ADR (365,876) (21,381) 40,845 Scorpio Bulkers Inc 378,225 (8,001) (1,170) SodaStream International Ltd (43,828) 3,972 (552) Scorpio Tankers Inc (5,007) (61) (164) Sohu.com Inc (9,646) (157) 6,841 Scorpio Tankers Inc 62,048 919 (10,629) Solar Capital Ltd (223,209) 10,629 (9,651) Scotts Miracle-Gro Co/The 'A' (583,886) 1,472 (2,773) Solar Senior Capital Ltd (46,309) 2,828 250 Seaboard Corp 674,750 32,667 (3,167) SolarCity Corp (172,506) 25,668 1,797 Seachange International Inc 17,413 (683) 1,737 SolarWinds Inc 67,691 431 10,888 Seacoast Banking Corp of Florida 116,175 (4,791) (1,168) Solera Holdings Inc (76,364) 12 (3,926) SEACOR Holdings Inc (315,219) 18,731 (458) Sonic Corp (9,494) 140 10,608 Seadrill Ltd 400,664 21,649 2,801 Sonoco Products Co 118,258 1,925 782 Seagate Technology Plc 41,634 1,838 30,825 Sonus Networks Inc 114,052 17,555 (59) Sears Canada Inc (776) 46 945 Sotheby's 37,290 (1,846) (1,005) Sears Holdings Corp (41,788) (2,132) (383) South Jersey Industries Inc (21,908) (1,099) 821 Seaspan Corp 18,711 657 512 South Jersey Industries Inc 29,286 509 3,379 SeaWorld Entertainment Inc 104,377 4,975 (22,351) Southern Co/The (970,927) – 25,335 SEI Investments Co 834,028 51,894 (7,215) Southern Copper Corp (212,915) 4,238 (14,651) Select Comfort Corp (274,706) (14,491) 12,287 Southern Copper Corp 362,589 17,517 (5,608) Select Income (Reit) (161,510) 3,645 1,841 Southside Bancshares Inc 47,756 (6,324) (11,200) Select Medical Holdings Corp (167,776) (11,091) 4,540 Southwest Airlines Co 120,174 3,621 739 Selective Insurance Group Inc 17,869 798 879 Southwest Gas Corp 46,007 (1,989) 15,587 SemGroup Corp 'A' 1,061,475 35,764 1,700 Sovran Self Storage Inc (Reit) 130,900 4,628 1,763 Semtech Corp 46,120 2,523 7,481 Spansion Inc 'A' 145,057 23,424 1,278 Seneca Foods Corp 'A' 38,928 (83) (17,791) Spansion Inc 'A' (344,967) (28,537) (8,916) Senior Housing Properties Trust (Reit) (213,003) (364) 13,332 Spark Networks Inc 61,727 (6,133) (14,074) Sensata Technologies Holding NV (606,871) (8,385) (1,806) Spartan Motors Inc (9,211) 813 382 Sensient Technologies Corp 20,972 299 1,346 SpartanNash Co 31,712 (852) (215) Sensient Technologies Corp (11,804) (295) (1,041) Sparton Corp (31,074) 2,224 (4,068) Sequenom Inc (12,774) (1,666) (1,842) Spectranetics Corp (40,763) 2,788 6,631 Service Corp International/US 133,349 8,289 304 Spectrum Brands Holdings Inc 23,481 1,198 (1,259) ServiceNow Inc (65,921) (5,716) (88,398) Speed Commerce Inc (320,885) 63,614 7,178 SFX Entertainment Inc 53,045 (2,948) 11,790 Speedway Motorsports Inc 217,054 (16,034) (1,244) Shenandoah Telecommunications Co (34,708) 80 15,062 Spirit Aerosystems Holdings Inc 'A' 489,515 33,340 (4,705) Sherwin-Williams Co/The (955,727) (22,965) 45 Spirit Airlines Inc 2,679 197 (559) Ship Finance International Ltd (10,258) 100 1,707 Splunk Inc 74,357 (2,794) 798 Shutterfly Inc 32,830 1,944 3,945 Sportsman's Warehouse Holdings Inc 36,570 588 (1,355) Shutterstock Inc (91,679) 219 (7,220) Springleaf Holdings Inc (174,074) 587
48 BlackRock Strategic Funds (BSF) BlackRock Americas Diversified Equity Absolute Return Fund continued Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
United States continued United States continued (15,795) Sprint Corp (149,579) 928 25,228 Symmetry Medical Inc 224,025 (35,480) 2,384 Sprouts Farmers Market Inc 64,392 (2,613) 41,128 Synacor Inc 90,482 (15,217) (2,788) SPS Commerce Inc (160,840) (13,418) (2,931) Synageva BioPharma Corp (239,873) 6,127 (1,412) SS&C Technologies Holdings Inc (60,419) (4,443) (815) Synaptics Inc (54,907) 754 (16,632) St Joe Co/The (390,852) (31,545) 1,787 Synaptics Inc 120,390 11,901 7,441 St Jude Medical Inc 484,409 15,014 2,173 Synchronoss Technologies Inc 69,123 4,142 (1,007) Staar Surgical Co (15,578) 3,368 441 SYNNEX Corp 28,714 351 1,940 Stamps.com Inc 62,584 (7,116) (301) SYNNEX Corp (19,598) (1,385) (5,193) StanCorp Financial Group Inc (315,786) (3,737) 1,919 Synopsys Inc 73,958 1,267 4,904 Standard Motor Products Inc 205,232 26,315 733 Synovus Financial Corp 17,013 944 11,509 Standard Pacific Corp 93,108 3,683 8,104 Syntel Inc 657,396 9,449 303 Standard Plus Corp 7,133 131 1,268 Synutra International Inc 7,152 723 (923) Stanley Black & Decker Inc (80,246) 171 (13,129) Synutra International Inc (74,048) 17,987 (36,982) Staples Inc (421,595) 26,701 18,983 Sypris Solutions Inc 87,132 29,234 22 Starbucks Corp 1,603 (48) (17,581) Sysco Corp (653,310) (8,027) 102 Starwood Waypoint Reside (Reit) 2,805 46 7,177 T Rowe Price Group Inc 585,069 15,147 (18,945) Starz 'A' (578,201) 23,289 5,732 T-Mobile USA Inc 199,474 7,541 (37,101) State Auto Financial Corp (810,286) (20,035) (1,127) Tableau Software Inc 'A' (67,417) (2,464) 28,812 State Bank Financial Corp 464,738 (39,496) 1,183 Take-Two Interactive Software Inc 23,826 1,573 8,261 Steel Dynamics Inc 143,081 (5,244) (8,310) Take-Two Interactive Software Inc (167,363) 376 15,987 Steelcase Inc 'A' 261,387 15,842 (1,583) TAL International Group Inc (69,367) (2,388) 750 Stein Mart Inc 10,163 697 177 Taminco Corp 3,790 297 11,491 Steiner Leisure Ltd 464,007 (36,698) (2,217) Tandem Diabetes Care Inc (36,714) 987 551 Stepan Co 29,682 585 (2,405) Tangoe Inc (37,398) 2,453 (56,238) Sterling Bancorp/DE (645,612) 69,735 283 Targa Resources Corp 32,474 1,629 46 Steven Madden Ltd 1,464 (17) 2,771 Target Corp 155,980 1,881 394 Stillwater Mining Co 6,666 520 10,643 Taser International Inc 142,510 (47,592) (16,488) Stillwater Mining Co (278,977) (14,161) (8,243) Taubman Centers Inc (Reit) (616,082) (14,801) 778 Stock Building Supply Holdings Inc 15,054 (739) (7,809) Taylor Capital Group (167,503) (1,767) (8,932) Stock Yards Bancorp Inc (258,403) 14,738 5,171 Taylor Morrison Home Corp 'A' 109,832 726 2,656 Stone Energy Corp 118,298 8,976 20,081 TE Connectivity Ltd 1,192,410 33,037 5,145 Stonegate Mortgage Corp 78,410 4,630 4,084 Team Health Holdings Inc 206,569 9,731 6,055 Stoneridge Inc 57,765 (12,110) (1,207) Team Inc (51,418) (902) 73,383 STR Holdings Inc 102,736 (10,650) (11,433) TearLab Corp (56,593) 28,354 4,950 Straight Path Communications Inc 'B' 44,699 5,742 (3,762) Tech Data Corp (219,437) 17,046 578 Stratasys Ltd 54,188 (204) 498 Tech Data Corp 29,048 876 (825) Stratasys Ltd (77,344) (4,319) (36,425) TECO Energy Inc (628,696) (32,185) (560) Strayer Education Inc (30,632) (4,614) 3,559 Tecumseh Products Co 17,475 (1,428) (7,811) Stryker Corp (662,217) (33,716) (1,273) Teekay Corp (73,770) 827 1,763 Sucampo Pharmaceuticals Inc 'A' 12,746 (1,869) (13,183) Teekay Offshore Partners LP (471,951) (53,909) (912) Suffolk Bancorp (20,867) (531) 2,778 Tejon Ranch Co 86,090 (10,418) (1,369) Summit Hotel Properties Inc (Reit) (13,608) (986) 1,465 Tejon Ranch Co (Warrants) 3,809 (1,978) (19,851) Sun Bancorp Inc/NJ (75,831) (6,948) 3,264 Teledyne Technologies Inc 311,745 1,917 5,667 Sun Communities Inc (Reit) 273,886 5,465 (1,058) Teleflex Inc (112,857) (1,412) (1,525) Sun Hydraulics Corp (57,218) 1,447 17,517 Telefonica Brasil SA ADR 357,172 (10,634) (164) SunCoke Energy Inc (3,288) 298 (2,849) Telenav Inc (15,726) 684 (19,442) Sunedison Inc (387,285) (36,699) 7,070 Telephone & Data Systems Inc 199,798 9,430 842 SunPower Corp 28,215 1,040 8,951 TeleTech Holdings Inc 237,022 21,757 (1,619) SunPower Corp (54,253) (2,683) (18,246) Tempur-Pedic International Inc (1,001,888) (52,310) (734) Sunshine Heart Inc (4,037) 558 (5,029) Tenet Healthcare Corp (236,916) (1,865) 9,000 SunTrust Banks Inc 346,410 5,069 (2,847) Tennant Co (182,777) 114 300 Super Micro Computer Inc 6,495 795 (238) Teradata Corp (9,932) 641 (1,887) Superior Industries International Inc (37,646) 491 (3,524) Teradyne Inc (63,256) 186 (7,784) Supernus Pharmaceuticals Inc (69,122) (8,784) 532 Terex Corp 20,822 (21) 18,006 support.com Inc 41,774 (6,122) (227) Territorial Bancorp Inc (4,681) 316 1,038 Surgical Care Affiliates Inc 31,119 1,076 1,562 Tesco Corp 33,677 5,436 3,833 Susquehanna Bancshares Inc 38,215 917 (1,016) Tesla Motors Inc (216,306) (9,281) (2,999) Susser Holdings Corp (237,551) (44,035) 497 Tesoro Corp 28,036 910 3,554 SVB Financial Group 376,617 11,870 (9,905) Tessco Technologies Inc (306,065) 60,553 (312) SVB Financial Group (33,063) (331) 10,068 Tessera Technologies Inc 229,047 (1,327) 9,659 Swift Transportation Co 240,895 3,126 1,655 Tetra Tech Inc 44,056 (107) 5,895 SWS Group Inc 42,031 (5,659) 4,648 Texas Capital Bancshares Inc 240,813 (43,941) 72,126 Sycamore Networks Inc 41,112 (793) (2,606) Texas Industries Inc (225,002) (2,788) 10,961 Sykes Enterprises Inc 223,276 (1,973) (10,954) Texas Instruments Inc (512,209) (19,975) 28,216 Symetra Financial Corp 589,432 22,901 (9,159) Textainer Group Holdings Ltd (355,278) 844
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 49 BlackRock Americas Diversified Equity Absolute Return Fund continued Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
United States continued United States continued (1,383) Textura Corp (30,315) 6,164 37,249 UIL Holdings Corp 1,380,448 51,239 (4,000) TherapeuticsMD Inc (16,320) 14,960 1,236 Ulta Salon Cosmetics (1,097) Theravance Inc (31,319) (197) & Fragrance Inc 104,652 (1,651) 30,364 Third Point Reinsurance Ltd 468,517 (9,818) 314 Ultimate Software Group Inc/The 40,154 1,486 (22,679) Thomson Reuters Corp (789,002) 23,308 1,743 Ultra Clean Holdings Inc 14,833 (8,813) (1,741) Thor Industries Inc (104,599) (1,027) 402 Ultra Petroleum Corp 10,802 (143) 6,706 Thoratec Corp 222,170 (16,229) (5,752) Ultrapetrol Bahamas Ltd (17,659) 1,185 14,029 TIBCO Software Inc 302,044 28,050 (10,036) Ultratech Inc (253,509) 7,527 (17,146) TICC Capital Corp (166,145) 10,459 (6,347) UMB Financial Corp (353,528) (3,618) 1,350 Tidewater 70,862 2,903 (4,418) UMH Properties Inc (Reit) (43,517) (439) (1,086) Tidewater Inc (57,004) (1,944) 13,771 Umpqua Holdings Corp 230,802 (30,523) (5,741) Tile Shop Holdings Inc (84,622) 10,219 (2,958) Under Armour Inc 'A' (149,172) (11,665) 1,398 Tilly's Inc 'A' 12,582 (3,691) (4,066) Uni-Pixel Inc (21,509) 17,484 (13,569) Tim Participacoes SA ADR (366,770) (28,130) 9,274 Unifi Inc 217,383 (19,104) (9,197) Timken Co/The (588,240) (29,366) (3,713) Unilife Corp (10,990) 4,864 (20,505) Titan International Inc (329,720) 44,337 (290) Union Bankshares Corp (7,323) 151 (939) Titan Machinery Inc (16,545) (1,944) 478 Union Pacific Corp 94,199 2,844 (26,325) Toll Brothers Inc (956,914) (57,389) 903 Unisys Corp 21,257 (99) (6,360) Tompkins Financial Corp (295,168) 16,091 639 Unit Corp 40,276 (348) (19,133) Tootsie Roll Industries Inc (563,084) 19,113 (332) Unit Corp (20,926) 46 (497) Torchmark Corp (40,302) (641) (1,570) United Bankshares Inc/WV (47,909) (1,726) (10,564) Tornier NV (236,951) (25,869) 17,399 United Community Banks Inc/GA 272,294 (48,717) (9,451) Total System Services Inc (288,728) 6,530 (14,994) United Community Financial Corp/OH (58,027) 2,699 (13,574) Tower Group International Ltd (29,727) 2,434 291 United Continental Holdings Inc 13,014 1,141 9,355 Tower International Inc 284,018 37,046 (1,283) United Financial Bancorp Inc (17,526) 61 (50,124) Towerstream Corp (97,742) 32,581 4,284 United Insurance Holdings Co 75,441 10,667 2,832 Town Sports International Holdings Inc 17,445 (1,542) (6,009) United Natural Foods Inc (405,127) (8,621) (66,140) TowneBank/Portsmouth VA (1,048,319) (25,133) 3,652 United Online Inc 39,770 1,278 (356) Tractor Supply Co (22,859) (105) 1,848 United Parcel Service Inc 'B' 191,841 6,191 12,577 Trans World Entertainment Corp 44,020 1,360 (5,583) United States Cellular Corp (240,292) (10,580) 1,749 Transatlantic Petroleum Ltd 15,426 1,609 122 United States Lime & Minerals Inc 7,845 958 8,213 Transcept Pharmaceuticals Inc 26,282 (164) 2,185 United States Steel Corp 51,238 (755) 894 TransDigm Group Inc 167,795 3,656 (527) United Stationers Inc (20,843) 65 1,279 Transocean Ltd 53,999 13 3,328 United Stationers Inc 131,622 (5,160) 14,392 TravelCenters of America LLC 122,332 (1,727) 1,310 United Technologies Corp 151,777 3,296 15,721 Travelzoo Inc 305,931 (57,853) 2,887 United Therapeutics Corp 275,189 (17,813) 1,004 Tree.com Inc 25,220 (6,646) 1,981 UnitedHealth Group Inc 156,737 4,318 (15,385) TreeHouse Foods Inc (1,152,337) (32,017) (3,076) UnitedHealth Group Inc (243,373) (7,677) 10,906 Tremor Video Inc 45,260 (7,852) (892) Universal American Corp/NY (6,967) (607) 1,109 Trevena Inc 5,024 (4,633) (978) Universal Corp/VA (52,568) 1,503 (5,049) Trex Co Inc (155,661) (31,160) (2,037) Universal Display Corp (54,082) (2,484) (162) Tri Pointe Homes Inc (2,511) 306 (1,803) Universal Electronics Inc (82,631) (6,878) 488 Triangle Capital Corp 12,976 (15) (2,672) Universal Forest Products Inc (130,126) 5,480 (3,645) Triangle Petroleum Corp (37,361) (7,321) 6,190 Universal Insurance Holdings Inc 77,189 (12,132) 140 Trico Bancshares 3,247 (126) (6,743) Universal Stainless & Alloy 552 Trimas Corp 19,469 357 Products Inc (207,819) 36,941 (6,713) Trimble Navigation Ltd (240,057) (5,185) (16,386) Universal Technical Institute Inc (185,490) 33,264 6,638 TriNet Group Inc 168,273 33,457 1,673 Universal Truckload Services Inc 40,804 (7,678) 4,075 Trinity Industries Inc 356,155 38,937 950 Unum Group 32,272 1,245 (1,290) Tronox Ltd 'A' (34,172) (1,816) (100,588) Unwired Planet Inc (217,270) (87,512) 3,116 TrueBlue Inc 85,223 (307) (1,546) Ur-Energy Inc (1,902) 486 (8,840) Trulia Inc (346,263) (56,133) 3,849 Urban Outfitters Inc 128,133 (7,967) 1,751 Trustmark Corp 40,623 (1,539) (3,353) Urstadt Biddle Properties (6,441) TTM Technologies Inc (49,080) 1,199 Inc 'A' (Reit) (68,837) (263) 755 Turtle Beach Corp 7,814 1,247 (22,491) US Antimony Corp (38,685) 3,149 (748) Tutor Perini Corp (23,270) (431) 133 US Concrete Inc 3,312 170 (2,030) tw telecom Inc (65,975) 11 (316) US Physical Therapy Inc (10,539) 31 (2,463) Twenty-First Century Fox 'A' (87,289) (3,497) 382 US Silica Holdings Inc 19,612 2,387 (7,439) Twin Disc Inc (247,272) (59,586) 21,651 USA Mobility Inc 327,363 (747) 354 Twitter Inc 11,709 108 1,086 USANA Health Sciences Inc 79,300 (1,108) (1,845) Tyco International Ltd (80,479) (2,140) (11,344) USG Corp (338,959) (3,072) (4,694) Tyler Technologies Inc (366,695) (5,837) 137 USMD Holdings Inc 1,708 (256) 168 Tyson Foods Inc 'A' 7,271 450 1,824 Utah Medical Products Inc 93,991 6,418 1,599 Ubiquiti Networks Inc 56,685 (11,160) (25,680) UTi Worldwide Inc (253,718) 40,061 (33,820) UDR Inc (Reit) (929,035) 3,553 5,306 Vaalco Energy Inc 34,224 2,016 364 UGI Corp 17,643 38 6,583 Vail Resorts Inc 459,691 16,376
50 BlackRock Strategic Funds (BSF) BlackRock Americas Diversified Equity Absolute Return Fund continued Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
United States continued United States continued 14,019 Vale SA ADR 161,639 7,009 (1,306) WageWorks Inc (52,867) 19,377 3,171 Valero Energy Corp 179,035 1,998 9,865 Walker & Dunlop Inc 147,580 (11,147) 508 Validus Holdings Ltd 18,938 508 (3,924) Walter Energy Inc (19,620) 3,788 (175,760) Valley National Bancorp (1,715,418) 86,733 (251) Walter Investment Management Corp (7,292) (38) (2,714) Valmont Industries (425,772) 5,317 10,821 Warren Resources Inc 49,885 1,299 3,885 Valspar Corp/The 289,666 5,302 3,119 Washington Federal Inc 65,031 1,029 (87,717) Vantage Drilling Co (145,610) 7,895 (667) Washington Prime Group (Reit) (13,427) (13,427) (3,917) Vantiv Inc 'A' (122,132) (7,773) (1,309) Washington Real Estate Investment (5,647) Varian Medical Systems Inc (467,148) (9,833) Trust (Reit) (33,654) (2,046) 267 Varonis Systems Inc 6,413 4 (1,222) Washington Trust Bancorp Inc (42,330) 2,939 (425) VASCO Data Security 10,309 Waste Connections Inc 465,451 15,181 International Inc (4,756) (36) (5,075) Waste Management Inc (225,178) (2,132) 2,123 Vascular Solutions Inc 43,161 (12,844) (3,914) Waters Corp (391,713) 4,695 17,766 VCA Antech Inc 605,643 20,487 (806) Waterstone Financial Inc (8,713) (242) 1,173 Vector Group Ltd 24,434 1,455 6,810 Watsco Inc 692,100 11,148 14,960 Vectren Corp 592,266 10,921 11,554 Watts Water Technologies Inc 'A' 646,100 28,082 (27,687) Vectren Corp (1,096,128) (15,341) (29,408) Wausau Paper Corp (315,548) 71,756 (3,867) Veeco Instruments Inc (128,152) 15,228 514 WD-40 Co 37,121 (1,239) (1,297) Veeva Systems Inc 'A' (29,299) (3,484) (26,636) Weatherford International Ltd/ 12,834 Ventrus Biosciences Inc 15,016 (3,465) Switzerland (576,803) (52,864) (5,452) Vera Bradley Inc (148,731) 5,276 (4,377) Web.com Group Inc (150,831) (723) 1,704 Veracyte Inc 26,088 937 2,735 Web.com Group Inc 94,248 (3,802) (6,395) VeriFone Systems Inc (211,866) (5,171) (3,019) WebMD Health Corp (130,300) 242 9,084 Verint Systems Inc 419,590 17,170 723 Webster Financial 21,914 446 1,581 VeriSign Inc 79,350 2,783 (1,055) Webster Financial Corp (31,977) (1,456) 392 Verisk Analytics Inc 'A' 23,681 63 640 Weingarten Realty Investors (Reit) 20,250 216 (1,664) Verisk Analytics Inc 'A' (100,522) 627 (3,610) Weis Markets Inc (171,078) 6,931 6,713 Verizon Communications Inc 333,972 20,154 1,236 WellPoint Inc 133,871 4,178 (663) Vertex Pharmaceuticals Inc (47,524) (4,124) 4,574 Wesco Aircraft Holdings Inc 98,707 1,366 7,374 Viacom Inc 'B' 631,288 15,690 6,946 West Bancorporation Inc 99,745 (1,608) 12,075 Viad Corp 279,898 (14,007) 4,152 West Corp 111,979 11,709 (1,320) ViaSat Inc (71,425) 11,315 10,727 West Marine Inc 108,557 (11,191) 436 ViaSat Inc 23,592 (314) 15,550 West Pharmaceutical Services Inc 663,052 (2,268) (1,206) Viasystems Group Inc (12,518) 786 (42,894) Westamerica Bancorporation (2,128,400) 42,595 17,211 Vicor Corp 128,738 (54,387) 19,484 Westell Technologies Inc 'A' 48,710 (6,459) (23,973) ViewPoint Financial Group Inc (595,010) 28,965 11,806 Western Alliance Bancorp 272,601 5,624 (3,515) Village Super Market Inc 'A' (85,098) 16,837 4,503 Western Digital Corp 391,086 9,114 669 Vince Holding Corp 18,973 923 1,912 Western Refining Inc 78,430 2,035 3,234 Violin Memory Inc 10,802 (3,557) (807) Westlake Chemical Corp (65,472) (5,119) (2,251) VirnetX Holding Corp (35,926) (270) (1,622) Westmoreland Coal Co (49,049) (6,100) (2,597) Virtus Investment Partners Inc (484,782) (15,213) 5,132 Westwood Holdings Group Inc 304,995 2,720 (1,045) Virtusa Corp (36,523) 196 53,386 Wet Seal Inc 'A' 46,446 (54,454) 226 Visa Inc 'A' 48,387 1,503 (6,065) WEX Inc (587,092) (37,460) 6,857 Vishay Intertechnology Inc 101,826 3,428 (1,344) Weyco Group Inc (37,135) 228 (3,233) VistaPrint NV (130,678) 23,340 (4,649) Weyerhaeuser Co (Reit) (145,979) (6,183) 2,040 Visteon Corp 186,640 1,326 4,631 Whirlpool Corp 665,614 (1,964) (2,696) Visteon Corp (246,657) (849) 20,621 WhiteWave Foods Co 'A' 659,872 42,791 346 Vitacost.com Inc 2,294 124 6,529 Whiting Petroleum Corp 470,871 (3,957) 320 Vitamin Shoppe Inc 13,693 (755) 6,268 Whole Foods Market Inc 236,930 (5,159) 767 VMware Inc 'A' 74,483 1,931 7,706 Willbros Group Inc 92,780 14,718 1,186 Vocera Communications 15,501 605 (1,215) Williams Cos Inc/The (56,911) (1,565) (6,533) Vocus Inc (117,529) (4,175) (772) Williams-Sonoma Inc (52,056) (2,495) (33,133) Volcano Corp (584,466) 60,403 33,967 Willis Group Holdings Plc 1,415,745 9,754 32,240 Vonage Holdings Corp 119,933 (20,528) 27,066 Willis Lease Finance Corp 502,616 (40,870) (12,614) Vonage Holdings Corp (46,924) 5,521 13,164 Wilshire Bancorp Inc 135,458 (8,557) (19,982) Vornado Realty Trust (Reit) (2,133,678) (34,994) (34,000) Windstram Holdings Inc (326,570) (30,758) 9,038 VOXX International Corp 77,727 (20,439) 1,390 Winmark Corp 92,574 (1,785) 1,891 Voya Financial Inc 68,530 3,725 (2,301) Winnebago Industries Inc (57,226) 7,475 (937) VSE Corp (58,085) (6,735) 2,990 Wintrust Financial Corp 131,709 (12,108) 25,413 W&T Offshore 372,809 (13,328) 1,390 Wix.com Ltd 24,756 2,809 (17,532) Wabash National Corp (243,344) (100) (35,713) Wolverine World Wide Inc (919,967) 19,606 6,561 WABCO Holdings Inc 700,124 1,991 (451) Workday Inc 'A' (35,634) (3,516) (2,845) Wabtec Corp (222,764) (11,551) (14,091) World Fuel Services Corp (648,186) (5,118) 990 Wabtec Corp/DE 77,517 3,900 691 World Wrestling Entertainment Inc 'A' 7,774 (4,276) 8,632 Waddell & Reed Financial Inc 'A' 525,171 (17,382) (164) World Wrestling Entertainment Inc 'A' (1,845) 2,828
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 51 BlackRock Americas Diversified Equity Absolute Return Fund continued Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
United States continued United States continued 1,322 Worthington Industries Inc 53,316 2,591 (658) Yelp Inc (43,658) (7,337) 12,395 WP Carey Inc (Reit) 785,471 38,874 (852) YRC Worldwide Inc (18,863) (1,772) (16,009) WPX Energy Inc (341,152) 1,835 2,044 YuMe Inc 10,772 (2,596) (830) WR Grace & Co (77,057) (850) 24,958 ZAGG Inc 115,805 4,742 (16,190) Wright Medical Group Inc (493,471) 28,759 6,158 Zebra Technologies Corp 'A' 455,692 23,165 2,392 WSFS Financial Corp 163,852 (6,684) (2,040) Zebra Technologies Corp 'A' (150,960) 622 1,329 Wyndham Worldwide Corp 97,137 598 (2,119) Zillow Inc 'A' (252,140) (48,219) (16,040) XenoPort Inc (65,283) 27,910 (471) Zimmer Holdings Inc (48,942) (54) 4,607 Xerium Technologies Inc 62,886 (15,526) 16,380 Zix Corp 55,037 654 (14,244) Xerox Corp (174,489) (4,152) 2,266 Zoetis Inc 69,589 567 16,100 Xilinx Inc 756,217 (23,269) (877) Zumiez Inc (24,249) (2,272) 2,440 XO Group Inc 28,158 (1,562) (5,583) Zygo Corp (107,417) (10,670) (2,005) Xoom Corp (44,952) 1,649 (3,624) Zynga Inc 'A' (12,213) (36) 8,258 XPO Logistics 209,010 12,951 (234,894) 1,729,743 (3,372) XPO Logistics Inc (85,345) 20,772 (10,378) Yadkin Financial Corp (196,559) 18,888 Total market value 3,710 Yahoo! Inc 128,329 2,636 (USD underlying exposure – USD 663,353,333) 2,494,824 3,454,563
Note: The net unrealised appreciation attributed to these transactions is included in the Statement of Net Assets (see Note 2(d)). Goldman Sachs and Morgan Stanley are the counterparties to these Contracts for Difference.
Swaps as at 31 May 2014 Sector Breakdown as at 31 May 2014 Unrealised appreciation/ % of Net Nominal (depreciation) Assets* Value Description USD Government 18.52 Financial 63.30 USD 5,330 Total Return Swap (Citibank) (Fund receives Other Net Assets 18.18 3 Month LIBOR and pays MSCI Daily TR Net Emerging Markets Chile USD Index) 100.00 (25/7/2014) (113,278) * Based on the market value of the Portfolio of Investments except (USD underlying exposure – USD 2,130,156) (113,278) for Contract For Difference, which are based on the commitment (where applicable). Note: The total market value of USD (113,278) is included in the Statement of Net Assets.
Open Forward Foreign Exchange Transactions as at 31 May 2014
Unrealised appreciation/ (depreciation) Purchases Sales Value date USD EUR 26,675,293 USD 36,667,473 13/6/2014 (335,258) USD 628,028 EUR 458,017 13/6/2014 4,201 SEK 157,911,484 USD 24,085,781 13/6/2014 (417,638) USD 201,349 SEK 1,324,813 13/6/2014 2,783 Net unrealised depreciation (USD underlying exposure – USD 60,822,752) (745,912)
Note: The net unrealised depreciation attributed to these transactions is included in the Statement of Net Assets (see Note 2(d)). State Street Bank and Trust Company is the counterparty to these Open Forward Foreign Exchange Transactions.
52 BlackRock Strategic Funds (BSF) BlackRock Asia Extension Fund
Portfolio of Investments as at 31 May 2014 Transferable Securities and Money Market Instruments Admitted to an Transferable Securities and Money Market Instruments Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Official Stock Exchange Listing or Dealt in on Another Regulated Market
Market % of Market % of Value Net Value Net Holding Description USD Assets Holding Description USD Assets
BONDS United States continued USD 3,000,000 LMA Americas LLC 6/6/2014 United States (Zero Coupon) 2,999,920 1.48 USD 2,200,000 Federal Home Loan Banks 0.18% USD 5,000,000 LMA Americas LLC 24/6/2014 9/1/2015 2,201,505 1.09 (Zero Coupon) 4,999,467 2.47 USD 3,000,000 United States Treasury Bill USD 5,000,000 Macquarie Bank Ltd 18/8/2014 19/6/2014 (Zero Coupon) 2,999,934 1.48 (Zero Coupon) 4,998,025 2.47 USD 5,000,000 United States Treasury Bill USD 5,000,000 Matchpoint Master Trust 15/9/2014 26/6/2014 (Zero Coupon) 4,999,840 2.47 (Zero Coupon) 4,995,542 2.46 USD 1,000,000 United States Treasury Bill USD 1,450,000 Oversea-Chinese Banking Corp Ltd 20/11/2014 (Zero Coupon) 999,770 0.49 14/7/2014 (Zero Coupon) 1,449,610 0.71 USD 2,750,000 United States Treasury Note/Bond USD 4,000,000 Oversea-Chinese Banking Corp Ltd 2.125% 30/11/2014 2,778,468 1.37 6/8/2014 (Zero Coupon) 3,998,288 1.97 13,979,517 6.90 USD 2,500,000 Rabobank USA Financial Corp Total Bonds 13,979,517 6.90 24/6/2014 (Zero Coupon) 2,499,617 1.23 USD 500,000 Rabobank USA Financial Corp 27/6/2014 (Zero Coupon) 499,899 0.25 CERTIFICATES OF DEPOSIT USD 5,780,000 Salisbury Receivables Co LLC 9/6/2014 (Zero Coupon) 5,779,740 2.85 United States USD 2,500,000 Sheffield Receivables Corp USD 5,000,000 Bank of Nova Scotia 17/2/2015 11/7/2014 (Zero Coupon) 2,499,487 1.23 (Zero Coupon) 5,000,032 2.47 USD 4,000,000 Societe Generale North America Inc USD 6,000,000 Cooperatieve Centrale Raiffeisen- 2/6/2014 (Zero Coupon) 3,999,952 1.97 Boerenleenbank BA 9/2/2015 USD 8,000,000 Societe Generale North America Inc (Zero Coupon) 6,000,000 2.96 4/8/2014 (Zero Coupon) 7,997,689 3.95 USD 4,000,000 Credit Suisse AG 0.50% 9/6/2014 4,001,014 1.97 USD 4,000,000 Sumitomo Mitsui Banking Corp USD 2,000,000 DnB NOR Bank ASA 0.22% 6/8/2014 (Zero Coupon) 3,998,436 1.97 10/7/2014 2,000,014 0.99 USD 2,000,000 Svenska Handelsbanken AB USD 2,000,000 Nordea Bank Finland Plc 0.205% 11/6/2014 (Zero Coupon) 1,999,896 0.99 10/10/2014 1,999,963 0.98 USD 2,000,000 Victory Receivables Corp 2/6/2014 USD 4,500,000 Royal Bank of Canada 0.235% (Zero Coupon) 1,999,982 0.99 23/10/2014 4,500,000 2.22 101,396,655 50.03 USD 5,750,000 Sumitomo Mitsui Banking Corp 0.22% 25/7/2014 5,750,703 2.84 Total Commercial Paper 101,396,655 50.03 29,251,726 14.43 Total Transferable Securities and Money Market Instruments Admitted to an Total Certificates of Deposit 29,251,726 14.43 Official Stock Exchange Listing or Dealt in on Another Regulated Market 144,627,898 71.36 COMMERCIAL PAPER United States Other Transferable Securities and Money Market Instruments USD 6,000,000 Alpine Securitization Corp 22/10/2014 (Zero Coupon) 5,993,760 2.96 BONDS USD 9,000,000 Antalis US Funding Corp 5/8/2014 (Zero Coupon) 8,996,370 4.44 United States USD 1,500,000 Antalis US Funding Corp USD 12,000,000 Fannie Mae Discount Notes 8/8/2014 (Zero Coupon) 1,499,339 0.74 11/6/2014 (Zero Coupon) 11,999,916 5.92 USD 500,000 Bank of Nova Scotia 24/6/2014 USD 5,000,000 Freddie Mac Discount Notes (Zero Coupon) 499,938 0.25 23/6/2014 (Zero Coupon) 4,999,935 2.47 USD 5,000,000 Bank of Nova Scotia 9/7/2014 16,999,851 8.39 (Zero Coupon) 4,998,835 2.47 Total Bonds 16,999,851 8.39 USD 900,000 Bank of Tokyo Mitsubishi UFJ Ltd 9/6/2014 (Zero Coupon) 899,974 0.44 Total Other Transferable Securities USD 7,000,000 Cafco LLC 10/9/2014 (Zero Coupon) 6,995,438 3.45 and Money Market Instruments 16,999,851 8.39 USD 2,500,000 Caisse Centrale Desjardins du Securities portfolio at market value 161,627,749 79.75 Quebec 3/7/2014 (Zero Coupon) 2,499,668 1.23 USD 5,000,000 Cancara Asset Securitisation LLC Other Net Assets 41,038,404 20.25 9/6/2014 (Zero Coupon) 4,999,775 2.47 Total Net Assets (USD) 202,666,153 100.00 USD 5,000,000 Cancara Asset Securitisation LLC 14/7/2014 (Zero Coupon) 4,998,900 2.47 USD 2,000,000 Ciesco LLC 10/6/2014 (Zero Coupon) 1,999,900 0.99 USD 2,300,000 ING (US) Funding LLC 1/8/2014 (Zero Coupon) 2,299,208 1.13
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 53 BlackRock Asia Extension Fund continued
Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
Hong Kong Hong Kong continued 30,000 Agile Property Holdings Ltd 23,527 540 52,000 CNOOC Ltd 88,940 (194) 11,403,000 Agricultural Bank of China Ltd 'H' 5,074,435 491,938 312,000 Coolpad Group Ltd 76,464 (20,165) 439,200 AIA Group Ltd 2,200,914 54,875 364,000 COSCO Pacific Ltd 479,846 (24,522) (230,000) Aluminum Corp of China Ltd 'H' (82,178) 1,305 91,000 CSR Corp Ltd 'H' 67,258 (3,852) 21,500 Anhui Conch Cement Co Ltd 'H' 77,096 (5,688) 568,000 Dongfeng Motor Group Co Ltd 'H' 865,996 (3,061) 126,000 ANTA Sports Products Ltd 185,279 (16,595) (1,257,600) Esprit Holdings Ltd (1,852,500) 681,043 (228,000) Anxin-China Holdings Ltd (31,468) 3,927 485,000 Evergrande Real Estate Group Ltd 217,706 2,689 (99,100) ASM Pacific Technology Ltd (1,110,180) (210,750) 618,000 FIH Mobile Ltd 351,541 1,507 5,230,000 Bank of China Ltd 'H' 2,496,050 174,462 (60,000) First Pacific Co Ltd/Hong Kong (67,874) (486) 286,600 Bank of East Asia Ltd 1,166,341 43,238 78,700 Forgame Holdings Ltd 304,541 (32,085) 652,500 BBMG Corp 'H' 437,657 (82,674) (31,000) Fosun International Ltd (36,588) 2,252 (210,000) Beijing Enterprises Water Group Ltd (134,896) (6,636) 1,588,000 Franshion Properties China Ltd 475,213 (18,423) 386,000 Belle International Holdings Ltd 383,379 (29,957) 86,000 Galaxy Entertainment Group Ltd 688,319 (7,034) (3,500) Biostime International Holdings Ltd (23,724) (2,430) 4,778,000 GOME Electrical Appliances 1,215,500 BOC Hong Kong Holdings Ltd 3,645,253 (170,706) Holding Ltd 801,198 22,054 (32,000) Brilliance China Automotive 88,500 Greentown China Holdings Ltd 86,529 (4,676) Holdings Ltd (52,999) (10,673) 408,000 Guangdong Investment Ltd 450,488 65,347 251,000 Cheung Kong Holdings Ltd 4,484,080 545,098 40,000 Guangzhou Automobile Group 208,000 Cheung Kong Infrastructure Co Ltd 'H' 41,999 6,251 Holdings Ltd 1,427,331 109,002 74,000 Haier Electronics Group Co Ltd 172,958 (29,516) 776,000 China Agri-Industries Holdings Ltd 320,304 9,603 146,000 Haitian International Holdings Ltd 319,019 23,187 1,181,000 China Cinda Asset Management (12,000) Hang Lung Group Ltd (67,564) (10,944) Co Ltd 'H' 563,639 (77,227) 28,000 Henderson Land Development Co Ltd 182,028 33,451 165,000 China CITIC Bank Corp Ltd 'H' 95,774 1,677 (9,500) Hengan International Group Co Ltd (100,421) (294) (1,462,000) China Coal Energy Co Ltd 'H' (831,641) (60,968) (506,000) Honghua Group Ltd (120,093) 8,869 1,580,000 China Communications Construction 60,000 Huabao International Holdings Ltd 27,939 (2,899) Co Ltd 'H' 1,053,652 (153,748) 206,000 Huadian Power International Corp 6,198,000 China Construction Bank Corp 'H' 4,540,983 (201,230) Ltd 'H' 115,586 1,507 (1,491,000) China COSCO Holdings Co Ltd 'H' (578,888) 55,304 60,000 Huaneng Power International Inc 'H' 63,153 2,102 (425,000) China Everbright International Ltd (541,073) (12,386) 126,000 Hutchison Whampoa Ltd 1,687,010 55,308 192,000 China Everbright Ltd 269,946 (1,168) 4,872,000 Industrial & Commercial Bank of 107,000 China Galaxy Securities Co Ltd 'H' 68,871 630 China Ltd 'H' 3,154,718 (149,506) (1,376,000) China High Speed Transmission 97,000 Jiangxi Copper Co Ltd 'H' 160,152 (24,605) Equipment Group Co Ltd (933,585) (47,945) (1,317,000) K Wah International Holdings Ltd (917,338) 86,247 (417,000) China Longyuan Power Group Corp 'H' (463,115) (42,048) 342,000 Kaisa Group Holdings Ltd 106,315 9,684 357,000 China Machinery Engineering Corp 'H' 229,783 (2,873) 175,000 Kerry Properties Ltd 575,610 3,486 500,500 China Merchants Bank Co Ltd 'H' 921,897 (11,091) 292,500 Kingboard Chemical Holdings Ltd 549,335 (24,743) 200,000 China Mobile Ltd 1,955,460 34,301 (9,000) KINGSOFT Corp Ltd (27,165) (1,516) 476,000 China Oilfield Services Ltd 'H' 1,171,481 30,485 (196,000) Kunlun Energy Co Ltd (319,055) 11,780 505,000 China Overseas Grand Oceans 695,000 KWG Property Holding Ltd 440,166 39,000 Group Ltd 321,135 2,200 368,000 Li & Fung Ltd 531,638 (17,010) 288,000 China Overseas Land & (1,023,250) Li Ning Co Ltd (720,649) 161,637 Investment Ltd 754,116 (102,592) 10,700 Lifestyle Properties Development Ltd 1,587 1,587 15,000 China Pacific Insurance Group 35,500 Longfor Properties Co Ltd 45,012 (586) Co Ltd 'H' 49,822 1,063 121,000 Lonking Holdings Ltd 21,538 (3,593) 1,640,600 China Petroleum & Chemical Corp 'H' 1,487,674 81,121 (185,000) Melco International Development Ltd (588,218) (14,774) 685,000 China Power International 474,000 MGM China Holdings Ltd 1,647,733 (184,362) Development Ltd 241,214 (7,587) 229,300 New China Life Insurance Co Ltd 'H' 718,721 834 1,393,500 China Railway Construction Corp 111,000 New World Development Co Ltd 126,998 4,655 Ltd 'H' 1,177,330 (171,754) 130,000 Newocean Energy Holdings Ltd 86,693 (15,755) 1,329,000 China Railway Group Ltd 'H' 613,702 (9,570) 413,000 NWS Holdings Ltd 719,173 74,545 140,000 China Resources Cement Holdings Ltd 87,764 (12,456) 4,500 Orient Overseas International Ltd 22,986 891 282,000 China Resources Land Ltd 573,265 (127,907) 1,143,000 PCCW Ltd 622,169 60,342 284,000 China Resources Power Holdings 714,000 PetroChina Co Ltd 'H' 850,060 54,685 Co Ltd 745,474 24,137 215,500 Ping An Insurance Group Co of (1,361,000) China Shanshui Cement Group Ltd (495,059) (38,939) China Ltd 'H' 1,663,647 22,205 564,000 China Shenhua Energy Co Ltd 'H' 1,542,285 (45,830) 191,500 Power Assets Holdings Ltd 1,664,863 (17,065) (430,000) China Shipping Development 18,300 Samsonite International SA 57,360 1,128 Co Ltd 'H' (237,390) 26,339 454,400 Sands China Ltd 3,314,521 (284,715) 68,000 China Southern Airlines Co Ltd 'H' 19,560 (756) (6,790,000) Semiconductor Manufacturing 1,160,000 China Telecom Corp Ltd 'H' 585,039 63,878 International Corp (578,045) (9,638) 170,000 China Unicom Hong Kong Ltd 253,049 (9,910) (392,000) Shandong Weigao Group Medical 280,000 China WindPower Group Ltd 20,587 (568) Polymer Co Ltd 'H' (383,776) 66,352 146,000 Chongqing Rural Commercial Bank 'H' 67,420 2,228 (10,500) Shanghai Fosun Pharmaceutical 308,000 CIFI Holdings Group Co Ltd 56,812 (618) Group Co Ltd 'H' (39,074) (2,719) (60,000) CITIC Pacific Ltd (104,790) (13,323) 162,000 Shanghai Industrial Holdings Ltd 499,416 (40,760)
54 BlackRock Strategic Funds (BSF) BlackRock Asia Extension Fund continued
Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
Hong Kong continued Malaysia continued (566,000) Shangri-La Asia Ltd (896,529) 69,245 59,000 Lafarge Malaysia Bhd 180,891 21,107 54,500 Shenzhen International Holdings Ltd 64,815 (2,098) 616,600 Malayan Banking Bhd 1,890,460 26,952 1,648,000 Shenzhen Investment Ltd 537,808 (19,470) 150,400 MISC Bhd 288,432 36,659 688,500 Shimao Property Holdings Ltd 1,381,858 (185,250) 138,200 Petronas Gas Bhd 1,050,706 79,168 258,500 Sino-Ocean Land Holdings Ltd 136,041 1,719 45,800 PPB Group Bhd 222,853 11,408 256,800 Sinopharm Group Co Ltd 'H' 695,607 (35,183) 595,100 Sapurakencana Petroleum Bhd 770,075 (65,508) 960,000 SJM Holdings Ltd 2,742,804 (133,871) 609,300 Sime Darby Bhd 1,805,684 44,941 (474,000) SmarTone Telecommunications 669,500 Telekom Malaysia Bhd 1,283,944 108,591 Holdings Ltd (542,926) 3,136 168,400 Tenaga Nasional Bhd 630,226 58,922 (407,500) SOHO China Ltd (319,581) 29,307 20 YTL Corp Bhd 10 – 464,000 Sun Art Retail Group Ltd 545,836 (18,601) 13,905,527 736,236 701,000 Sunac China Holdings Ltd 361,683 4,906 124,500 Swire Pacific Ltd 'A' 1,480,642 105,839 Philippines 271,500 Tencent Holdings Ltd 3,792,697 (10,072) 596,500 Ayala Land Inc 407,910 77,544 254,000 Tingyi Cayman Islands Holding Corp 720,786 (20,418) 7,175 Philippine Long Distance (23,000) Tong Ren Tang Technologies Co Ltd 'H' (65,416) 1,835 Telephone Co 461,215 30,598 428,000 Truly International Holdings 261,129 18,403 38,900 SM Investments Corp 696,954 75,274 (20,000) Tsingtao Brewery Co Ltd 'H' (156,979) (4,229) 718,390 Universal Robina Corp 2,439,939 486,610 (250,800) Uni-President China Holdings Ltd (47,231) (47,231) 4,006,018 670,026 (1,254,000) Uni-President China Holdings Ltd (965,654) 153,771 (378,000) United Photovoltaics Group Ltd (31,205) 54,598 Singapore 215,000 Want Want China Holdings Ltd 298,401 (32,101) 575,000 Asian Pay Television Trust 348,013 (5,596) 59,000 Wheelock & Co Ltd 238,583 (1,702) (750,000) Biosensors International Group Ltd (567,413) (9,305) 636,400 Wynn Macau Ltd 2,643,236 (205,033) 1,104,000 CapitaMall Trust (Reit) 1,819,925 200,150 70,000 Xinyi Glass Holdings Ltd 48,938 (12,734) 267,000 ComfortDelGro Corp Ltd 495,429 63,899 450,000 Yuexiu Property Co Ltd 89,389 553 314,000 DBS Group Holdings Ltd 4,226,009 (14,798) 70,000 Zhaojin Mining Industry Co Ltd 'H' 37,923 (1,878) (6,000) Ezion Holdings Ltd (10,512) 137 998,000 Zhejiang Expressway Co Ltd 'H' 986,073 134,380 165,000 Genting Singapore Plc 176,734 975 487,500 Zhuzhou CSR Times Electric Co Ltd 'H' 1,424,271 (139,967) 171,000 Global Logistic Properties Ltd 378,578 18,241 70,557,175 331,729 976,000 Golden Agri-Resources Ltd 446,922 (26,257) 19,000 Hongkong Land Holdings Ltd 133,380 13,884 Indonesia 2,702,000 Hutchison Port Holdings Trust (Unit) 2,026,500 173,789 1,840,800 Adaro Energy Tbk PT 194,086 (1,729) 2,000 Keppel Corp Ltd 16,931 242 675,400 Astra International Tbk PT 411,280 (257) (202,000) Nam Cheong Ltd (62,738) (5,301) 727,500 Bank Central Asia Tbk PT 674,684 28,853 1,365,000 Noble Group Ltd 1,505,555 134,981 778,500 Bank Mandiri Persero Tbk PT 681,778 142,378 568,000 Oversea-Chinese Banking Corp Ltd 4,410,289 558 882,900 Bank Negara Indonesia Persero (3,000) SATS Ltd (7,454) (94) Tbk PT 362,857 72,101 88,000 Sembcorp Industries Ltd 379,135 (479) 48,200 Gudang Garam Tbk PT 215,932 6,071 376,000 Singapore Post Ltd 492,570 57,594 214,700 Indofood Sukses Makmur Tbk PT 126,120 (6,091) (311,000) Singapore Press Holdings Ltd (1,015,450) 10,222 99,500 Matahari Department Store Tbk PT 124,391 (3,655) (6,000) SPH REIT (Reit) (4,850) (71) 1,515,900 Perusahaan Gas Negara Persero (38,000) Suntec Real Estate Investment Tbk PT 707,816 50,323 Trust (Reit) (54,320) (255) 301,200 Perusahaan Perkebunan London 190,000 UOL Group Ltd 998,646 (7,984) Sumatra Indonesia Tbk PT 59,885 (4,113) (184,000) Wilmar International Ltd (470,367) (185) 1,135,500 Surya Citra Media Tbk PT 309,811 61,849 949,000 Yangzijiang Shipbuilding Holdings Ltd 763,311 (93,739) 437,200 Tambang Batubara Bukit Asam (227,000) Yoma Strategic Holdings Ltd (146,428) (19,960) Persero Tbk PT 402,637 57,258 16,278,395 490,648 4,745,000 Telekomunikasi Indonesia Persero Tbk PT 1,051,633 253,258 South Korea 224,900 Unilever Indonesia Tbk PT 563,774 (28,536) 1,630 AJ Rent A Car Co Ltd 24,896 4,020 30,300 United Tractors Tbk PT 56,526 (2,354) 159 Amorepacific Corp 225,575 76,853 164,100 Wijaya Karya Persero Tbk PT 33,121 618 1,065 AMOREPACIFIC Group 715,318 240,805 5,976,331 625,974 4,917 Binggrae Co Ltd 404,394 (25,467) 2,260 BS Financial Group Inc 34,408 8,291 Malaysia 383 BS Financial Group Inc (Right) 731 731 52,900 Astro Malaysia Holdings Bhd 55,814 7,179 2,426 Cheil Industries Inc 157,719 3,825 (41) Berjaya Sports Toto Bhd (49) (49) 6,220 Cheil Worldwide Inc 143,419 7,977 65,700 British American Tobacco (294) CJ CheilJedang Corp (94,992) (12,825) Malaysia Bhd 1,282,399 20,976 (4,132) CJ Korea Express Co Ltd (459,179) (113,873) 2,362,300 DiGi.Com Bhd 3,973,208 355,997 1,189 Cosmax BTI Inc 56,636 (124,392) 34,400 Hong Leong Financial Group Bhd 164,394 1,309 11,583 Coway Co Ltd 973,047 383,349 240,300 IHH Healthcare Bhd 306,480 28,584 9,190 Daesang Corp 425,600 69,346
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 55 BlackRock Asia Extension Fund continued
Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
South Korea continued South Korea continued 20,830 Daewoo International Corp 656,705 (129,109) 3,620 Shinhan Financial Group Co Ltd 157,191 12,865 (75,200) Daewoo Securities Co Ltd (639,828) (25,020) (108) Shinsegae Co Ltd (22,100) 570 800 DGB Financial Group Inc 12,219 1,531 18,514 Silicon Works Co Ltd 465,864 73,946 (10,750) DuzonBizon Co Ltd (109,989) 1,592 3,975 SK C&C Co Ltd 644,111 143,961 9,695 Eugene Technology Co Ltd 210,255 22,030 1,838 SK Holdings Co Ltd 331,123 47,676 961 GS Home Shopping Inc 226,666 (15,101) 13,330 SK Hynix Inc 576,217 54,648 11,460 GS Retail Co Ltd 258,070 (31,306) 6,001 SK Innovation Co Ltd 625,747 (100,739) 18,538 Hana Financial Group Inc 672,476 (41,422) 121,640 SK Networks Co Ltd 1,129,042 271,995 4,220 Hanil E-Hwa Co Ltd 91,312 7,963 117 SK Telecom Co Ltd 25,145 1,111 2,903 Hankook Tire Co Ltd 171,960 11,784 9,636 Tera Semicon Co Ltd 143,405 (17,652) 8,960 Hankook Tire Worldwide Co Ltd 204,843 17,115 2,071 Vieworks Co Ltd 57,587 9,507 502 Hanmi Pharm Co Ltd 51,117 (8,850) 7,023 Wonik IPS Co Ltd 79,764 21,021 3,520 Hansae Co Ltd 87,367 23,116 63,260 Woori Investment & Securities Co Ltd 533,902 9,205 (1,630) Hotel Shilla Co Ltd (147,623) (8,909) 534 Yuhan Corp 92,281 (5,294) 603 Hyundai Engineering & Construction 37,665,069 2,152,128 Co Ltd 31,527 (157) 16,430 Hyundai Greenfood Co Ltd 271,058 (5,479) Taiwan (615) Hyundai Mipo Dockyard (97,246) (7,086) 57,000 AcBel Polytech Inc 72,262 (5,422) 3,205 Hyundai Mobis 903,745 22,134 (714,000) Acer Inc (462,674) 38,612 13,313 Hyundai Motor Co 2,926,292 5,876 125,000 Advanced Semiconductor 15,410 Hyundai Securities Co Ltd 92,338 9,021 Engineering Inc 157,847 18,195 1,340 Hyundai Steel Co 90,265 (8,993) 1,594,000 Asia Cement Corp 2,068,479 (1,895) 1,842 Hyundai Wia Corp 324,629 (8,804) 769,000 AU Optronics Corp 292,599 (2,547) 4,934 i-SENS Inc 230,674 1,526 115,000 Career Technology MFG. Co Ltd 170,059 13,962 24,540 Industrial Bank of Korea 336,378 50,469 1,666,972 Cathay Financial Holding Co Ltd 2,542,627 21,492 234 KCC Corp 134,258 18,133 1,058,000 Chimei Materials Technology Corp 1,272,729 11,493 11,981 KCP Co Ltd 129,623 (12,456) 715,000 Chin-Poon Industrial Co Ltd 1,378,084 66,942 26,216 KGMobilians Co Ltd 399,137 40,196 (23,000) China Motor Corp (22,203) (308) 38,902 Kia Motors Corp 2,239,622 107,445 32,000 China Steel Chemical Corp 193,537 4,166 (1,080) Kolao Holdings (26,700) 379 (537,000) China Steel Corp (438,986) 8,235 28,880 Korea Aerospace Industries Ltd 902,014 72,915 13,000 Chlitina Holding Ltd 105,840 3,254 17,360 Korea Electric Power Corp 664,587 154,531 (277,000) Chong Hong Construction Co (775,977) (232) 502 Korea Gas Corp 28,655 (1,464) 409,000 Chunghwa Picture Tubes Ltd 24,736 12,321 9,470 Korea Investment Holdings Co Ltd 358,828 15,366 1,097,000 Compal Electronics Inc 900,420 68,436 (5,680) Korea Kolmar Co Ltd (224,675) (20,699) 1,724,000 Compeq Manufacturing Co Ltd 1,191,632 244,223 4,201 Korea Petrochemical Ind Co Ltd 273,527 (20,999) 304,000 Delta Electronics Inc 1,969,926 197,739 6,028 Korea Zinc Co Ltd 2,192,590 494,283 152,000 Elan Microelectronics Corp 288,923 4,345 2 Korean Reinsurance Co 20 20 940 Far Eastern Department Stores Ltd 870 870 19,170 KT Skylife Co Ltd 430,755 (59,363) (474,000) Far EasTone Telecommunications 14,350 LF Corp 383,566 (12,020) Co Ltd (1,072,673) (100,308) 3,542 LG Chem Ltd 901,669 (26,523) 452,323 Farglory Land Development Co Ltd 751,554 6,651 8,928 LG Corp 530,601 51,115 (112,000) FLEXium Interconnect Inc (295,143) 49,634 24,730 LG Display Co Ltd 657,384 (23,700) 42,000 Formosa Petrochemical Corp 102,305 (4,130) 661 LG Electronics Inc 47,180 3,110 257,000 Formosa Taffeta Co Ltd 281,404 14,520 274 LG Household & Health Care Ltd 136,819 18,034 83,000 Fubon Financial Holding Co Ltd 119,015 7,040 (61,610) Lock & Lock Co Ltd (793,236) 175,153 (186,000) G Tech Optoelectronics Corp (220,351) 77,206 10,090 LOTTE Himart Co Ltd 665,850 (138,947) 32,000 Giant Manufacturing Co Ltd 252,555 9,222 1,456 LS Corp 102,498 97 689,000 Grand Pacific Petrochemical 446,474 7,558 15,687 Lumens Co Ltd 181,237 (25,041) 14,000 Grape King Bio Ltd 61,643 (722) 910 Medy-Tox Inc 117,609 (34,911) 524,220 Hon Hai Precision Industry Co Ltd 1,609,634 156,357 3,440 Mirae Asset Securities Co Ltd 143,312 5,526 (60,000) HTC Corp (319,016) (34,524) 1,180 Naver Corp 875,743 86,823 1,905,000 Innolux Corp 750,161 40,945 1,263 Neowiz Games Corp 18,796 (1,572) 644,000 Inotera Memories Inc 968,381 499,881 (6,299) NEPES Corp (53,841) (7,668) 408,000 Inventec Corp 379,629 (5,438) 1,141 NongShim Co Ltd 346,875 34,599 58,000 King Slide Works Co Ltd 790,230 135,435 (24) Orion Corp/Republic of Korea (19,715) 776 65,000 Kingdom Construction Co Ltd 68,904 1,207 4,308 POSCO 1,218,987 (50,392) 26,000 Largan Precision Co Ltd 1,693,445 200,482 14,768 S-1 Corp 1,149,514 2,133 65,000 MediaTek Inc 1,051,923 (61,863) 5,160 Samsung C&T Corp 368,806 74,141 41,000 Merry Electronics Co Ltd 253,419 56,541 5,610 Samsung Card Co Ltd 206,252 14,073 84,000 PChome Online Inc 648,999 5,754 7,223 Samsung Electronics Co Ltd 10,204,914 486,253 140,000 Pegatron Corp 269,835 27,947 (5,688) Samsung Engineering Co Ltd (453,882) (69,249) 37,000 President Chain Store Corp 304,926 45,412 234 Samsung Fire & Marine Insurance 42,000 Quanta Computer Inc 112,633 4,225 Co Ltd 59,568 9,396 77,000 Shin Kong Financial Holding Co Ltd 24,360 727 (29,220) Samsung Securities Co Ltd (1,174,407) (129,011) 1,138,000 Siliconware Precision Industries Co 1,815,203 309,319 2,821 Seowon Intech Co Ltd 38,668 (3,735) 17,000 Simplo Technology Co Ltd 89,258 (609)
56 BlackRock Strategic Funds (BSF) BlackRock Asia Extension Fund continued
Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
Taiwan continued Thailand continued 79,000 Sino-American Silicon Products Inc 149,639 4,899 34,800 Intouch Holdings PCL 78,994 (3,035) 299,000 Taiwan Cement Corp 443,147 (13,328) 161,100 Jasmine International PCL 38,908 (1,005) (30,000) Taiwan Fertilizer Co Ltd (60,513) 553 44,600 Kasikornbank PCL 254,974 26,023 (494,000) Taiwan Mobile Co Ltd (1,623,547) (139,652) 5,731 One to One Contacts Co Ltd 1,297 (29,651) 2,356,000 Taiwan Semiconductor 153,400 PTT Exploration & Production PCL 719,868 (28,528) Manufacturing Co Ltd 9,355,886 1,123,856 589,800 PTT Global Chemical PCL 1,239,644 (112,463) 626,000 Taiwan Union Technology Corp 575,190 (46,948) 106,900 PTT PCL 960,825 (45,298) 121,000 Teco Electric and Machinery Co Ltd 135,103 (253) 288,400 Samart Corp PCL 175,456 35,658 660,000 TXC Corp 973,797 128,367 (541,700) Sansiri PCL (30,968) (1,666) 904,000 Uni-President Enterprises Corp 1,577,137 59,458 2,500 Shin Corp PCL 5,675 (144) 125,000 United Microelectronics Corp 58,362 3,320 79,000 Siam Cement PCL/The 1,004,708 (4,941) 161,000 Vanguard International (12,300) Total Access Communication PCL (45,124) (6,845) Semiconductor Corp 248,783 54,604 5,552,562 (184,609) 156,000 Wan Hai Lines Ltd 75,687 (1,006) 1,713,000 Winbond Electronics Corp 648,939 93,337 United States (794,000) Wintek Corp (281,003) 65,787 7,061 Dr Reddy's Laboratories Ltd ADR 288,230 (13,448) (1,620,000) Wistron Corp (1,372,767) (18,074) 1,235 E-Commerce China Dangdang Inc (66,950) Wowprime Corp (974,465) (22,144) 'A' ADR 12,486 (7,558) (1,733,000) Yang Ming Marine Transport Corp (731,382) 17,786 5,269 HDFC Bank Ltd ADR 237,052 22,871 2,477,000 Yuanta Financial Holding Co Ltd 1,288,196 (39,299) 1,071 ICICI Bank Ltd ADR 53,454 7,575 (112,000) Yulon Motor Co Ltd (180,696) 13,561 13,929 Infosys Ltd ADR 713,025 (27,848) 11,000 Yulon Nissan Motor Co Ltd 131,594 (11,875) 375 Philippine Long Distance Telephone Co 564 (24,336) 161,000 Yungtay Engineering Co Ltd 386,282 (68,575) 49,035 Sesa Sterlite Ltd ADR 922,839 345,932 81,000 Zhen Ding Technology Holding Ltd 254,097 11,586 (444) Sohu.com Inc (26,116) (715) 32,946,903 3,368,310 9,081 Tata Motors Ltd ADR 340,447 (5,504) 57,199 Wipro Ltd ADR 644,061 (119,473) Thailand 3,186,042 177,496 137,500 Advanced Info Service PCL 962,626 5,058 42,000 Bangkok Bank PCL 237,542 (2,862) Total market value 66,500 BEC World PCL 99,618 (8,367) (USD underlying exposure – USD 243,649,138) 190,074,022 8,367,938 (108,900) CP ALL PCL (151,481) (6,543)
Note: The net unrealised appreciation attributed to these transactions is included in the Statement of Net Assets (see Note 2(d)). Credit Suisse, Merrill Lynch and Morgan Stanley are the counterparties to these Contracts for Difference.
Open Exchange Traded Futures Contracts Open Forward Foreign Exchange Transactions as at 31 May 2014 as at 31 May 2014
Unrealised Unrealised Underlying appreciation/ appreciation/ Number of Contract/ Expiration exposure (depreciation) (depreciation) Contracts Description date USD USD Purchases Sales Value date USD 828 SGX CNX NIFTY Index June 2014 11,966,256 (174,897) GBP 3,770 USD 6,365 13/6/2014 (53) Total 11,966,256 (174,897) Net unrealised depreciation (USD underlying exposure – USD 6,312) (53) Note: The net unrealised depreciation of attributed to these transactions is included in the Statement of Net Assets (see Notes 2(d)). Note: The net unrealised depreciation attributed to these transactions is included in the Statement of Net Assets (see Note 2(d)). State Street Bank and Trust Company is the counterparty to these Open Forward Foreign Exchange Transactions. Sector Breakdown as at 31 May 2014
% of Net Assets* Financial 64.46 Government 15.29 Other Net Assets 20.25 100.00
* Based on the market value of the Portfolio of Investments except for Contract For Difference, which are based on the commitment (where applicable).
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 57 BlackRock Emerging Markets Absolute Return Fund
Portfolio of Investments as at 31 May 2014 Transferable Securities and Money Market Instruments Admitted to an Transferable Securities and Money Market Instruments Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Official Stock Exchange Listing or Dealt in on Another Regulated Market
Market Market Value Value Holding Description USD % Holding Description USD %
COMMON STOCKS (SHARES) & RIGHTS Poland 14,390 KGHM Polska Miedz SA 552,150 1.31 Brazil 75 CETIP SA - Mercados Organizados (Right) 149 0.00 552,150 1.31 104,436 CETIP SA - Mercados Organizados 1,347,801 3.20 214,041 Cyrela Brazil Realty SA Portugal Empreendimentos e 46,603 Jeronimo Martins SGPS SA 795,033 1.89 Participacoes 1,277,188 3.04 795,033 1.89 76,825 Vale SA ADR 976,830 2.32 Russia 3,601,968 8.56 4,966 Magnit OJSC 1,249,233 2.97 China 98,903 Mobile TeleSystems OJSC (traded in United States) 811,934 1.93 2,512,999 Bank of China Ltd 'H' 1,199,329 2.85 78,995 Mobile TeleSystems OJSC 348,000 China Oilfield Services Ltd 'H' 856,450 2.03 (traded in Russia) 648,751 1.54 1,034,000 Dongfeng Motor Group Co Ltd 'H' 1,576,458 3.75 10,139 NovaTek OAO GDR Reg 1,184,742 2.82 1,453,000 Industrial & Commercial Bank of 693,370 Sberbank of Russia 1,696,474 4.03 China Ltd 'H' 940,835 2.24 5,591,134 13.29 4,573,072 10.87 South Korea Cyprus 3,292 Hyundai Mobis Co Ltd 929,323 2.21 50,281 Globaltrans Investment Plc GDR Reg 550,577 1.31 15,762 Kia Motors Corp 908,455 2.16 550,577 1.31 1,837,778 4.37 Egypt Turkey 280,622 Global Telecom Holding GDR 1,027,638 2.44 2,570,000 Dogan Sirketler Grubu Holding AS 1,017,943 2.42 1,027,638 2.44 237,497 Turkiye Halk Bankasi AS 1,870,055 4.44
Hungary 2,887,998 6.86 8,497 MOL Hungarian Oil & Gas Plc 494,515 1.18 Total Common Stocks (Shares) & Rights 29,934,477 71.15 31,512 OTP Bank Plc 681,712 1.62 Total Transferable Securities and Money 1,176,227 2.80 Market Instruments Admitted to an Official Stock Exchange Listing or India Dealt in on Another Regulated Market 29,934,477 71.15 12,683 Axis Bank Ltd 392,359 0.93 35,857 Axis Bank Ltd GDR Reg 1,122,683 2.67 Funds 205,000 Bank of India 1,087,100 2.59 2,602,142 6.19 Ireland Mexico USD 439,730 Institutional Cash Series Plc 72,312 America Movil SAB de CV 'L' ADR 1,419,846 3.38 - Institutional US Dollar 1 555,688 Mexico Real Estate Management SA Liquidity Fund 439,730 1.05 de CV REIT 1,090,368 2.59 439,730 1.05 501,421 Wal-Mart de Mexico SAB de CV 'V' 1,272,346 3.02 Total Funds 439,730 1.05 3,782,560 8.99 Securities portfolio at market value 30,374,207 72.20
Peru Other Net Assets 11,696,788 27.80 91,590 Cia de Minas Buenaventura SAA ADR 956,200 2.27 Total Net Assets (USD) 42,070,995 100.00 956,200 2.27
1 This fund is managed by BlackRock.
58 BlackRock Strategic Funds (BSF) BlackRock Emerging Markets Absolute Return Fund continued
Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
China United Kingdom (66,500) Tencent Holdings Ltd (934,959) 17,178 (157,060) Aberdeen Asset Management Plc (1,160,869) (61,295) (934,959) 17,178 (30,277) Ultrapar Participacoes SA (725,173) 9,710 (1,886,042) (51,585) France (28,772) Tarkett SA (1,149,607) (92,096) United States (1,149,607) (92,096) (150,258) Airports of Thailand PCL (857,763) (73,897) 368,511 Asia Plastic Recycling Holding Ltd 833,940 (127,231) Hong Kong (351,700) Axiata Group Bhd (757,878) (46,312) (152,800) Sands China Ltd (1,113,566) (438) (1,498,800) Ayala Land Inc (1,027,277) (122,894) (898,000) Shandong Weigao Group Medical (476,366) Bank of the Philippine Islands (919,625) 18,731 Polymer Co Ltd 'H' (873,357) 78,354 (167,079) BM&FBovespa SA (850,816) (4,494) (143,933) Tsingtao Brewery Co Ltd 'H' (1,132,490) (69,306) (46,868) BRF SA (1,015,644) (123,984) (2,252,554) BTS Group Holdings PCL (579,582) (7,972) (3,119,413) 8,610 (9,444) Coca-Cola Femsa SAB de CV ADR (1,102,776) (77,392) Poland (796,100) CP ALL PCL (1,102,837) (60,970) (402,665) Dubai Islamic Bank PJSC (849,632) (20,854) (13,215) Bank Pekao SA (815,609) (29,104) (92,378) El Puerto de Liverpool SAB de CV 'C1' (1,054,384) (72,894) (173,595) PGE SA (1,199,650) (136,966) (160,000) Firich Enterprises Co Ltd (919,840) (109,149) (7,469) Powszechny Zaklad Ubezpieczen SA (1,098,794) (40,540) (89,400) Group BTG Pactual (Unit) (1,349,430) (231,450) (3,114,053) (206,610) (883,400) IHH Healthcare Bhd (1,128,985) (81,011) (26,589) Lenta Ltd GDR Reg (316,409) (65,356) South Africa (19,949) Magnit OJSC GDR Reg (1,172,004) (106,041) (66,263) Barloworld Ltd (634,471) (17,641) (37,400) Market Vectors Russia ETF (944,350) (110,704) (88,063) Coronation Fund Managers Ltd (855,063) (116,306) (62,000) Masraf Al Rayan (1,117,409) (273,017) (150,144) Woolworths Holdings Ltd/ (626,900) Sapurakencana Petroleum Bhd (812,839) 18,262 South Africa (1,077,800) (76,618) 27,010 SK Hynix Inc 1,168,307 114,281 (2,567,334) (210,565) (184,600) Total Access Communication PCL NVDR (674,436) (118,232) Thailand (435,500) United Tractors Tbk PT (808,506) (15,525) (292,766) BTS Group Holdings PCL (7,045) (7,045) (402,000) VTB Bank OJSC GDR Reg (1,083,993) (251,188) (7,045) (7,045) (18,444,168) (1,949,293)
Turkey Total market value (USD underlying exposure – USD 37,315,932) (33,346,903) (2,653,536) (306,585) Enka Insaat ve Sanayi AS (854,429) (28,228) (850,152) Eregli Demir ve Celik Fabrikalari TAS (1,269,853) (133,902) (2,124,282) (162,130)
Note: The net unrealised depreciation attributed to these transactions is included in the Statement of Net Assets (see Note 2(d)). Citibank, Credit Suisse and Deutsche Bank are the counterparties to these Contracts for Difference.
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 59 BlackRock Emerging Markets Absolute Return Fund continued
Time Deposit as at 31 May 2014
Market Value Description USD %
TIME DEPOSITS ING Bank NV 4,430,000 10.53 Lloyds Bank Plc 420,000 1.00 Societe Generale SA 4,430,000 10.53 Total Time Deposits 9,280,000 22.06
Open Forward Foreign Exchange Transactions as at 31 May 2014 Sector Breakdown as at 31 May 2014 Unrealised % of Net appreciation/ Assets* (depreciation) Purchases Sales Value date USD Financial 30.20 Consumer, Cyclical 11.14 EUR 5,598,628 USD 7,700,115 13/6/2014 (74,685) Communications 9.29 GBP 1,325,604 USD 2,238,383 13/6/2014 (18,825) Energy 6.03 USD 883,505 EUR 647,125 13/6/2014 2,110 Basic Materials 5.90 USD 24,130 GBP 14,365 13/6/2014 79 Consumer, Non-cyclical 4.86 USD 1,594,480 PLN 4,899,000 29/8/2014 (8,915) Diversified 2.42 USD 327,762 TRY 704,000 29/8/2014 (1,567) Industrial 1.31 USD 748,568 ZAR 7,970,000 29/8/2014 3,426 Funds 1.05 Net unrealised depreciation Other Net Assets 27.80 (USD underlying exposure – USD 13,428,298) (98,377) 100.00
Note: The net unrealised depreciation attributed to these transactions is included in the Statement of Net Assets (see Note 2(d)). * Based on the market value of the Portfolio of Investments except Goldman Sachs International, Morgan Stanley and Co and State Street Bank and Trust for Contract For Difference, which are based on the commitment Company are the counterparties to these Open Forward Foreign Exchange Transactions. (where applicable).
Open Exchange Traded Futures Contracts as at 31 May 2014
Unrealised Underlying appreciation/ Number of Contract/ Expiration exposure (depreciation) Contracts Description date USD USD (343) FTSE/ATHEX 20 June 2014 924,439 (49,627) Total 924,439 (49,627)
Note: The net unrealised depreciation of attributed to these transactions is included in the Statement of Net Assets (see Note 2(d)).
60 BlackRock Strategic Funds (BSF) BlackRock Emerging Markets Allocation Fund
Portfolio of Investments as at 31 May 2014 Transferable Securities and Money Market Instruments Admitted to an Transferable Securities and Money Market Instruments Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Official Stock Exchange Listing or Dealt in on Another Regulated Market
Market % of Market % of Value Net Value Net Holding Description USD Assets Holding Description USD Assets
BONDS Costa Rica USD 200,000 Banco Nacional de Costa Rica Azerbaijan 4.875% 1/11/2018 203,474 0.39 USD 200,000 State Oil Co of the Azerbaijan USD 200,000 Costa Rica Government Republic 4.75% 13/3/2023 201,412 0.39 International Bond 201,412 0.39 4.375% 30/4/2025 188,390 0.37 391,864 0.76 Brazil USD 400,000 Banco Nacional de India Desenvolvimento USD 200,000 Export-Import Bank of India Economico e Social 4.00% 14/1/2023 196,739 0.38 3.375% 26/9/2016 411,542 0.80 USD 700,000 Brazilian Government 196,739 0.38 International Bond 5.875% 15/1/2019 805,350 1.56 Indonesia USD 800,000 Indonesia Government USD 375,000 Brazilian Government International Bond International Bond 5.875% 15/1/2024 900,252 1.74 8.25% 20/1/2034 523,593 1.02 USD 200,000 Indonesia Government USD 150,000 Caixa Economica Federal International Bond 3.50% 7/11/2022 135,691 0.26 6.75% 15/1/2044 236,578 0.46 1,876,176 3.64 USD 200,000 Pertamina Persero PT 4.30% 20/5/2023 191,750 0.37 British Virgin Islands USD 200,000 Perusahaan Listrik Negara PT USD 200,000 Sinochem Overseas Capital Co 5.50% 22/11/2021 211,000 0.41 Ltd 4.50% 12/11/2020 214,279 0.41 1,539,580 2.98 USD 400,000 Sinopec Group Overseas Development 2013 Ltd Ireland 4.375% 17/10/2023 418,388 0.81 USD 100,000 Russian Railways via RZD Capital USD 200,000 State Grid Overseas Plc 5.739% 3/4/2017 106,556 0.21 Investment 2013 USD 200,000 Vnesheconombank Via VEB Ltd 3.125% 22/5/2023 193,952 0.38 Finance PLC 6.025% 5/7/2022 204,434 0.39 826,619 1.60 310,990 0.60 Chile Kazakhstan USD 300,000 Chile Government International USD 800,000 KazMunayGas National Co JSC Bond 2.25% 30/10/2022 284,295 0.55 4.40% 30/4/2023 792,008 1.53 USD 100,000 Corp Nacional del Cobre de Chile 7.50% 15/1/2019 122,288 0.24 792,008 1.53 USD 400,000 Corp Nacional del Cobre de Chile 4.50% 13/8/2023 426,732 0.83 Latvia USD 400,000 Republic of Latvia 2.75% USD 200,000 Corp Nacional del Cobre de Chile 12/1/2020 395,926 0.77 4.25% 17/7/2042 181,156 0.35 USD 100,000 Empresa Nacional del Petroleo 395,926 0.77 4.75% 6/12/2021 106,284 0.20 Lithuania 1,120,755 2.17 USD 800,000 Lithuania Government International Bond Colombia 6.625% 1/2/2022 974,000 1.89 USD 100,000 Colombia Government International Bond 974,000 1.89 7.375% 27/1/2017 115,623 0.22 USD 500,000 Colombia Government Luxembourg International Bond USD 200,000 Russian Agricultural Bank OJSC 4.375% 12/7/2021 541,350 1.05 Via RSHB Capital SA 5.298% USD 375,000 Colombia Government 27/12/2017 204,378 0.40 International Bond 204,378 0.40 2.625% 15/3/2023 353,737 0.69 USD 325,000 Colombia Government Malaysia International Bond USD 800,000 Petronas Capital Ltd 5.25% 7.375% 18/9/2037 444,039 0.86 12/8/2019 908,796 1.76 1,454,749 2.82 908,796 1.76
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 61 BlackRock Emerging Markets Allocation Fund continued
Portfolio of Investments as at 31 May 2014 Transferable Securities and Money Market Instruments Admitted to an Transferable Securities and Money Market Instruments Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Official Stock Exchange Listing or Dealt in on Another Regulated Market
Market % of Market % of Value Net Value Net Holding Description USD Assets Holding Description USD Assets
Mexico Poland continued USD 200,000 America Movil SAB de CV 6.375% USD 575,000 Poland Government International 1/3/2035 238,435 0.46 Bond 5.00% 23/3/2022 646,153 1.25 USD 700,000 Mexico Government International 1,713,576 3.32 Bond 3.50% 21/1/2021 727,527 1.41 USD 100,000 Mexico Government International Romania Bond 4.75% 8/3/2044 102,463 0.20 USD 600,000 Romanian Government USD 104,000 Mexico Government International International Bond Bond 5.75% 12/10/2110 111,380 0.22 4.875% 22/1/2024 641,460 1.24 USD 300,000 Petroleos Mexicanos 5.50% 641,460 1.24 21/1/2021 334,996 0.65 USD 196,000 Petroleos Mexicanos 6.50% Russia 2/6/2041 227,918 0.44 USD 600,000 Russian Foreign Bond - Eurobond 1,742,719 3.38 3.50% 16/1/2019 606,030 1.18 USD 600,000 Russian Foreign Bond - Eurobond Morocco 4.875% 16/9/2023 618,654 1.20 USD 200,000 Morocco Government USD 88,000 Russian Foreign Bond - Eurobond International Bond 12.75% 24/6/2028 151,890 0.29 5.50% 11/12/2042 200,567 0.39 1,376,574 2.67 200,567 0.39 Slovakia Netherlands USD 200,000 Slovakia Government USD 200,000 Kazakhstan Temir Zholy International Bond Finance BV 6.375% 4.375% 21/5/2022 215,201 0.42 6/10/2020 225,556 0.44 215,201 0.42 225,556 0.44 South Africa Panama USD 200,000 Eskom Holdings SOC Ltd 6.75% USD 200,000 Panama Government International 6/8/2023 220,810 0.43 Bond 7.125% 29/1/2026 256,737 0.50 USD 100,000 South Africa Government Bond USD 400,000 Panama Government International 5.875% 30/5/2022 113,352 0.22 Bond 4.30% 29/4/2053 354,372 0.68 USD 200,000 South Africa Government International Bond 611,109 1.18 4.665% 17/1/2024 207,353 0.40 Peru USD 400,000 South Africa Government USD 150,000 Fondo MIVIVIENDA SA 3.50% International Bond 5.875% 16/9/2025 452,000 0.88 31/1/2023 142,865 0.28 USD 200,000 Transnet SOC Ltd 4.00% USD 400,000 Peruvian Government International 26/7/2022 191,357 0.37 Bond 7.125% 30/3/2019 489,120 0.95 USD 115,000 Peruvian Government International 1,184,872 2.30 Bond 7.35% 21/7/2025 153,111 0.30 USD 250,000 Peruvian Government International Turkey Bond 6.55% 14/3/2037 317,907 0.61 USD 600,000 Turkey Government International Bond 7.50% 7/11/2019 715,500 1.39 1,103,003 2.14 USD 500,000 Turkey Government International Bond 5.75% 22/3/2024 547,565 1.06 Philippines USD 400,000 Turkey Government International USD 150,000 Philippine Government Bond 4.875% 16/4/2043 378,720 0.73 International Bond 8.375% 17/6/2019 191,951 0.37 1,641,785 3.18 USD 1,000,000 Philippine Government United States International Bond USD 1,000,000 Freddie Mac Discount Notes 4.20% 21/1/2024 1,074,000 2.08 1/7/2014 (Zero Coupon) 999,982 1.94 USD 400,000 Philippine Government USD 200,000 Goldman Sachs Group Inc/The International Bond 6.125% 15/2/2033 239,151 0.47 5.00% 13/1/2037 455,000 0.88 USD 750,000 United States Treasury Bill 1,720,951 3.33 16/10/2014 (Zero Coupon) 749,903 1.45 USD 750,000 United States Treasury Bill Poland 13/11/2014 (Zero Coupon) 749,843 1.45 USD 700,000 Poland Government Bond USD 1,000,000 United States Treasury Bill 6.375% 15/7/2019 831,362 1.61 20/11/2014 (Zero Coupon) 999,770 1.94 PLN 700,000 Poland Government Bond 3,738,649 7.25 4.00% 25/10/2023 236,061 0.46
62 BlackRock Strategic Funds (BSF) BlackRock Emerging Markets Allocation Fund continued
Portfolio of Investments as at 31 May 2014 Transferable Securities and Money Market Instruments Admitted to an Transferable Securities and Money Market Instruments Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Official Stock Exchange Listing or Dealt in on Another Regulated Market
Market % of Market % of Value Net Value Net Holding Description USD Assets Holding Description USD Assets
Uruguay United States continued USD 400,000 Uruguay Government International USD 650,000 Bank of Tokyo-Mitsubishi UFJ Ltd/ Bond 4.50% 14/8/2024 427,500 0.83 The 27/6/2014(Zero Coupon) 649,919 1.26 USD 200,000 Uruguay Government International USD 650,000 Bank of Tokyo-Mitsubishi UFJ Ltd/ Bond 4.125% 20/11/2045 176,820 0.34 The 28/5/2014 (Zero Coupon) 650,000 1.26 604,320 1.17 USD 1,000,000 Caisse centrale Desjardins du Quebec 3/7/2014 (Zero Coupon) 999,867 1.94 Total Bonds 27,914,334 54.10 USD 500,000 ING US Funding LLC 2/7/2014 (Zero Coupon) 499,911 0.97 USD 500,000 ING US Funding LLC 3/7/2014 CERTIFICATES OF DEPOSIT (Zero Coupon) 499,908 0.97 United States USD 600,000 LMA Americas LLC 24/6/2014 USD 500,000 Bank Of Nova Scotia 0.25% (Zero Coupon) 599,936 1.16 12/11/2014 500,320 0.97 USD 600,000 LMA Americas LLC '144A' 6/6/2014 USD 600,000 Cooperatieve Centrale Raiffeisen- (Zero Coupon) 599,984 1.16 Boerenleenbank BA/Netherlands USD 1,400,000 Oversea Chinese Banking Corp Ltd 0.01% 9/2/2015 600,000 1.16 7/7/2014 (Zero Coupon) 1,399,698 2.71 USD 1,000,000 Credit Suisse AG 0.50% 9/6/2014 1,000,253 1.94 USD 200,000 Oversea Chinese Banking Corp Ltd USD 500,000 DnB NOR Bank ASA 0.22% 14/7/2014 (Zero Coupon) 199,939 0.39 10/7/2014 500,004 0.97 USD 650,000 Rabobank USA Financial Corp USD 1,000,000 Mizuho Bank Ltd 0.21% 15/7/2014 1,000,121 1.94 1/10/2014 (Zero Coupon) 649,534 1.26 USD 250,000 Mizuho Bank Ltd 0.02% 9/6/2014 250,016 0.48 USD 600,000 Regency Markets No.1 LLC USD 900,000 Natixis 0.22% 30/6/2014 900,402 1.75 16/6/2014 (Zero Coupon) 599,963 1.16 USD 500,000 Nordea Bank Finland Plc 0.29% USD 720,000 Salisbury Receivables Co LLC 20/11/2014 500,819 0.97 9/6/2014 (Zero Coupon) 719,968 1.39 USD 250,000 Nordea Bank Finland Plc 0.205% USD 500,000 Scaldis Capital LLC 13/6/2014 10/10/2014 249,995 0.48 (Zero Coupon) 499,975 0.97 USD 1,000,000 Royal Bank of Canada 0.235% USD 500,000 Sheffield Receivables Corp 23/10/2014 1,000,000 1.94 11/7/2014 (Zero Coupon) 499,897 0.97 USD 250,000 Sumitomo Mitsui Banking Corp USD 500,000 Societe Generale North America 0.22% 25/7/2014 250,031 0.48 Inc 4/8/2014 (Zero Coupon) 499,855 0.97 USD 1,500,000 Svenska Handelsbanken Inc 6,751,961 13.08 11/6/2014 (Zero Coupon) 1,499,922 2.91 Total Certificates of Deposit 6,751,961 13.08 12,753,437 24.72 Total Commercial Paper 12,753,437 24.72 COMMERCIAL PAPER Total Transferable Securities and Money United States Market Instruments Admitted to an USD 486,000 Alpine Securitization Corp Official Stock Exchange Listing or 22/10/2014 (Zero Coupon) 485,495 0.94 Dealt in on Another Regulated Market 47,419,732 91.90 USD 500,000 Bank of Nova Scotia 9/7/2014 Securities portfolio at market value 47,419,732 91.90 (Zero Coupon) 499,883 0.97 USD 500,000 Bank of Nova Scotia 15/8/2014 Other Net Assets 4,182,261 8.10 (Zero Coupon) 499,789 0.97 Total Net Assets (USD) 51,601,993 100.00 USD 200,000 Bank of Tokyo-Mitsubishi UFJ Ltd/ The 9/6/2014 (Zero Coupon) 199,994 0.39
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 63 BlackRock Emerging Markets Allocation Fund continued
Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
Australia Brazil continued 119 BHP Billiton Ltd 4,093 (170) 6,400 Valid Solucoes e Servicos de 115 Fortescue Metals Group Ltd 471 (35) Seguranca em Meios de 50 Rio Tinto Ltd 2,755 (185) Pagamento e Identificacao SA 103,872 1,722 15 Woodside Petroleum Ltd 588 (3) 7,050 Via Varejo SA 75,684 (7,012) 7,907 (393) 3,015,243 (231,672)
Austria Canada 31 Erste Group Bank AG 1,070 121 45 Bank of Nova Scotia 2,868 73 27 OMV AG 1,112 (34) 15 Franco-Nevada Corp 688 (47) 2,182 87 9 Methanex Corp 520 (28) 4,076 (2) Belgium 41 Anheuser-Busch InBev NV 4,503 67 Chile 4 Solvay SA 647 (1) 494,134 Banco Santander Chile 31,424 1,137 5,150 66 8,706 Cap SA 127,158 (12,568) 25,006 Cencosud SA 87,974 2,106 Brazil 38,345 Enersis SA 12,558 84 2,900 AES Tiete SA (Pref) 22,396 14 259,114 (9,241) (32,300) Aliansce Shopping Centers SA (263,841) 6,958 105,400 AMBEV SA 760,439 (25,004) Czech Republic 147 AMBEV SA - RCT 1,061 (29) (261) CEZ AS (7,600) (233) 5,000 Banco Bradesco SA (Pref) 70,833 (7,892) 494 Telefonica Czech Republic AS 7,153 (326) 17,400 Banco do Brasil SA 178,730 (10,084) (447) (559) (14,400) BB Seguridade Participacoes (181,540) 4,658 (3,500) BR Malls Participacoes SA (29,104) 870 Denmark (38,900) BR Properties SA (316,019) (5,843) 18 Carlsberg A/S 'B' 1,869 39 29,100 Bradespar SA (Pref) 244,575 (23,137) 11 FLSmidth & Co A/S 639 (31) (52,200) Brookfield Incorporacoes SA (34,428) 395 89 Novo Nordisk A/S 'B' 3,765 4 9,300 Cia Brasileira de Distribuicao (Pref) 423,598 (10,965) 26 Novozymes A/S 'B' 1,270 2 17,700 Cia Energetica de Minas Gerais 7,543 14 GER (Pref) 125,099 (3,873) 23,200 Cia Energetica de Sao Paulo 'B' (Pref) 273,562 (14,622) Egypt 1,300 CPFL Energia SA 10,694 (88) 95,988 Telecom Egypt Co 175,857 (15,915) 22,700 Cyrela Brazil Realty SA Empreendimentos e 175,857 (15,915) Participacoes 135,451 (3,603) (20,910) Duratex SA (85,261) 8,753 Finland 18 Kone OYJ 'B' 745 (20) (1,100) EcoRodovias Infraestrutura e 137 Nokia OYJ 1,092 91 Logistica SA (7,152) (146) 1,800 EDP - Energias do Brasil SA 7,540 (328) 1,837 71 (29,600) Equatorial Energia SA (300,485) (5,556) 49,700 Even Construtora e Incorporadora SA 151,492 (8,682) France (700) Fibria Celulose SA (6,485) 456 15 Accor SA 788 51 6,600 Gerdau SA (Pref) 40,088 (1,857) 10 Air Liquide SA 1,450 29 16,700 Itau Unibanco Holding SA (Pref) 264,491 (16,130) 23 Airbus Group NV 1,642 23 146,992 Itausa - Investimentos Itau SA (Pref) 569,234 (37,873) 144 Alcatel-Lucent 586 – 75,500 Klabin SA (Pref) 76,038 369 17 Alstom SA 669 34 206 Klabin SA - Rights- (Right) 1 – 26 Carrefour SA 945 (64) 6,400 Light SA 57,726 674 6 Casino Guichard Perrachon SA 766 27 (4,000) Marcopolo SA (Pref) (8,449) (1,291) 5 Christian Dior SA 1,032 – 40,700 Marfrig Global Foods SA 95,583 6,991 7 Cie Generale des Etablissements (8,600) Mills Estruturas e Servicos de Michelin 862 2 Engenharia SA (99,605) (2,307) 21 Danone SA 1,564 47 2,400 MRV Engenharia e Participacoes SA 7,562 (54) 10 Essilor International SA 1,049 16 5,500 Multiplus SA 81,520 3,472 2 Hermes International 705 8 (6,500) Natura Cosmeticos SA (115,720) 2,353 5 Kering 1,097 35 55,100 Petroleo Brasileiro SA (Pref) 420,616 (27,605) 15 L'Oreal SA 2,614 85 14,200 Randon Participacoes SA (Pref) 42,334 675 12 Lafarge SA 1,028 (72) (12,100) Smiles SA (221,025) (4,609) 14 Legrand SA 879 (28) 3,300 Souza Cruz SA 34,706 881 14 LVMH Moet Hennessy Louis Vuitton SA 2,764 1 2,300 Telefonica Brasil SA (Pref) 46,830 (1,092) 11 Pernod Ricard SA 1,343 39 (24,500) Tim Participacoes SA (132,545) (799) 11 Renault SA 1,029 (83) 42,900 Vale SA (Pref) 495,147 (50,432) 37 Sanofi 3,929 8
64 BlackRock Strategic Funds (BSF) BlackRock Emerging Markets Allocation Fund continued
Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
France continued Hong Kong continued 20 Schneider Electric SA 1,870 (22) (207,000) China Everbright International Ltd (263,531) (43,656) 7 Technip SA 754 (39) 41,000 China Galaxy Securities Co Ltd 'H' 26,389 521 64 Total SA 4,512 89 20,000 China Gas Holdings Ltd 32,143 2,208 33,877 186 (156,000) China High Speed Transmission Equipment Group Co Ltd (105,841) 3,193 Germany 97,000 China Life Insurance Co Ltd 'H' 265,873 13,687 10 adidas AG 1,069 (9) (245,000) China Longyuan Power Group Corp 'H' (272,091) 33,279 24 Bayer AG 3,452 64 (10,000) China Medical System Holding Ltd (11,751) (167) 19 Bayerische Motoren Werke AG 2,383 96 11,000 China Mengniu Dairy Co Ltd 53,987 (1,150) 9 Beiersdorf AG 911 3 36,000 China Merchants Bank Co Ltd 'H' 66,309 2,556 6 Continental AG 1,414 77 40,500 China Minsheng Banking Corp Ltd 'H' 41,583 972 31 Daimler AG 2,953 158 248,000 China Oilfield Services Ltd 'H' 610,343 20,214 30 Deutsche Lufthansa AG 791 58 116,000 China Overseas Land & Investment Ltd 303,737 10,669 38 Deutsche Post AG 1,400 40 1,000 China Pacific Insurance Group Co 16 Evonik Industries AG 632 24 Ltd 'H' 3,321 200 10 HeidelbergCement AG 862 29 572,000 China Petroleum & Chemical Corp 'H' 518,675 (808) 13 Henkel AG & Co KGaA (Pref) 1,503 10 191,000 China Power International 88 Infineon Technologies AG 1,088 57 Development Ltd 67,257 (3,359) 7 Linde AG 1,463 5 243,500 China Railway Construction Corp 7 MAN SE 874 (18) Ltd 'H' 205,724 (9,791) 8 Merck KGaA 1,372 26 294,000 China Railway Group Ltd 'H' 135,761 (9,519) 16 Metro AG 669 42 216,000 China Resources Cement Holdings Ltd 135,405 (6,718) 38 SAP AG 2,906 31 (66,000) China Resources Enterprise Ltd (184,734) 23,829 13 Volkswagen AG (Pref) 3,457 124 60,000 China Resources Land Ltd 121,970 2,411 36,000 China Resources Power Holdings 29,199 817 Co Ltd 94,496 3,644 Greece 75,500 China Shenhua Energy Co Ltd 'H' 206,456 (3,946) (596,000) China Shipping Container Lines 2,619 Athens Water Supply & Sewage Co Co Ltd 'H' (143,758) 5,925 SA/The 32,497 661 (116,000) China Shipping Development 120 Folli Follie SA 4,577 560 Co Ltd 'H' (64,039) 5,336 418 Metka SA 7,402 847 (20,000) China Southern Airlines Co Ltd 'H' (5,753) 525 2,061 Mytilineos Holdings SA 18,022 806 (178,000) China State Construction 8,520 Public Power Corp SA 129,740 5,864 International Holdings Ltd (305,822) (9,795) 192,238 8,738 (36,000) China Suntien Green Energy Corp Ltd 'H' (12,212) 373 Hong Kong 220,000 China Telecom Corp Ltd 'H' 110,954 (1,743) 169,000 Agricultural Bank of China Ltd 'H' 75,206 1,918 (42,000) China Tian Lun Gas Holdings Ltd (50,057) (7,242) (44,000) Air China Ltd 'H' (25,029) 1,453 198,000 China Travel International (716,000) Aluminum Corp of China Ltd 'H' (255,821) (4,094) Investment Hong Kong Ltd 40,097 (913) 67,000 Anhui Conch Cement Co Ltd 'H' 240,250 (11,703) (52,000) China Yurun Food Group Ltd (23,610) 607 125,000 ANTA Sports Products Ltd 183,806 (11,033) 18,000 Chongqing Rural Commercial (280,000) AviChina Industry & Technology Co Bank 'H' 8,312 249 Ltd 'H' (151,327) (12,139) 130,000 CNOOC Ltd 222,347 (410) 593,000 Bank of China Ltd 'H' 283,009 14,184 116,000 Coolpad Group Ltd 28,429 8,560 68,000 Bank of Communications Co Ltd 'H' 45,610 1,812 222,000 COSCO Pacific Ltd 292,650 (4,101) 45,500 BBMG Corp 'H' 30,518 (1,244) (230,000) CSPC Pharmaceutical Group Ltd (181,858) (17) (24,000) Beijing Enterprises Holdings Ltd (207,101) 16,892 169,000 CSR Corp Ltd 'H' 124,907 60 (286,000) Beijing Enterprises Water Group Ltd (183,713) 4,492 78,000 Datang International Power 22,000 Belle International Holdings Ltd 21,850 (2,103) Generation Co Ltd 'H' 30,283 1,100 (28,500) Biostime International Holdings Ltd (193,180) (6,957) 116,000 Dongfeng Motor Group Co Ltd 'H' 176,856 20,330 (66,000) Brilliance China Automotive 26,000 Forgame Holdings Ltd 100,609 (4,708) Holdings Ltd (109,308) 385 (57,500) Fosun International Ltd (67,863) 4,607 (8,500) BYD Electronic International Co Ltd (5,592) (631) 366,000 Franshion Properties China Ltd 109,525 (454) 182,000 China Agri-Industries Holdings Ltd 75,122 2,574 (481,000) GCL-Poly Energy Holdings Ltd (149,522) (8,669) 303,000 China Cinda Asset Management 425,000 Geely Automobile Holdings Ltd 158,976 9,815 Co Ltd 'H' 144,607 (7,933) 402,000 GOME Electrical Appliances 64,000 China CITIC Bank Corp Ltd 'H' 37,148 (1,644) Holding Ltd 67,408 (5,730) (251,000) China Coal Energy Co Ltd 'H' (142,776) (7,936) (8,500) Great Wall Motor Co Ltd (35,029) (3,720) 852,000 China Communications Construction 4,500 Greentown China Holdings Ltd 4,400 (134) Co Ltd 'H' 568,165 (24,387) 132,000 Guangdong Investment Ltd 145,744 (3,118) 568,000 China Construction Bank Corp 'H' 416,141 12,059 66,000 Guangzhou Automobile Group (317,000) China COSCO Holdings Co Ltd 'H' (123,075) 26,552 Co Ltd 'H' 69,297 4,496 (188,000) China Dongxiang Group Co (32,979) 732
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 65 BlackRock Emerging Markets Allocation Fund continued
Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
Hong Kong continued Hungary 20,000 Guangzhou Baiyunshan 5,360 OTP Bank Plc 115,955 7,338 Pharmaceutical Holdings (8,741) Richter Gedeon Nyrt (165,116) (3,576) Co Ltd 61,914 5,411 (49,161) 3,762 128,000 Guangzhou R&F Properties Co Ltd 'H' 175,339 6,631 (14,000) Hengan International Group Co Ltd (147,986) 462 Indonesia (296,000) Honghua Group Ltd (70,251) 6,458 127,700 Adaro Energy Tbk PT 13,399 (841) 310,000 Hopewell Highway Infrastructure Ltd 153,945 951 71,400 Adhi Karya Persero Tbk PT 19,142 (948) 72,000 Huadian Power International Corp (171,100) AKR Corporindo Tbk PT (60,453) 10,111 Ltd 'H' 40,399 (59) 26,600 Bank Central Asia Tbk PT 24,550 (1,829) 14,000 Huaneng Power International Inc 14,735 464 61,400 Bank Mandiri Persero Tbk PT 53,511 (1,998) 581,000 Industrial & Commercial Bank of 81,500 Bank Negara Indonesia Persero Tbk PT 33,333 (1,986) China Ltd 'H' 376,205 14,419 274,400 Bank Rakyat Indonesia Persero Tbk PT 239,733 (13,797) (20,000) Intime Retail Group Co Ltd (19,425) 1,886 24,600 Bumi Serpong Damai PT 3,392 (54) 54,500 Kingboard Chemical Holdings Ltd 102,353 (3,733) 18,500 Holcim Indonesia Tbk PT 4,278 (273) (14,000) Kingdee International Software (126,500) Indofood CBP Sukses Makmur Tbk PT (110,518) 3,569 Group Co Ltd (4,587) (505) 29,700 Indofood Sukses Makmur Tbk PT 17,362 (410) (20,000) Kunlun Energy Co Ltd (32,556) (564) 26,100 Matahari Department Store Tbk PT 32,471 (1,809) (126,000) Lenovo Group Ltd (155,860) (12,495) 633,600 Matahari Putra Prima Tbk PT 168,236 12,031 (358,000) Li Ning Co Ltd (252,127) 54,852 94,800 Pembangunan Perumahan Persero 17,000 Longfor Properties Co Ltd 21,555 (178) Tbk PT 15,509 (141) 13,700 New China Life Insurance Co Ltd 'H' 42,941 1,313 41,700 Perusahaan Perkebunan London (30,000) Nine Dragons Paper Holdings Ltd (19,464) 935 Sumatra Indonesia Tbk PT 8,251 (293) (89,000) Parkson Retail Group Ltd (26,404) 1,555 34,700 Semen Indonesia Persero Tbk PT 43,765 (4,591) 202,000 PetroChina Co Ltd 'H' 240,490 319 77,300 Tambang Batubara Bukit Asam 31,000 Ping An Insurance Group Co of Persero Tbk PT 70,845 (576) China Ltd 'H' 239,315 9,551 860,700 Telekomunikasi Indonesia Persero (2,471,000) Semiconductor Manufacturing Tbk PT 189,833 9,227 International Corp (210,359) (12,167) 1,900 United Tractors Tbk PT 3,528 (199) (136,000) Shandong Weigao Group Medical (67,500) XL Axiata Tbk PT (31,654) (840) Polymer Co Ltd 'H' (133,145) 8,394 738,513 4,353 154,000 Shanghai Industrial Holdings Ltd 474,748 5,793 59,000 Shenzhen International Holdings Ltd 70,166 3,325 Japan 522,000 Shenzhen Investment Ltd 170,347 360 100 Inpex Corp 1,442 20 (19,000) Shenzhou International Group 100 Kirin Holdings Co Ltd 1,413 12 Holdings Ltd (66,170) 1,196 200 Nissan Motor Co Ltd 1,805 10 91,500 Shimao Property Holdings Ltd 183,643 3,653 100 Renesas Electronics Corp 743 33 (32,000) Shougang Fushan Resources 100 Toyota Motor Corp 5,659 128 Group Ltd (7,842) 1,392 (73,500) Shui On Land Ltd (19,340) 888 11,062 203 (22,000) Sihuan Pharmaceutical Holdings Group Ltd (26,334) (2,106) Malaysia (20,000) Sino Biopharmaceutical (16,355) (337) 14,000 British American Tobacco 162,500 Sino-Ocean Land Holdings Ltd 85,518 656 Malaysia Bhd 274,074 (2,288) (4,500) Sinopec Engineering Group Co Ltd 'H' (5,160) (53) 400 Dialog Group BHD 456 19 (156,000) Sinopec Kantons Holdings Ltd (130,189) 2,673 174,800 DiGi.Com Bhd 294,870 (4,788) 26,800 Sinopharm Group Co Ltd 'H' 72,594 2,224 (14,400) Gamuda Bhd (19,720) 447 (8,000) Skyworth Digital Holdings Ltd (3,818) 551 13,100 Hong Leong Bank Bhd 56,591 (363) (29,500) SOHO China Ltd (23,135) (273) 2,800 Hong Leong Financial Group Bhd 13,421 (361) 39,500 Sun Art Retail Group Ltd 46,466 (4,145) 17,700 IHH Healthcare Bhd 22,641 43 51,000 Sunac China Holdings Ltd 26,313 813 10,000 Lafarge Malaysia Bhd 30,750 1,985 39,000 Tencent Holdings Ltd 544,800 64,627 67,900 Malayan Banking Bhd 208,793 (481) 54,000 Tingyi Cayman Islands Holding Corp 153,236 991 (196,400) Maxis Bhd (401,602) 19,255 (34,000) Tsingtao Brewery Co Ltd 'H' (266,860) 323 62,300 MISC Bhd 119,830 (5,931) (29,400) Uni-President China Holdings Ltd (5,537) (5,537) (46,600) Petronas Dagangan Bhd (366,070) 23,173 (147,000) Uni-President China Holdings Ltd (113,197) 17,076 5,400 Petronas Gas Bhd 41,176 2,376 (12,000) Weichai Power Co Ltd 'H' (44,500) (1,631) 2,700 PPB Group Bhd 13,176 54 (23,000) Wumart Stores Inc 'H' (20,411) 2,419 36,900 Sapurakencana Petroleum Bhd 47,891 (1,271) 3,000 Yingde Gases Group Co Ltd 3,281 185 126,400 Sime Darby Bhd 375,699 2,438 222,000 Yuexiu Property Co Ltd 44,098 478 140,800 Telekom Malaysia Bhd 270,820 (5,479) 141,500 Zhaojin Mining Industry Co Ltd 'H' 76,657 (3,480) 180,000 Tenaga Nasional Bhd 675,630 25,185 148,000 Zhejiang Expressway Co Ltd 'H' 146,229 7,396 1,658,426 54,013 (9,500) Zhongsheng Group Holdings Ltd (11,972) (449) 55,000 Zhuzhou CSR Times Electric Co Ltd 'H' 160,685 (4,287) 5,289,271 219,368
66 BlackRock Strategic Funds (BSF) BlackRock Emerging Markets Allocation Fund continued
Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
Mexico Poland continued (42,100) Alfa SAB de CV 'A' (120,181) (1,752) (1,772) Polski Koncern Naftowy Orlen S.A. (24,818) 375 170,100 America Movil SAB de CV 'L' 167,281 (4,164) 573 Powszechny Zaklad Ubezpieczen SA 84,296 3,227 90,456 Cemex SAB de CV 'CPO' 118,000 5,581 20,244 Tauron Polska Energia SA 35,707 555 (9,900) Coca-Cola Femsa SAB de CV 'L' (115,931) 562 426,305 (1,732) (46,100) Compartamos SAB de CV (81,282) (1,481) (4,100) El Puerto de Liverpool SAB de CV (46,711) (1,774) Portugal 8,100 Gruma SAB de CV 'B' 82,813 6,694 49 Jeronimo Martins SGPS SA 836 (45) 59,100 Grupo Aeroportuario del Pacifico 836 (45) SAB de CV 'B' 366,321 5,086 10,600 Grupo Aeroportuario del Sureste Russia SAB de CV 'B' 137,099 3,129 11 AK Transneft OAO (Pref) 25,096 2,235 4,700 Grupo Carso SAB de CV 'A1' 24,389 (200) 93,282 Gazprom OAO 381,836 4,343 6,600 Grupo Financiero Banorte 4,023 Lukoil OAO 228,771 9,107 SAB de CV 'O' 48,544 2,446 434 MMC Norilsk Nickel OJSC 83,591 11,395 2,400 Grupo Financiero Inbursa 7,969 Moscow Exchange Micex Rts - Rights 14,898 1,590 SAB de CV 'O' 6,734 243 9,195 Rosneft OAO 60,215 (21) 15,200 Grupo Financiero Santander Mexico 5,959 Rostelecom 14,368 (513) SAB de CV 'B' 40,968 820 827,920 Rushydro JSC 16,367 (5,300) 61,182 Grupo Lala SAB De CV 152,061 5,593 90,865 Sberbank of Russia 222,320 12,434 (12,484) Industrias CH SAB de CV 'B' (70,033) (1,348) 1,559 Severstal 13,333 (88) 5,617 Industrias Penoles SAB de CV 138,578 1,820 110,492 Surgutneftegas OAO 81,956 1,147 83,900 Kimberly-Clark de Mexico 11,140 Tatneft 66,448 1,703 SAB de CV 'A' 229,331 (78) 10,079 Uralkali OJSC 45,208 (465) (57,700) Mexichem SAB de CV (233,749) (5,443) 39,730,660 VTB Bank OJSC 54,663 15,136 (12,938) Mexico Real Estate Management SA de CV (Reit) (25,387) (160) 1,309,070 52,703 (49,900) Minera Frisco SAB de CV 'A1' (96,982) (926) 38,000 Wal-Mart de Mexico SAB de CV 96,424 (588) Singapore 1,000 CapitaLand Ltd 2,544 (12) 818,287 14,060 1,000 Golden Agri-Resources Ltd 459 (27) 1,000 Noble Group Ltd 1,104 94 Netherlands 13 ASML Holding NV 1,116 21 4,107 55 5 Gemalto NV 542 (27) 9 Heineken Holding NV 594 12 South Africa (330) Anglo American Platinum Ltd (14,158) 460 11 Heineken NV 770 1 (2,443) Anglo American Plc (60,318) 5,814 19 Koninklijke Philips NV 599 (16) 224 AngloGold Ashanti Ltd 3,518 (288) 62 Unilever NV 2,690 97 (2,934) Aspen Pharmacare Holdings Ltd (76,742) 921 6,311 88 (72) Assore Ltd (2,306) 489 4,347 BHP Billiton Plc 136,580 (7,542) Norway 10,885 Bidvest Group Ltd 302,313 (4,507) 242 Norsk Hydro ASA 1,313 (33) 5,955 British American Tobacco Plc 359,335 11,791 47 Telenor ASA 1,114 (15) 2,295 Clicks Group Ltd 13,807 (592) 20 Yara International ASA 916 (12) (5,020) Discovery Ltd (43,384) 1,254 3,343 (60) (7,507) Exxaro Resources Ltd (98,981) 4,781 150,837 FirstRand Ltd 573,562 (281) Philippines (2,991) Foschini Group Ltd/The (32,022) (47) (162,800) Aboitiz Equity Ventures Inc (201,663) 10,304 5,555 Gold Fields Ltd 19,654 (2,429) (18,000) DMCI Holdings Inc (29,311) 396 28,995 Growthpoint Properties Ltd 65,147 (3,202) 23,890 Metropolitan Bank & Trust Co 45,591 (1,657) 845 Harmony Gold Mining Co Ltd 2,267 (425) 2,100 Philippine Long Distance Telephone Co 135,344 (4,807) (14,779) Impala Platinum Holdings Ltd (156,221) 12,600 49,710 Universal Robina Corp 169,279 (7,605) (4,762) Imperial Holdings Ltd (91,247) 794 119,240 (3,369) 238 Kumba Iron Ore Ltd 7,370 (685) (14,262) Massmart Holdings Ltd (185,721) 11,390 Poland 8,126 Mr Price Group Ltd 132,179 582 (5,139) Alior Bank SA (139,061) (9,397) 10,988 MTN Group Ltd 232,161 (2,742) 1,378 Bank Pekao Sa 85,071 2,837 42,315 Murray & Roberts Holdings Ltd 102,455 (3,042) 248 Bank Zachodni WBK SA 30,053 1,012 (30,912) Nampak Ltd (107,697) 6,510 7,740 Enea SA 41,899 665 3,115 Naspers Ltd 'N' 349,650 2,208 (1,653) Eurocash SA (23,499) (2,213) 75,567 Netcare Ltd 205,175 18,221 (1,950) Grupa Azoty SA (51,009) (4,357) (2,346) Northam Platinum Ltd (9,559) 541 (784) Jastrzebska Spolka Weglowa SA (12,190) (773) 43,407 Old Mutual Plc 147,320 (2,011) (939) Orange Polska SA (3,192) (52) (34,774) Remgro Ltd (731,562) (5,671) 58,323 PGE SA 403,048 6,389 (5,044) RMB Holdings Ltd (24,899) (73)
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 67 BlackRock Emerging Markets Allocation Fund continued
Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
South Africa continued South Korea continued 13,352 Sanlam Ltd 75,569 250 1,820 Korea Electric Power Corp 69,753 (3,856) (19,738) Sappi Ltd (69,253) 2,297 150 Korea Investment Holdings Co Ltd 5,690 (45) 4,354 Sasol Ltd 247,939 (2,243) (480) Korea Kolmar Co Ltd (19,008) (2,440) 20,854 SPAR Group Ltd/The 249,103 (2,407) 1,520 Korea Line Corp 37,844 (3,500) 41,703 Steinhoff International 378 Korea Zinc Co Ltd 137,647 8,440 Holdings Ltd 213,531 (4,031) 11,163 Korean Reinsurance Co 109,420 647 29,684 Vodacom Group Ltd 368,227 (1,435) 8,130 KT Skylife Co Ltd 182,889 3,296 2,102,792 37,250 647 KT&G Corp 52,638 (1,076) 9,310 LF Corp 249,131 4,648 South Korea 518 LG Chem Ltd 132,013 1,285 (455) Advanced Process Systems Corp (3,858) (58) 4,267 LG Corp 253,879 9,242 88 Amorepacific Corp 124,987 57 1,730 LG Display Co Ltd 46,040 (831) 186 AMOREPACIFIC Group 125,070 15,761 (23,520) Lock & Lock Co Ltd (303,164) 19,043 710 BS Financial Group Inc 10,822 (413) 1,091 Lotte Himart Co Ltd 72,077 (5,527) 120 BS Financial Group Inc 229 229 (217) Lotte Shopping Co Ltd (63,386) 1,634 710 Cell Biotech Co Ltd 28,151 3,114 491 LS Corp 34,604 (2,716) 660 Cheil Worldwide Inc 15,235 (424) 4,780 Lumens Co Ltd 55,287 (7,158) 810 CJ CGV Co Ltd 36,760 (236) 1,236 Maeil Dairy Industry Co Ltd 40,162 (5,437) (44) CJ CheilJedang Corp (14,232) (213) 130 Mirae Asset Securities Co Ltd 5,422 (144) (1,058) CJ Korea Express Co Ltd (117,705) (2,198) 221 NAVER Corp 164,201 (3) 864 Coway Co Ltd 72,663 2,601 (5,450) Nexen Tire Corp (81,467) (5,477) (1,202) Daelim Industrial Co Ltd (94,963) 2,899 292 NongShim Co Ltd 88,871 1,547 2,240 Daesang Corp 103,854 11,731 133 OCI Co Ltd 22,814 237 (37,650) Daewoo Engineering & Construction (110) Orion Corp/Republic of Korea (90,463) 3,719 Co Ltd (308,153) 12,327 516 POSCO 146,171 (9,476) (3,300) Daewoo Securities Co Ltd (28,109) (470) 1,345 S-1 Corp 104,810 (36) (2,890) Doosan Heavy Industries & 356 S-Oil Corp 19,227 (1,148) Construction Co Ltd (95,040) 1,472 985 Samsung C&T Corp 70,481 3,127 3,680 Eugene Technology Co Ltd 79,898 4,368 (2,634) Samsung Electro-Mechanics Co Ltd (162,398) 8,627 2,563 Green Cross Corp/South Korea 309,007 (14,613) 995 Samsung Electronics Co Ltd 1,407,356 37,077 (1,340) GS Engineering & Construction Corp (43,541) 5,520 (4,862) Samsung Engineering Co Ltd (388,407) (3,977) (432) GS Engineering + Construction - (6,523) Samsung Fine Chemicals Co Ltd (248,721) 7,271 Rights- (4,023) (4,022) 14 Samsung Fire & Marine Insurance 490 Hana Financial Group Inc 17,795 (265) Co Ltd 3,568 (108) (750) Hanjin Heavy Industries & (5,500) Samsung Heavy Industries Co Ltd (151,759) 2,419 Construction Co Ltd (8,270) 572 (2,212) Samsung SDI Co Ltd (328,483) 1,506 1,375 Hanmi Pharm Co Ltd 140,169 (13,312) (150) Samsung Securities Co Ltd (6,036) (94) (840) Hansol Technics Co Ltd (17,579) (2,014) 997 Seowon Intech Co Ltd 13,682 (287) 221 Hanssem Co Ltd 19,193 (94) 310 Shinhan Financial Group Co Ltd 13,476 (1,023) 18,810 Hanwha Life Insurance Co Ltd 119,475 (2,959) (171) Shinsegae Co Ltd (35,031) 1,816 1,470 Harim Co Ltd 9,279 78 530 Silicon Works Co Ltd 13,351 905 (3,090) Hite Jinro Co Ltd (65,422) 6,434 1,407 SK C&C Co Ltd 228,248 14,337 150 Hyosung Corp 10,042 (327) 4,270 SK Chemicals Co Ltd 252,383 14,391 1,610 Hyundai Engineering & Construction 349 SK Holdings Co Ltd 62,945 (1,328) 49,000 SK Networks Co Ltd 455,323 (2,082) Co Ltd 84,272 (2,179) 2,861 SundayToz Corp 36,457 (1,039) (713) Hyundai Heavy Industries Co Ltd (129,293) 2,724 1,929 Woori Finance Holdings Co Ltd 22,690 (3,436) (2,850) Hyundai Merchant Marine Co Ltd (26,567) 1,343 61 Yuhan Corp 10,553 83 (4,233) Hyundai Mipo Dockyard (670,094) (36,547) 304 Hyundai Mobis 85,818 (3,936) 3,915,555 95,012 352 Hyundai Motor Co 77,459 (4,687) 1,566 Hyundai Steel Co 105,608 777 Spain 259 i-SENS Inc 12,122 (1,001) 224 Banco Bilbao Vizcaya Argentaria SA 2,868 78 (50) Iljin Materials Co Ltd (505) 9 383 Banco Santander SA 3,910 148 19,460 Industrial Bank of Korea 267,046 10,947 41 Gas Natural SDG SA 1,177 2 (8,170) Interpark Corp (91,694) (1,678) 254 Mapfre SA 1,032 (46) 920 Jahwa Electronics Co Ltd 13,301 (1,859) 166 Telefonica SA 2,781 8 1,050 JoyCity Corp 20,790 (2,026) 11,768 190 844 KCC Corp 484,791 23,427 2,160 KGMobilians Co Ltd 32,923 (2,647) Sweden 8,187 Kia Motors Corp 471,864 (488) 21 Atlas Copco AB 617 (14) 146 KJB Financial Group Co Ltd 1,631 1,631 44 Sandvik AB 629 2 223 KJB Financial Group Co Ltd 3,038 3,038 107 Telefonaktiebolaget LM Ericsson 'B' 1,338 (3) (3,060) Kolao Holdings (75,735) 496 57 Volvo AB 'B' 832 (49) 117 Kolon Industries Inc 7,971 521 3,416 (64) 2,440 Korea Aerospace Industries Ltd 76,295 (1,451)
68 BlackRock Strategic Funds (BSF) BlackRock Emerging Markets Allocation Fund continued
Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
Switzerland Taiwan continued 74 ABB Ltd 1,759 17 38,000 Micro-Star International Co Ltd 56,521 3,602 17 Cie Financiere Richemont SA 1,783 55 22,000 Namchow Chemical Industrial Co Ltd 44,755 2,831 13 Holcim Ltd 1,133 17 108,000 Nan Ya Plastics Corp 242,757 7,613 80 Nestle SA Reg 6,261 (94) (60,000) Neo Solar Power Corp (74,636) (1,464) 64 Novartis AG Reg 5,729 14 26,000 Novatek Microelectronics Corp 133,098 8,559 22 Roche Holding AG 6,494 (43) (55,000) Orise Technology Co Ltd (95,196) 1,481 2 Swatch Group AG/The 1,177 (16) (3,000) Parade Technologies Ltd (34,467) (8,618) 4 Syngenta AG Reg 1,541 (13) 7,000 PChome Online Inc 54,276 589 20 Transocean Ltd 845 21 91,000 Pegatron Corp 176,018 12,317 26,722 (42) 12,000 President Chain Store Corp 99,248 9,309 114,000 Primax Electronics Ltd 152,074 4,714 Taiwan 87,000 Quanta Computer Inc 234,143 4,296 (5,000) A-DATA Technology Co Ltd (12,840) (1,033) 137,000 Realtek Semiconductor Corp 422,621 19,145 15,000 AcBel Polytech Inc 19,084 866 (30,000) Ruentex Development Co Ltd (55,027) (1,995) (332,000) Acer Inc (215,904) (2,293) (2,000) ScinoPharm Taiwan Ltd (4,789) (30) 220,000 Asia Cement Corp 286,505 (3,161) 18,000 Sercomm Corp 40,099 4,102 64,000 AU Optronics Corp 24,439 684 258,000 Siliconware Precision Industries Co 413,000 13,700 23,000 Career Technology MFG. Co Ltd 34,133 783 24,000 Soft-World International Corp 94,446 549 80,000 Cathay Financial Holding Co Ltd 122,459 3,683 (932) Solartech Energy Corp (782) (90) 2,000 Cheng Uei Precision Industry Co Ltd 3,829 (9) (33,000) Standard Foods Corp (90,904) 148 113,000 Chimei Materials Technology Corp 136,419 989 34,000 Taiflex Scientific Co Ltd 68,146 (4,979) 43,000 Chin-Poon Industrial Co Ltd 83,174 731 122,000 Taiwan Cement Corp 181,461 (1,830) (93,000) China Airlines Ltd (31,480) 264 (100,000) Taiwan Glass Industry Corp (89,210) 1,592 159,000 China Metal Products 180,287 (6,387) (175,000) Taiwan Mobile Co Ltd (577,196) (14,215) 8,000 China Steel Chemical Corp 48,557 1,620 5,000 Taiwan Paiho Ltd 7,354 368 (339,000) China Steel Corp (278,114) 5,323 147,000 Taiwan Semiconductor (37,000) Chipbond Technology Corp (66,015) (3,849) Manufacturing Co Ltd 585,833 (8,701) 5,000 Chlitina Holding Ltd 40,853 3,725 138,000 Taiwan Styrene Monomer 82,380 2,514 (43,000) Chong Hong Construction Co (120,888) (1,589) 127,000 Taiwan Union Technology Corp 117,108 1,039 121,000 Compal Electronics Inc 99,672 7,565 236,000 Teco Electric and Machinery Co Ltd 264,448 (1,091) 750,000 Compeq Manufacturing Co Ltd 520,251 18,189 (2,000) Tong Hsing Electronic Industries Ltd (10,572) (519) 93,000 Delta Electronics Inc 604,792 23,422 20,000 TXC Corp 29,614 (268) (97,000) E Ink Holdings (60,816) 156 143,000 Uni-President Enterprises Corp 250,371 5,255 (12,000) Eclat Textile Co Ltd (124,060) (383) 181,000 Vanguard International 54,000 Elan Microelectronics Corp 103,010 7,793 Semiconductor Corp 280,686 11,160 19,000 Elite Advanced Laser Corp 85,858 6,613 465,000 Winbond Electronics Corp 176,785 14,642 (75,000) Epistar Corp (170,082) (629) (27,000) Wintek Corp (9,590) (418) (171,391) Evergreen Marine Corp Taiwan Ltd (98,312) 277 (41,000) Wistron Corp (34,867) (1,374) 39,000 Everlight Electronics Co Ltd 92,085 3,374 171,000 Wistron NeWeb Corp 409,458 24,112 210,000 Far Eastern Department Stores Ltd 195,044 3,297 (479,000) Yang Ming Marine Transport Corp (202,875) (5,886) (176,000) Far EasTone Telecommunications 106,000 Yuanta Financial Holding Co Ltd 55,323 1,712 Co Ltd (399,713) (25,582) (51,000) Yulon Motor Co Ltd (82,575) (3,985) (79,000) FLEXium Interconnect Inc (208,924) (7,442) 4,949,769 201,217 1,000 Formosa International Hotels Corp 11,789 124 3,000 Formosa Petrochemical Corp 7,334 (133) Thailand 6,000 Formosa Plastics Corp 15,347 107 19,400 Advanced Info Service PCL 135,321 (6,935) 160,000 Formosa Taffeta Co Ltd 175,818 10,916 3,200 Airports of Thailand PCL 18,276 (688) 194,000 Fubon Financial Holding Co Ltd 279,172 10,105 52,900 BEC World PCL 78,955 (5,807) (41,000) Genius Electronic Optical Co Ltd (125,384) (2,324) 17,100 Central Pattana PCL 24,481 1,023 9,000 Giant Manufacturing Co Ltd 71,284 1,194 (319,400) CP ALL PCL (442,665) (21,436) (3,000) Gigasolar Materials Corp (73,335) (3,218) 45,300 Delta Electronics Thailand PCL 78,651 7,433 (90,000) Gigastorage Corp (111,504) (3,817) 2,500 Glow Energy PCL 6,073 314 13,000 Grape King Bio Ltd 57,444 748 (35,314) Home Product Center PCL (10,111) (1,026) 3,000 Green Seal Holding Ltd 22,861 2,017 (6,300) Indorama Ventures PCL (4,797) 152 (1,000) Hermes Microvision Inc (40,019) 1,106 20,700 Intouch Holdings PCL 46,816 (10,583) 64,000 Hon Hai Precision Industry Co Ltd 197,215 9,297 382,700 Jasmine International PCL 92,090 (1,790) (27,000) Hotai Motor Co Ltd (315,152) 5,174 50,900 PTT Exploration & Production PCL 237,988 (3,692) (21,000) HTC Corp (112,054) 1,122 283,400 PTT Global Chemical PCL 593,474 (3,012) 25,000 Innolux Corp 9,880 207 15,800 PTT PCL 141,493 (3,600) 33,000 Inotera Memories Inc 49,799 11,165 130,100 Quality Houses PCL 13,394 655 274,000 Inventec Corp 255,857 10,158 3,800 Shin Corp PCL 8,594 (289) 6,000 King Slide Works Co Ltd 82,040 1,809 14,500 Siam Cement PCL/The 183,734 (2,144) 134,000 King Yuan Electronics Co Ltd 116,190 2,823 111,600 TTW PCL 35,353 1,122 4,000 Largan Precision Co Ltd 261,460 5,523 (6,000) LCY Chemical Corp (5,473) 95 1,237,120 (50,303) (6,000) Medigen Biotechnology Corp (83,440) 136
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 69 BlackRock Emerging Markets Allocation Fund continued
Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
Turkey United States continued (12,338) Anadolu Efes Biracilik Ve Malt 7 Alexion Pharmaceuticals Inc 1,160 56 Sanayii AS (153,673) 253 10 Allergan Inc/United States 1,580 (9) 1,389 BIM Birlesik Magazalar AS 30,590 (1,648) 13 Amazon.com Inc 4,036 198 98,759 Emlak Konut Gayrimenkul Yatirim 468 Ambev SA ADR 3,356 (98) Ortakligi AS 127,249 (2,985) 35 American International Group Inc 1,889 39 162,384 Enka Insaat ve Sanayi AS 452,552 30,063 16 American Tower Corp (Reit) 1,430 11 99,289 Eregli Demir ve Celik Fabrikalari TAS 148,306 (538) 11 AMETEK Inc 582 7 363 Goodyear Lastikleri TAS 11,182 149 23 Amgen Inc 2,652 115 10,584 Haci Omer Sabanci Holding AS 51,266 3,981 12 Amphenol Corp 'A' 1,151 13 303,139 Kardemir Karabuk Demir Celik Sanayi 21 Analog Devices Inc 1,099 33 ve Ticaret AS 240,139 12,409 20 Apache Corp 1,855 77 222 Konya Cimento Sanayii AS 30,246 829 25 Apple Inc 15,931 1,210 3,179 Koza Altin Isletmeleri AS 31,176 993 16 Archer-Daniels-Midland Co 715 19 21,562 Koza Anadolu Metal Madencilik 1,482 AU Optronics Corp ADR 5,602 37 Isletmeleri AS 25,415 (121) 12 Autodesk Inc 626 52 10,871 TAV Havalimanlari Holding AS 86,636 471 13 Avago Technologies Ltd 905 22 5,391 Tofas Turk Otomobil Fabrikasi AS 33,444 401 15 Baker Hughes Inc 1,057 23 11,714 Turk Hava Yollari 39,801 957 4,689 Banco Santander Chile ADR 119,054 1,931 1,938 Turk Telekomunikasyon AS 5,586 (96) 21 Baxter International Inc 1,560 (6) (19,598) Turkcell Iletisim Hizmetleri AS (121,581) (5,914) 15 Becton Dickinson and Co 1,763 26 45,056 Turkiye Is Bankasi 'C' 129,223 15,467 22 Boeing Co/The 2,965 78 40,162 Turkiye Sise ve Cam Fabrikalari AS 55,198 4,098 11 BorgWarner Inc 694 44 4,568 Ulker Biskuvi Sanayi AS 38,366 2,652 (497) Braskem SA ADR (6,526) 244 1,261,121 61,421 40 Bristol-Myers Squibb Co 1,980 23 19 Broadcom Corp 'A' 606 45 United Kingdom 12 Brown-Forman Corp 'B' 1,111 52 62 Anglo American Plc 1,531 (140) 16 Bunge Ltd 1,241 20 72 Antofagasta Plc 954 (14) 11 Cameron International Corp 700 (11) 29 AstraZeneca Plc 2,088 53 25 Caterpillar Inc 2,557 (68) 492 Barclays Plc 2,024 6 1,831 Cemex SAB de CV ADR 23,821 1,012 105 BG Group Plc 2,156 127 55 Chevron Corp 6,726 (84) 177 BHP Billiton Plc 5,565 (174) (92) China Mobile Ltd ADR (4,519) (102) 51 British American Tobacco Plc 3,077 142 8,427 Cia Brasileira de Distribuicao ADR 383,681 (10,028) 24 Burberry Group Plc 614 1 8,459 Cia de Minas Buenaventura SAA ADR 88,312 (4,145) 47 Compass Group Plc 783 47 20,341 Cia Energetica de Minas Gerais ADR 144,218 (5,793) 98 GKN Plc 643 33 (26,560) Cia Siderurgica Nacional SA ADR (102,787) 11,421 121 GlaxoSmithKline Plc 3,248 (110) 103 Cisco Systems Inc 2,526 35 448 Glencore Plc 2,427 (23) 76 Citigroup Inc 3,609 73 443 HSBC Holdings Plc 4,668 104 12 Citrix Systems Inc 744 15 11 Johnson Matthey Plc 598 (3) (561) CNOOC Ltd ADR (97,053) (1,694) (5,993) Larsen & Toubro Ltd GDR (157,196) (17,320) 84 Coca-Cola Co/The 3,415 12 2,050 Magnit OJSC GDR 120,438 12,881 (923) Coca-Cola Femsa SAB de CV ADR (107,779) 1,117 684 MegaFon OAO GDR 20,520 1,610 22 Colgate-Palmolive Co 1,474 13 718 NOVATEK OAO GDR 83,898 1,178 3,559 Copa Holdings SA 'A' 508,474 17,070 263 Old Mutual Plc 894 16 15 Costco Wholesale Corp 1,726 10 14 Reckitt Benckiser Group Plc 1,196 32 8 Crown Castle International Corp (Reit) 614 – 61 Rio Tinto Plc 3,143 (218) 10 Cummins Inc 1,521 25 153 Royal Dutch Shell Plc 'B' 6,229 (345) 23 Danaher Corp 1,797 73 46 SABMiller Plc 2,553 149 13 DaVita HealthCare Partners Inc 911 30 951 Sistema JSFC GDR 26,959 4,348 20 Deere & Co 1,819 (6) 56 Smith & Nephew Plc 983 134 10 Delphi Automotive Plc 690 31 71 Standard Chartered Plc 1,598 45 19 Discovery Communications Inc 'A' 1,475 93 58 Tullow Oil Plc 819 (21) 28 Dow Chemical Co/The 1,452 91 84 Unilever Plc 3,775 (7) 6 Dun & Bradstreet Corp/The 624 – 655 Vodafone Group Plc 2,298 (84) 12 Eastman Chemical Co 1,051 44 64 WPP Plc 1,377 72 39 eBay Inc 1,957 (46) 14 Ecolab Inc 1,522 41 149,860 2,519 29 EMC Corp/MA 773 22 24 Emerson Electric Co 1,596 (3) United States 13 Ensco Plc 'A' 685 33 21 3M Co 2,979 18 7 Essex Property Trust Inc (Reit) 1,264 8 23 Accenture Plc 'A' 1,852 49 17 Estee Lauder Cos Inc/The 'A' 1,298 55 16 Adobe Systems Inc 1,039 76 120 Exxon Mobil Corp 12,061 (32) 4 Affiliated Managers Group Inc 755 11 7 F5 Networks Inc 770 47 15 Agilent Technologies Inc 852 35
70 BlackRock Strategic Funds (BSF) BlackRock Emerging Markets Allocation Fund continued
Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description USD USD Holding Description USD USD
United States continued United States continued 69 Facebook Inc 'A' 4,395 399 18 Noble Energy Inc 1,296 43 12 FedEx Corp 1,733 69 15 Northern Trust Corp 908 14 6 FEI Co 500 18 15 NXP Semiconductor NV 931 36 (9,617) Fibria Celulose SA ADR (89,342) 6,155 27 Occidental Petroleum Corp 2,680 59 5 FleetCor Technologies Inc 631 30 18 Omnicom Group Inc 1,273 53 13 Flowserve Corp 958 (6) 106 Oracle Corp 4,439 (5) 13 FMC Corp 996 57 8 Palo Alto Networks Inc 600 123 11 FMC Technologies Inc 637 26 11 Parker Hannifin Corp 1,365 17 20 Franklin Resources Inc 1,103 17 42 PepsiCo Inc 3,685 84 10 Garmin Ltd 584 34 13,873 Petroleo Brasileiro SA ADR 211,563 (10,918) 169 General Electric Co 4,500 5 108 Pfizer Inc 3,193 54 14 General Mills Inc 766 18 47 Philip Morris International Inc 4,160 150 32 General Motors Co 1,097 (3) 225 Philippine Long Distance Telephone Co 340 (14,681) 1,966 Gerdau SA ADR 11,875 (272) 2,924 Philippine Long Distance Telephone Co (1,350) Gol Linhas Aereas Inteligentes SA ADR (8,424) 175 ADR 191,259 (1,784) 19 Goldman Sachs Group Inc/The 3,043 67 7 PPG Industries Inc 1,407 45 19 Google Inc 'A' 10,781 727 14 Praxair Inc 1,847 22 564 Grupo Aeroportuario del Pacifico 69 Procter & Gamble Co/The 5,550 (7) SAB de CV ADR 34,900 314 58 QUALCOMM Inc 4,637 10 26 Halliburton Co 1,662 40 13 Raytheon Co 1,263 14 5 Henry Schein Inc 594 23 10 Rockwell Automation Inc 1,203 5 44 Hewlett-Packard Co 1,475 49 11 Roper Industries Inc 1,556 30 35 Home Depot Inc/The 2,787 118 11 Royal Caribbean Cruises Ltd 600 29 25 Honeywell International Inc 2,316 37 12 Royal Gold Inc 741 (30) 5 IHS Inc 'A' 630 28 13 SanDisk Corp 1,253 104 14 Ingersoll-Rand Plc 835 34 8,472 Sasol Ltd ADR 482,989 3,474 82 Intel Corp 2,238 105 38 Schlumberger Ltd 3,942 161 6 IntercontinentalExchange Group Inc 1,174 39 13 Sigma-Aldrich Corp 1,278 33 31 International Business Machines Corp 5,682 (99) 20,590 Siliconware Precision Industries Co 2 Intuitive Surgical Inc 744 16 ADR 161,837 10,893 13,558 iShares MSCI Frontier 100 ETF 526,728 10,033 (6,001) Sociedad Quimica y Minera de Chile 78 Johnson & Johnson 7,857 3 SA ADR (185,551) (16,793) 13 Johnson Controls Inc 627 47 1,292 Southern Copper Corp 38,127 (647) 10 Kansas City Southern 1,073 83 6 SPX Corp 628 12 17 Kellogg Co 1,164 21 12 Starwood Hotels & Resorts Worldwide 14 Kimberly-Clark Corp 1,561 10 Inc 955 21 18 KLA-Tencor Corp 1,184 61 18 Stryker Corp 1,526 102 11 Lam Research Corp 680 66 18 TE Connectivity Ltd 1,069 49 23 Las Vegas Sands Corp 1,771 82 3,343 Telekomunikasi Indonesia Persero (11,456) Latam Airlines Group SA ADR (166,341) 979 Tbk PT ADR 147,226 7,722 20 Linear Technology Corp 924 39 32 Texas Instruments Inc 1,496 60 6 LinkedIn Corp 'A' 975 88 17 Thermo Fisher Scientific Inc 1,987 23 6 Littelfuse Inc 527 3 37 Transocean Ltd 1,562 17 6 LyondellBasell Industries NV 596 25 7 TripAdvisor Inc 681 96 7 Manpowergroup Inc 574 13 (15,660) Turkcell Iletisim Hizmetleri AS ADR (241,947) (13,781) 36 MasterCard Inc 'A' 2,761 130 13 Tyson Foods Inc 'A' 563 35 6 McDonald's Corp 605 (10) 28 United Technologies Corp 3,244 4 10 McGraw-Hill Financial Inc 812 48 9,469 Vale SA ADR 109,178 (10,984) 12 Mead Johnson Nutrition Co 1,066 38 11 VF Corp 696 10 67 Merck & Co Inc 3,868 123 19 Visa Inc 'A' 4,068 126 215 Microsoft Corp 8,695 181 15 VMware Inc 'A' 1,457 49 4,072 Mobile Telesystems OJSC ADR 75,576 4,762 74 Wal-Mart Stores Inc 5,643 (42) 19 Mondelez International Inc 'A' 714 6 11 Western Digital Corp 955 17 17 Monsanto Co 2,067 105 6 Whirlpool Corp 862 (2) 10 Moody's Corp 850 40 5 Wynn Resorts Ltd 1,090 82 13 Mosaic Co/The 648 7 20 Xilinx Inc 939 30 21 Motorola Solutions Inc 1,408 15 25 Yahoo! Inc 865 20 13 Murphy Oil Corp 800 6 15 Yum! Brands Inc 1,155 32 19 National Oilwell Varco Inc 1,553 25 2,553,439 (6,435) 16 NetApp Inc 591 36 2 Netflix Inc 832 143 Total market value 26 Newmont Mining Corp 593 (39) (USD underlying exposure – USD 70,827,602) 30,280,948 436,361 22 NIKE Inc 'B' 1,685 80
Note: The net unrealised appreciation attributed to these transactions is included in the Statement of Net Assets (see Note 2(d)). Deutsche Bank and Merrill Lynch are the counterparties to these Contracts for Difference.
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 71 BlackRock Emerging Markets Allocation Fund continued
Open Exchange Traded Futures Contracts as at 31 May 2014
Unrealised Underlying appreciation/ Number of Contract/ Expiration exposure (depreciation) Contracts Description date USD USD 135 SGX CNX NIFTY Index June 2014 1,951,020 (30,484) Total 1,951,020 (30,484)
Note: The net unrealised depreciation of attributed to these transactions is included in the Statement of Net Assets (see Notes 2(d)).
Sector Breakdown as at 31 May 2014
% of Net Assets* Government 40.63 Financial 40.59 Energy 6.15 Basic Materials 1.42 Utilities 1.22 Industrial 1.02 Communications 0.46 Diversified 0.41 Other Net Assets 8.10 100.00
* Based on the market value of the Portfolio of Investments except for Contract For Difference, which are based on the commitment (where applicable).
72 BlackRock Strategic Funds (BSF) BlackRock Emerging Markets Flexi Dynamic Bond Fund
Portfolio of Investments as at 31 May 2014 Transferable Securities and Money Market Instruments Admitted to an Transferable Securities and Money Market Instruments Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Official Stock Exchange Listing or Dealt in on Another Regulated Market
Market % of Market % of Value Net Value Net Holding Description USD Assets Holding Description USD Assets
BONDS Romania USD 6,180,000 Romanian Government Argentina International Bond USD 1,600,000 Provincia de Buenos Aires/ 6.125% 22/1/2044 7,060,619 4.77 Argentina 9.625% 18/4/2028 1,357,096 0.91 USD 3,000,000 YPF SA 8.75% 4/4/2024 3,118,905 2.11 7,060,619 4.77 4,476,001 3.02 Slovenia USD 6,400,000 Slovenia Government Brazil International Bond BRL 741,000 Brazil Notas do Tesouro Nacional 5.25% 18/2/2024 6,869,152 4.64 Serie B 6.00% 15/5/2045 7,996,691 5.40 BRL 31,000,000 Brazil Notas do Tesouro Nacional 6,869,152 4.64 Serie F 10.00% 1/1/2017 13,865,358 9.37 BRL 17,830,000 Brazil Notas do Tesouro Nacional United Arab Emirates Serie F 10.00% 1/1/2021 7,588,135 5.13 USD 3,700,000 DP World Ltd 6.85% 2/7/2037 4,181,000 2.83 BRL 3,000,000 Brazil Notas do Tesouro Nacional 4,181,000 2.83 Serie F 10.00% 1/1/2023 1,252,988 0.85 BRL 7,000,000 Brazil Notas do Tesouro Nacional Uruguay Serie F 10.00% 1/1/2025 2,869,590 1.94 UYU 118,242,345 Uruguay Government International Bond 33,572,762 22.69 5.00% 14/9/2018 5,486,075 3.71 Cayman Islands 5,486,075 3.71 USD 3,300,000 Saudi Electricity Global Sukuk Co 3 4.00% 8/4/2024 3,400,304 2.30 Venezuela USD 3,750,000 Petroleos de Venezuela SA 3,400,304 2.30 12.75% 17/2/2022 3,642,956 2.46 Indonesia USD 4,550,000 Petroleos de Venezuela SA USD 2,500,000 Indonesia Government 9.75% 17/5/2035 3,479,499 2.35 International Bond USD 3,780,000 Venezuela Government 5.25% 17/1/2042 2,457,812 1.66 International Bond IDR 81,400,000,000 Indonesia Treasury Bond 5.625% 11.75% 21/10/2026 3,505,950 2.37 15/5/2023 5,922,260 4.00 10,628,405 7.18 USD 1,300,000 Perusahaan Gas Negara Persero Total Bonds 122,758,078 82.95 Tbk PT 5.125% 16/5/2024 1,309,939 0.89 Total Transferable Securities and Money 9,690,011 6.55 Market Instruments Admitted to an Official Stock Exchange Listing or Mexico Dealt in on Another Regulated Market 122,758,078 82.95 MXN 100,000,000 Mexican Bonos 8.00% 17/12/2015 8,267,998 5.59 USD 6,077,000 Petroleos Mexicanos 6.375% 23/1/2045 7,014,499 4.74 Other Transferable Securities and Money Market Instruments 15,282,497 10.33 BONDS Netherlands USD 1,498,000 Petrobras Global Finance BV Dominican Republic 6.25% 17/3/2024 1,602,520 1.08 USD 4,000,000 Dominican Republic International Bond 7.45% 30/4/2044 4,307,340 2.91 1,602,520 1.08 4,307,340 2.91 Nigeria Total Bonds 4,307,340 2.91 USD 6,150,000 Nigeria Government International Total Other Transferable Securities Bond 6.375% 12/7/2023 6,695,105 4.52 and Money Market Instruments 4,307,340 2.91 6,695,105 4.52 Securities portfolio at market value 127,065,418 85.86 Poland Other Net Assets 20,934,554 14.14 PLN 20,000,000 Poland Government Bond 25/7/2015 (Zero Coupon) 6,394,564 4.32 Total Net Assets (USD) 147,999,972 100.00 PLN 22,000,000 Poland Government Bond 4.00% 25/10/2023 7,419,063 5.01 13,813,627 9.33
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 73 BlackRock Emerging Markets Flexi Dynamic Bond Fund continued
Swaps as at 31 May 2014 Open Exchange Traded Futures Contracts as at 31 May 2014 Unrealised appreciation/ Unrealised Nominal (depreciation) Underlying appreciation/ Value Description USD Number of Contract/ Expiration exposure (depreciation) Contracts Description date USD USD USD 23,000,000 Credit Default Swaps (Citibank) (Fund 100 German Euro Schatz September 2014 15,272,901 (1,362) receives default protection on Markit CDX.EM.20 and pays Fixed 5.000%) Total 15,272,901 (1,362) (20/12/2018) (830,942) USD 23,000,000 Credit Default Swaps (Citibank) (Fund Note: The net unrealised depreciation of attributed to these transactions is included receives default protection on Markit in the Statement of Net Assets (see Notes 2(d)). CDX.EM.21 and pays Fixed 5.000%) (20/6/2019) (866,050) USD 10,000,000 Credit Default Swaps (Citibank) (Fund Sector Breakdown as at 31 May 2014 receives default protection on Russian Foreign Bond - Eurobond 7.500% (Step-up % of Net Coupon) 31/3/2030 and pays Fixed Assets* 1.000%) (20/6/2019) (267,405) Government 67.10 USD 6,500,000 Credit Default Swaps (Citibank) (Fund Energy 12.74 receives default protection on Sberbank Utilities 3.19 of Russia ADR and pays Fixed 1.000%) Consumer, Non-cyclical 2.83 (20/6/2019) (159,881) Other Net Assets 14.14 USD 5,000,000 Credit Default Swaps (Goldman Sachs) (Fund receives default protection on Markit 100.00 CDX.EM.21 and pays Fixed 5.000%) (20/6/2019) (101,771) * Based on the market value of the Portfolio of Investments except MXN 80,000,000 Interest Rate Swap (Bank of America) (Fund for Contract For Difference, which are based on the commitment (where applicable). receives Fixed 6.335% and pays Floating MXN 1 Month TIIE) (1/5/2024) (17,095) MXN 271,000,000 Interest Rate Swap (Bank of America) (Fund receives Floating MXN 1 Month TIIE and pays Fixed 4.235%) (11/5/2016) 6,737 ZAR 435,000,000 Interest Rate Swap (Deutsche Bank) (Fund receives Fixed 6.600% and pays Floating ZAR 3 Month JIBAR) (15/5/2016) (54,120) ZAR 100,000,000 Interest Rate Swap (Deutsche Bank) (Fund receives Floating ZAR 3 Month JIBAR and pays Fixed 7.970%) (15/5/2024) 174,882 HUF 1,290,000,000 Interest Rate Swap (Goldman Sachs) (Fund receives Fixed 4.575% and pays Floating HUF 6 Month BUBOR) (15/5/2024) 134,425 HUF 2,310,000,000 Interest Rate Swap (Goldman Sachs) (Fund receives Floating HUF 6 Month BUBOR and pays Fixed 3.700%) (15/5/2019) (142,360) HUF 1,550,000,000 Interest Rate Swap (JP Morgan Chase Bank (Depository Cle)) (Fund receives Fixed 5.280% and pays Floating HUF 6 Month BUBOR) (6/1/2024) 557,024 HUF 2,800,000,000 Interest Rate Swap (JP Morgan Chase Bank (Depository Cle)) (Fund receives Floating HUF 6 Month BUBOR and pays Fixed 4.140%) (6/1/2019) (446,131) PLN 9,600,000 Interest Rate Swap (JP Morgan) (Fund receives Fixed 4.170% and pays Floating PLN 6 Month WIBOR) (27/12/2023) 140,739 MXN 98,300,000 Interest Rate Swap (JP Morgan) (Fund receives Fixed 6.850% and pays Floating MXN 1 Month TIIE) (10/1/2024) 339,968 MXN 373,200,000 Interest Rate Swap (JP Morgan) (Fund receives Floating MXN 1 Month TIIE and pays Fixed 4.380%) (20/1/2016) (145,569) PLN 81,500,000 Interest Rate Swap (JP Morgan) (Fund receives Floating PLN 6 Month WIBOR and pays Fixed 2.970%) (27/12/2015) (98,869) (USD underlying exposure – USD 255,203,748) (1,776,418)
Note: The total market value of USD (4,378,934) is included in the Statement of Net Assets. (see note 2(d)).
74 BlackRock Strategic Funds (BSF) BlackRock Emerging Markets Flexi Dynamic Bond Fund continued
Open Forward Foreign Exchange Transactions as at 31 May 2014
Unrealised appreciation/ (depreciation) Purchases Sales Value date USD EUR 2,401,874 USD 3,296,627 13/6/2014 (25,232) USD 17,248 EUR 12,557 13/6/2014 145 ARS 20,000,000 USD 2,398,082 16/6/2014 53,500 BRL 11,892,100 USD 5,265,719 27/6/2014 (1,771) COP 48,620,608,500 USD 25,312,530 27/6/2014 192,190 CZK 86,414,460 USD 4,310,754 27/6/2014 (27,703) HUF 1,095,439,440 USD 4,910,017 27/6/2014 11,507 IDR 27,893,720,460 USD 2,420,279 27/6/2014 (44,931) INR 155,131,550 USD 2,561,617 27/6/2014 53,459 INR 282,903,710 USD 4,793,353 27/6/2014 (24,402) JPY 1,242,203,420 USD 12,239,844 27/6/2014 (36,221) JPY 86,713,950 USD 858,811 27/6/2014 (6,918) KRW 7,001,550,330 USD 6,822,793 27/6/2014 26,162 KRW 2,720,831,220 USD 2,644,922 27/6/2014 16,610 MXN 74,639,970 USD 5,763,853 27/6/2014 27,691 MYR 13,323,760 USD 4,093,321 27/6/2014 45,264 MYR 19,532,290 USD 6,065,929 27/6/2014 1,133 PEN 3,832,240 USD 1,360,156 27/6/2014 21,528 PHP 138,443,630 USD 3,123,658 27/6/2014 37,998 PHP 352,396,490 USD 8,045,582 27/6/2014 2,144 PLN 10,175,750 USD 3,321,121 27/6/2014 22,311 PLN 28,400,480 USD 9,273,626 27/6/2014 57,881 RON 41,123,270 USD 12,676,326 27/6/2014 27,459 TRY 7,781,690 USD 3,666,608 27/6/2014 24,910 TRY 7,785,000 USD 3,672,433 27/6/2014 20,655 USD 7,101,809 BRL 15,863,310 27/6/2014 80,035 USD 8,720,606 BRL 19,560,320 27/6/2014 62,379 USD 25,993,559 BRL 58,633,670 27/6/2014 39,810 USD 110,394 CHF 98,610 27/6/2014 360 USD 2,713,399 CHF 2,370,520 27/6/2014 68,272 USD 2,592,819 CLP 1,437,199,420 27/6/2014 (7,534) USD 5,842,100 CLP 3,319,714,890 27/6/2014 (164,325) USD 15,854,935 COP 30,666,599,700 27/6/2014 (231,721) USD 2,310,662 CZK 45,486,770 27/6/2014 56,153 USD 938,999 EUR 685,140 27/6/2014 5,858 USD 2,037,430 EUR 1,463,240 27/6/2014 44,540 USD 5,887,160 HUF 1,298,604,360 27/6/2014 52,869 USD 10,838,207 IDR 126,371,322,180 27/6/2014 76,789 USD 1,858,725 MXN 24,097,979 27/6/2014 (11,111) USD 8,322,770 MXN 108,512,670 27/6/2014 (97,061) USD 1,661,411 PEN 4,649,460 27/6/2014 (14,915) USD 1,617,742 PLN 4,948,126 27/6/2014 (8,057) USD 22,326,872 PLN 67,324,450 27/6/2014 206,168 USD 1,630,652 RON 5,211,930 27/6/2014 20,585 USD 1,702,264 RUB 59,170,700 27/6/2014 12,757 USD 8,667,081 RUB 311,568,570 27/6/2014 (229,169) USD 3,986,210 THB 129,815,720 27/6/2014 36,266 USD 3,895,258 THB 126,606,390 27/6/2014 42,964 USD 6,134,134 TRY 13,054,050 27/6/2014 (58,514) USD 7,332,104 TRY 15,566,790 27/6/2014 (52,550) USD 3,935,436 ZAR 41,190,240 27/6/2014 45,428 USD 9,699,536 ZAR 102,923,720 27/6/2014 (20,583) Net unrealised appreciation (USD underlying exposure – USD 313,141,757) 431,062
Note: The net unrealised appreciation attributed to these transactions is included in the Statements of Net Assets (see Note 2(d)). Bank of America N.A., Barclays Bank Plc, BNP Paribas S.A., Citibank N.A. London, Credit Suisse International, Deutsche Bank AG London, Goldman Sachs International, HSBC Bank Plc, JP Morgan Chase Bank N.A., Morgan Stanley and Co. International Plc, Société Générale, State Street Bank and Trust Company are the counterparties to these Open Forward Foreign Exchange Transactions.
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 75 BlackRock Euro Dynamic Diversified Growth Fund
Portfolio of Investments as at 31 May 2014 Transferable Securities and Money Market Instruments Admitted to an Transferable Securities and Money Market Instruments Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Official Stock Exchange Listing or Dealt in on Another Regulated Market
Market Market Value Value Holding Description EUR % Holding Description EUR %
COMMON STOCKS (SHARES) BONDS Bermuda Greece 160,000 Kunlun Energy Co Ltd 190,864 0.04 EUR 3,130,000 Hellenic Republic Government Bond 56,000 Orient Overseas International Ltd 209,617 0.05 '144A' 4.75% 17/4/2019 3,125,227 0.72 379,000 Sihuan Pharmaceutical Holdings EUR 258,000 Hellenic Republic Government Bond Group Ltd 332,453 0.08 (Step-up Coupon) 2.00% 24/2/2023 207,851 0.05 732,934 0.17 EUR 257,000 Hellenic Republic Government Bond (Step-up Coupon) 2.00% 24/2/2024 203,371 0.05 Cayman Islands EUR 257,000 Hellenic Republic Government Bond 1,757 Baidu Inc ADR 213,742 0.05 (Step-up Coupon) 2.00% 24/2/2025 199,670 0.05 10,437 Changyou.com Ltd ADR 206,514 0.05 EUR 257,000 Hellenic Republic Government Bond 373,000 China Modern Dairy Holdings Ltd 112,824 0.02 (Step-up Coupon) 2.00% 24/2/2026 195,962 0.04 191,800 Chow Tai Fook Jewellery Group Ltd 184,561 0.04 EUR 257,000 Hellenic Republic Government Bond 575,000 Geely Automobile Holdings Ltd 157,619 0.04 (Step-up Coupon) 2.00% 24/2/2027 192,454 0.04 24,000 Hengan International Group Co Ltd 185,911 0.04 EUR 257,000 Hellenic Republic Government Bond 80,800 MGM China Holdings Ltd 205,832 0.05 (Step-up Coupon) 2.00% 24/2/2028 188,509 0.04 4,234 NetEase Inc ADR 220,799 0.05 EUR 258,000 Hellenic Republic Government Bond 76,000 Shenzhou International Group (Step-up Coupon) 2.00% 24/2/2029 186,521 0.04 Holdings Ltd 193,964 0.04 EUR 258,000 Hellenic Republic Government Bond 25,500 Tencent Holdings Ltd 261,043 0.06 (Step-up Coupon) 2.00% 24/2/2030 183,290 0.04 199,000 Want Want China Holdings Ltd 202,399 0.05 EUR 258,000 Hellenic Republic Government Bond 2,145,208 0.49 (Step-up Coupon) 2.00% 24/2/2031 180,426 0.04 EUR 258,000 Hellenic Republic Government Bond China (Step-up Coupon) 2.00% 24/2/2032 177,878 0.04 383,000 Agricultural Bank of China Ltd 'H' 124,900 0.03 EUR 258,000 Hellenic Republic Government Bond 72,500 Anhui Conch Cement Co Ltd 'H' 190,514 0.04 (Step-up Coupon) 2.00% 24/2/2033 175,492 0.04 124,000 Beijing Capital International Airport EUR 258,000 Hellenic Republic Government Bond Co Ltd 'H' 62,356 0.01 (Step-up Coupon) 2.00% 24/2/2034 172,950 0.04 142,000 China BlueChemical Ltd 'H' 55,703 0.01 EUR 258,000 Hellenic Republic Government Bond 352,000 China Communications Construction (Step-up Coupon) 2.00% 24/2/2035 170,532 0.04 Co Ltd 'H' 172,019 0.04 EUR 258,000 Hellenic Republic Government Bond 89,000 China Life Insurance Co Ltd 'H' 178,769 0.04 (Step-up Coupon) 2.00% 24/2/2036 169,035 0.04 262,500 China Railway Construction Corp Ltd 'H' 162,523 0.04 EUR 258,000 Hellenic Republic Government Bond 515,000 China Railway Group Ltd 'H' 174,274 0.04 (Step-up Coupon) 2.00% 24/2/2037 168,584 0.04 315,000 CSR Corp Ltd 'H' 170,611 0.04 EUR 258,000 Hellenic Republic Government Bond 182,000 Dongfeng Motor Group Co Ltd 'H' 203,344 0.05 (Step-up Coupon) 2.00% 24/2/2038 167,771 0.04 232,000 First Tractor Co Ltd 'H' 102,631 0.02 EUR 258,000 Hellenic Republic Government Bond 162,000 Haitong Securities Co Ltd 'H' 177,630 0.04 (Step-up Coupon) 2.00% 24/2/2039 167,326 0.04 228,000 Jiangsu Expressway Co Ltd 'H' 200,214 0.05 30,500 Ping An Insurance Group Co of China EUR 258,000 Hellenic Republic Government Bond Ltd 'H' 172,547 0.04 (Step-up Coupon) 2.00% 24/2/2040 166,713 0.04 244,000 Shanghai Electric Group Co Ltd 'H' 64,348 0.02 EUR 258,000 Hellenic Republic Government Bond 97,600 Sinopharm Group Co Ltd 'H' 193,737 0.04 (Step-up Coupon) 2.00% 24/2/2041 166,042 0.04 53,000 Travelsky Technology Ltd 'H' 32,714 0.01 EUR 258,000 Hellenic Republic Government Bond 36,000 Tsingtao Brewery Co Ltd 'H' 207,065 0.05 (Step-up Coupon) 2.00% 24/2/2042 165,991 0.04 67,000 Weichai Power Co Ltd 'H' 182,077 0.04 6,731,595 1.55 134,000 ZTE Corp 'H' 189,234 0.04 3,017,210 0.69 Italy EUR 2,515,000 Italy Buoni Poliennali Del Tesoro Hong Kong 5.50% 1/11/2022 3,032,587 0.70 37,000 Galaxy Entertainment Group Ltd 217,013 0.05 EUR 3,233,000 Italy Buoni Poliennali Del Tesoro 208,000 Guangdong Investment Ltd 168,299 0.04 4.50% 1/5/2023 3,656,846 0.84 248,000 Lenovo Group Ltd 224,809 0.05 EUR 4,600,000 Italy Buoni Poliennali Del Tesoro 143,500 Sinotrans Shipping Ltd 29,299 0.01 4.50% 1/3/2024 5,203,865 1.20 639,420 0.15 11,893,298 2.74
Japan United States 3,500 Softbank Corp 185,164 0.04 USD 11,438,764 United States Treasury Inflation 185,164 0.04 Indexed Bonds 0.625% 15/1/2024 8,693,233 2.01 Singapore 8,693,233 2.01 126,000 Global Logistic Properties Ltd 204,762 0.05 Total Bonds 27,318,126 6.30 204,762 0.05 Total Common Stocks (Shares) 6,924,698 1.59
76 BlackRock Strategic Funds (BSF) BlackRock Euro Dynamic Diversified Growth Fund continued
Portfolio of Investments as at 31 May 2014 Transferable Securities and Money Market Instruments Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Funds
Market Market Value Value Holding Description EUR % Holding Description EUR %
FUNDS Ireland 2,596,376 BlackRock Developed World Index Guernsey Sub-Fund 1 40,700,804 9.38 1,145,797 Alcentra European Floating Rate 72,955,181 Institutional Cash Series Plc Income Fund Ltd 1,528,171 0.35 - Institutional Euro 1,144,893 Better Capital PCC Ltd 1,435,488 0.33 Liquidity Fund 1 72,955,181 16.82 271,187 BH Macro Ltd 5,138,994 1.18 279,565 Institutional Cash Series Plc 2,473,500 Bluecrest Allblue Fund Ltd 4,149,296 0.96 - Institutional Ultra Short 154,181 HarbourVest Global Private Equity Ltd 1,282,440 0.29 Bond Fund 1 31,066,061 7.16 3,660,000 NB Distressed Debt Investment Fund Ltd (GBP) 4,323,984 1.00 144,722,046 33.36 858,782 NB Distressed Debt Investment Fund Ltd (USD) 809,503 0.19 Luxembourg 573,733 BlackRock Global Funds - ASEAN 4,381,070 NB Global Floating Rate Income Leaders X2 RF 1 5,209,445 1.20 Fund Ltd 5,342,275 1.23 72,720 BlackRock Global Funds - Asian 24,010,151 5.53 Dragon Fund X2 (USD) 1 1,819,395 0.42 1,395,525 BlackRock Global Funds - Euro Ireland Corporate Bond Fund X2 (EUR) 1 21,881,832 5.04 1,728,854 Carador Income Fund Plc 1,159,284 0.27 1,362,583 BlackRock Global Funds - Emerging 63,175 iShares JP Morgan $ Emerging Markets Markets Equity Income Fund 1 Bond UCITS ETF 5,291,780 1.22 X2 (USD) 1 11,423,504 2.63 83,079 Stone Harbor Investment Funds Plc 821,731 BlackRock Global Funds - Euro Short - Emerging Market Debt Fund 9,887,526 2.28 Duration Bond Fund X2 (EUR) 1 13,320,260 3.07 16,338,590 3.77 5,059,285 BlackRock Global Funds - Global Corporate Bond Fund X2 (EUR) Jersey Hedged 1 64,860,034 14.95 1,631,000 CVC Credit Partners European 2,324,788 BlackRock Global Funds - Global Opportunities Ltd 1,745,170 0.40 Equity Income X2 (USD) 1 26,441,459 6.10 1,725,200 Foresight Solar Fund Ltd 2,120,674 0.49 144,955,929 33.41 3,865,844 0.89 United Kingdom United Kingdom 1,742,460 BlackRock Frontiers Investment 824,445 Scottish Mortgage Investment Trust Plc 10,499,191 2.42 Trust Plc 1 2,591,687 0.60 10,499,191 2.42 2,591,687 0.60 Total Funds 54,713,776 12.61 Total Funds 292,269,662 67.37 Total Transferable Securities and Money Securities portfolio at market value 381,226,262 87.87 Market Instruments Admitted to an Official Stock Exchange Listing or Other Net Assets 52,625,159 12.13 Dealt in on Another Regulated Market 88,956,600 20.50 Total Net Assets (EUR) 433,851,421 100.00
1 This fund is managed by Blackrock.
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 77 BlackRock Euro Dynamic Diversified Growth Fund continued
Swaps as at 31 May 2014 Open Forward Foreign Exchange Transactions as at 31 May 2014 Unrealised appreciation/ Unrealised Nominal (depreciation) appreciation/ Value Description EUR (depreciation) Purchases Sales Value Date EUR USD 11,746,000 Total Return Swap (Citibank) (Fund receives Citi SEK 502,143,475 EUR 55,681,128 13/6/2014 (599,046) Dynavo2x Index and pays Fixed 0.000%) USD 6,689,685 THB 217,000,000 10/7/2014 66,409 (19/6/2015) 143,678 EUR 2,031,432 AUD 3,015,000 11/7/2014 (19,686) USD 9,816,231 Total Return Swap (Citibank) (Fund receives EUR 1,775,151 CAD 2,705,000 11/7/2014 (48,891) Emerging Lifestyle Trends Index and pays EUR 6,090,000 CHF 7,432,011 11/7/2014 (5,371) 6 Month LIBOR) (5/9/2014) 1,311,533 EUR 34,353,639 GBP 28,230,000 11/7/2014 (339,866) USD 2,187,000 Total Return Swap (JP Morgan Chase Bank EUR 11,767,347 JPY 1,665,315,000 11/7/2014 (231,056) (Depository Cle)) (Fund receives Global EUR 2,549,294 NZD 4,105,000 11/7/2014 3,484 Volatility Carry Strategy Index and pays EUR 76,093,028 USD 105,163,000 11/7/2014 (979,777) Fixed 0.000%) (3/7/2014) 90,239 NZD 3,165,000 USD 2,707,214 11/7/2014 (21,240) EUR 5,940,141 Total Return Swap (JP Morgan) (Fund receives NZD 5,040,000 ZAR 46,109,448 11/7/2014 (48,060) JP European Basket Index and pays PLN 33,150,000 USD 10,874,468 11/7/2014 28,171 12 Month LIBOR) (19/8/2014) 1,550,193 RUB 378,000,000 USD 10,749,620 11/7/2014 (1,085) GBP 66,770 Total Return Swap (JP Morgan) (Fund receives USD 13,028,400 AUD 14,000,000 11/7/2014 24,108 JP European Basket Index and pays USD 9,010,000 CAD 9,942,211 11/7/2014 (100,922) 3 Month LIBOR) (16/3/2015) (3,587) USD 7,526,417 CLP 4,235,115,000 11/7/2014 (93,813) EUR 1,692,836 Total Return Swap (JP Morgan) (Fund receives USD 8,000,000 GBP 4,754,631 11/7/2014 19,866 JP European Basket Index and pays USD 2,353,000 JPY 241,169,793 11/7/2014 (13,113) Fixed 0.567%) (13/11/2014) 297,472 USD 7,055,891 KRW 7,360,000,000 11/7/2014 (105,860) (EUR underlying exposure – EUR 36,260,850) 3,389,528 USD 6,711,409 MYR 22,000,000 11/7/2014 (85,587) USD 10,807,552 PLN 33,150,000 11/7/2014 (77,213) Note: The total market value of EUR 3,389,528 is included in the Statement of Net Assets USD 10,385,329 RUB 378,000,000 11/7/2014 (265,900) (see Note 2(d)). USD 11,335,040 ZAR 121,231,184 11/7/2014 (37,063) Net unrealised depreciation (underlying exposure – EUR 370,176,539) (2,931,511) Open Exchange Traded Futures Contracts as at 31 May 2014 Note: The net unrealised depreciation attributed to these transactions is included in the Statement of Net Assets (see Note 2(d)). Unrealised BNP Paribas S.A., Barclays Bank Plc Wholesale, Credit Suisse International, Deutsche Underlying appreciation/ Bank AG London, HSBC Bank Plc, Royal Bank of Canada, State Street Bank and Trust Number of Contract/ Expiration exposure (depreciation) Company, UBS AG London and Westpac Banking Corporation are the counterparties to these Open Forward Foreign Exchange Transactions. Contracts Description date EUR EUR 455 Euro STOXX Utilities Index June 2014 6,531,525 357,965 1,320 FTSE 100 Index December 2014 3,780,631 (65,913) (166) H-Shares Index June 2014 7,902,003 (120,183) Sector Breakdown 199 Nikkei 225 (SGX) Index June 2014 10,506,410 (332,059) as at 31 May 2014 (183) Stoxx 600 Basic % of Net Resources Index June 2014 3,677,385 (136,360) (80) US Treasury 10 Year Note September 2014 6,291,539 (24,275) Assets* Total 38,689,493 (320,825) Funds 71.26 Financial 8.92 Note: The net unrealised depreciation of (320,825) attributed to these transactions Government 6.30 is included in the Statement of Net Assets (see Note 2(d)). Consumer, Non-cyclical 0.33 Consumer, Cyclical 0.31 Industrial 0.31 Communications 0.24 Technology 0.11 Energy 0.04 Utilities 0.04 Basic Materials 0.01 Other Net Assets 12.13 100.00
* Based on the market value of the Portfolio of Investments except for Contract For Difference, which are based on the commitment (where applicable).
78 BlackRock Strategic Funds (BSF) BlackRock Euro Dynamic Diversified Growth Fund continued
Written Call Options as at 31 May 2014 Purchased Put Options as at 31 May 2014
Number of Unrealised Number of Unrealised contracts Underlying appreciation/ Market contracts Underlying appreciation/ Market subject exposure (depreciation) Value subject exposure (depreciation) Value to Call Issuer EUR EUR EUR to Put Issuer EUR EUR EUR (5,236) CBOE SPX Volatility Index 267 DAX Index Put Call Option Option strike strike price USD 20.00 price EUR 9,450.00 expiring on 17/9/2014 1,411,164 26,923 (441,273) expiring on 18/7/2014 2,592,814 (169,602) 91,714 (428) EURO STOXX 50 Index 159 S+P 500 Index Put Option Call Option strike price USD 1,775.00 strike price EUR 3,500.00 expiring on 21/6/2014 584,057 (99,137) 11,070 expiring on 19/12/2014 3,177,383 12,684 (182,328) Total Purchased Put Options 3,176,871 (268,739) 102,784 (808) IBEX 35 Mini Index
Call Option Note: Purchased Put Options are included in the Statement of Net Assets (see Note 2(d)). strike price EUR 11500.00 Where no counterparty is shown the Purchased Put Option is exchange traded. expiring on 19/9/2014 1,864,299 9,696 (91,304) (183) STOXX EUROPE 600 Index Call Option strike price EUR 450.00 Written Put Options as at 31 May 2014 expiring on 20/6/2014 89,300 16,470 (1,830) Number of Unrealised Total Written Call Options 6,542,146 65,773 (716,735) contracts Underlying appreciation/ Market subject exposure (depreciation) Value Note: Written Call Options are included in the Statement of Net Assets (see Note 2(d)). Where no counterparty is shown the Written Call Option is exchange traded. to Put Issuer EUR EUR EUR (267) DAX Index Put Option strike price EUR 9,000.00 expiring on 18/7/2014 1,018,704 82,007 (33,909) Purchased Call Options as at 31 May 2014 (104) FTSE 100 Index Put Option strike price GBP 6000.00 Number of Unrealised expiring on 19/12/2014 1,333,553 106,664 (92,684) contracts Underlying appreciation/ Market (808) IBEX 35 Mini Index subject exposure (depreciation) Value Put Option to Call Issuer EUR EUR EUR strike price EUR 950.00 5,236 CBOE SPX Volatility Index expiring on 19/9/2014 1,256,871 102,212 (79,992) Call Option (135) Russell 2000 Index strike price USD 20.00 Put Option expiring on 16/7/2014 799,470 (67,136) 172,672 strike price USD 1,050.00 10,700,000 EEM SPX Volatility Index expiring on 21/6/2014 733,769 132,310 (17,017) Call Option (JP Morgan (183) STOXX EUROPE 600 Index Chase Bank) Put Option strike price USD 105.00 strike price EUR 370.00 expiring on 30/6/2014 83,365 (142,436) 31,907 expiring on 20/6/2014 10,700,000 EEM SPX Volatility Index Put Option Call Option (JP Morgan strike price EUR 370.00 Chase Bank) expiring on 20/6/2014 346,130 56,730 (10,980) strike price USD 105.00 Total Written Put Options 4,689,027 479,923 (234,582) expiring on 19/9/2014 123,914 (85,442) 87,283
428 EURO STOXX 50 Index Note: Written Put Options are included in the Statement of Net Assets (see Note 2(d)). Call Option Where no counterparty is shown the Written Put Option is exchange traded. strike price EUR 3,100.00 expiring on 19/12/2014 8,911,536 329,560 980,120 104 FTSE 100 Index Call Option strike price GBP 6800.00 expiring on 19/12/2014 4,245,142 102,220 276,774 808 IBEX 35 Mini Index Call Option strike price EUR 11000.00 expiring on 19/9/2014 3,407,941 10,504 218,160 183 STOXX EUROPE 600 Index Call Option strike price EUR 415.00 expiring on 20/6/2014 999,764 (48,495) 28,365 Total Purchased Call Options 18,571,132 98,775 1,795,281
Note: Purchased Call Options are included in the Statement of Net Assets (see Note 2(d)). Where no counterparty is shown the Purchased Call Option is exchange traded.
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 79 BlackRock European Absolute Return Fund
Portfolio of Investments as at 31 May 2014 Transferable Securities and Money Market Instruments Admitted to an Transferable Securities and Money Market Instruments Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Official Stock Exchange Listing or Dealt in on Another Regulated Market
Market % of Market % of Value Net Value Net Holding Description EUR Assets Holding Description EUR Assets
COMMON STOCKS (SHARES) Netherlands EUR 120,000,000 BMW Finance NV FRN 27/11/2015 119,946,000 9.26 France EUR 31,200,000 Cooperatieve Centrale Raiffeisen- 428,583 Cie de St-Gobain 17,893,340 1.38 Boerenleenbank BA/Netherlands 248,576 Eiffage SA 12,873,751 0.99 FRN 19/8/2015 31,197,192 2.41 30,767,091 2.37 EUR 5,100,000 Cooperatieve Centrale Raiffeisen- Boerenleenbank BA/Netherlands Germany FRN 23/11/2015 5,099,210 0.39 544,132 Aixtron SE 5,906,553 0.46 EUR 65,007,000 Cooperatieve Centrale Raiffeisen- 202,689 Bayer AG 21,403,959 1.65 Boerenleenbank BA/Netherlands 283,521 LEG Immobilien AG 14,649,530 1.13 FRN 15/1/2016 65,027,802 5.02 182,875 Norma Group SE 7,357,061 0.57 EUR 60,200,000 ING Bank NV FRN 28/11/2014 60,313,778 4.65 287,240 Osram Licht AG 10,685,328 0.82 281,583,982 21.73 364,742 ProSiebenSat.1 Media AG 12,169,617 0.94 72,172,048 5.57 Switzerland EUR 43,000,000 Credit Suisse AG/London FRN Greece 19/1/2015 43,022,145 3.32 420,767 OPAP SA 5,301,664 0.41 43,022,145 3.32 5,301,664 0.41 United Kingdom Ireland EUR 10,000,000 HSBC Bank Plc FRN 21/5/2015 10,005,850 0.77 1,269,249 Ryanair Holdings Plc 9,129,708 0.70 10,005,850 0.77 9,129,708 0.70 Total Bonds 376,191,510 29.03 Italy 3,438,516 Anima Holding SpA 14,097,916 1.09 CERTIFICATES OF DEPOSIT 14,097,916 1.09 France Netherlands EUR 120,000,000 BNP Paribas SA 20/2/2015 139,641 ASML Holding NV 8,798,779 0.68 (Zero Coupon) 119,475,000 9.22 8,798,779 0.68 119,475,000 9.22
Portugal Luxembourg 1,125,712 Jeronimo Martins SGPS SA 14,099,543 1.09 EUR 49,500,000 Svenska Handelsbanken AB 0.32% 17/11/2014 49,510,890 3.82 14,099,543 1.09 49,510,890 3.82 Spain Total Certificates of Deposit 168,985,890 13.04 2,303,811 CaixaBank SA 10,265,782 0.79 10,265,782 0.79 COMMERCIAL PAPER United Kingdom Luxembourg 2,366,228 Merlin Entertainments Plc'144A' 10,559,788 0.82 EUR 60,000,000 Banque Federative du Credit 10,559,788 0.82 Mutuel SA 21/11/2014 Total Common Stocks (Shares) 175,192,319 13.52 (Zero Coupon) 59,901,571 4.62 EUR 60,000,000 Deutsche Bank AG 21/11/2014 (Zero Coupon) 59,874,130 4.62 BONDS EUR 60,000,000 Nordea Bank AB 23/2/2015 (Zero Coupon) 59,848,531 4.62 Finland EUR 60,000,000 Standard Chartered Bank EUR 21,100,000 Pohjola Bank Plc FRN 28/6/2015 21,231,347 1.64 20/2/2015 (Zero Coupon) 59,806,320 4.62 21,231,347 1.64 EUR 60,000,000 Standard Chartered Bank 20/2/2015 (Zero Coupon) 59,806,316 4.62 France EUR 5,000,000 Svenska Handelsbanken AB EUR 5,000,000 BPCE SA FRN 8/10/2014 5,001,750 0.39 22/10/2014 (Zero Coupon) 4,994,007 0.38 5,001,750 0.39 304,230,875 23.48 Total Commercial Paper 304,230,875 23.48 Ireland Total Transferable Securities and Money EUR 14,674,000 GE Capital European Funding Market Instruments Admitted to an 5.25% 18/5/2015 15,346,436 1.18 Official Stock Exchange Listing or 15,346,436 1.18 Dealt in on Another Regulated Market 1,024,600,594 79.07
80 BlackRock Strategic Funds (BSF) BlackRock European Absolute Return Fund continued
Portfolio of Investments as at 31 May 2014
Funds
Market % of Value Net Holding Description EUR Assets
Ireland 114,668,617 Institutional Cash Series Plc - Institutional Euro Assets Liquidity Fund 1 114,668,617 8.85 12,161,495 Institutional Cash Series Plc - Institutional Euro Liquidity Fund 1 12,161,495 0.94 Total Funds 126,830,112 9.79 Securities portfolio at market value 1,151,430,706 88.86
Other Net Assets 144,329,266 11.14 Total Net Assets (EUR) 1,295,759,972 100.00
1 This fund is managed by BlackRock.
Open Exchange Traded Futures Contracts Written Put Options as at 31 May 2014 as at 31 May 2014 Number of Unrealised Unrealised contracts Underlying appreciation/ Market Underlying appreciation/ subject exposure (depreciation) Value Number of Contract/ Expiration exposure (depreciation) to Put Issuer EUR EUR EUR Contracts Description date EUR EUR (1,617) Lanxess AG Put Option (697) FTSE 250 Index June 2014 27,370,761 (941,088) strike price EUR 50.00 (1,563) STOXX EUR MID 200 Index June 2014 28,657,605 (1,595,825) expiring on 20/6/2014 1,843,276 59,444 (88,935) (7,035) STOXX EUR SMALL 20 Index June 2014 82,766,775 (2,527,580) (13,588) Vivendi SA Put Options (4,227) STOXX EUROPE 600 Index June 2014 72,640,995 (4,741,340) strike price EUR 19.00 Total 211,436,136 (9,805,833) expiring on 20/6/2014 9,529,841 179,769 (258,172) Total Written Put Options 11,373,117 239,213 (347,107) Note: The net unrealised depreciation of attributed to these transactions is included in the Statement of Net Assets (see Notes 2(d)). Note: Written Put Options are included in the Statement of Net Assets (see Note 2(d)). Where no counterparty is shown the Written Put Option is exchange traded.
Open Forward Foreign Exchange Transactions as at 31 May 2014 Sector Breakdown as at 31 May 2014 Unrealised appreciation/ % of Net (depreciation) Assets* Purchases Sales Value Date EUR Financial 58.21 CHF 10,250,338 EUR 8,398,316 13/6/2014 (1,836) Consumer, Cyclical 11.76 EUR 144,432 CHF 176,463 13/6/2014 (116) Funds 9.79 EUR 317,663 GBP 259,237 13/6/2014 (1,025) Industrial 3.19 EUR 36,367 SEK 327,073 13/6/2014 374 Consumer, Non-cyclical 2.74 GBP 13,442,858 EUR 16,502,827 13/6/2014 22,930 Technology 1.14 SEK 823,724 EUR 91,342 13/6/2014 (696) Diversified 1.09 Net unrealised appreciation Communications 0.94 (underlying exposure – EUR 25,512,112) 19,631 Other Net Assets 11.14 100.00 Note: The net unrealised appreciation attributed to these transactions is included in the Statement of Net Assets (see Note 2(d)). * Based on the market value of the Portfolio of Investments except State Street Bank and Trust Company is the counterparty to these Open Forward Foreign for Contract For Difference, which are based on the commitment Exchange Transactions. (where applicable).
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 81 BlackRock European Absolute Return Fund continued
Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description EUR EUR Holding Description EUR EUR
Belgium Spain (271,096) Belgacom SA (6,599,832) (1,552,971) (1,513,898) Distribuidora Internacional de (165,880) Colruyt SA (6,824,303) (244,344) Alimentacion SA (10,182,478) (819,154) (13,424,135) (1,797,315) (10,182,478) (819,154)
Denmark Sweden 838,118 GN Store Nord A/S 16,900,344 1,874,259 (103,942) Millicom International Cellular (29,495) Tryg A/S (2,064,850) (18,306) SA SDR (7,052,818) 580,872 14,835,494 1,855,953 (7,052,818) 580,872
Finland Switzerland (579,941) Fortum OYJ (10,340,348) (864,076) 131,845 Actelion Ltd 9,589,180 1,322,716 (10,340,348) (864,076) 654,359 Clariant AG 9,888,201 457,974 (600,796) Credit Suisse Group AG Reg (13,084,291) 971,798 France 253,335 Holcim Ltd 16,205,076 (600,928) (157,276) Air Liquide SA (16,742,030) (1,246,701) 51,529 Partners Group Holding AG 9,943,330 570,226 862,630 Applus Services SA 14,147,132 1,638,997 98,035 Roche Holding AG 21,245,934 960,334 265,692 Cap Gemini SA 14,166,698 1,571,424 901,030 UBS AG 13,261,485 (65,906) (482,738) Carrefour SA (12,881,863) 69,980 67,048,915 3,616,214 (70,807) Casino Guichard Perrachon SA (6,636,032) (679,931) (1,725,437) Commerzbank AG (19,963,306) (932,299) United Kingdom (1,185,923) EDP - Energias de Portugal SA (4,100,922) (75,479) (1,745,387) Aberdeen Asset Management Plc (9,471,441) (923,172) (413,820) Eutelsat Communications SA (10,647,589) (1,582,899) 236,312 AstraZeneca Plc 12,492,410 (949,801) 197,547 Schneider Electric SA 13,555,675 296,222 3,131,593 Aviva Plc 20,212,340 1,048,651 (168,026) Technip SA (13,272,374) (627,638) (2,784,513) BAE Systems Plc (14,483,858) 75,524 (146,709) Valeo SA (14,411,225) (1,661,242) 2,062,996 Capital & Counties Properties Plc 8,572,492 (197,233) (56,785,836) (3,229,566) 731,455 Drax Group Plc 5,633,790 (1,008,630) (699,924) easyJet Plc (13,165,407) (309,813) Germany 2,946,322 Elementis Plc 10,388,464 1,139,580 330,012 Airbus Group NV 17,302,529 (670,716) 698,960 Hargreaves Lansdown Plc 10,471,675 (1,278,635) (1,991,680) Enel SpA (8,317,256) (312,662) 979,858 Hunting Plc 9,847,883 (579,529) (91,086) Linde AG (13,977,147) (750,205) 1,058,868 IG Group Holdings Plc 7,830,138 327,574 220,758 Publicis Groupe SA 13,909,962 387,140 (2,966,591) International Consolidated Airlines Group SA (14,376,934) (1,288,125) 8,918,088 (1,346,443) 390,953 Provident Financial Plc 10,083,749 1,890,326 Italy 1,096,782 Prudential Plc 18,702,030 1,429,321 (117,799,132) Rolls Royce Holdings Plc (144,822) (144,822) (703,628) Atlantia SpA (14,234,395) (930,756) (3,837,463) Royal Bank of Scotland Group Plc (16,295,156) (897,710) (8,530,336) Intesa Sanpaolo SpA (21,052,869) (2,345,007) (1,548,484) Royal Mail Plc (9,700,879) (266,160) (23,817,067) Telecom Italia (21,828,342) (1,531,747) 1,057,526 Sports Direct International Plc 10,400,950 1,006,683 (57,115,606) (4,807,510) 10,285,554 Taylor Wimpey Plc 13,732,497 (540,410) 4,689,870 William Hill Plc 20,478,649 (1,348,657) Netherlands (244,273) Fugro NV - CVA (10,322,977) 304,634 81,208,570 (2,815,038) (2,117,428) SNS REAAL NV* – 21 Total market value (10,322,977) 304,655 (EUR underlying exposure – EUR 669,927,756) (8,955,620) (10,677,553)
Norway 153,989 Gjensidige Forsikring ASA 2,089,759 (294,934) (213,370) Norwegian Air Shuttle AS (6,508,575) (915,934) (408,526) Seadrill Ltd (11,323,673) (145,277) (15,742,489) (1,356,145)
* Investments which are less than 0.5 EUR have been rounded down to zero. Note: The net unrealised depreciation attributed to these transactions is included in the Statement of Net Assets (see Note 2(d)). Deutsche Bank and JP Morgan are the counterparties to these Contracts for Difference.
82 BlackRock Strategic Funds (BSF) BlackRock European Credit Strategies Fund
Portfolio of Investments as at 31 May 2014 Transferable Securities and Money Market Instruments Admitted to an Transferable Securities and Money Market Instruments Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Official Stock Exchange Listing or Dealt in on Another Regulated Market
Market % of Market % of Value Net Value Net Holding Description EUR Assets Holding Description EUR Assets
COMMON / PREFERRED STOCKS (SHARES) United Kingdom continued 322,823 Royal Bank of Scotland Group Belgium Plc (Pref S) 5,810,360 0.39 11,249 Euronav NV 104,053 0.01 612,221 WM Morrison Supermarkets Plc 1,499,680 0.10 104,053 0.01 25,406,794 1.70
Bermuda United States 101,563 Avance Gas Holding Ltd 1,601,364 0.11 172,005 RBS Capital Funding Trust V 424,045 Golden Ocean Group Ltd 567,139 0.04 (Pref E) 2,999,241 0.20 2,168,503 0.15 778,429 RBS Capital Funding Trust VII (Pref G) 13,753,447 0.92 Germany 16,752,688 1.12 30,223 Volkswagen AG (Pref) 5,901,041 0.39 Total Common / Preferred Stocks (Shares) 104,309,521 6.98 5,901,041 0.39
Greece BONDS 1,192,657 Intralot SA-Integrated Lottery Systems & Services 2,492,653 0.17 Bermuda 2,492,653 0.17 USD 15,200,000 Golden Ocean Group Ltd 3.07% 30/1/2019 10,732,228 0.72 Ireland 10,732,228 0.72 180,999 Smurfit Kappa Group Plc 3,179,248 0.21 3,179,248 0.21 Cayman Islands USD 1,750,000 Magnetite VIII Ltd 15/4/2026 Italy (Zero Coupon) 1,284,827 0.08 545,333 Astaldi SpA 4,305,404 0.29 1,284,827 0.08 4,735,926 Telecom Italia SpA 4,340,476 0.29 8,645,880 0.58 France GBP 6,600,000 BPCE SA 5.25% 16/4/2029 8,250,252 0.55 Luxembourg EUR 6,600,000 Credit Agricole SA FRN 90,600 ArcelorMittal 1,017,438 0.07 (Perpetual) 6,933,894 0.46 1,057,000 ArcelorMittal (Pref) 18,004,027 1.20 USD 15,425,000 Credit Agricole SA/London '144A' ‡ 19,021,465 1.27 3.875% 15/4/2024 11,425,795 0.77 EUR 5,900,000 Electricite de France FRN Marshall Islands (Perpetual) 6,278,928 0.42 186,553 Tanker Investments Ltd 1,476,432 0.10 GBP 4,000,000 Electricite de France FRN (Perpetual) 5,101,479 0.34 1,476,432 0.10 EUR 3,583,800 Fonciere Des Regions 0.875% Netherlands 1/4/2019 3,285,452 0.22 384,222 Ziggo NV 13,294,081 0.89 EUR 1,905,000 Kerneos Tech Group SAS Reg 5.75% 1/3/2021 1,959,216 0.13 13,294,081 0.89 EUR 910,000 Numericable Group SA Reg 5.375% 15/5/2022 962,475 0.07 Spain 55,984 Indra Sistemas SA 738,989 0.05 44,197,491 2.96 963,188 International Consolidated Airlines Group SA 4,667,880 0.31 Germany 86,667 Pescanova SA 1 – EUR 8,950,000 Bayerische Landesbank FRN 7/2/2019 8,311,954 0.56 5,406,870 0.36 EUR 21,600,000 Commerzbank AG 7.75% 16/3/2021 26,770,068 1.79 Sweden USD 4,997,000 Commerzbank AG '144A' 8.125% 317,700 SAS AB 459,813 0.03 19/9/2023 4,393,527 0.29 459,813 0.03 USD 8,488,000 Commerzbank AG Reg 8.125% 19/9/2023 7,470,345 0.50 United Kingdom EUR 18,513,000 HSH Nordbank AG FRN 14/2/2017 16,013,745 1.07 677,559 Balfour Beatty Plc 1,949,194 0.13 EUR 19,704,000 HSH Nordbank AG FRN 14/2/2017 16,978,149 1.14 1,691,460 Barclays Plc 5,109,270 0.34 EUR 7,300,000 KFW 3.125% 4/7/2016 7,749,498 0.52 3,286,514 Ladbrokes Plc 6,173,775 0.41 EUR 7,300,000 KFW 0.50% 25/7/2016 7,352,560 0.49 261,748 Royal Bank of Scotland Group EUR 7,300,000 KFW 0.875% 13/10/2017 7,430,269 0.50 Plc (Pref M) 4,651,523 0.31 EUR 12,998,600 TUI AG Reg 2.75% 24/3/2016 9,398,638 0.63 12,215 Royal Bank of Scotland Group Plc (Pref R) 212,992 0.02 111,868,753 7.49
‡ Securities pledged or given in guarantee, see Note 14, for further details.
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 83 BlackRock European Credit Strategies Fund continued
Portfolio of Investments as at 31 May 2014 Transferable Securities and Money Market Instruments Admitted to an Transferable Securities and Money Market Instruments Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Official Stock Exchange Listing or Dealt in on Another Regulated Market
Market % of Market % of Value Net Value Net Holding Description EUR Assets Holding Description EUR Assets
Ireland Jersey continued EUR 3,455,000 AIB Mortgage Bank 2.625% GBP 4,200,000 Balfour Beatty Finance No.2 29/7/2016 3,582,835 0.24 Ltd 1.875% 3/12/2018 5,136,228 0.34 EUR 4,875,000 AIB Mortgage Bank 4.875% EUR 28,781,000 RESPARCS Funding II LP (Flat 29/6/2017 5,450,031 0.37 trading) 7.50% (Perpetual) 13,068,301 0.88 EUR 12,200,000 Allied Irish Banks Plc 2.75% 30,295,459 2.03 16/4/2019 12,258,865 0.82 EUR 20,851,000 Arbour Clo Ltd ABS 'A' FRN Luxembourg 16/6/2027 20,851,000 1.40 USD 6,000,000 APERAM 2.625% 30/9/2020 7,298,054 0.49 EUR 2,627,000 Arbour Clo Ltd ABS 'E' FRN EUR 6,735,000 CNH Industrial Finance Europe 16/6/2027 2,589,434 0.17 SA 2.75% 18/3/2019 6,813,092 0.46 EUR 1,210,000 Arbour Clo Ltd ABS 'F' FRN EUR 4,305,000 Galapagos Holding 7.00% 16/6/2027 1,192,697 0.08 15/6/2022 4,368,219 0.29 EUR 15,980,000 Bank of Ireland 3.25% 15/1/2019 16,479,774 1.10 EUR 1,070,000 Galapagos SA Reg 5.375% EUR 9,060,000 Bank of Ireland Mortgage Bank 15/6/2021 1,083,878 0.07 2.75% 22/3/2018 9,635,854 0.65 EUR 5,355,000 GELF Bond Issuer I SA 3.125% EUR 3,655,000 Bank of Ireland Mortgage Bank 3/4/2018 5,646,821 0.38 3.625% 2/10/2020 4,097,602 0.27 EUR 1,920,000 Intralot Capital Luxembourg SA EUR 27,320,000 CVC Cordatus Loan Fund III Ltd Reg 6.00% 15/5/2021 1,939,296 0.13 'A1' FRN 8/7/2027 27,238,040 1.82 EUR 4,012,000 Intralot Finance Luxembourg SA EUR 24,384,000 DEPFA Bank Plc FRN 15/12/2015 22,866,096 1.53 Reg 9.75% 15/8/2018 4,586,037 0.31 EUR 4,150,000 FGA Capital Ireland Plc 2.625% EUR 3,260,000 Play Finance 2 SA Reg 5.25% 17/4/2019 4,189,425 0.28 1/2/2019 3,425,135 0.23 130,431,653 8.73 USD 2,976,000 Telecom Italia Capital SA 6.375% 15/11/2033 2,245,027 0.15 Italy USD 2,499,000 Telecom Italia Capital SA 6.00% EUR 5,388,000 Banca Monte dei Paschi di Siena 30/9/2034 1,819,358 0.12 SpA 4.875% 15/9/2016 5,815,888 0.39 USD 2,475,000 Telecom Italia Capital SA 7.721% EUR 11,925,000 Banca Monte dei Paschi di Siena 4/6/2038 2,057,880 0.14 SpA 2.875% 16/4/2021 12,105,425 0.81 EUR 49,400,000 Telecom Italia Finance SA 6.125% EUR 7,575,000 Banco Popolare SC 3.50% 15/11/2016 61,483,734 4.11 14/3/2019 7,778,616 0.52 EUR 20,552,000 Telecom Italia Finance SA 7.75% EUR 7,285,826 Berica 8 Residential MBS Srl 'A' 24/1/2033 26,742,571 1.79 FRN 31/3/2048 6,984,968 0.47 129,509,102 8.67 EUR 19,200,000 Buzzi Unicem SpA 1.375% 17/7/2019 21,840,000 1.46 Mexico EUR 50,000 CIR-Compagnie Industriali Riunite USD 11,230,000 Cemex SAB de CV '144A' 7.25% SpA 5.75% 16/12/2024 53,028 – 15/1/2021 8,967,793 0.60 GBP 2,260,000 Enel SpA FRN 15/9/2076 2,926,916 0.20 8,967,793 0.60 EUR 596,517 F-E Gold Srl ABS 'A2' FRN 30/7/2025 586,956 0.04 Netherlands EUR 7,129,000 Gamenet SpA Reg 7.25% 1/8/2018 7,351,318 0.49 EUR 9,409,000 Achmea BV FRN 4/4/2043‡ 10,807,742 0.72 EUR 38,813,000 Italy Buoni Poliennali Del Tesoro EUR 15,900,000 IVG Finance BV 1.75% 29/3/2017 12,881,711 0.86 4.75% 1/5/2017 42,861,972 2.87 EUR 7,000,000 Jubilee CDO VIII BV ABS FRN EUR 38,565,000 Italy Buoni Poliennali Del Tesoro 15/1/2024 3,710,000 0.25 4.75% 1/6/2017 42,648,069 2.86 EUR 7,300,000 Netherlands Government Bond EUR 328,387 Leasimpresa Finance Srl ABS 'A' '144A' 4.00% 15/7/2016‡ 7,892,541 0.53 FRN 22/12/2025 325,576 0.02 EUR 7,800,000 North Westerly CLO IV 2013 BV ‡ EUR 9,275,000 Mediobanca SpA 2.25% 18/3/2019 9,462,587 0.63 'A1' FRN 15/1/2026 7,780,500 0.52 EUR 3,340,000 Telecom Italia SpA 4.50% EUR 18,754,000 North Westerly CLO IV 2013 BV ‘E’ 25/1/2021 3,539,181 0.24 FRN 15/1/2026 19,063,441 1.28 EUR 4,490,000 UniCredit SpA Reg 6.95% EUR 1,673,000 North Westerly CLO IV 2013 BV 31/10/2022 5,391,794 0.36 ‘Sub’ FRN 15/1/2026 1,539,160 0.10 EUR 15,220,000 UniCredit SpA Reg FRN GBP 1,440,000 Petrobras Global Finance BV 28/10/2025 16,937,349 1.13 5.375% 1/10/2029 1,634,352 0.11 EUR 8,100,000 Unione di Banche Italiane SCpA GBP 3,870,000 Petrobras Global Finance BV 2.875% 18/2/2019 8,494,227 0.57 6.625% 16/1/2034 4,809,505 0.32 195,103,870 13.06 USD 9,286,000 Petrobras Global Finance BV 7.25% 17/3/2044 7,546,836 0.50 Jersey EUR 11,800,000 Portugal Telecom International GBP 2,550,000 AA Bond Co Ltd 3.781% 31/7/2019 3,175,355 0.21 Finance BV 4.625% 8/5/2020 12,781,288 0.86 GBP 1,020,000 AA Bond Co Ltd 4.249% 31/7/2020 1,289,065 0.09 EUR 2,520,000 TMF Group Holding BV Reg GBP 5,350,000 AA Bond Co Ltd 6.269% 31/7/2025 7,626,510 0.51 9.875% 1/12/2019 2,791,215 0.19
‡ Securities pledged or given in guarantee, see Note 14, for further details.
84 BlackRock Strategic Funds (BSF) BlackRock European Credit Strategies Fund continued
Portfolio of Investments as at 31 May 2014 Transferable Securities and Money Market Instruments Admitted to an Transferable Securities and Money Market Instruments Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Official Stock Exchange Listing or Dealt in on Another Regulated Market
Market % of Market % of Value Net Value Net Holding Description EUR Assets Holding Description EUR Assets
Netherlands continued Spain continued EUR 2,200,000 Volkswagen International Finance EUR 7,700,000 CaixaBank SA 4.50% 22/11/2016 8,624,000 0.58 NV '144A' 5.50% 9/11/2015‡ 2,637,855 0.18 EUR 6,800,000 CaixaBank SA 3.125% 14/5/2018 7,252,846 0.49 EUR 53,800,000 Volkswagen International Finance EUR 800,000 Cedulas TDA 'A5' 4.25% 28/3/2027 836,600 0.06 NV Reg 5.50% 9/11/2015 64,367,934 4.31 EUR 8,500,000 Cedulas TDA 6 Fondo de Titulizacion 160,244,080 10.73 de Activos 3.875% 23/5/2025 8,725,037 0.58 EUR 400,000 Cedulas TDA 7 Fondo de Titulizacion Norway de Activos 3.50% 20/6/2017 422,910 0.03 USD 16,440,000 Norske Skogindustrier ASA '144A' EUR 8,100,000 Cedulas TDA Fondo de Titulizacion 7.125% 15/10/2033 6,879,920 0.46 de Activos 'A6' 4.25% 10/4/2031 8,228,183 0.55 EUR 10,000,000 Indra Sistemas SA 1.75% 6,879,920 0.46 17/10/2018 11,161,300 0.75 Portugal EUR 3,400,000 International Consolidated Airlines Group SA 1.75% 31/5/2018 4,503,181 0.30 EUR 4,300,000 Caixa Geral de Depositos SA EUR 21,200,000 Spain Government Bond 2.10% 5.625% 4/12/2015 4,550,884 0.30 30/4/2017 21,861,440 1.46 EUR 4,100,000 Caixa Geral de Depositos SA EUR 25,044,000 Spain Government Bond 5.50% 3.00% 15/1/2019 4,314,471 0.29 30/7/2017 28,458,123 1.90 EUR 6,000,000 Galp Energia SGPS SA 4.125% EUR 3,055,000 Spain Government Bond 5.50% 25/1/2019 6,375,360 0.43 30/4/2021 3,709,763 0.25 USD 26,950,000 Portugal Government International Bond Reg 3.50% 25/3/2015 20,199,874 1.35 265,815,404 17.79 EUR 18,021,916 TAGUS-Sociedade de Titularizacao de Creditos SA/Volta II Electricity Supranational Receivables 2.98% 16/2/2018 18,113,231 1.21 EUR 7,300,000 European Financial Stability Facility 0.50% 7/3/2016 7,343,070 0.49 53,553,820 3.58 EUR 7,300,000 European Union 2.50% 4/12/2015 7,558,603 0.51 Spain EUR 16,500,000 Acciona SA 3.00% 30/1/2019 18,706,875 1.25 14,901,673 1.00 CHF 7,300,000 Autonomous Community of Catalonia 2.125% 1/10/2014 5,989,153 0.40 Sweden EUR 4,750,000 Autonomous Community of SEK 106,000,000 SAS AB 7.50% 1/4/2015 11,981,834 0.80 Valencia Spain 4.00% SEK 25,000,000 SAS AB 3.625% 1/4/2019 2,324,488 0.16 2/11/2016 5,006,049 0.33 14,306,322 0.96 EUR 3,900,000 Ayt Cedulas Cajas Global 4.00% 21/3/2017 4,177,680 0.28 Switzerland EUR 2,200,000 Ayt Cedulas Cajas Global 4.25% EUR 3,885,000 Credit Suisse AG FRN 18/9/2025‡ 4,297,684 0.29 14/6/2018 2,398,000 0.16 USD 8,475,000 UBS AG 5.125% 15/5/2024 6,270,862 0.42 EUR 3,300,000 AyT Cedulas Cajas X Fondo de EUR 5,830,000 UBS AG FRN 12/2/2026‡ 6,182,744 0.41 Titulizacion 'X' 3.75% 16,751,290 1.12 30/6/2025 3,287,708 0.22 EUR 9,600,000 AyT Cedulas Cajas XXIII Fondo de United Kingdom Titulizacion de Activos 4.75% GBP 3,917,320 Annington Finance No 4 Plc 'B3' 15/6/2016 10,295,664 0.69 FRN 10/1/2023 4,789,452 0.32 USD 5,600,000 Banco Bilbao Vizcaya Argentaria GBP 4,654,135 Annington Finance No 5 Plc SA FRN (Perpetual) 4,573,985 0.31 (Pay-in-kind) 13.00% EUR 12,200,000 Banco Bilbao Vizcaya Argentaria 15/1/2023 7,468,064 0.50 SA Reg FRN (Perpetual) 12,775,108 0.85 USD 743,000 Barclays Bank Plc 7.625% EUR 3,700,000 Banco Mare Nostrum SA 3.125% 21/11/2022 (traded in 21/1/2019 3,907,311 0.26 United Kingdom) 627,678 0.04 EUR 11,300,000 Banco Popular Espanol SA 2.125% USD 1,302,000 Barclays Bank Plc 7.625% 8/10/2019 11,438,538 0.77 21/11/2022 (traded in EUR 12,500,000 Banco Popular Espanol SA FRN United Stated) 1,099,915 0.07 (Perpetual) 14,791,375 0.99 EUR 9,906,000 Barclays Plc FRN (Perpetual) 10,740,679 0.72 EUR 5,500,000 Banco Santander FRN (Perpetual) 5,615,335 0.38 GBP 9,200,000 Phosphorus Holdco Plc EUR 19,100,000 Bankia SA 3.50% 17/1/2019 19,989,296 1.34 (Pay-in-kind) 10.00% EUR 11,900,000 Bankia SA FRN 22/5/2024 11,812,773 0.79 1/4/2019 10,269,378 0.69 EUR 6,300,000 BBVA Subordinated Capital SAU GBP 1,730,000 Premier Foods Finance Plc Reg FRN 11/4/2024 6,433,245 0.43 6.50% 15/3/2021 2,195,809 0.15 EUR 8,900,000 BPE Financiaciones SA 2.875% USD 9,600,000 Royal Bank of Scotland Group 19/5/2016 9,123,879 0.61 Plc 6.00% 19/12/2023 7,566,167 0.51 EUR 11,500,000 BPE Financiaciones SA 2.50% USD 3,290,000 Royal Bank of Scotland Group 1/2/2017 11,710,047 0.78 Plc '144A' FRN (Perpetual) 2,777,591 0.19
‡ Securities pledged or given in guarantee, see Note 14, for further details.
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 85 BlackRock European Credit Strategies Fund continued
Portfolio of Investments as at 31 May 2014 Transferable Securities and Money Market Instruments Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Other Transferable Securities and Money Market Instruments
Market % of Market % of Value Net Value Net Holding Description EUR Assets Holding Description EUR Assets
United Kingdom continued BONDS GBP 1,840,000 Stonegate Pub Co Financing Plc Reg 5.75% 15/4/2019 2,290,366 0.15 Jersey GBP 8,700,000 Enterprise Funding Ltd 3.50% GBP 16,575,000 Unique Pub Finance Co Plc/The 10/9/2020 11,390,974 0.76 7.395% 28/3/2024 21,141,394 1.41 GBP 8,352,786 Unique Pub Finance Co Plc/The 11,390,974 0.76 5.659% 30/6/2027 10,437,912 0.70 GBP 3,409,920 Unique Pub Finance Co Plc/The Luxembourg 'A3' 6.542% 30/3/2021 4,436,357 0.30 EUR 13,600,000 Atalaya Luxco PIKco SCA 11.50% GBP 5,000,000 Voyage Care Bondco Plc 11.00% 31/12/2200 13,600,000 0.91 1/2/2019 6,757,839 0.45 13,600,000 0.91 92,598,601 6.20 United Kingdom United States GBP 63,350,000 Ludgate Funding Plc 1.00% EUR 2,523,000 Cemex Finance LLC 5.25% 1/1/2061 2,819,338 0.19 1/4/2021 2,642,641 0.18 2,819,338 0.19 GBP 9,270,000 Goldman Sachs Group Inc/The Total Bonds 27,810,312 1.86 4.25% 29/1/2026‡ 11,712,349 0.78 USD 25,495,000 Meccanica Holdings USA Inc Total Other Transferable Securities '144A' 6.25% 15/7/2019 20,543,112 1.38 and Money Market Instruments 27,810,312 1.86 USD 4,810,000 Meccanica Holdings USA Inc Securities portfolio at market value 1,571,715,369 105.21 '144A' 7.375% 15/7/2039 3,650,625 0.24 USD 15,695,000 Meccanica Holdings USA Inc Other Net Liabilities (77,827,119) (5.21) '144A' 6.25% 15/1/2040 10,874,893 0.73 Total Net Assets (EUR) 1,493,888,250 100.00 USD 11,600,000 Verizon Communications Inc 4.15% 15/3/2024 8,948,674 0.60 58,372,294 3.91 Total Bonds 1,345,814,580 90.09 Total Transferable Securities and Money Market Instruments Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market 1,450,124,101 97.07
Funds
Ireland 93,780,956 Institutional Cash Series Plc - Institutional Euro Assets Liquidity Fund 1 93,780,956 6.28 93,780,956 6.28 Total Funds 93,780,956 6.28
1 This fund is managed by BlackRock. ‡ Securities pledged or given in guarantee, see Note 14, for further details.
86 BlackRock Strategic Funds (BSF) BlackRock European Credit Strategies Fund continued
Open Exchange Traded Futures Contracts Open Forward Foreign Exchange Transactions as at 31 May 2014 as at 31 May 2014
Unrealised Unrealised Underlying appreciation/ appreciation/ Number of Contract/ Expiration exposure (depreciation) (depreciation) Contracts Description date EUR EUR Purchases Sales Value Date EUR (2,056) EURO STOXX Banks Index June 2014 15,707,840 (281,676) CHF 1,280,000 EUR 1,051,142 12/6/2014 (2,654) (42) FTSE MIB Index June 2014 4,547,550 (194,250) CHF 470,000 EUR 386,971 12/6/2014 (1,979) (1,211) German Euro BOBL June 2014 251,176,015 (1,611,695) CHF 1,610,000 EUR 1,318,988 12/6/2014 (186) (864) German Euro Bund June 2014 109,452,904 (3,252,155) CHF 80,000 EUR 65,569 12/6/2014 (39) (317) German Euro Schatz June 2014 31,808,731 (22,665) EUR 1,318,095 CHF 1,610,000 12/6/2014 (707) (683) UK Long Gilt Bond September 2014 102,172,580 (604,568) EUR 65,645 CHF 80,000 12/6/2014 115 (112) US Bond September 2014 11,753,887 (66,811) EUR 5,210,474 CHF 6,340,000 12/6/2014 17,180 (749) US Treasury 10 Year Note September 2014 65,630,858 (176,156) EUR 43,259,978 GBP 35,610,000 12/6/2014 (516,816) (23) US Treasury 5 Year Note September 2014 1,679,022 (792) EUR 1,410,976 GBP 1,155,000 12/6/2014 (8,912) (86) US Ultra Bond September 2014 7,893,331 (91,750) EUR 13,184,410 GBP 10,905,000 12/6/2014 (221,542) Total 601,822,718 (6,302,518) EUR 11,960,933 GBP 9,960,000 12/6/2014 (283,292) EUR 124,425,210 GBP 103,895,000 12/6/2014 (3,297,058) Note: The net unrealised depreciation of attributed to these transactions is included EUR 1,060,638 GBP 865,000 12/6/2014 (2,741) in the Statement of Net Assets (see Notes 2(d)). EUR 1,149,846 NOK 9,535,000 12/6/2014 (19,727) EUR 489,472 NOK 4,030,000 12/6/2014 (4,853) EUR 542,345 NOK 4,490,000 12/6/2014 (8,404) EUR 19,368 NOK 160,000 12/6/2014 (258) Purchased Put Options as at 31 May 2014 EUR 115,114 NOK 955,000 12/6/2014 (2,027) EUR 16,377,968 SEK 145,690,000 12/6/2014 345,343 Number of Unrealised EUR 1,990,168 SEK 17,910,000 12/6/2014 19,241 contracts Underlying appreciation/ Market EUR 278,331 SEK 2,520,000 12/6/2014 1,015 subject exposure (depreciation) Value EUR 4,854,970 USD 6,640,000 12/6/2014 (20,139) to Put Issuer EUR EUR EUR EUR 26,818,753 USD 37,295,000 12/6/2014 (563,354) 550 EURO STOXX 50 Index EUR 186,004,289 USD 258,215,000 12/6/2014 (3,577,983) Put Option EUR 4,738,418 USD 6,520,000 12/6/2014 (48,586) strike price EUR 3,150.00 EUR 14,683 USD 20,000 12/6/2014 (1) expiring on 20/6/2014 4,010,354 (186,450) 90,750 GBP 4,420,000 EUR 5,394,523 12/6/2014 39,159 1,100 EURO STOXX 50 Index GBP 3,460,000 EUR 4,248,182 12/6/2014 5,334 Put Option GBP 23,120,000 EUR 27,827,291 12/6/2014 595,047 strike price EUR 3,125.00 GBP 1,290,000 EUR 1,559,349 12/6/2014 26,500 expiring on 20/6/2014 6,219,575 (454,080) 144,100 GBP 6,090,000 EUR 7,522,772 12/6/2014 (36,092) GBP 17,780,000 EUR 21,644,234 12/6/2014 213,430 Total 10,229,929 (640,530) 234,850 NOK 3,830,000 EUR 463,049 12/6/2014 6,743 SEK 17,590,000 EUR 1,946,630 12/6/2014 (10,919) Note: Purchased Put Options are included in the Statement of Net Assets (see Note 2(d)). SEK 12,540,000 EUR 1,393,354 12/6/2014 (13,375) Where no counterparty is shown the Purchased Put Option is exchange traded. SEK 17,910,000 EUR 1,976,690 12/6/2014 (5,764) SEK 2,620,000 EUR 293,085 12/6/2014 (4,764) USD 29,650,000 EUR 21,578,985 12/6/2014 190,139 Sector Breakdown USD 13,090,000 EUR 9,519,203 12/6/2014 91,516 as at 31 May 2014 USD 7,310,000 EUR 5,260,867 12/6/2014 106,158 USD 12,510,000 EUR 9,170,761 12/6/2014 14,121 % of Net USD 20,000 EUR 14,647 12/6/2014 37 Assets* CHF 19,187,966 EUR 15,719,594 13/6/2014 (1,929) Financial 40.53 EUR 38,739 CHF 47,315 13/6/2014 (19) Consumer, Cyclical 13.09 EUR 138,585 GBP 113,290 13/6/2014 (686) Government 12.95 EUR 462,253 USD 628,677 13/6/2014 675 Communications 9.49 GBP 206,936,516 EUR 254,089,905 13/6/2014 304,108 Industrial 8.07 SEK 302,113,936 EUR 33,506,452 13/6/2014 (260,517) Asset Backed Securities 7.08 USD 225,315,330 EUR 163,913,446 13/6/2014 1,514,188 Funds 6.28 Net unrealised depreciation Basic Materials 2.43 (EUR underlying exposure – EUR 1,046,757,149) (5,425,274) Consumer, Non-cyclical 1.70 Energy 1.36 Note: The net unrealised depreciation attributed to these transactions is included Utilities 0.96 in the Statements of Net Assets (see note 2(d)). Technology 0.80 Bank of America N.A., Barclays Bank Plc, BNP Paribas S.A., Citibank N.A. London, Credit Suisse International, Deutsche Bank AG London, Goldman Sachs International, HSBC Mortgage Securities 0.47 Bank Plc, State Street Bank and Trust Company, State Street Bank London, UBS AG Diversified 0.00 London are the counterparties to these Open Forward Foreign Exchange Transactions. Other Net Liabilities (5.21) 100.00
* Based on the market value of the Portfolio of Investments except for Contract For Difference, which are based on the commitment (where applicable).
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 87 BlackRock European Credit Strategies Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
EUR 1,705,000 Credit Default Swaps (Bank of America Corp) USD 10,260,000 Credit Default Swaps (Barclays Bank) (Fund (Fund receives Fixed 5.000% and provides receives default protection on France default protection on Scandinavian Airlines Government Bond OAT 4.250% 25/4/2019 9.650% 15/6/2014) (20/6/2019) (3,405) and pays Fixed 0.250%) (20/6/2018) (121,668) EUR 2,815,000 Credit Default Swaps (Bank of America Corp) EUR 4,135,000 Credit Default Swaps (Barclays Bank) (Fund (Fund receives Fixed 5.000% and provides receives default protection on GKN Holdings default protection on Scandinavian Airlines Plc 6.750% 28/10/2019 and pays Fixed 9.650% 15/6/2014) (20/6/2019) (28,941) 1.000%) (20/6/2019) (7,291) EUR 1,755,000 Credit Default Swaps (Bank of America Corp) USD 16,890,000 Credit Default Swaps (Barclays Bank) (Fund receives Fixed 5.000% and provides (Fund receives default protection on Italy default protection on Scandinavian Airlines Government International Bond 6.875% 9.650% 15/6/2014) (20/6/2019) (14,371) 27/9/2023 and pays Fixed 1.000%) (20/3/2018) (823,120) EUR 3,720,000 Credit Default Swaps (Bank of America EUR 4,411,000 Credit Default Swaps (Barclays Bank) (Fund International Ltd) (Fund receives Fixed receives default protection on iTraxx Europe 5.000% and provides default protection on Crossover Series 21 Version 1 and pays Fixed CNH Industrial Finance Europe SA 6.250% 5.000%) (20/6/2019) (38,085) 9/3/2018) (20/3/2019) (915) EUR 1,490,000 Credit Default Swaps (Barclays Bank) (Fund EUR 1,310,000 Credit Default Swaps (Bank of America receives default protection on iTraxx Europe International Ltd) (Fund receives Fixed Senior Financials Series 19 Version 1 and pays 5.000% and provides default protection on Fixed 1.000%) (20/6/2018) (59,174) Scandinavian Airlines 9.650% 16/6/2014) EUR 4,290,000 Credit Default Swaps (Barclays Bank) (Fund (20/3/2018) 145,779 receives default protection on iTraxx Europe USD 2,100,000 Credit Default Swaps (Bank of America Securities Senior Financials Series 19 Version 1 and pays LLC) (Fund receives default protection on Fixed 1.000%) (20/6/2018) (163,728) Ireland Government Bond 4.500% 18/4/2020 EUR 10,660,000 Credit Default Swaps (Barclays Bank) (Fund and pays Fixed 1.000%) (20/3/2018) (91,137) receives default protection on iTraxx Europe USD 9,286,000 Credit Default Swaps (Bank of America) (Fund Senior Financials Series 20 Version 1 and pays receives default protection on Brazilian Fixed 1.000%) (20/12/2018) (117,985) Government International Bond 12.250% EUR 800,000 Credit Default Swaps (Barclays Bank) (Fund 6/3/2030 and pays Fixed 1.000%) (20/6/2019) (139,441) receives default protection on Marks & EUR 6,805,000 Credit Default Swaps (Bank of America) (Fund Spencer Plc 6.125% 2/12/2019 and pays Fixed receives default protection on GDF Suez 1.000%) (20/3/2019) (8,472) 5.125% 19/2/2018 and pays Fixed 1.000%) EUR 3,100,000 Credit Default Swaps (Barclays Bank) (Fund (20/6/2019) (6,309) receives default protection on Norske EUR 3,445,000 Credit Default Swaps (Bank of America) (Fund Skogindustrier ASA 7.000% 26/6/2017 receives default protection on GKN Holdings and pays Fixed 5.000%) (20/9/2017) (88,088) Plc 6.750% 28/10/2019 and pays Fixed EUR 5,091,500 Credit Default Swaps (Barclays Bank) (Fund 1.000%) (20/6/2019) (4,389) receives default protection on Peugeot SA EUR 3,510,000 Credit Default Swaps (Bank of America) (Fund 8.375% 15/7/2014 and pays Fixed 5.000%) receives default protection on Portugal (20/9/2018) (686,945) Telecom International Finance BV 4.375% EUR 460,000 Credit Default Swaps (Barclays Bank) (Fund 24/3/2017 and pays Fixed 5.000%) (20/6/2018) (397,469) receives default protection on Peugeot SA EUR 11,130,000 Credit Default Swaps (Bank of America) (Fund 8.375% 15/7/2014 and pays Fixed 5.000%) receives default protection on Stora Enso OYJ (20/3/2018) (92,226) and pays Fixed 5.000%) (20/9/2018) (761,496) USD 4,200,000 Credit Default Swaps (Barclays Bank) (Fund EUR 7,395,210 Credit Default Swaps (Bank of America) (Fund receives default protection on Portugal receives Fixed 5.000% and provides default Obrigacoes do Tesouro OT 5.450% 23/9/2013 protection on Virgin Media Finance Plc 5.125% and pays Fixed 1.000%) (20/12/2017) (481,650) 15/2/2022) (20/9/2018) 452,774 USD 2,400,000 Credit Default Swaps (Barclays Bank) (Fund EUR 8,070,000 Credit Default Swaps (Barclays Bank) (Fund receives default protection on Portugal receives default protection on AXA SA 4.500% Obrigacoes do Tesouro OT 5.450% 23/9/2013 23/1/2015 and pays Fixed 1.000%) (20/6/2018) (314,473) and pays Fixed 1.000%) (20/12/2015) (179,674) EUR 350,000 Credit Default Swaps (Barclays Bank) (Fund USD 5,000,000 Credit Default Swaps (Barclays Bank) (Fund receives default protection on Dixons Retail receives default protection on Portugal Plc 8.750% 3/8/2015 and pays Fixed 5.000%) Obrigacoes do Tesouro OT 5.450% 23/9/2013 (20/12/2016) (2,024) and pays Fixed 1.000%) (20/6/2017) (1,306,549) EUR 150,000 Credit Default Swaps (Barclays Bank) (Fund EUR 5,150,000 Credit Default Swaps (Barclays Bank) (Fund receives default protection on Dixons Retail receives default protection on Stena AB Plc 8.750% 3/8/2015 and pays Fixed 5.000%) 6.125% 1/2/2017 and pays Fixed 5.000%) (20/12/2017) (6,155) (20/12/2017) (604,096) EUR 3,330,000 Credit Default Swaps (Barclays Bank) (Fund EUR 3,670,000 Credit Default Swaps (Barclays Bank) (Fund receives default protection on Finmeccanica receives default protection on Stora Enso OYJ Finance SA/Old 5.750% 12/12/2018 and pays 5.125% 23/6/2014 and pays Fixed 5.000%) Fixed 5.000%) (20/12/2018) (161,862) (20/9/2018) (257,658) EUR 2,600,000 Credit Default Swaps (Barclays Bank) (Fund EUR 3,697,604 Credit Default Swaps (Barclays Bank) (Fund receives default protection on Finmeccanica receives default protection on Unitymedia Finance SA/Old 5.750% 12/12/2018 and pays KabelBW GmbH 9.625% 1/12/2019 and pays Fixed 5.000%) (20/6/2018) (215,336) Fixed 5.000%) (20/9/2018) (172,677)
88 BlackRock Strategic Funds (BSF) BlackRock European Credit Strategies Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
USD 6,270,000 Credit Default Swaps (Barclays Bank) (Fund EUR 3,450,000 Credit Default Swaps (BNP Paribas) (Fund receives Fixed 0.250% and provides default receives default protection on Banco Espirito protection on France Government Bond OAT Santo SA 0.454% 19/1/2015 and pays Fixed 4.250% 25/4/2019) (20/6/2023) 167,025 5.000%) (20/6/2018) (324,021) EUR 8,070,000 Credit Default Swaps (Barclays Bank) (Fund EUR 1,020,000 Credit Default Swaps (BNP Paribas) (Fund receives Fixed 1.000% and provides default receives default protection on Caja de Ahorros protection on Aviva Plc 9.500% 20/6/2016) y Pensiones de Barcelona 3.940% 28/2/2019 (20/6/2018) 294,689 and pays Fixed 3.000%) (20/6/2017) (65,209) EUR 12,620,000 Credit Default Swaps (Barclays Bank) (Fund EUR 1,350,000 Credit Default Swaps (BNP Paribas) (Fund receives Fixed 1.000% and provides default receives default protection on Caja de Ahorros protection on Italy Government International y Pensiones de Barcelona 3.940% 28/2/2019 Bond 6.875% 27/9/2023) (20/3/2018) 686,383 and pays Fixed 3.000%) (20/6/2017) (83,233) USD 200,000 Credit Default Swaps (Barclays Bank) (Fund EUR 5,770,000 Credit Default Swaps (BNP Paribas) (Fund receives Fixed 1.000% and provides default receives default protection on GKN Holdings protection on Italy Government International Plc 6.750% 28/10/2019 and pays Fixed Bond 6.875% 27/9/2023) (20/3/2018) 12,673 1.000%) (20/6/2019) (10,174) EUR 5,010,000 Credit Default Swaps (Barclays Bank) (Fund EUR 2,495,000 Credit Default Swaps (BNP Paribas) (Fund receives Fixed 1.000% and provides default receives default protection on Iberdrola protection on Ladbrokes Group Finance Plc Finanzas SAU 3.500% 22/6/2015 and pays 7.625% 5/3/2017) (20/3/2019) 68,194 Fixed 1.000%) (20/6/2019) (18,515) EUR 3,910,000 Credit Default Swaps (Barclays Bank) (Fund EUR 8,240,000 Credit Default Swaps (BNP Paribas) (Fund receives Fixed 1.000% and provides default receives default protection on Lafarge SA protection on Ladbrokes Group Finance Plc 6.625% 29/11/2018 and pays Fixed 1.000%) 7.625% 5/3/2017) (20/3/2019) 57,785 (20/12/2018) (457,304) EUR 820,000 Credit Default Swaps (Barclays Bank) (Fund EUR 3,774,000 Credit Default Swaps (BNP Paribas) (Fund receives Fixed 1.000% and provides default receives default protection on Marks & protection on ThyssenKrupp AG 4.375% Spencer Plc 6.125% 2/12/2019 and pays 18/3/2015) (20/3/2018) 50,340 Fixed 1.000%) (20/12/2018) (72,214) EUR 784,000 Credit Default Swaps (Barclays Bank) (Fund EUR 3,100,000 Credit Default Swaps (BNP Paribas) (Fund receives Fixed 5.000% and provides default receives default protection on Norske protection on Astaldi SpA 7.125% 1/12/2020) Skogindustrier ASA 7.000% 26/6/2017 (20/6/2019) 23,413 and pays Fixed 5.000%) (20/9/2017) (41,588) EUR 8,530,000 Credit Default Swaps (Barclays Bank) (Fund EUR 5,091,500 Credit Default Swaps (BNP Paribas) (Fund receives Fixed 5.000% and provides default receives default protection on Peugeot SA protection on iTraxx Europe Sub Financials 8.375% 15/7/2014 and pays Fixed 5.000%) Series 20 Version 1) (20/12/2018) 74,473 (20/9/2017) (1,073,746) EUR 1,350,000 Credit Default Swaps (Barclays Bank) (Fund EUR 5,185,000 Credit Default Swaps (BNP Paribas) (Fund receives Fixed 5.000% and provides default receives default protection on St-Gobain protection on Portugal Telecom International Nederland BV and pays Fixed 1.000%) Finance BV 4.375% 24/3/2017) (20/9/2017) 264,754 (20/9/2018) (219,342) EUR 1,430,000 Credit Default Swaps (Barclays Bank) (Fund EUR 1,430,000 Credit Default Swaps (BNP Paribas) (Fund receives Fixed 5.000% and provides default receives default protection on Stena AB protection on Scandinavian Airlines 9.650% 6.125% 1/2/2017 and pays Fixed 5.000%) 16/6/2014) (20/12/2017) 242,378 (20/3/2018) (75,167) EUR 5,150,000 Credit Default Swaps (Barclays Bank) (Fund EUR 3,697,605 Credit Default Swaps (BNP Paribas) (Fund receives Fixed 5.000% and provides default receives default protection on Unitymedia protection on Sunrise Communications KabelBW GmbH 9.625% 1/12/2019 and pays Holdings SA 8.500% 31/12/2018) (20/12/2017) 445,471 Fixed 5.000%) (20/9/2018) (190,941) EUR 515,000 Credit Default Swaps (Barclays Bank) (Fund EUR 3,650,000 Credit Default Swaps (BNP Paribas) (Fund receives Fixed 5.000% and provides default receives Fixed 1.000% and provides default protection on TUI AG 2.750% 24/3/2016) protection on Aviva Plc 9.500% 20/6/2016) (20/6/2019) 5,199 (20/6/2018) 222,502 EUR 2,040,000 Credit Default Swaps (Barclays Bank) (Fund EUR 2,490,000 Credit Default Swaps (BNP Paribas) (Fund receives Fixed 5.000% and provides default receives Fixed 1.000% and provides default protection on UPC Holding BV 8.000% protection on E.ON International Finance BV 1/11/2016) (20/6/2017) 199,520 6.375% 29/5/2017) (20/6/2019) 21,478 EUR 3,650,000 Credit Default Swaps (BNP Paribas) (Fund EUR 1,256,667 Credit Default Swaps (BNP Paribas) (Fund receives default protection on AXA SA receives Fixed 1.000% and provides default 6.000% 18/6/2013 and pays Fixed 1.000%) protection on Glencore Finance Europe SA (20/6/2018) (227,978) 6.500% 27/2/2019) (20/6/2021) 46,050 EUR 2,150,000 Credit Default Swaps (BNP Paribas) (Fund EUR 1,500,000 Credit Default Swaps (BNP Paribas) (Fund receives default protection on Banca Monte receives Fixed 3.000% and provides default dei Paschi di Siena SpA 5.600% 9/9/2020 protection on Banca Monte dei Paschi di Siena and pays Fixed 5.000%) (20/6/2016) (488,771) SpA 5.600% (9/9/2020)) (20/9/2016) 227,986 EUR 3,250,000 Credit Default Swaps (BNP Paribas) (Fund EUR 3,730,000 Credit Default Swaps (BNP Paribas) (Fund receives default protection on Banco receives Fixed 5.000% and provides default Comercial Portugues SA FRN 17/6/2013 protection on CIR-Compagnie Industriali and pays Fixed 5.000%) (20/3/2016) (1,119,781) Riunite SpA 5.750% 16/12/2024) (20/3/2019) 88,200
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 89 BlackRock European Credit Strategies Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
EUR 3,697,605 Credit Default Swaps (BNP Paribas) (Fund EUR 24,300,000 Credit Default Swaps (Citibank) (Fund receives receives Fixed 5.000% and provides default default protection on iTraxx Europe Senior protection on Virgin Media Finance Plc 5.125% Financials Series 20 Version 1 and pays Fixed 15/2/2022) (20/9/2018) 238,321 1.000%) (20/12/2018) (222,218) EUR 1,500,000 Credit Default Swaps (Citibank) (Fund receives EUR 15,400,000 Credit Default Swaps (Citibank) (Fund receives default protection on Banca Monte dei Paschi default protection on iTraxx Europe Series 9 di Siena SpA 4.500% (24/9/2015) and pays Version 1 and pays Fixed 5.000%) Fixed 5.000%) (20/9/2016) (165,409) (20/6/2018) (2,922,344) USD 8,360,000 Credit Default Swaps (Citibank) (Fund receives EUR 900,000 Credit Default Swaps (Citibank) (Fund receives default protection on Brazilian Government default protection on iTraxx Europe Series 9 International Bond 12.250% 6/3/2030 and Version 1 and pays Fixed 5.000%) pays Fixed 1.000%) (20/6/2019) (170,855) (20/6/2018) (195,536) EUR 3,700,000 Credit Default Swaps (Citibank) (Fund receives EUR 8,560,000 Credit Default Swaps (Citibank) (Fund receives default protection on British Airways Plc default protection on Markit iTraxx Europe 8.750% 23/8/2016 and pays Fixed 5.000%) Crossover Series 21 Version 1 and pays Fixed (20/12/2018) (235,235) 5.000%) (20/6/2019) (84,513) EUR 2,750,000 Credit Default Swaps (Citibank) (Fund receives EUR 1,390,000 Credit Default Swaps (Citibank) (Fund receives default protection on Dixons Retail PLC default protection on Markit iTraxx Europe 8.750% (3/8/2015) and pays Fixed 5.000%) Crossover Series 21 Version 1 and pays Fixed (20/9/2016) (800,826) 5.000%) (20/6/2019) (11,117) EUR 3,330,000 Credit Default Swaps (Citibank) (Fund receives EUR 1,310,000 Credit Default Swaps (Citibank) (Fund receives default protection on Dixons Retail Plc default protection on Markit iTraxx Europe 8.750% 3/8/2015 and pays Fixed 5.000%) Crossover Series 21 Version 1 and pays Fixed (20/6/2017) (791,634) 5.000%) (20/6/2019) (10,476) USD 11,090,000 Credit Default Swaps (Citibank) (Fund receives EUR 15,561,562 Credit Default Swaps (Citibank) (Fund receives default protection on France Government default protection on Markit iTraxx Europe Bond OAT 4.250% 25/4/2019 and pays Fixed Crossover Series 21 Version 1 and pays Fixed 0.250%) (20/6/2018) (152,159) 5.000%) (20/6/2019) 15,372 EUR 3,895,000 Credit Default Swaps (Citibank) (Fund receives EUR 1,875,000 Credit Default Swaps (Citibank) (Fund receives default protection on GDF Suez 5.125% default protection on Norske Skogindustrier 19/2/2018 and pays Fixed 1.000%) ASA 7.000% 26/6/2017 and pays Fixed (20/6/2019) (11,501) 5.000%) (20/9/2017) (2,264) EUR 5,350,000 Credit Default Swaps (Citibank) (Fund receives EUR 2,000,000 Credit Default Swaps (Citibank) (Fund receives default protection on GKN Holdings Plc default protection on Norske Skogindustrier 6.750% 28/10/2019 and pays Fixed 1.000%) ASA 7.000% 26/6/2017 and pays Fixed (20/6/2019) (6,753) 5.000%) (20/9/2017) (151,831) USD 5,380,000 Credit Default Swaps (Citibank) (Fund receives EUR 1,950,000 Credit Default Swaps (Citibank) (Fund receives default protection on Ireland Government default protection on Peugeot SA 8.375% Bond 4.500% 18/4/2020 and pays Fixed 15/7/2014 and pays Fixed 5.000%) 1.000%) (20/6/2018) (259,892) (20/6/2018) (378,323) USD 3,500,000 Credit Default Swaps (Citibank) (Fund receives USD 1,350,000 Credit Default Swaps (Citibank) (Fund receives default protection on Ireland Government default protection on Portugal Obrigacoes Bond 5.400% 13/3/2025 and pays Fixed do Tesouro OT 4.950% 25/10/2023 and 1.000%) (20/3/2017) (558,760) pays Fixed 1.000%) (20/6/2015) (24,772) EUR 25,920,000 Credit Default Swaps (Citibank) (Fund receives USD 580,000 Credit Default Swaps (Citibank) (Fund receives default protection on iTraxx Europe Crossover default protection on Portugal Obrigacoes do Series 20 Version 1 and pays Fixed 5.000%) Tesouro OT 5.450% 23/9/2013 and pays Fixed (20/12/2018) (36,618) 1.000%) (20/3/2018) (46,726) EUR 9,801,640 Credit Default Swaps (Citibank) (Fund receives USD 2,250,000 Credit Default Swaps (Citibank) (Fund receives default protection on iTraxx Europe Crossover default protection on Portugal Obrigacoes Series 21 Version 1 and pays Fixed 5.000%) do Tesouro OT 5.450% 23/9/2013 and pays (20/6/2019) 9,682 Fixed 1.000%) (20/9/2017) (466,978) EUR 6,320,000 Credit Default Swaps (Citibank) (Fund receives USD 6,500,000 Credit Default Swaps (Citibank) (Fund receives default protection on iTraxx Europe Crossover default protection on Portugal Obrigacoes Series 21 Version 1 and pays Fixed 5.000%) do Tesouro OT 5.450% 23/9/2013 and pays (20/6/2019) 6,243 Fixed 1.000%) (20/6/2017) (1,673,888) EUR 13,430,000 Credit Default Swaps (Citibank) (Fund receives EUR 3,625,000 Credit Default Swaps (Citibank) (Fund receives default protection on iTraxx Europe Crossover default protection on Scandinavian Airlines Series 21 Version 1 and pays Fixed 5.000%) 9.650% 16/6/2014 and pays Fixed 5.000%) (20/6/2019) 13,267 (20/6/2018) (265,022) EUR 5,155,000 Credit Default Swaps (Citibank) (Fund receives EUR 4,140,000 Credit Default Swaps (Citibank) (Fund receives default protection on iTraxx Europe Senior default protection on Societe Air France SA Financials Series 20 Version 1 and pays Fixed 2.750% 1/4/2020 and pays Fixed 5.000%) 1.000%) (20/12/2018) (128,356) (20/9/2018) (681,050) EUR 22,870,000 Credit Default Swaps (Citibank) (Fund receives USD 6,760,000 Credit Default Swaps (Citibank) (Fund receives default protection on iTraxx Europe Senior Fixed 0.250% and provides default protection Financials Series 20 Version 1 and pays Fixed on France Government Bond OAT 4.250% 1.000%) (20/12/2018) (255,118) 25/4/2019) (20/6/2023) 202,605
90 BlackRock Strategic Funds (BSF) BlackRock European Credit Strategies Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
EUR 2,513,333 Credit Default Swaps (Citibank) (Fund receives EUR 3,905,000 Credit Default Swaps (Citibank) (Fund receives Fixed 1.000% and provides default protection Fixed 5.000% and provides default protection on Glencore Finance Europe SA 6.500% on Rexel SA 5.125% 15/6/2020) (20/6/2019) 32,881 27/2/2019) (20/6/2021) 99,060 EUR 3,905,000 Credit Default Swaps (Citibank) (Fund receives EUR 13,500,000 Credit Default Swaps (Citibank) (Fund receives Fixed 5.000% and provides default protection Fixed 5.000% and provides default protection on Rexel SA 5.125% 15/6/2020) (20/6/2019) 44,771 on Ardagh Packaging Finance Plc 9.250% EUR 1,260,000 Credit Default Swaps (Citibank) (Fund receives 15/10/2020) (20/12/2018) 1,072,891 Fixed 5.000% and provides default protection EUR 4,500,000 Credit Default Swaps (Citibank) (Fund receives on Rexel SA 5.125% 15/6/2020) (20/6/2019) 16,099 Fixed 5.000% and provides default protection EUR 2,322,000 Credit Default Swaps (Citibank) (Fund receives on Ardagh Packaging Finance Plc 9.250% Fixed 5.000% and provides default protection 15/10/2020) (20/12/2018) 352,123 on Rexel SA 7.000% 17/12/2018) (20/6/2019) 38,272 EUR 3,750,000 Credit Default Swaps (Citibank) (Fund receives EUR 2,322,000 Credit Default Swaps (Citibank) (Fund receives Fixed 5.000% and provides default protection Fixed 5.000% and provides default protection on CNH Industrial Finance Europe SA 6.250% on Rexel SA 7.000% 17/12/2018) (20/6/2019) 27,048 9/3/2018) (20/12/2018) 5,381 EUR 780,000 Credit Default Swaps (Citibank) (Fund receives EUR 7,490,000 Credit Default Swaps (Citibank) (Fund receives Fixed 5.000% and provides default protection Fixed 5.000% and provides default protection on Rexel SA 7.000% 17/12/2018) (20/6/2019) 5,181 on CNH Industrial Finance Europe SA 6.250% EUR 1,940,000 Credit Default Swaps (Citibank) (Fund receives 9/3/2018) (20/3/2019) (18,033) Fixed 5.000% and provides default protection EUR 3,780,000 Credit Default Swaps (Citibank) (Fund receives on Rexel SA 7.000% 17/12/2018) (20/6/2019) 10,198 Fixed 5.000% and provides default protection EUR 3,200,000 Credit Default Swaps (Citibank) (Fund receives on Grohe Holding GmbH 8.750% 15/12/2017) Fixed 5.000% and provides default protection (20/12/2018) 92,778 on Scandinavian Airlines 9.650% 16/6/2014) EUR 1,285,000 Credit Default Swaps (Citibank) (Fund receives (20/12/2017) 582,384 Fixed 5.000% and provides default protection EUR 1,500,000 Credit Default Swaps (Citibank) (Fund receives on Hochtief AG 3.875% 20/3/2020) (20/6/2019) 35,189 Fixed 5.000% and provides default protection EUR 4,380,000 Credit Default Swaps (Citibank) (Fund receives on Scandinavian Airlines 9.650% 16/6/2014) Fixed 5.000% and provides default protection (20/12/2017) 246,742 on Hochtief AG 3.875% 20/3/2020) (20/6/2019) 118,518 EUR 670,000 Credit Default Swaps (Citibank) (Fund receives EUR 12,190,000 Credit Default Swaps (Citibank) (Fund receives Fixed 5.000% and provides default protection Fixed 5.000% and provides default protection on Scandinavian Airlines 9.650% 16/6/2014) on iTraxx Europe Sub Financials Series 20 (20/12/2017) 113,561 Version 1) (20/12/2018) 125,157 EUR 1,370,000 Credit Default Swaps (Citibank) (Fund receives EUR 19,440,000 Credit Default Swaps (Citibank) (Fund receives Fixed 5.000% and provides default protection Fixed 5.000% and provides default protection on Techem GmbH 6.125% 1/10/2019) on iTraxx Europe Sub Financials Series 20 (20/6/2018) 99,770 Version 1) (20/12/2018) 168,757 EUR 1,230,000 Credit Default Swaps (Citibank) (Fund receives EUR 3,330,000 Credit Default Swaps (Citibank) (Fund receives Fixed 5.000% and provides default protection Fixed 5.000% and provides default protection on Techem GmbH 6.125% 1/10/2019) on Kabel BW Musketeer GmbH 9.500% (20/6/2018) 90,849 15/3/2021) (20/6/2017) 470,883 EUR 1,270,000 Credit Default Swaps (Citibank) (Fund receives EUR 3,330,000 Credit Default Swaps (Citibank) (Fund receives Fixed 5.000% and provides default protection Fixed 5.000% and provides default protection on TUI AG 2.750% 24/3/2016) (20/6/2019) 11,240 on Kabel BW Musketeer GmbH 9.500% EUR 4,000,000 Credit Default Swaps (Citibank) (Fund receives 15/3/2021) (20/6/2017) 337,684 Fixed 5.000% and provides default protection EUR 1,330,000 Credit Default Swaps (Citibank) (Fund receives on TUI AG 2.750% 24/3/2016) (20/6/2019) 23,117 Fixed 5.000% and provides default protection EUR 3,697,604 Credit Default Swaps (Citibank) (Fund receives on Kabel BW Musketeer GmbH 9.500% Fixed 5.000% and provides default protection 15/3/2021) (20/6/2017) 131,545 on Virgin Media Finance Plc 5.125% EUR 3,825,000 Credit Default Swaps (Citibank) (Fund receives 15/2/2022) (20/9/2018) 210,460 Fixed 5.000% and provides default protection EUR 4,010,000 Credit Default Swaps (Citibank) (Fund receives on Melia Hotels International SA 5.000% Fixed 5.000% and provides default protection 18/12/2014) (20/3/2019) 185,642 on Vougeot Bidco Plc 7.875% 15/7/2020) EUR 2,295,000 Credit Default Swaps (Citibank) (Fund receives (20/6/2019) 23,826 Fixed 5.000% and provides default protection EUR 18,413,000 Credit Default Swaps (Citigroup Global Markets) on Melia Hotels International SA 5.000% (Fund receives default protection on iTraxx 18/12/2014) (20/3/2019) 104,339 Europe Crossover Series 20 Version 1 EUR 3,340,300 Credit Default Swaps (Citibank) (Fund receives and pays Fixed 5.000%) (20/12/2018) (161,996) Fixed 5.000% and provides default protection EUR 50,900,000 Credit Default Swaps (Citigroup Global Markets) on Melia Hotels International SA 5.000% (Fund receives default protection on iTraxx 18/12/2014) (20/3/2019) 147,939 Europe Crossover Series 21 Version 1 EUR 1,600,000 Credit Default Swaps (Citibank) (Fund receives and pays Fixed 5.000%) (20/6/2019) (1,061,462) Fixed 5.000% and provides default protection on Norske Skogindustrier ASA 7.000% 26/6/2017) (20/3/2015) 260,739
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 91 BlackRock European Credit Strategies Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
EUR 26,290,000 Credit Default Swaps (Citigroup Global Markets) EUR 650,000 Credit Default Swaps (Credit Suisse) (Fund (Fund receives default protection on iTraxx receives default protection on Dixons Retail Europe Crossover Series 21 Version 1 Plc 8.750% 3/8/2015 and pays Fixed 5.000%) and pays Fixed 5.000%) (20/6/2019) (544,366) (20/12/2016) (191,824) EUR 14,490,000 Credit Default Swaps (Citigroup Global Markets) EUR 2,125,000 Credit Default Swaps (Credit Suisse) (Fund (Fund receives default protection on iTraxx receives default protection on Finmeccanica Europe Crossover Series 21 Version 1 and pays Finance SA/Old 5.750% 12/12/2018 and pays Fixed 5.000%) (20/6/2019) (179,715) Fixed 5.000%) (20/6/2018) (159,659) EUR 3,920,000 Credit Default Swaps (Citigroup Global Markets) EUR 1,230,000 Credit Default Swaps (Credit Suisse) (Fund (Fund receives default protection on iTraxx receives default protection on Finmeccanica Europe Crossover Series 21 Version 1 and pays Finance SA/Old 5.750% 12/12/2018 and pays Fixed 5.000%) (20/6/2019) (29,863) Fixed 5.000%) (20/6/2018) (93,761) EUR 3,920,000 Credit Default Swaps (Citigroup Global Markets) EUR 2,490,000 Credit Default Swaps (Credit Suisse) (Fund (Fund receives default protection on iTraxx receives default protection on Iberdrola Europe Crossover Series 21 Version 1 and pays Finanzas SAU 3.500% 22/6/2015 and pays Fixed 5.000%) (20/6/2019) (28,888) Fixed 1.000%) (20/6/2019) (17,222) EUR 1,925,000 Credit Default Swaps (Citigroup Global Markets) EUR 3,600,000 Credit Default Swaps (Credit Suisse) (Fund (Fund receives default protection on iTraxx receives default protection on Marks & Europe Crossover Series 21 Version 1 and pays Spencer Plc 5.625% 24/3/2014 and pays Fixed 5.000%) (20/6/2019) (9,874) Fixed 1.000%) (20/3/2018) (150,802) EUR 4,000,000 Credit Default Swaps (Citigroup Global Markets) EUR 5,925,000 Credit Default Swaps (Credit Suisse) (Fund (Fund receives default protection on iTraxx receives default protection on St-Gobain Europe Crossover Series 21 Version 1 and pays Nederland BV 5.000% 25/4/2014 and pays Fixed 5.000%) (20/6/2019) (9,262) Fixed 1.000%) (20/9/2018) (236,960) EUR 68,930,000 Credit Default Swaps (Citigroup Global Markets) EUR 1,100,000 Credit Default Swaps (Credit Suisse) (Fund (Fund receives default protection on iTraxx receives default protection on Stena AB Europe Crossover Series 21 Version 1 and pays 6.125% 1/2/2017 and pays Fixed 5.000%) Fixed 5.000%) (20/6/2019) (286,496) (20/12/2017) (92,004) EUR 24,860,000 Credit Default Swaps (Citigroup Global Markets) EUR 3,697,605 Credit Default Swaps (Credit Suisse) (Fund (Fund receives default protection on iTraxx receives default protection on Unitymedia Europe Crossover Series 21 Version 1 and pays KabelBW GmbH 9.625% 1/12/2019 and pays Fixed 5.000%) (20/6/2019) (183,238) Fixed 5.000%) (20/9/2018) (185,396) EUR 1,290,000 Credit Default Swaps (Citigroup Global Markets) EUR 7,680,000 Credit Default Swaps (Credit Suisse) (Fund (Fund receives default protection on iTraxx receives Fixed 1.000% and provides default Europe Crossover Series 21 Version 1 and pays protection on ArcelorMittal 6.125% 1/6/2018) Fixed 5.000%) (20/6/2019) (10,715) (20/3/2021) 11,658 EUR 515,000 Credit Default Swaps (Citigroup Global Markets) EUR 3,940,000 Credit Default Swaps (Credit Suisse) (Fund (Fund receives default protection on iTraxx receives Fixed 1.000% and provides default Europe Crossover Series 21 Version 1 and pays protection on Aviva Plc 9.500% 20/6/2016) Fixed 5.000%) (20/6/2019) (3,768) (20/6/2018) 239,273 EUR 775,000 Credit Default Swaps (Citigroup Global Markets) EUR 5,946,774 Credit Default Swaps (Credit Suisse) (Fund (Fund receives default protection on iTraxx receives Fixed 1.000% and provides default Europe Crossover Series 21 Version 1 and pays protection on Ladbrokes Group Finance Plc Fixed 5.000%) (20/6/2019) (5,542) 7.625% 5/3/2017) (20/3/2019) 71,236 EUR 4,520,000 Credit Default Swaps (Citigroup Global Markets) EUR 3,964,515 Credit Default Swaps (Credit Suisse) (Fund (Fund receives default protection on iTraxx receives Fixed 1.000% and provides default Europe Crossover Series 21 Version 1 and pays protection on Ladbrokes Group Finance Plc Fixed 5.000%) (20/6/2019) (43,069) 7.625% 5/3/2017) (20/3/2019) 51,394 EUR 6,250,000 Credit Default Swaps (Citigroup Global Markets) EUR 2,490,000 Credit Default Swaps (Credit Suisse) (Fund (Fund receives default protection on Markit receives Fixed 1.000% and provides default iTraxx Europe Crossover Series 21 Version 1 protection on RWE AG 5.750% 14/2/2033) and pays Fixed 5.000%) (20/6/2019) (121,693) (20/6/2019) 18,378 EUR 4,380,000 Credit Default Swaps (Citigroup Global Markets) EUR 3,300,000 Credit Default Swaps (Credit Suisse) (Fund (Fund receives default protection on Markit receives Fixed 1.000% and provides default iTraxx Europe Crossover Series 21 Version 1 protection on ThyssenKrupp AG 4.375% and pays Fixed 5.000%) (20/6/2019) (41,735) 18/3/2015) (20/3/2018) 169,544 EUR 51,680,000 Credit Default Swaps (Citigroup Global Markets) EUR 3,600,000 Credit Default Swaps (Credit Suisse) (Fund (Fund receives Fixed 1.000% and provides receives Fixed 1.000% and provides default default protection on iTraxx Europe Series 21 protection on ThyssenKrupp AG 4.375% Version 1) (20/6/2019) 299,685 18/3/2015) (20/3/2018) 171,967 EUR 3,940,000 Credit Default Swaps (Credit Suisse) (Fund EUR 3,400,000 Credit Default Swaps (Credit Suisse) (Fund receives default protection on AXA SA 6.000% receives Fixed 1.000% and provides default 18/6/2013 and pays Fixed 1.000%) protection on ThyssenKrupp AG 4.375% (20/6/2018) (249,713) 18/3/2015) (20/12/2017) 244,244 EUR 2,000,000 Credit Default Swaps (Credit Suisse) (Fund EUR 2,500,000 Credit Default Swaps (Credit Suisse) (Fund receives default protection on Dixons Retail receives Fixed 3.000% and provides default PLC 8.750% (3/8/2015) and pays Fixed protection on Banca Monte dei Paschi di Siena 5.000%) (20/12/2016) (520,228) SpA 5.600% (9/9/2020)) (20/6/2016) 137,536
92 BlackRock Strategic Funds (BSF) BlackRock European Credit Strategies Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
EUR 10,610,000 Credit Default Swaps (Credit Suisse) (Fund USD 35,730,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection on Ardagh Packaging Finance Plc protection on Markit CDX Series 21 Version 1) 9.250% 15/10/2020) (20/12/2018) 512,399 (20/12/2018) 144,043 EUR 1,176,000 Credit Default Swaps (Credit Suisse) (Fund EUR 4,171,220 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection on Astaldi SpA 7.125% 1/12/2020) protection on Melia Hotels International SA (20/6/2019) 45,187 5.000% 18/12/2014) (20/3/2019) 147,216 EUR 780,000 Credit Default Swaps (Credit Suisse) (Fund EUR 7,780,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection on Astaldi SpA 7.125% 1/12/2020) protection on Metsa Board OYJ 4.000% (20/6/2019) 11,332 13/3/2019) (20/3/2019) 144,082 EUR 1,925,000 Credit Default Swaps (Credit Suisse) (Fund EUR 7,790,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection on Astaldi SpA 7.125% 1/12/2020) protection on Metsa Board OYJ 4.000% (20/6/2019) 11,800 13/3/2019) (20/3/2019) 182,805 EUR 100,000 Credit Default Swaps (Credit Suisse) (Fund EUR 3,600,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection on CIR-Compagnie Industriali protection on Norske Skogindustrier ASA Riunite SpA 5.750% 16/12/2024) (20/3/2019) 2,395 7.000% 26/6/2017) (20/3/2015) 420,343 EUR 1,490,000 Credit Default Swaps (Credit Suisse) (Fund EUR 3,015,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection on CIR-Compagnie Industriali protection on Norske Skogindustrier ASA Riunite SpA 5.750% 16/12/2024) (20/3/2019) 52,745 7.000% 26/6/2017) (20/12/2018) 19,063 EUR 3,920,000 Credit Default Swaps (Credit Suisse) (Fund EUR 6,545,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection on CIR-Compagnie Industriali protection on Norske Skogindustrier ASA Riunite SpA 5.750% 16/12/2024) (20/6/2019) 48,800 7.000% 26/6/2017) (20/3/2015) 968,739 EUR 3,920,000 Credit Default Swaps (Credit Suisse) (Fund EUR 3,905,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection on CIR-Compagnie Industriali protection on Rexel SA 5.125% 15/6/2020) Riunite SpA 5.750% 16/12/2024) (20/6/2019) 29,218 (20/6/2019) 56,554 EUR 1,570,000 Credit Default Swaps (Credit Suisse) (Fund EUR 2,340,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection on CIR-Compagnie Industriali protection on Rexel SA 7.000% 17/12/2018) Riunite SpA 5.750% 16/12/2024) (20/6/2019) 13,368 (20/6/2019) 13,159 EUR 2,370,000 Credit Default Swaps (Credit Suisse) (Fund EUR 1,390,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection on CIR-Compagnie Industriali protection on Scandinavian Airlines 9.650% Riunite SpA 5.750% 16/12/2024) (20/6/2019) 21,396 16/6/2014) (20/12/2017) 235,598 EUR 5,215,000 Credit Default Swaps (Credit Suisse) (Fund EUR 710,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection on CIR-Compagnie Industriali protection on Sunrise Communications Riunite SpA 5.750% 16/12/2024) (20/12/2018) 482,306 Holdings SA 8.500% 31/12/2018) (20/12/2017) 43,994 EUR 3,740,000 Credit Default Swaps (Credit Suisse) (Fund EUR 2,450,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection on CNH Industrial Finance Europe protection on Techem GmbH 6.125% SA 6.250% 9/3/2018) (20/3/2019) (18,502) 1/10/2019) (20/9/2018) 61,574 EUR 7,500,000 Credit Default Swaps (Credit Suisse) (Fund EUR 822,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection on Grohe Holding GmbH 8.750% protection on Techem GmbH 6.125% 15/12/2017) (20/12/2018) 181,231 1/10/2019) (20/9/2018) 18,407 EUR 8,560,000 Credit Default Swaps (Credit Suisse) (Fund EUR 818,267 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection on Hochtief AG 3.875% 20/3/2020) protection on Techem GmbH 6.125% (20/6/2019) 197,295 1/10/2019) (20/12/2018) 21,188 EUR 1,310,000 Credit Default Swaps (Credit Suisse) (Fund EUR 3,500,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection on Hochtief AG 3.875% 20/3/2020) protection on Techem GmbH 6.125% (20/6/2019) 27,659 1/10/2019) (20/6/2018) 88,935 EUR 1,390,000 Credit Default Swaps (Credit Suisse) (Fund EUR 5,630,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection on Hochtief AG 3.875% 20/3/2020) protection on Techem GmbH 6.125% (20/6/2019) 30,749 1/10/2019) (20/6/2018) 193,385 EUR 2,530,000 Credit Default Swaps (Credit Suisse) (Fund EUR 1,260,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection on INEOS Group Holdings SA protection on TUI AG 2.750% 24/3/2016) 7.875% 15/2/2016) (20/12/2018) 35,690 (20/6/2019) 10,831
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 93 BlackRock European Credit Strategies Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
EUR 1,260,000 Credit Default Swaps (Credit Suisse) (Fund EUR 4,700,000 Credit Default Swaps (Deutsche Bank) (Fund receives Fixed 5.000% and provides default receives default protection on iTraxx Europe protection on TUI AG 2.750% 24/3/2016) Crossover Series 21 Version 1 and pays Fixed (20/6/2019) 10,831 5.000%) (20/6/2019) (39,130) EUR 1,270,000 Credit Default Swaps (Credit Suisse) (Fund EUR 17,630,000 Credit Default Swaps (Deutsche Bank) (Fund receives Fixed 5.000% and provides default receives default protection on iTraxx Europe protection on TUI AG 2.750% 24/3/2016) Crossover Series 21 Version 1 and pays Fixed (20/6/2019) 6,621 5.000%) (20/6/2019) (146,778) EUR 1,290,000 Credit Default Swaps (Credit Suisse) (Fund EUR 1,490,000 Credit Default Swaps (Deutsche Bank) (Fund receives Fixed 5.000% and provides default receives default protection on iTraxx Europe protection on TUI AG 2.750% 24/3/2016) Senior Financials Series 19 Version 1 and pays (20/6/2019) 11,697 Fixed 1.000%) (20/6/2018) (58,515) EUR 400,000 Credit Default Swaps (Credit Suisse) (Fund USD 3,250,000 Credit Default Swaps (Deutsche Bank) (Fund receives Fixed 5.000% and provides default receives default protection on Portugal protection on Unitymedia KabelBW GmbH Obrigacoes do Tesouro OT 5.450% 23/9/2013 9.625% 1/12/2019) (20/12/2017) 15,947 and pays Fixed 1.000%) (20/12/2015) (243,308) EUR 3,920,000 Credit Default Swaps (Credit Suisse) (Fund EUR 3,697,605 Credit Default Swaps (Deutsche Bank) (Fund receives Fixed 5.000% and provides default receives default protection on Unitymedia protection on Vougeot Bidco Plc 7.875% KabelBW GmbH 9.625% 1/12/2019 and pays 15/7/2020) (20/6/2019) 23,728 Fixed 5.000%) (20/9/2018) (183,716) EUR 3,920,000 Credit Default Swaps (Credit Suisse) (Fund EUR 769,710 Credit Default Swaps (Deutsche Bank) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection on Vougeot Bidco Plc 7.875% protection on Astaldi SpA 7.125% 1/12/2020) 15/7/2020) (20/6/2019) 23,728 (20/6/2019) 9,469 EUR 79,400,000 Credit Default Swaps (Deutsche Asset EUR 340,000 Credit Default Swaps (Deutsche Bank) (Fund Management Life) (Fund receives default receives Fixed 5.000% and provides default protection on iTraxx Europe Senior Financials protection on Portugal Telecom International Series 19 Version 1 and pays Fixed 1.000%) Finance BV 4.375% 24/3/2017) (20/9/2017) 65,829 (20/6/2018) (2,632,818) EUR 1,940,000 Credit Default Swaps (Deutsche Bank) (Fund EUR 9,030,000 Credit Default Swaps (Deutsche Asset receives Fixed 5.000% and provides default Management Life) (Fund receives default protection on Rexel SA 5.125% 15/6/2020) protection on Next Plc 5.375% 26/10/2021 (20/6/2019) 6,376 and pays Fixed 1.000%) (20/12/2018) (125,694) EUR 3,470,000 Credit Default Swaps (Deutsche Bank) (Fund EUR 3,500,000 Credit Default Swaps (Deutsche Asset receives Fixed 5.000% and provides default Management Life) (Fund receives default protection on Techem GmbH 6.125% protection on Stena AB 6.125% 1/2/2017 1/10/2019) (20/6/2018) 237,552 and pays Fixed 5.000%) (20/12/2017) (415,242) EUR 3,730,000 Credit Default Swaps (Goldman Sachs) (Fund EUR 56,700,000 Credit Default Swaps (Deutsche Asset receives default protection on Finmeccanica Management Life) (Fund receives Fixed Finance SA/Old 5.750% 12/12/2018 and pays 5.000% and provides default protection Fixed 5.000%) (20/12/2018) (215,890) on iTraxx Europe Sub Financials Series 19 EUR 4,930,000 Credit Default Swaps (Goldman Sachs) (Fund Version 1) (20/6/2018) 1,909,121 receives default protection on Marks & EUR 6,100,000 Credit Default Swaps (Deutsche Asset Spencer Plc 6.125% 2/12/2019 and pays Management Life) (Fund receives Fixed Fixed 1.000%) (20/12/2018) (34,818) 5.000% and provides default protection EUR 1,725,000 Credit Default Swaps (Goldman Sachs) (Fund on iTraxx Europe Sub Financials Series 20 receives Fixed 1.000% and provides default Version 1) (20/12/2018) 57,945 protection on ThyssenKrupp AG 4.375% EUR 1,750,000 Credit Default Swaps (Deutsche Bank) (Fund 18/3/2015) (20/12/2017) 127,029 receives default protection on Banca Monte EUR 1,190,290 Credit Default Swaps (Goldman Sachs) (Fund dei Paschi di Siena SpA 5.600% (9/9/2020) receives Fixed 5.000% and provides default and pays Fixed 5.000%) (20/12/2016) (426,068) protection on Astaldi SpA 7.125% 1/12/2020) EUR 3,900,000 Credit Default Swaps (Deutsche Bank) (Fund (20/6/2019) 17,293 receives default protection on GDF Suez 5.125% EUR 4,750,000 Credit Default Swaps (Goldman Sachs) (Fund 19/2/2018 and pays Fixed 1.000%) (20/6/2019) (3,616) receives Fixed 5.000% and provides default USD 2,550,000 Credit Default Swaps (Deutsche Bank) (Fund protection on CIR-Compagnie Industriali receives default protection on Ireland Riunite SpA 5.750% 16/12/2024) (20/6/2019) 83,875 Government Bond 4.500% 18/4/2020 EUR 3,730,000 Credit Default Swaps (Goldman Sachs) (Fund and pays Fixed 1.000%) (20/3/2018) (110,666) receives Fixed 5.000% and provides default USD 3,000,000 Credit Default Swaps (Deutsche Bank) (Fund protection on CIR-Compagnie Industriali receives default protection on Ireland Riunite SpA 5.750% 16/12/2024) (20/3/2019) 122,616 Government Bond 4.500% 18/4/2020 EUR 2,420,000 Credit Default Swaps (Goldman Sachs) (Fund and pays Fixed 1.000%) (20/9/2016) (569,912) receives Fixed 5.000% and provides default EUR 9,371,000 Credit Default Swaps (Deutsche Bank) (Fund protection on Melia Hotels International SA receives default protection on iTraxx Europe 5.000% 18/12/2014) (20/3/2019) 87,672 Crossover Series 21 Version 1 and pays Fixed 5.000%) (20/6/2019) (198,662)
94 BlackRock Strategic Funds (BSF) BlackRock European Credit Strategies Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
EUR 2,383,983 Credit Default Swaps (Goldman Sachs) (Fund EUR 3,440,000 Credit Default Swaps (JP Morgan) (Fund receives receives Fixed 5.000% and provides default default protection on Banco Espirito Santo SA protection on Rexel SA 7.000% 17/12/2018) 0.454% 19/1/2015 and pays Fixed 5.000%) (20/6/2019) 27,770 (20/6/2018) (327,556) EUR 4,918,324 Credit Default Swaps (Goldman Sachs) (Fund EUR 3,740,000 Credit Default Swaps (JP Morgan) (Fund receives receives Fixed 5.000% and provides default default protection on Enel SpA 5.250% protection on Scandinavian Airlines 9.650% 20/6/2017 and pays Fixed 1.000%) 15/6/2014) (20/6/2019) 266 (20/6/2019) (9,233) EUR 1,800,000 Credit Default Swaps (Goldman Sachs) (Fund USD 11,100,000 Credit Default Swaps (JP Morgan) (Fund receives receives Fixed 5.000% and provides default default protection on France Government protection on Scandinavian Airlines 9.650% Bond OAT 4.250% 25/4/2019 and pays Fixed 15/6/2014) (20/6/2019) (11,022) 0.250%) (20/6/2018) (109,468) EUR 3,500,000 Credit Default Swaps (Goldman Sachs) (Fund EUR 3,740,000 Credit Default Swaps (JP Morgan) (Fund receives receives Fixed 5.000% and provides default default protection on Gas Natural Capital protection on Unitymedia KabelBW GmbH Markets SA 4.500% 27/1/2020 and pays Fixed 9.625% 1/12/2019) (20/12/2017) 279,876 1.000%) (20/6/2019) (25,260) EUR 4,109,000 Credit Default Swaps (Goldman Sachs) (Fund USD 6,570,000 Credit Default Swaps (JP Morgan) (Fund receives receives Fixed 5.000% and provides default default protection on Ireland Government Bond protection on Vougeot Bidco Plc 7.875% 4.500% 18/4/2020 and pays Fixed 1.000%) 15/7/2020) (20/6/2019) 35,778 (20/3/2018) (261,248) EUR 2,220,000 Credit Default Swaps (JP Morgan Chase Bank EUR 2,785,000 Credit Default Swaps (JP Morgan) (Fund receives (Depository Cle) (Fund receives default default protection on Marks & Spencer Plc protection on British Airways Plc and pays 5.625% 24/3/2014 and pays Fixed 1.000%) Fixed 5.000%) (20/12/2018) (147,368) (20/12/2017) (150,127) EUR 3,400,000 Credit Default Swaps (JP Morgan Chase Bank USD 800,000 Credit Default Swaps (JP Morgan) (Fund receives (Depository Cle) (Fund receives default default protection on Portugal Obrigacoes do protection on Caja de Ahorros y Pensiones de Tesouro OT 4.950% 25/10/2023 and pays Fixed Barcelona 3.940% 28/2/2019 and pays Fixed 1.000%) (20/6/2015) (12,180) 3.000%) (20/12/2015) (136,220) USD 4,050,000 Credit Default Swaps (JP Morgan) (Fund receives EUR 15,250,000 Credit Default Swaps (JP Morgan Chase Bank default protection on Portugal Obrigacoes do (Depository Cle) (Fund receives default Tesouro OT 5.450% 23/9/2013 and pays Fixed protection on Finmeccanica Finance SA/Old 1.000%) (20/6/2015) (101,199) 5.750% 12/12/2018 and pays Fixed 5.000%) USD 4,100,000 Credit Default Swaps (JP Morgan) (Fund receives (20/3/2016) 79,751 default protection on Portugal Obrigacoes do EUR 2,420,000 Credit Default Swaps (JP Morgan Chase Bank Tesouro OT 5.450% 23/9/2013 and pays Fixed (Depository Cle) (Fund receives default 1.000%) (20/12/2017) (651,341) protection on Finmeccanica Finance SA/Old EUR 3,175,000 Credit Default Swaps (JP Morgan) (Fund receives 5.750% 12/12/2018 and pays Fixed 5.000%) default protection on Unitymedia KabelBW (20/12/2017) (189,160) GmbH 9.625% 1/12/2019 and pays Fixed EUR 3,200,000 Credit Default Swaps (JP Morgan Chase Bank 5.000%) (20/12/2016) (539,844) (Depository Cle) (Fund receives default USD 6,770,000 Credit Default Swaps (JP Morgan) (Fund receives protection on Finmeccanica Finance SA/Old Fixed 0.250% and provides default protection 5.750% 12/12/2018 and pays Fixed 5.000%) on France Government Bond OAT 4.250% (20/12/2017) (235,773) 25/4/2019) (20/6/2023) 168,943 EUR 2,785,000 Credit Default Swaps (JP Morgan Chase Bank EUR 3,740,000 Credit Default Swaps (JP Morgan) (Fund receives (Depository Cle) (Fund receives default Fixed 1.000% and provides default protection protection on Marks & Spencer Plc 5.625% on E.ON International Finance BV 6.375% 24/3/2014 and pays Fixed 1.000%) 29/5/2017) (20/6/2019) 30,352 (20/12/2017) (123,825) EUR 29,603,333 Credit Default Swaps (JP Morgan) (Fund receives EUR 1,705,000 Credit Default Swaps (JP Morgan Chase Fixed 1.000% and provides default protection Bank (Depository Cle) (Fund receives Fixed on iTraxx Europe Senior Financials Series 20 1.000% and provides default protection on Version 1) (20/12/2018) 533,464 ThyssenKrupp AG 4.375% 18/3/2015) EUR 3,740,000 Credit Default Swaps (JP Morgan) (Fund receives (20/12/2017) 125,556 Fixed 1.000% and provides default protection EUR 12,980,000 Credit Default Swaps (JP Morgan Chase on RWE AG 5.750% 14/2/2033) (20/6/2019) 27,621 Bank (Depository Cle) (Fund receives Fixed EUR 2,000,000 Credit Default Swaps (JP Morgan) (Fund receives 5.000% and provides default protection Fixed 3.000% and provides default protection on Finmeccanica Finance SA/Old 5.750% on Banca Monte dei Paschi di Sien FRN 12/12/2018) (20/3/2018) 808,979 30/6/2015) (20/9/2016) 190,077 EUR 3,250,000 Credit Default Swaps (JP Morgan Chase Bank EUR 3,175,000 Credit Default Swaps (JP Morgan) (Fund receives (Depository Cle) (Fund receives Fixed 5.000% Fixed 5.000% and provides default protection and provides default protection on Portugal on Kabel BW Musketeer GmbH 9.500% Telecom International Finance BV 4.375% (15/3/2021)) (20/12/2016) 768,210 24/3/2017) (20/12/2017) 337,740 EUR 3,400,000 Credit Default Swaps (JP Morgan) (Fund receives USD 20,750,000 Credit Default Swaps (JP Morgan Securities Inc) Fixed 5.000% and provides default protection (Fund receives default protection on Portugal on Portugal Telecom International Finance BV Obrigacoes do Tesouro OT 5.450% 23/9/2013 4.375% 24/3/2017) (20/12/2017) 591,328 and pays Fixed 1.000%) (20/6/2015) (1,348,918)
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 95 BlackRock European Credit Strategies Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
EUR 1,875,000 Credit Default Swaps (JP Morgan) (Fund receives EUR 2,063,004 Total Return Swap (Bank of America) (Fund Fixed 5.000% and provides default protection receives 3 Month LIBOR and pays Telecom on Scandinavian Airlines 9.650% 15/6/2014) Italia SpA) (22/4/2015) (55,288) (20/6/2019) (11,481) EUR 955,742 Total Return Swap (Bank of America) (Fund EUR 1,945,000 Credit Default Swaps (JP Morgan) (Fund receives receives 3 Month LIBOR and pays Telecom Fixed 5.000% and provides default protection Italia SpA) (30/4/2015) 3,058 on Scandinavian Airlines 9.650% 15/6/2014) EUR 471,290 Total Return Swap (Bank of America) (Fund (20/6/2019) (11,910) receives 3 Month LIBOR and pays UniCredit EUR 1,260,000 Credit Default Swaps (JP Morgan) (Fund receives SpA) (21/1/2015) (222,355) Fixed 5.000% and provides default protection EUR 46,230 Total Return Swap (Bank of America) (Fund on TUI AG 2.750% 24/3/2016) (20/6/2019) 6,457 receives 3 Month LIBOR and pays Volkswagen EUR 775,000 Credit Default Swaps (JP Morgan) (Fund receives AG) (22/5/2015) (184,920) Fixed 5.000% and provides default protection EUR 7,369 Total Return Swap (Barclays Bank) (Fund receives on TUI AG 2.750% 24/3/2016) (20/6/2019) 5,911 3 Month EURIBOR and pays Fonciere EUR 900,000 Credit Default Swaps (Morgan Stanley) (Fund Des Regions) (14/11/2014) (67,751) receives default protection on Dixons Retail EUR 3,382 Total Return Swap (Barclays Bank) (Fund receives Plc 8.750% 3/8/2015 and pays Fixed 5.000%) 3 Month EURIBOR and pays Fonciere (20/12/2016) (247,602) Des Regions) (13/11/2014) (32,520) EUR 3,175,000 Credit Default Swaps (Morgan Stanley) (Fund EUR 359 Total Return Swap (Barclays Bank) (Fund receives receives default protection on Kabel BW 3 Month LIBOR and pays Fonciere Des Regions) Musketeer GmbH 9.500% 15/3/2021 and (11/2/2015) (3,615) pays Fixed 5.000%) (20/12/2016) (371,334) GBP 323,913 Total Return Swap (BNP Paribas) (Fund receives EUR 3,175,000 Credit Default Swaps (Morgan Stanley) (Fund 3 Month LIBOR and pays Balfour Beatty Plc) receives Fixed 5.000% and provides default (14/11/2014) 140,730 protection on Unitymedia KabelBW GmbH GBP 406,105 Total Return Swap (BNP Paribas) (Fund receives 9.625% 1/12/2019) (20/12/2016) 353,313 3 Month LIBOR and pays Balfour Beatty Plc) EUR 1,500,000 Credit Default Swaps (UBS) (Fund receives Fixed (13/11/2014) 157,545 5.000% and provides default protection on GBP 128,207 Total Return Swap (BNP Paribas) (Fund receives Scandinavian Airlines 9.650% 16/6/2014) 3 Month LIBOR and pays Balfour Beatty Plc) (20/9/2017) 409,289 (17/11/2014) 52,657 GBP 22,464,000 Interest Rate Swap (Barclays Bank) (Fund EUR 1,398 Total Return Swap (BNP Paribas) (Fund receives receives Floating GBP 6 Month LIBOR and 3 Month LIBOR and pays Fonciere Des Regions) pays Fixed 2.823%) (7/4/2024) (446,421) (15/4/2015) (4,126) GBP 139,320,000 Interest Rate Swap (JP Morgan) (Fund receives EUR 1,612 Total Return Swap (BNP Paribas) (Fund receives Floating GBP 6 Month LIBOR and pays Fixed 3 Month LIBOR and pays Fonciere Des Regions) 2.775%) (5/3/2024) (2,200,646) (29/4/2015) (351) EUR 457,571 Total Return Swap (Bank of America GBP 549,561 Total Return Swap (BNP Paribas) (Fund receives International Ltd) (Fund receives 3 Month LIBOR and pays International 3 Month LIBOR and pays Banco Consolidated Airlines Group SA) (15/4/2015) (116,884) Santander SA) (9/4/2015) (152,646) EUR 893,015 Total Return Swap (BNP Paribas) (Fund receives EUR 955,742 Total Return Swap (Bank of America 3 Month LIBOR and pays Telecom Italia SpA) International Ltd) (Fund receives (20/1/2015) (46,222) 3 Month LIBOR and pays Telecom EUR 1,245,214 Total Return Swap (BNP Paribas) (Fund receives Italia SpA) (10/4/2015) (30,393) 3 Month LIBOR and pays Telecom Italia SpA) EUR 46,230 Total Return Swap (Bank of America (30/3/2015) (53,046) International Ltd) (Fund receives EUR 933,340 Total Return Swap (BNP Paribas) (Fund receives 3 Month LIBOR and pays Volkswagen AG) 3 Month LIBOR and pays Telecom Italia SpA) (22/5/2015) (219,592) (7/4/2015) (15,736) USD 120,800 Total Return Swap (Bank of America) EUR 311,874 Total Return Swap (BNP Paribas) (Fund receives (Fund receives 3 Month LIBOR and pays 3 Month LIBOR and pays Telecom Italia SpA) ArcelorMittal) (23/1/2015) 166,737 (7/4/2015) (8,315) USD 120,800 Total Return Swap (Bank of America) EUR 12,502 Total Return Swap (BNP Paribas) (Fund receives (Fund receives 3 Month LIBOR and pays 3 Month LIBOR and pays Volkswagen AG) ArcelorMittal) (23/1/2015) 138,356 (30/1/2015) (71,886) GBP 54,780 Total Return Swap (Bank of America) (Fund EUR 10,394 Total Return Swap (BNP Paribas) (Fund receives receives 3 Month LIBOR and pays Balfour 3 Month LIBOR and pays Volkswagen AG) Beatty Plc) (6/1/2015) 39,817 (30/1/2015) (36,899) GBP 62,257 Total Return Swap (Bank of America) (Fund EUR 20,780 Total Return Swap (BNP Paribas) (Fund receives receives 3 Month LIBOR and pays Balfour 3 Month LIBOR and pays Volkswagen AG) Beatty Plc) (16/4/2015) 43,244 (2/2/2015) (105,978) EUR 609 Total Return Swap (Bank of America) (Fund EUR 371,979 Total Return Swap (Citibank) (Fund receives receives 3 Month LIBOR and pays Fonciere 3 Month EURIBOR and pays Indra Sistemas Des Regions) (20/2/2015) (4,724) SA) (9/10/2014) (845,099) EUR 265,683 Total Return Swap (Bank of America) (Fund EUR 325,394 Total Return Swap (Citibank) (Fund receives receives 3 Month LIBOR and pays Telecom 3 Month EURIBOR and pays Repsol SA) Italia SpA) (22/4/2015) (7,120) (12/11/2014) (810,231)
96 BlackRock Strategic Funds (BSF) BlackRock European Credit Strategies Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
EUR 11,157,124 Total Return Swap (Citibank) (Fund receives EUR 4,380,000 Total Return Swap (Credit Suisse) (Fund receives 3 Month LIB0R and pays Telecom 1 Month LIBOR and pays HSH Nordbank Italia SpA) (22/5/2015) (890,338) AG/Luxembourg 7.408% (Flat Trading) USD 163,080 Total Return Swap (Citibank) (Fund receives (Perpetual)) (31/3/2015) (429,678) 3 Month LIBOR and pays ArcelorMittal) EUR 854,000 Total Return Swap (Credit Suisse) (Fund receives (10/2/2015) 152,657 1 Month LIBOR and pays Italy Buoni Poliennali EUR 2,415,492 Total Return Swap (Citibank) (Fund receives Del Tesoro 3.750% 1/8/2021) (29/8/2014) (81,962) 3 Month LIBOR and pays on Telecom EUR 700,000 Total Return Swap (Credit Suisse) (Fund receives Italia SpA) (7/5/2015) 56,764 1 Month LIBOR and pays Manutencoop Facility EUR 2,399,352 Total Return Swap (Citibank) (Fund receives 8.500% 1/8/2020) (30/9/2014) (75,314) 3 Month LIBOR and pays Telecom Italia SpA) EUR 700,000 Total Return Swap (Credit Suisse) (Fund receives (4/5/2015) 56,385 1 Month LIBOR and pays Manutencoop Facility EUR 5,513,895 Total Return Swap (Citibank) (Fund receives 8.500% 1/8/2020) (30/9/2014) (75,314) 3 Month LIBOR and pays Telecom Italia SpA) EUR 700,000 Total Return Swap (Credit Suisse) (Fund receives (9/1/2015) (559,660) 1 Month LIBOR and pays Manutencoop Facility EUR 45,269 Total Return Swap (Citigroup Global Markets) 8.500% 1/8/2020) (30/9/2014) (71,814) (Fund receives 1 Month LIBOR and pays EUR 1,400,000 Total Return Swap (Credit Suisse) (Fund receives Acciona SA) (16/1/2015) (526,202) 1 Month LIBOR and pays Manutencoop Facility EUR 98,731 Total Return Swap (Citigroup Global Markets) 8.500% 1/8/2020) (30/9/2014) (136,629) (Fund receives 1 Month LIBOR and pays USD 3,800,000 Total Return Swap (Credit Suisse) (Fund receives Acciona SA) (19/1/2015) (1,128,485) 1 Month LIBOR and pays Norddeutsche USD 163,080 Total Return Swap (Citigroup Global Markets) Landesbank Girozentrale 6.250% 10/4/2024) (Fund receives 3 Month LIBOR and pays (31/3/2015) (32,938) ArcelorMittal) (10/2/2015) 171,814 EUR 7,020,000 Total Return Swap (Credit Suisse) (Fund receives USD 163,080 Total Return Swap (Citigroup Global Markets) 1 Month LIBOR and pays Peugeot SA 7.375% (Fund receives 3 Month LIBOR and pays 6/3/2018) (29/5/2019) (806,867) ArcelorMittal) (10/2/2015) 133,500 EUR 6,950,000 Total Return Swap (Credit Suisse) (Fund receives EUR 1,081,292 Total Return Swap (Citigroup Global Markets) 1 Month LIBOR and pays Portugal Obrigacoes (Fund receives 3 Month LIBOR and pays do Tesouro OT 4.350% 16/10/2017) Banco de Sabadell SA) (26/1/2015) (311,304) (30/4/2015) (620,224) NOK 334,400 Total Return Swap (Citigroup Global Markets) GBP 1,100,000 Total Return Swap (Credit Suisse) (Fund receives (Fund receives 3 Month LIBOR and pays 1 Month LIBOR and pays Priory Group No 3 Plc Golden Ocean Group Ltd) (4/2/2015) 78,021 8.875% 15/2/2019) (31/10/2014) (62,297) NOK 334,400 Total Return Swap (Citigroup Global Markets) EUR 37,020,000 Total Return Swap (Credit Suisse) (Fund receives (Fund receives 3 Month LIBOR and pays 1 Month LIBOR and pays Spain Government Golden Ocean Group Ltd) (4/2/2015) 119,389 Bond 4.100% 30/7/2018) (31/10/2014) (2,188,531) EUR 8,794 Total Return Swap (Citigroup Global Markets) EUR 4,770,000 Total Return Swap (Credit Suisse) (Fund receives (Fund receives 3 Month LIBOR and pays 1 Month LIBOR and pays Spain Government Repsol SA) (19/1/2015) (173,594) Bond 4.100% 30/7/2018) (29/8/2014) (498,549) EUR 2,737,500 Total Return Swap (Citigroup Global Markets) USD 3,750,000 Total Return Swap (Credit Suisse) (Fund receives (Fund receives 3 Month LIBOR and pays 1 Month LIBOR and pays UniCredit SpA Telecom Italia SpA) (14/1/2015) (301,125) 8.000% (Perpetual)) (31/3/2015) (28,871) EUR 1,368,750 Total Return Swap (Citigroup Global Markets) EUR 6,720,000 Total Return Swap (Credit Suisse) (Fund receives (Fund receives 3 Month LIBOR and pays 1 Month LIBOT and pays Spain Government Telecom Italia SpA) (14/1/2015) (150,562) Bond 4.100% 30/7/2018) (30/4/2015) (689,997) NOK 1,083,916 Total Return Swap (Citigroup Global Markets) EUR 2,618 Total Return Swap (Credit Suisse) (Fund receives (Fund receives 3 Month NIBOR and pays 3 Month LIBOR and pays Acciona SA) Golden Ocean Group Ltd) (17/4/2015) (99,749) (14/2/2015) (19,666) EUR 9,715 Total Return Swap (Citigroup Global Markets) EUR 14,037 Total Return Swap (Deutsche Bank) (Fund (Fund receives Fixed 0.000% and pays receives 3 Month EURIBOR and pays Indra Banco de Sabadell SA) (26/1/2015) (13,776) Sistemas SA) (22/10/2014) (14,806) EUR 3,970,000 Total Return Swap (Credit Suisse) (Fund receives EUR 45,017,862 Total Return Swap (Deutsche Bank) (Fund 1 Month LIBOR and pays Barclays Bank Plc receives Arianna SPV Srl and pays 3 Month 4.875% (Perpetual)) (15/5/2015) (26,104) LIBOR) (20/7/2014) 733,791 EUR 300,000 Total Return Swap (Credit Suisse) (Fund receives EUR 33,250,000 Total Return Swap (Deutsche Bank) (Fund 1 Month LIBOR and pays Barclays Bank Plc receives St Pauls CLO 1.849% 25/4/2028 4.875% (Perpetual)) (16/5/2015) (1,558) and pays 3 Month LIBOR) (27/6/2014) 109,326 EUR 2,300,000 Total Return Swap (Credit Suisse) (Fund receives EUR 7,902,047 Total Return Swap (JP Morgan) (Fund receives 1 Month LIBOR and pays Barclays Bank Plc 3 Month EURIBOR and pays Telecom Italia 4.875% (Perpetual)) (16/5/2015) (11,941) SpA) (8/11/2014) (1,892,540) GBP 2,150,000 Total Return Swap (Credit Suisse) (Fund receives EUR 2,618 Total Return Swap (JP Morgan) (Fund receives 1 Month LIBOR and pays Equiniti Newco 2 Plc 3 Month LIBOR and pays Acciona SA) 7.125% 15/12/2018) (30/9/2014) (82,214) (6/2/2015) (31,285) EUR 4,350,000 Total Return Swap (Credit Suisse) (Fund receives EUR 3,665 Total Return Swap (JP Morgan) (Fund receives 1 Month LIBOR and pays HSH Nordbank 3 Month LIBOR and pays Acciona SA) AG/Luxembourg 7.408% (Flat Trading) (6/2/2015) (26,328) (Perpetual)) (31/3/2015) (411,510)
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 97 BlackRock European Credit Strategies Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
EUR 4,713 Total Return Swap (JP Morgan) (Fund receives USD 3,800,000 Total Return Swap (JP Morgan) (Fund receives 3 Month LIBOR and pays Acciona SA) Fixed 0.040% and pays Norddeutsche (6/2/2015) (27,370) Landesbank Girozentrale 6.250% 10/4/2024) EUR 4,189 Total Return Swap (JP Morgan) (Fund receives (11/5/2015) (38,401) 3 Month LIBOR and pays Acciona SA) EUR 13,290,000 Total Return Swap (JP Morgan) (Fund receives (6/2/2015) (16,861) Fixed 0.050% and pays Italy Buoni Poliennali EUR 2,880 Total Return Swap (JP Morgan) (Fund receives Del Tesoro 3.500% 1/12/2018) (15/5/2015) 34,198 3 Month LIBOR and pays Acciona SA) EUR 6,426,000 Total Return Swap (JP Morgan) (Fund receives (6/2/2015) (9,590) Fixed 0.050% and pays Italy Buoni Poliennali EUR 26,444 Total Return Swap (JP Morgan) (Fund receives Del Tesoro 3.750% 1/3/2021) (13/10/2014) (690,423) 3 Month LIBOR and pays Acciona SA) EUR 12,760,000 Total Return Swap (JP Morgan) (Fund receives (26/2/2015) (99,987) Fixed 0.070% and pays Spain Government GBP 43,652 Total Return Swap (JP Morgan) (Fund receives Bond 4.600% 30/7/2019) (15/5/2015) 15,504 3 Month LIBOR and pays Balfour Beatty Plc) EUR 4,930,000 Total Return Swap (JP Morgan) (Fund receives (11/2/2015) 40,340 Fixed 0.080% and pays Italy Buoni Poliennali GBP 36,520 Total Return Swap (JP Morgan) (Fund receives Del Tesoro 3.750% 1/3/2021) (2/10/2014) (495,057) 3 Month LIBOR and pays Balfour Beatty Plc) EUR 12,030,000 Total Return Swap (JP Morgan) (Fund receives (11/2/2015) 35,873 Fixed 0.080% and pays Spain Government EUR 860 Total Return Swap (JP Morgan) (Fund receives Bond 4.300% 31/10/2019) (15/5/2015) 8,739 3 Month LIBOR and pays Fonciere Des Regions) EUR 3,181,000 Total Return Swap (JP Morgan) (Fund receives (17/2/2015) (7,380) Fixed 0.100% and pays Bundesrepublik EUR 574 Total Return Swap (JP Morgan) (Fund receives Deutschland 2.500% 4/1/2021) (4/3/2015) (54,357) 3 Month LIBOR and pays Fonciere Des Regions) EUR 4,740,000 Total Return Swap (JP Morgan) (Fund receives (17/2/2015) (3,679) Fixed 0.150% and pays Spain Government EUR 143 Total Return Swap (JP Morgan) (Fund receives Bond 4.100% 30/7/2018) (1/10/2014) (486,108) 3 Month LIBOR and pays Fonciere Des Regions) EUR 8,000,000 Total Return Swap (JP Morgan) (Fund receives (17/2/2015) (708) Fixed 0.170% and pays Spain Government EUR 19,863 Total Return Swap (JP Morgan) (Fund receives Bond 3.750% 31/10/2018) (9/2/2015) (387,158) 3 Month LIBOR and pays Indra Sistemas SA) EUR 4,640,000 Total Return Swap (JP Morgan) (Fund receives (19/12/2014) (26,974) Fixed 0.200% and pays Ireland Government EUR 13,996 Total Return Swap (JP Morgan) (Fund receives Bond 5.500% 18/10/2017) (17/9/2014) (161,064) 3 Month LIBOR and pays Indra Sistemas SA) EUR 7,480,000 Total Return Swap (JP Morgan) (Fund receives (9/1/2015) 2,753 Fixed 0.200% and pays Spain Government EUR 55,983 Total Return Swap (JP Morgan) (Fund receives Bond 2.750% 30/4/2019) (4/3/2015) (20,577) 3 Month LIBOR and pays Indra Sistemas SA) EUR 4,850,000 Total Return Swap (JP Morgan) (Fund receives (15/4/2015) 13,436 Fixed 0.350% and pays Portugal Obrigacoes EUR 1,504,687 Total Return Swap (JP Morgan) (Fund receives do Tesouro OT 4.750% 14/6/2019) (2/10/2014) (1,071,855) 3 Month LIBOR and pays Telecom Italia SpA) EUR 1,045,000 Total Return Swap (JP Morgan) (Fund receives (20/2/2015) (61,843) Fixed 0.400% and pays Portugal Obrigacoes EUR 955,741 Total Return Swap (JP Morgan) (Fund receives do Tesouro OT 4.750% 14/6/2019) (3/11/2014) (212,833) 3 Month LIBOR and pays Telecom Italia SpA) GBP 154,790,000 Total Return Swap (JP Morgan) (Fund receives (20/2/2015) (24,849) Markit iBoxx Index and pays 3 Month LIBOR) EUR 40,440 Total Return Swap (JP Morgan) (Fund receives (20/6/2014) 4,101,238 3 Month LIBOR and pays Volkswagen AG) GBP 24,960,000 Total Return Swap (JP Morgan) (Fund receives (2/4/2015) (171,870) Markit iBoxx Index and pays 3 Month LIBOR) EUR 473,518 Total Return Swap (JP Morgan) (Fund receives (20/9/2014) 632,193 3 Month LIBOR and pays Volkswagen AG) GBP 9,682,000 Total Return Swap (JP Morgan) (Fund receives (2/4/2015) 9,214 Marks & Spencer Plc 4.750% 12/6/2025 EUR 21,500 Total Return Swap (JP Morgan) (Fund receives and pays Fixed 0.700%) (13/1/2015) 535,733 3 Month LIBOR and pays Volkswagen AG) GBP 7,600,000 Total Return Swap (JP Morgan) (Fund receives (2/4/2015) (74,175) Next Plc 4.375% 2/10/2026 and pays Fixed EUR 92,461 Total Return Swap (JP Morgan) (Fund receives 0.700%) (13/1/2015) 451,395 3 Month LIBOR and pays Volkswagen AG) EUR 29,200,000 Total Return Swap (JP Morgan) (Fund receives (2/4/2015) (374,467) Spain Government Bond 5.400% 31/1/2023 EUR 7,136,000 Total Return Swap (JP Morgan) (Fund receives and pays Fixed 0.250%) (9/2/2015) 1,415,214 Fixed 0.000% and pays Bundesobligation EUR 13,355,000 Total Return Swap (JP Morgan) (Fund receives 0.750% 24/2/2017) (4/3/2015) (33,375) UniCredit SpA 3.250% 14/1/2021 and pays EUR 12,970,000 Total Return Swap (JP Morgan) (Fund receives Fixed 0.700%) (13/1/2015) 1,097,540 Fixed 0.000% and pays Italy Buoni Poliennali (EUR underlying exposure – EUR 2,680,218,519) (26,553,742) Del Tesoro 4.250% 1/2/2019) (15/5/2015) 28,218
Note: The total market value of EUR (17,394,370) is included in the Statement of Net Assets (see Note 2(d)).
98 BlackRock Strategic Funds (BSF) BlackRock European Diversified Equity Absolute Return Fund Portfolio of Investments as at 31 May 2014 Transferable Securities and Money Market Instruments Admitted to an Transferable Securities and Money Market Instruments Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Official Stock Exchange Listing or Dealt in on Another Regulated Market
Market % of Market % of Value Net Value Net Holding Description EUR Assets Holding Description EUR Assets
BONDS Switzerland EUR 8,000,000 Bank of America NA 6/8/2014 Australia (Zero Coupon) 7,994,040 3.39 EUR 4,000,000 National Australia Bank Ltd FRN EUR 8,000,000 JP Morgan Securities Plc 0.29% 27/1/2015 3,999,360 1.70 11/6/2014 8,000,000 3.39 3,999,360 1.70 EUR 10,000,000 Mitsubishi Trust and Banking 14/8/2014 (Zero Coupon) 9,993,920 4.23 Finland EUR 7,000,000 Mizuho Bank Ltd 5/6/2014 EUR 2,500,000 Pohjola Bank Plc FRN 9/8/2014 2,500,100 1.06 (Zero Coupon) 6,999,853 2.97 2,500,100 1.06 EUR 2,000,000 Sumitomo Trust and Banking 16/6/2014 (Zero Coupon) 1,999,806 0.85 France 34,987,619 14.83 EUR 9,000,000 Banque Federative du Credit Mutuel SA FRN 25/6/2014 9,005,130 3.82 Total Certificates of Deposit 52,777,210 22.38 EUR 5,700,000 HSBC France SA FRN 31/12/2014 5,705,016 2.42 14,710,146 6.24 COMMERCIAL PAPER Hong Kong Luxembourg EUR 700,000 Hong Kong Mortgage Corp FRN EUR 5,000,000 Antalis SA 27/6/2014 (Zero Coupon) 4,998,726 2.12 28/1/2015 699,605 0.30 EUR 3,000,000 Barclays Bank Plc 7/7/2014 699,605 0.30 (Zero Coupon) 2,999,076 1.27 EUR 10,000,000 FMS Wertmanagement 7/7/2014 Ireland (Zero Coupon) 10,000,000 4.24 EUR 8,500,000 GE Capital European Funding FRN EUR 4,500,000 MetLife Short Term Funding LLC 28/7/2014 8,503,400 3.60 10/7/2014 (Zero Coupon) 4,498,441 1.91 EUR 10,000,000 MetLife Short Term Funding LLC 8,503,400 3.60 8/8/2014 (Zero Coupon) 9,994,067 4.24 Netherlands EUR 2,000,000 Mont Blanc Capital Corp EUR 500,000 ABN AMRO Bank NV FRN 14/7/2014 (Zero Coupon) 1,999,243 0.85 23/6/2014 500,057 0.21 EUR 9,000,000 Sheffield Receivables Corp EUR 4,000,000 ABN AMRO Bank NV FRN 9/7/2014 4,003,180 1.70 5/6/2014 (Zero Coupon) 8,999,687 3.81 EUR 1,000,000 BMW Finance NV FRN 28/11/2014 1,000,370 0.42 EUR 6,500,000 Standard Chartered Bank EUR 7,000,000 BMW Finance NV FRN 29/11/2014 6,997,620 2.96 13/11/2014 (Zero Coupon) 6,489,826 2.75 EUR 17,000,000 Cooperatieve Centrale Raiffeisen- EUR 4,000,000 Sumitomo Mitsui Banking Corp Boerenleenbank BA/Netherlands 10/7/2014 (Zero Coupon) 3,998,691 1.69 FRN 30/1/2015 17,002,550 7.21 EUR 7,500,000 Svenska Handelsbanken AB EUR 4,000,000 Cooperatieve Centrale Raiffeisen- 22/10/2014 (Zero Coupon) 7,491,011 3.18 Boerenleenbank BA/Netherlands EUR 7,500,000 Svenska Handelsbanken AB FRN 22/4/2015 4,003,280 1.70 21/11/2014 (Zero Coupon) 7,488,419 3.17 33,507,057 14.20 68,957,187 29.23 Total Commercial Paper 68,957,187 29.23 Switzerland EUR 6,000,000 Credit Suisse AG/London FRN Total Transferable Securities and Money 17/7/2014 6,000,690 2.54 Market Instruments Admitted to an Official Stock Exchange Listing or 6,000,690 2.54 Dealt in on Another Regulated Market 191,654,755 81.25 Total Bonds 69,920,358 29.64 Funds CERTIFICATES OF DEPOSIT Finland Ireland EUR 6,000,000 Nordea Bank Finland Plc 0.35% 17,998,743 Institutional Cash Series Plc 17/11/2014 6,000,450 2.55 - Institutional Euro Assets Liquidity Fund 1 17,998,743 7.63 6,000,450 2.55 17,998,743 7.63 France Total Funds 17,998,743 7.63 EUR 7,800,000 BNP Paribas SA 11/8/2014 (Zero Coupon) 7,792,941 3.30 EUR 4,000,000 BNP Paribas SA 14/8/2014 (Zero Coupon) 3,996,200 1.70 11,789,141 5.00
1 This fund is managed by BlackRock.
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 99 BlackRock European Diversified Equity Absolute Return Fund continued Portfolio of Investments as at 31 May 2014
Other Transferable Securities and Money Market Instruments
Market % of Value Net Holding Description EUR Assets
BONDS Switzerland EUR 8,000,000 Credit Suisse AG/London FRN 13/8/2014 8,001,000 3.39 8,001,000 3.39 Total Bonds 8,001,000 3.39 Total Other Transferable Securities and Money Market Instruments 8,001,000 3.39 Securities portfolio at market value 217,654,498 92.27
Other Net Assets 18,225,591 7.73 Total Net Assets (EUR) 235,880,089 100.00
Open Forward Foreign Exchange Transactions Sector Breakdown as at 31 May 2014 as at 31 May 2014
Unrealised % of Net appreciation/ Assets* (depreciation) Financial 81.26 Purchases Sales Value Date EUR Funds 7.63 CHF 188,474 EUR 154,419 13/6/2014 (32) Consumer, Cyclical 3.38 EUR 3,143 CHF 3,838 13/6/2014 (1) Other Net Assets 7.73 EUR 381,835 GBP 310,545 13/6/2014 72 100.00 EUR 2,217,689 SEK 19,955,029 13/6/2014 21,750
EUR 29,289 USD 40,122 13/6/2014 (169) * Based on the market value of the Portfolio of Investments except GBP 6,668,374 EUR 8,186,722 13/6/2014 10,935 for Contract For Difference, which are based on the commitment SEK 907,442,623 EUR 100,663,243 13/6/2014 (804,299) (where applicable). USD 2,375,458 EUR 1,726,992 13/6/2014 17,081 Net unrealised depreciation (EUR underlying exposure – EUR 112,565,364) (754,663)
Note: The net unrealised depreciation attributed to these transactions is included in the Statement of Net Assets (see Note 2(d)). State Street Bank and Trust Company is the counterparty to these Open Forward Foreign Exchange Transactions.
100 BlackRock Strategic Funds (BSF) BlackRock European Diversified Equity Absolute Return Fund continued Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description EUR EUR Holding Description EUR EUR
Austria Denmark (53,742) Andritz AG (2,332,403) (27,333) (22,504) ALK-Abello A/S (2,568,935) (420,956) 73,068 Austria Technologie & 226 Alm Brand A/S 808 120 Systemtechnik AG 687,351 47,956 1,767 AP Moeller - Maersk A/S 'B' 3,376,058 169,079 (1) BUWOG AG (14) (14) 53 Auriga Industries A/S 'B' 1,619 206 (98,310) Conwert Immobilien Invest SE (894,916) 58,566 78,579 Bang & Olufsen A/S 658,022 47,257 (121,366) Erste Group Bank AG (3,076,628) (175,962) (18,673) Carlsberg A/S 'B' (1,423,575) (12,544) 23,483 Flughafen Wien AG 1,625,024 40,176 320 Carlsberg A/S 'B' 24,396 1,351 30,294 IMMOFINANZ AG 78,128 1,824 (83,210) Chr Hansen Holding A/S (2,592,103) 111,426 (232,429) IMMOFINANZ AG (599,434) (3,348) 23,455 Chr Hansen Holding A/S 730,655 (14,357) (9,482) Kapsch TrafficCom AG (350,834) 24,868 5,547 Coloplast A/S 'B' 350,796 1,068 (46,790) Lenzing AG (2,161,230) (18,118) 54,891 D/S Norden A/S 1,606,965 27,707 (3,480) Mayr Melnhof Karton AG (313,548) (4,459) 20,325 Danske Bank A/S 419,105 6,185 42,835 Oesterreichische Post AG 1,482,305 (69,844) 28,031 Dfds A/S 1,678,804 50,992 114 OMV AG 3,447 25 24,574 DSV A/S 600,557 18,395 (1,166) Palfinger AG (33,219) 959 (55,272) DSV A/S (1,350,778) (22,394) (16,721) Raiffeisen Bank International AG (407,992) (20,762) (28,422) FLSmidth & Co A/S (1,212,119) (75,196) (4,029) Schoeller-Bleckmann Oilfield (1,655) Genmab A/S (48,895) (4,569) Equipment AG (357,695) 897 (20,252) GN Store Nord A/S (408,374) (6,952) 800 Strabag SE 17,596 908 8,298 H Lundbeck A/S 163,880 (3,827) (2,934) Telekom Austria AG (20,946) (26) 26,356 ISS A/S 666,708 12,439 6,058 UNIQA Insurance Group AG 59,368 2,325 26,752 Jyske Bank A/S Reg 1,084,982 28,130 (139,338) Verbund AG (1,985,567) (46,761) (20,964) Jyske Bank A/S Reg (850,238) (18,664) (98,655) Vienna Insurance Group AG Wiener (93,395) Matas A/S (1,939,587) (53,112) Versicherung Gruppe (3,897,859) (200,607) 22,270 NKT Holding A/S 1,119,235 439 58,743 Voestalpine AG 1,992,269 32,484 (13,247) NKT Holding A/S (665,761) (261) (20,629) Wienerberger AG (271,993) (16,417) 14,410 Novo Nordisk A/S 'B' 447,539 (17,264) 7,157 Wienerberger AG 94,365 3,202 47,880 Novozymes A/S 'B' 1,716,699 24,073 67,805 Zumtobel AG 1,067,929 76,641 (26,191) Novozymes A/S 'B' (939,057) (34,762) (9,596,496) (292,820) 13,100 Pandora A/S 709,449 22,087 (6,864) Pandora A/S (371,730) (38,000) Belgium 278 Rockwool International A/S 'B' 40,600 1,113 1,950 Ageas 59,992 (114) (2,820) Royal UNIBREW (332,495) (4,336) 241,540 AGFA-Gevaert NV 558,199 (12,889) 63,634 Schouw & Co 2,370,216 61,190 (14,441) Anheuser-Busch InBev NV (1,164,522) 4,008 28,166 SimCorp A/S 698,153 (76,461) 35,286 Anheuser-Busch InBev NV 2,845,463 68,497 (80) Spar Nord Bank A/S (643) (16) (3,584) Arseus NV (140,923) (7,462) (43,838) Sydbank A/S (858,133) (13,388) 43,004 Barco NV 2,407,364 52,685 (233,530) TDC A/S (1,663,029) (10,567) (171,746) Belgacom SA (4,179,439) (150,816) (40,431) Topdanmark A/S (904,659) (42,267) 43,029 bpost SA 787,000 57,666 (12,652) Vestas Wind Systems A/S (496,346) (16,274) (27,144) Cie d'Entreprises CFE (2,144,376) (21,662) 25,875 Vestas Wind Systems A/S 1,015,092 167,990 20,035 Cofinimmo (Reit) 1,764,282 (27,518) 9,293 William Demant Holding A/S 611,975 (4,639) (91) Cofinimmo (Reit) (8,013) 26 1,465,856 (139,559) (25,115) Colruyt SA (1,033,231) 1,241 1 Colruyt SA 41 – Finland 35,391 D'ieteren SA/NV 1,099,421 (58,026) 32,402 Amer Sports OYJ 487,326 5,718 (7,930) Delhaize Group SA (413,470) 12,416 (99,520) Cargotec OYJ 'B' (3,026,403) (37,342) (141,130) Econocom Group (1,007,668) 113,049 12,205 Caverion Corp 96,175 588 34,119 Elia System Operator SA/NV 1,292,940 (17,911) 79,744 Cramo OYJ 1,279,891 32,432 (12,898) Euronav NV (119,307) (3,998) (68,811) Elisa OYJ (1,500,080) 2,356 (1,037) EVS Broadcast Equipment SA (40,324) 6,899 (59,301) Fortum OYJ (1,057,337) (28,774) 54,736 Exmar NV 664,221 37,981 (51,608) Kemira OYJ (596,072) (5,161) 9 Galapagos NV 146 4 82,080 Kesko OYJ 'B' 2,657,750 241,315 (9) Galapagos NV (146) (14) (11,378) Kesko OYJ 'B' (368,420) (61) (23,277) KBC Groep NV (1,014,295) (28,716) 50,030 Kone OYJ 'B' 1,520,412 (2,981) 13 Kinepolis Group NV 1,716 (166) (653) Kone OYJ 'B' (19,845) 281 74,189 Melexis NV 2,226,041 109,139 (17,268) Konecranes OYJ (407,525) (7,127) 23,196 Mobistar SA 347,476 19,217 (22,536) Metso OYJ (635,966) 9,247 3,368 NV Bekaert SA 93,294 904 3,640 Neste Oil OYJ 54,709 837 30,600 Solvay SA 3,633,750 7,850 (38,467) Neste Oil OYJ (578,159) 4,822 3,700 Tessenderlo Chemie NV 82,621 (724) (96,275) Nokian Renkaat OYJ (3,023,035) (141,257) (64,605) UCB SA (3,781,331) 7,034 20,339 Orion OYJ 'B' 476,136 11,155 (20,460) Umicore SA (721,522) (14,756) (2,205,431) Outokumpu OYJ (590,835) (40,566) 1,260 Warehouses De Pauw SCA (Reit) 68,229 790 46,602 Outotec OYJ 384,700 (2,123) 2,163,629 154,634 2,167 Ramirent OYJ 17,683 1,690
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 101 BlackRock European Diversified Equity Absolute Return Fund continued Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description EUR EUR Holding Description EUR EUR
Finland continued France continued 43,454 Sampo 'A' 1,613,882 51,525 617 Eurofins Scientific SE 138,763 11,306 (116,016) Sanoma OYJ (641,568) (31,035) 89,483 Eutelsat Communications SA 2,302,398 97,358 (100,669) Stora Enso OYJ 'R' (755,018) 17,630 42,277 Faurecia 1,275,286 25,012 20,308 Tieto OYJ 412,659 12,317 (2,051) Fonciere Des Regions (Reit) (149,682) (709) 5,050 UPM-Kymmene OYJ 65,398 845 266 Fonciere Des Regions (Reit) 19,413 580 (122,320) UPM-Kymmene OYJ (1,584,044) (45,345) (48,171) GameLoft SE (330,935) 13,411 10,129 Uponor OYJ 142,110 (367) 5,744 Gaztransport Et Technigaz SA 274,793 (4,969) (16,858) Wartsila OYJ Abp (664,711) 21,459 (10,181) GDF Suez (208,201) (2,576) (418,150) YIT OYJ (3,357,745) (212,180) 26,589 GDF Suez 543,745 43,750 (9,597,932) (140,102) (10,738) Gecina SA (Reit) (1,113,531) (16,324) 5,706 Gemalto NV 454,597 12,044 France (5,556) Groupe Crit (273,911) (7,757) (163,442) Accor SA (6,301,506) (428,418) 1,097 Groupe Eurotunnel SA Reg 10,572 (35) (48,541) Aeroports de Paris (4,659,936) (249,245) (43,628) Groupe Eurotunnel SA Reg (420,443) (5,343) (95,121) Air France-KLM (1,066,782) (71,171) (6,982) Groupe Fnac (248,838) (7,027) 28,166 Air Liquide SA 2,998,271 90,541 91 Groupe Steria SCA 1,830 (18) 15,489 Airbus Group NV 811,933 (3,606) 1,759 Haulotte Group SA 21,759 (688) 45,540 ALBIOMA 893,950 30,824 1,301 Havas SA 8,261 337 (15,992) Alcatel-Lucent (47,800) (1,631) 5,031 Hermes International 1,302,274 15,377 33,333 Alcatel-Lucent 99,632 2,643 (7,542) ICADE (Reit) (551,622) (17,124) 68,032 Alstom SA 1,965,785 1,449 11,325 ICADE (Reit) 828,311 30,424 (377,447) Altran Technologies SA (3,039,203) (135,504) 47 Iliad SA 10,935 708 (17,706) Areva SA (289,139) 13,816 23,250 Imerys SA 1,454,055 12,387 (2,526) Arkema SA (189,324) 2,217 (25) Imerys SA (1,564) 18 2,567 Arkema SA 192,397 (126) 37,207 Ingenico 2,467,940 149,477 (2,094) Assystem (48,602) 880 14,906 Interparfums SA 465,216 (10,713) 53,379 AtoS 3,486,716 220,472 9,670 Ipsen SA 347,685 37,579 122,688 AXA SA 2,211,451 58,440 (39,759) IPSOS (1,159,770) (32,554) (7,248) AXA SA (130,645) (4,927) 23,065 JCDecaux SA 677,650 8,614 (60,990) Beneteau SA (750,177) (4,071) (1,194) JCDecaux SA (35,080) (1,804) (15) BioAlliance Pharma SA (130) 29 7,031 Kering 1,131,991 4,226 15,913 Boiron SA 1,057,260 104,704 (6,380) Kering (1,027,180) (10,208) (34,042) Bouygues SA (1,159,981) (56,510) 7,878 Klepierre (Reit) 280,890 15,953 455 Bouygues SA 15,504 158 (42,441) Klepierre (Reit) (1,513,234) (53,294) (40,741) Bull (202,890) (62) 9,465 L'Oreal SA 1,211,047 4,722 97,984 Bureau Veritas SA 2,155,158 (28,447) (493) L'Oreal SA (63,079) 346 (2,592) Cap Gemini SA (138,257) (2,785) (137,662) Lagardere SCA (3,500,745) 58,037 601 Cap Gemini SA 32,057 1,460 16,041 Lagardere SCA 407,923 (76,115) 114,375 Carrefour SA 3,052,097 35,630 (75,989) Legrand SA (3,503,093) 36,173 (99,592) Carrefour SA (2,657,613) 63,260 1,794 LISI 202,722 (4,590) (18,758) Casino Guichard Perrachon SA (1,757,625) (8,971) (4,139) LVMH Moet Hennessy Louis 107,091 CGG SA 1,050,991 (34,740) Vuitton SA (599,948) (9,204) (18,114) CGG SA (177,771) (1,574) (40,875) Mercialys SA (Reit) (662,175) 15,532 (10,151) Christian Dior SA (1,538,384) (28,966) 41,228 Mersen 911,139 (2,491) 86,707 Cie de St-Gobain 3,620,017 (99,752) (29,932) Metropole Television SA (447,783) (4,623) (1,205) Cie de St-Gobain (50,309) (120) (26) MGI Coutier (4,037) (185) 31,746 Cie Generale des Etablissements 100 Montupet 6,605 657 Michelin 2,870,791 75,988 288,010 Natixis 1,428,530 50,155 3 Ciments Francais SA 239 3 (234,118) Natixis (1,161,225) 33,341 (126,095) CNP Assurances (1,992,931) 57,456 (22,617) Naturex (1,515,339) (45,260) 165,601 Credit Agricole SA 1,876,259 23,481 (78,306) Neopost SA (4,580,118) 49,104 (227,162) Credit AGricole SA (2,573,745) 4,478 (14,732) Nexans SA (644,083) (30,386) (38,312) Danone SA (2,094,900) (49,654) 3,580 Norbert Dentressangle SA 411,879 (25,217) (14,148) Dassault Systemes SA (1,313,076) (58,857) (1,145) Numericable Group SA (49,579) (14,036) 14,973 Dassault Systemes SA 1,389,644 51,124 (79,046) Orange SA (972,266) 4,573 775,138 Derichebourg SA 1,878,935 (163,448) (2,372) Orpea (123,012) 1,233 (45,229) Edenred (1,039,589) 59,984 2,335 Orpea 121,093 263 19,385 Eiffage SA 1,003,949 (12,553) 961 Pernod-Ricard SA 86,144 660 (28,792) Eiffage SA (1,491,138) (187,522) 48,749 Peugeot SA 505,771 13,678 63,422 Electricite de France 1,633,434 (98,372) 57,493 Peugeot SA 86,240 6,957 (7,883) Electricite de France (203,027) 14,179 31,670 Plastic Omnium SA 786,049 23,501 (6,363) Eramet (596,277) 5,455 (833) Plastic Omnium SA (20,675) (2,116) 9,749 Essilor International SA 750,965 566 (22,665) Publicis Groupe SA (1,428,122) (40,583) (54,326) Etablissements Maurel et Prom (689,669) 6,298 (23,687) Rallye SA (898,803) (30,675) (7,047) Eurofins Scientific SE (1,584,870) (89,767) (24,431) Remy Cointreau SA (1,671,569) (120,891)
102 BlackRock Strategic Funds (BSF) BlackRock European Diversified Equity Absolute Return Fund continued Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description EUR EUR Holding Description EUR EUR
France continued Germany continued (5,282) Renault SA (362,556) (12,191) 87,353 Beiersdorf AG 6,492,948 129,892 121,814 Rexel SA 2,131,136 (1,230) 1,189 Bertrandt AG 135,724 3,715 49,438 Rubis SCA 2,481,293 42,388 6,959 Bilfinger SE 598,822 (7,470) (46) Rubis SCA (2,309) (239) (26,309) Bilfinger SE (2,263,889) (11,050) 36,260 Safran SA 1,799,040 51,304 (3) Biotest AG (Pref) (270) 15 (10,793) Sanofi (841,530) (3,202) 194,793 Borussia Dortmund GmbH & Co KGaA 751,901 16,424 (16,596) Sartorius Stedim Biotech (2,185,693) 57,657 (7,419) Brenntag AG (1,017,145) (44,383) 3,751 Schneider Electric SA 257,469 4,089 (64,475) CANCOM SE (2,364,814) (384,900) (29,733) Schneider Electric SA (2,040,873) 8,258 (17,006) Carl Zeiss Meditec AG (371,241) 5,351 15,111 SCOR SE 385,633 (6,440) (20,940) CAT Oil AG (402,257) (1,212) (30,918) SEB SA (2,045,844) 18,957 39,908 CENTROTEC Sustainable AG 733,709 (14,604) 5,623 Sequana SA Reg 31,545 1,376 29,569 Cewe Stiftung & Co KGAA 1,618,311 83,686 55,101 SES SA 1,463,483 18,722 (36,456) Commerzbank AG (421,978) (7,007) 27,955 Societe BIC SA 2,666,068 6,626 (256) CompuGroup Medical AG (4,959) (41) (8,802) Societe Generale SA (371,708) 774 10,046 Continental AG 1,738,460 79,847 5,533 Societe Television Francaise 1 72,565 4,738 32,855 CTS Eventim AG 1,486,393 65,727 (56,650) Societe Television Francaise 1 (742,965) (28,820) 37,980 Daimler AG Reg 2,655,941 149,465 (18,045) Sodexo (1,416,172) (8,815) 14,732 Delticom AG 502,288 (66) 371,575 Solocal Group 304,692 36,063 12,379 Deutsche Annington Immobilien SE 268,439 26,987 (21,510) Sopra Group SA (1,772,424) (51,684) (12,488) Deutsche Bank AG Reg (370,519) 11,328 129,486 STMicroelectronics NV 949,909 57,408 28,729 Deutsche Euroshop AG 1,046,741 33,038 (203,025) STMicroelectronics NV (1,489,391) (91,636) (35,353) Deutsche Euroshop AG (1,288,087) (21,696) (130,426) Suez Environnement Co (1,927,696) (26,957) 45,918 Deutsche Lufthansa AG Reg 889,202 54,421 2,991 Tarkett SA 87,786 (2,397) (119,400) Deutsche Lufthansa AG Reg (2,312,181) (78,834) 142,262 Technicolor SA Reg 769,211 12,380 54,917 Deutsche Post AG Reg 1,485,779 26,681 33,083 Technip SA 2,615,211 824 296,782 Deutsche Telekom AG Reg 3,657,838 (1,854) 4,755 Teleperformance 218,421 22,087 (26,444) Deutsche Wohnen AG (428,525) (11,591) (61,457) Teleperformance (2,823,027) (285,840) 203,804 Deutsche Wohnen AG 3,302,644 106,681 68,664 Thales SA 3,022,589 (100,562) (91,233) Deutz AG (565,371) (7,785) (19,360) Total SA (1,002,074) 870 304,355 Deutz AG 1,886,088 195,731 39 Total SA 2,019 (11) (64,049) Dialog Semiconductor Plc (1,443,344) (140,800) 1,448 UBISOFT Entertainment 21,170 579 38,272 Dialog Semiconductor Plc 862,460 165,335 (20,310) UBISOFT Entertainment (296,932) (16,798) (267) DIC Asset AG (2,103) (116) 8,263 Unibail-Rodamco SE (Reit) 1,692,262 61,353 22,408 DMG Mori Seiki AG 528,829 10,442 (10,737) Unibail-Rodamco SE (Reit) (2,198,938) (56,371) (1,573) Draegerwerk AG & Co KGaA (Pref) (120,193) (1,641) 31,779 Valeo SA 3,124,511 (2,243) (95,893) Drillisch AG (2,589,590) (7,087) 58,597 Vallourec SA 2,325,715 12,473 45,607 Duerr AG 2,862,751 257,700 (213,642) Veolia Environnement SA (2,981,374) (195,508) (12,818) Duerr AG (804,586) (33,524) (19,933) Vicat (1,235,647) (39,866) 43,230 E.ON SE 614,731 21,203 (5,337) Vilmorin & Cie SA (519,664) (9,927) (5,311) E.ON SE (75,522) (435) 52,904 Vinci SA 2,862,106 (9,865) (121,568) ElringKlinger AG (3,620,903) (78,494) (845) Virbac SA (144,875) 2,704 (1,129) Evonik Industries AG (32,724) (1,565) 34,383 Vivendi SA 660,497 (2,806) 30,227 Evonik Industries AG 876,130 20,179 (61,316) Vivendi SA (1,177,880) 333 (187,989) Evotec AG (690,484) 6,036 5,006 Zodiac Aerospace 130,657 1,370 17,652 Fielmann AG 1,856,990 116,761 (37,630) Zodiac Aerospace (982,143) (74,428) (915) Fielmann AG (96,258) (5,719) (9,920,724) (1,299,789) (77,117) Fraport AG Frankfurt Airport Services Worldwide (4,339,374) (202,137) Germany (20,191) Freenet AG (457,023) (6,513) (60,120) Aareal Bank AG (2,087,066) (66,499) 11,048 Freenet AG 250,071 (14,806) 7,688 Adidas AG 603,508 949 (7,755) Fresenius Medical Care AG & Co KGaA (376,505) (40) (35,793) Adidas AG (2,809,751) (55,221) 43,267 Fresenius Medical Care AG & Co KGaA 2,100,613 (37,704) 486,778 ADVA Optical Networking SE 1,615,129 85,641 7,064 Fresenius SE & Co KGaA 773,155 6,775 148,348 Aixtron SE 1,610,318 62,131 (10,174) Fresenius SE & Co KGaA (1,113,544) 1,155 (86,618) Aixtron SE (940,238) (52,745) 2,601 Fuchs Petrolub SE (Pref) 181,264 2,244 761 Amadeus Fire AG 47,829 2,325 (6,557) Fuchs Petrolub SE (Pref) (456,957) 17,470 79,635 Aurubis AG 3,213,272 79,159 125,101 GEA Group AG 3,965,702 (36,777) (79,779) Axel Springer SE (3,775,142) (196,419) 55,444 Gerresheimer AG 2,741,983 46,829 11,603 BASF SE 977,785 10,016 (45,840) Gerry Weber International AG (1,789,823) (47,948) (10,591) BASF SE (892,504) (11,883) (174) Gesco AG (13,137) (152) (17,607) Bauer AG (326,698) (2,452) (7,596) GFK SE (303,004) (8,003) 21,675 Bayer AG Reg 2,288,880 80,547 6,215 Grammer AG 266,499 2,921 (5,825) Bayerische Motoren Werke AG (536,424) (14,844) 3,007 Grenkeleasing AG 227,931 6,891 (1,403) BayWa AG (57,607) (177) (106,812) Hamburger Hafen und Logistik AG (1,984,033) (119,752) 1,041 Bechtle AG 67,280 3,686 (6,628) Hannover Rueck SE (432,875) (7,767)
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 103 BlackRock European Diversified Equity Absolute Return Fund continued Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description EUR EUR Holding Description EUR EUR
Germany continued Germany continued (25,163) HeidelbergCement AG (1,591,811) (20,984) 117,515 Sky Deutschland AG 799,925 53,222 775,978 Heidelberger Druckmaschinen AG 1,925,201 74,463 (14,507) SMA Solar Technology AG (427,957) (30,731) (2,782) Henkel AG & Co KGaA (Pref) (236,136) 16 18,630 SMA Solar Technology AG 549,585 5,198 1,299 Henkel AG & Co KGaA (Pref) 110,259 (327) (125,669) Software AG (3,560,831) (141,699) 24,006 Hochtief AG 1,601,680 19,349 (22,596) Stada Arzneimittel AG (776,625) (43,890) (1,437) Hugo Boss AG (149,304) 318 (12,961) STRATEC Biomedical AG (466,531) (35,247) 2,712 Hugo Boss AG 281,777 11,938 46,120 Stroeer Media AG 643,835 51,219 26,515 Indus Holding AG 954,540 57,272 27,496 Suedzucker AG 414,090 (8,529) 42,750 Infineon Technologies AG 387,913 30,207 (68) Suedzucker AG (1,024) 24 9,641 K+S AG Reg 245,845 (2,017) (57,349) Suss Microtec AG (497,388) (62,684) (68,500) K+S AG Reg (1,746,750) (192,305) 54,148 Symrise AG 2,139,658 111,179 (32,869) Kloeckner & Co SE (410,534) (28,635) (10,137) Symrise AG (400,564) (31,830) 111,688 Kloeckner & Co SE 1,394,983 47,152 (97,542) TAG Immobilien AG (904,409) (24,822) (85,930) Kontron AG (434,634) (1,830) 10,293 TAG Immobilien AG 95,437 4,519 38,956 Krones AG 2,788,860 118,508 (2,205) Takkt AG (32,402) 689 (46,832) KUKA AG (1,954,768) (128,685) 240 Talanx AG 6,362 (48) 65,798 KUKA AG 2,746,409 321,752 483,035 Telefonica Deutschland Holding AG 2,734,461 (148,908) (7,031) KWS Saat AG (1,781,655) 118,261 26,709 ThyssenKrupp AG 588,533 (300) (12,602) LANXESS AG (654,296) 30,549 (9) ThyssenKrupp AG (198) – 25,276 LANXESS AG 1,312,330 13,102 26,774 Tipp24 SE 1,323,974 40,626 8,155 LEG Immobilien AG 421,369 28,223 (15,154) Tom Tailor Holding AG (216,702) 3,031 (82,632) Leoni AG (4,868,677) (431,902) 195,513 TUI AG 2,437,070 69,013 (14,271) Linde AG (2,189,885) (38,270) 80,614 United Internet AG Reg 2,699,763 175,079 57,738 LPKF Laser & Electronics AG 885,124 (9,933) 6,749 Volkswagen AG (Pref) 1,317,742 40,587 (15,607) MAN SE (1,429,913) 9,949 (4,086) Volkswagen AG (Pref) (797,792) (2,593) (6,549) Manz AG (472,772) (28,867) (17,499) Vossloh AG (1,250,129) 5,425 15,118 Merck KGaA 1,904,112 66,519 (6,392) Wacker Chemie AG (546,452) (7,983) (13,817) Merck KGaA (1,740,251) (31,462) 4,378 Wacker Chemie AG 374,275 31,947 (62,882) Metro AG (1,928,905) (117,490) 42,459 Wacker Neuson SE 658,964 29,678 11,938 Morphosys AG 804,024 77,917 42,975 Wincor Nixdorf AG 2,035,081 69,350 (16,996) MTU Aero Engines AG (1,167,455) (14,617) 15,072 Wirecard AG 482,304 24,165 29,596 MTU Aero Engines AG 2,032,949 57,300 8,031,338 484,604 (6,131) Muenchener Rueckversicherungs AG Reg (998,740) (20,405) Ireland 14,106 Nemetschek AG 986,150 54,132 (3,555,830) Bank of Ireland (999,188) (15,889) (18,238) Nordex SE (292,538) (23,594) 159,387 C&C Group Plc 716,444 34,890 33,165 Nordex SE 531,967 144,985 (1,125) FBD Holdings Plc (19,440) (332) (17,697) Norma Group SE (711,950) (27,120) 44,072 Glanbia Plc 499,115 25,121 (171) Patrizia Immobilien AG (1,599) (34) (18,758) Glanbia Plc (212,434) (4,877) (10,883) Pfeiffer Vacuum Technology AG (860,410) 20,178 (47,612) Irish Continental Group Plc (Unit) (1,380,748) (259,197) (86,106) PNE Wind AG Reg (267,101) (32,914) 38 Kerry Group Plc 'A' 2,110 (37) (32,381) Porsche Automobil Holding SE (Pref) (2,538,670) 27,803 85,401 Kingspan Group Plc 1,115,337 (1,908) 170,475 ProSiebenSat.1 Media AG Reg 5,687,898 350,397 3,624 Paddy Power Plc 189,970 (334) (12,888) Puma SE (2,749,655) (6,691) (13,090) Paddy Power Plc (686,178) 76,386 (206,885) QIAGEN NV (3,473,599) (176,409) (6,301) Smurfit Kappa Group Plc (110,677) (6,931) 1,808 Rational AG 412,495 (30,296) (885,689) (153,108) 14,192 Rheinmetall AG 715,986 38,719 (10,230) Rheinmetall AG (516,104) (23,745) Italy (14,622) RIB Software AG (197,616) (47,409) (121,348) A2A SpA (106,665) (1,140) (20,416) RTL Group (1,727,194) (91,596) 75,855 ACEA SpA 780,548 67,335 (103,099) RWE AG (3,042,967) (171,891) (12) Aeroporto di Venezia Marco Polo 18,084 RWE AG 533,749 36,316 SpA - SAVE (157) (2) 2,832 SAF-Holland SA 33,927 581 (35,983) Amplifon SpA (164,874) (2,879) 1,466 Salzgitter AG 46,179 (248) (33,461) Ansaldo STS SpA (262,000) (5,368) (12,082) Salzgitter AG (380,583) (9,200) 832 Ascopiave SpA 1,784 113 21,321 SAP AG 1,197,174 20,136 (42,809) Assicurazioni Generali SpA (714,482) (12,652) (50,938) SAP AG (2,860,169) 84,276 (130,902) Astaldi SpA (1,033,471) (33,908) (1,755) Sartorius AG (Pref) (160,056) 4,563 (13,719) Atlantia SpA (277,535) (18,521) 11,876 Schaltbau Holding AG 646,173 22,721 (71,247) Autogrill SpA (495,523) (17,828) (64,449) SGL Carbon SE (1,627,015) (74,749) (542) Banca Generali SpA (11,653) (550) (32) SHW AG (1,489) (25) 42,213 Banca IFIS SpA 611,666 (7,518) 36 Siemens AG Reg 3,509 (3) 14,960 Banca Popolare dell'Emilia (801) Siemens AG Reg (78,073) (2,929) Romagna SC 122,896 (1,047) (17,234) Sixt SE (545,715) (43,774)
104 BlackRock Strategic Funds (BSF) BlackRock European Diversified Equity Absolute Return Fund continued Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description EUR EUR Holding Description EUR EUR
Italy continued Netherlands 172,545 Banca Popolare di Milano Scarl 114,829 3,080 33,980 Aalberts Industries NV 824,865 9,542 (376,329) Beni Stabili SpA (Reit) (245,367) (13,725) 305,808 Aegon NV 1,945,856 29,522 (7,501) Biesse SpA (57,008) (1,266) (43,275) Akzo Nobel NV (2,375,798) (47,505) (26,565) Brunello Cucinelli SpA (501,016) (70,058) 3 AMG Advanced Metallurgical (75,756) Buzzi Unicem SpA (967,404) (76,513) Group NV 22 – 198,494 Cairo Communication SpA 1,210,813 36,872 (54,821) APERAM (1,322,831) (126,518) 141,235 Cementir Holding SpA 895,430 10,170 151,176 Arcadis NV 3,932,088 9,015 2,119 Credito Emiliano SpA 15,172 288 (48,877) ArcelorMittal (548,889) 20,110 (68,271) Danieli & C Officine Meccaniche SpA (1,678,101) (35,290) 60,923 ArcelorMittal 684,165 (3,172) (13,029) Davide Campari-Milano SpA (81,692) (1,681) 87,587 ASM International NV 2,665,272 (24,578) 1,814 De'Longhi SpA 29,369 441 (60,525) ASM International NV (1,841,776) 8,555 (36,800) DiaSorin SpA (1,143,376) (61,811) 8,043 ASML Holding NV 506,789 12,121 (380) Ei Towers SpA (15,443) (2,884) (219,097) Corbion NV (3,589,904) (15,635) (683,235) Enel Green Power SpA (1,399,265) 8,034 39,851 Corio NV (Reit) 1,461,137 72,562 (151,138) Enel SpA (631,152) (25,177) 167,126 Delta Lloyd NV 2,979,021 (73,872) (17) Engineering SpA (835) (329) (8,588) Delta Lloyd NV (153,081) 5,539 (36,563) Eni SpA (687,384) (2,593) 9,147 Eurocommercial Properties NV 321,060 10,428 270,266 Esprinet SpA 2,189,155 137,820 (117,243) Fugro NV - CVA (4,954,690) 406,664 11,807 Falck Renewables SpA 15,762 717 15,490 Gemalto NV 1,234,088 30,534 214,230 Fiat SpA 1,643,144 (216,372) (158,649) Heijmans NV - CVA (1,971,214) (23,539) (110,152) FNM SpA (69,341) 3,250 73,747 Heineken NV 3,791,333 60,704 (379,645) Geox SpA (1,120,712) (91,148) 112,942 ING Groep NV - CVA 1,160,479 27,529 55,286 Gtech SpA 1,118,436 (50,310) 187,004 Koninklijke Ahold NV 2,493,698 (106,592) (364,740) Hera SpA (768,872) (30,694) 117,173 Koninklijke BAM Groep NV 449,944 3,369 (36,145) Immobiliare Grande Distribuzione (260) (260) (33,290) Koninklijke BAM Groep NV (127,834) (6,454) (36,145) Immobiliare Grande Distribuzione (2,691) Koninklijke Boskalis Westminster NV (112,403) (7,293) (Reit) (47,531) (2,855) 845 Koninklijke DSM NV 44,650 220 (187,050) Indesit Co SpA (2,003,306) (72,393) (17,706) Koninklijke Philips NV (409,982) 1,594 16,259 Industria Macchine Automatiche SpA 538,173 (33,695) 97,409 Koninklijke Ten Cate NV 2,032,439 (41,266) 177,878 Intesa Sanpaolo SpA 439,003 36,104 (71,004) Koninklijke Vopak NV (2,666,910) (91,346) 543,960 Iren SpA 627,730 22,865 (151,578) Koninklijke Wessanen NV (678,766) (19,988) (6,023) Luxottica Group SpA (251,400) (2,831) 96,726 Nutreco NV 3,121,348 (93,384) 102,755 Maire Tecnimont SpA 248,462 (8,599) (4,026) OCI NV (111,581) 1,825 (51,819) MARR SpA (698,002) 24,873 (325,230) PostNL NV (1,164,974) (121,119) 24,921 Mediaset SpA 90,314 (8,672) 2 Randstad Holding NV 86 1 (6) Mediaset SpA (22) (3) (9,347) Reed Elsevier NV (153,711) (4,120) 17,319 Mediobanca SpA 126,429 (7,886) (104,552) SBM Offshore NV (1,248,351) 97,967 (605,857) Moleskine SpA (791,249) 150,366 (39) TNT Express NV (255) (3) (33,942) Moncler SpA (450,071) (34,674) 339,542 TNT Express NV 2,223,661 29,911 204,950 Parmalat SpA 512,375 – 210,178 TomTom NV 1,140,426 61,094 (976,251) Piaggio & C SpA (2,678,833) (26,119) 88,274 Unilever NV - CVA 2,811,527 86,062 (16,325) Poltrona Frau SpA (48,224) 65 (4,230) Unilever NV - CVA (134,725) – (28,309) Prelios SpA (17,070) 1,019 22,501 USG People NV 260,787 13,360 (45,945) Prysmian SpA (780,146) 51,730 (25,574) USG People NV (296,403) (20,224) 191,240 Recordati SpA 2,375,201 186,113 23 Wereldhave NV (Reit) 1,506 79 (234) Reply SpA (14,508) (386) (166,243) Wolters Kluwer NV (3,640,722) (316,263) 37,694 Salvatore Ferragamo SpA 838,315 (21,486) 696 Wolters Kluwer NV 15,242 145 (379,233) Saras SpA (412,606) 8,974 8,596,689 (144,419) 24,373 Snam SpA 104,609 (975) (28,292) Societa Iniziative Autostradali Norway e Servizi SpA (266,228) (22,068) (87,549) Aker Solutions ASA (1,132,252) (25,571) 46,140 Sorin SpA 100,124 (457) (28,364) Archer Ltd (34,977) (5,619) (154,521) Telecom Italia SpA (141,618) (8,344) 173,273 Atea ASA 1,567,994 145,834 (52,747) Tenaris SA (868,216) (49,582) 63,456 Awilco Drilling Plc 1,031,668 (17,967) (84,000) Terna Rete Elettrica Nazionale SpA (326,256) (3,107) 118,259 Bakkafrost P/F 1,596,167 189,690 17,922 Trevi Finanziaria Industriale SpA 127,784 (16,610) 393,275 Borregaard ASA 2,026,735 20,239 (6,909) TXT e-solutions SpA (64,772) 1,727 29,461 BW LPG Ltd 303,653 34,180 20,114 Unione di Banche Italiane SCpA 135,669 9,952 164,301 BW Offshore Ltd 166,522 12,523 (172,401) Unipolsai Spa (429,968) 13,845 (277,799) Cermaq ASA (2,454,227) 499,461 38,157 World Duty Free SpA 382,333 13,927 (33,817) Det Norske Oljeselskap ASA (264,940) (2,731) (12,062) Yoox SpA (282,613) (17,788) 39,900 DNB ASA 550,289 7,073 (7,610,702) (330,374) (89,597) DNB ASA (1,235,695) (48,828)
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 105 BlackRock European Diversified Equity Absolute Return Fund continued Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description EUR EUR Holding Description EUR EUR
Norway continued Portugal continued 39,824 DNO International ASA 106,134 443 (186,390) Mota-Engil SGPS SA (979,479) (33,792) 1,440,863 Dolphin Group AS 1,028,957 12,060 5,180 Portucel SA 18,907 731 (202,735) Electromagnetic GeoServices (173,386) 3,639 (1,200,304) Sonae (1,548,392) (85,244) 44,100 Fred Olsen Energy ASA 889,053 (119,083) 997,468 Sonaecom - SGPS SA 1,949,053 (183,311) 208 Gjensidige Forsikring ASA 2,823 77 637 ZON OPTIMUS SGPS SA 3,152 16 (4,282) Gjensidige Forsikring ASA (58,110) 389 (176,658) ZON OPTIMUS SGPS SA (874,104) (4,422) (1,085,441) Golden Ocean Group Ltd (1,451,724) 205,689 (4,834,523) (393,232) 17,916 Hexagon Composites ASA 86,174 21,418 2,700,209 Kongsberg Automotive Holding ASA 2,312,619 396,115 Spain 6,358 Kongsberg Gruppen AS 109,610 681 98,630 Abengoa SA 'B' 339,978 46,987 62,864 Leroy Seafood Group ASA 1,523,423 (55,736) (143,647) Abengoa SA 'B' (495,151) (52,718) 54,022 Marine Harvest ASA 473,614 (1,707) (12,404) Abertis Infraestructuras (Right) (9,973) (9,973) (217,167) Marine Harvest ASA (1,903,915) 76,108 5,921 Acciona SA 349,931 11,349 2,782 Norsk Hydro ASA 11,080 74 101 Acerinox SA 1,278 5 (331,326) Norsk Hydro ASA (1,319,640) 17,189 (8,216) ACS Actividades de Construccion y (24) Norwegian Air Shuttle AS (732) (35) Servicios SA (268,869) (9,251) (2,561) Norwegian Property ASA (2,344) (14) (227,282) Almirall SA (2,691,019) 15,608 57,055 Odfjell Drilling Ltd 241,526 6,497 76,659 Amadeus IT Holding SA 'A' 2,473,403 176,982 33,655 Opera Software ASA 314,671 18,516 (73,530) Atresmedia Corp (845,595) (56,152) 33,380 Orkla ASA 214,619 579 (236,371) Banco Bilbao Vizcaya Argentaria SA (2,221,651) (83,143) (125,818) Orkla ASA (808,957) (9,136) 74,147 Banco de Sabadell SA 179,213 6,820 (49,941) Petroleum Geo-Services ASA (395,247) 6,690 (115,687) Banco Popular Espanol SA (598,102) (13,659) 233,415 Petroleum Geo-Services ASA 1,847,310 (172,733) (18,319) Bankinter SA (105,994) (4,450) 2,265 Polarcus Ltd 1,028 (152) 53,733 CaixaBank SA 239,434 3,926 (237,980) Prosafe SE (1,462,950) 63,407 (235) Construcciones y Auxiliar de (24,973) Questerre Energy Corp 'A' (21,450) 336 Ferrocarriles SA (80,617) (1,657) (40,162) Royal Caribbean Cruises Ltd (1,611,441) (90,021) 3,677,706 Deoleo SA 1,563,025 103,762 12,359 Salmar ASA 143,307 12,491 37,480 Distribuidora Internacional de 1,207 Schibsted ASA 51,065 3,336 Alimentacion SA 252,090 7,730 (68,047) Schibsted ASA (2,878,907) (188,931) (87,645) Distribuidora Internacional de 104,288 Seadrill Ltd 2,890,693 199,412 Alimentacion SA (589,500) (7,475) (104,211) Seadrill Ltd (2,888,559) (273,140) (491,208) Duro Felguera SA (2,387,271) 58,945 (279,879) Songa Offshore (87,915) (3,866) (818) Ebro Foods SA (13,689) (96) 104,687 SpareBank 1 SMN 684,012 10,063 1,552 Ebro Foods SA 25,973 210 96,107 SpareBank 1 SR Bank ASA 695,758 20,979 919,243 Ence Energia y Celulosa SA 1,948,795 30,432 95,920 Statoil ASA 2,158,539 34,316 (18,229) Faes Farma SA (40,195) (1,367) (72,159) Statoil ASA (1,623,832) 6,415 185,271 Ferrovial SA 2,954,146 20,506 (48,584) Stolt-Nielsen Ltd (986,603) 2,787 17,272 Fomento de Construcciones y 737,111 Storebrand ASA 3,213,509 160,615 Contratas SA 272,725 7,767 123,906 Subsea 7 SA 1,812,258 25,992 (4,085) Gamesa Corp Tecnologica SA (35,233) (378) (42,325) Subsea 7 SA (619,048) 2,841 146,965 Gamesa Corp Tecnologica SA 1,267,573 216,626 119,185 Telenor ASA 2,073,716 24,248 (70,117) Gas Natural SDG SA (1,477,716) (31,261) (33,142) TGS Nopec Geophysical Co ASA (791,765) 44,691 1,014 Gas Natural SDG SA 21,370 416 1,410 TGS Nopec Geophysical Co ASA 33,685 (684) 19,640 Grifols SA 779,413 25,490 (5,220) Western Bulk ASA (7,238) 534 55,478 Grupo Catalana Occidente SA 1,534,522 54,335 63,968 Yara International ASA 2,151,410 (22,077) (32) Grupo Ezentis SA (32) 6 8,097,767 1,249,596 459,030 Iberdrola SA 2,415,875 45,213 9,242 Inditex SA 987,970 (9,097) Portugal 87,336 Indra Sistemas SA 1,152,835 1,967 106,113 Altri SGPS SA 240,452 3,345 (17,433) Indra Sistemas SA (230,116) (6,276) (203,240) Banco Comercial Portugues SA 'R' (39,490) (5,040) 293,254 Inmobiliaria Colonial SA 175,659 1,148 6,133,334 Banco Comercial Portugues SA 'R' 1,191,707 76,715 (193,266) Jazztel Plc (2,076,643) 32,508 1,014,043 Banco Espirito Santo SA (Right) 135,882 135,882 2,982 Let's GOWEX SA 57,553 (702) (202,132) Banco Espirito Santo SA (Right) (27,086) (27,086) 946,159 Liberbank SA 730,435 (107,355) 1,139,366 Banco Espirito Santo SA Reg 1,119,997 (177,729) 1,013,048 Liberbank SA (Right) 171,205 171,205 (202,132) Banco Espirito Santo SA Reg (198,696) 12,496 (974,971) Mapfre SA (2,909,313) (15,483) 25,717 CTT-Correios de Portugal SA 190,049 (8,600) 144,803 Mediaset Espana Comunicacion SA 1,221,993 103,695 377,782 EDP - Energias de Portugal SA 1,306,748 6,624 (18,622) Mediaset Espana Comunicacion SA (157,151) (18,950) (686,275) EDP - Energias de Portugal SA (2,373,825) (61,554) (163,963) Melia Hotels International SA (1,542,892) (1,729) (338,869) EDP Renovaveis SA (1,707,222) (29,148) (397,057) NH Hoteles SA (1,758,962) 62,415 (88,704) Galp Energia SGPS SA (1,155,370) (22,619) 256,214 Nyesa Valores Corp 43,556 (19,197) 26,773 Galp Energia SGPS SA 348,718 9,529 82,083 Obrascon Huarte Lain SA 2,611,060 2,794 (194,453) Jeronimo Martins SGPS SA (2,435,524) (22) (90,411) Obrascon Huarte Lain SA (2,875,974) (5,118) 10,914 Mota Engil SGPS* – (3) 66,376 Prosegur Cia de Seguridad SA 347,146 7,270
* Investments which are less than 0.5 EUR have been rounded down to zero.
106 BlackRock Strategic Funds (BSF) BlackRock European Diversified Equity Absolute Return Fund continued Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description EUR EUR Holding Description EUR EUR
Spain continued Sweden continued 31,304 Red Electrica Corp SA 1,970,587 114,886 (103,518) Mekonomen AB (2,113,481) (37,860) 30,508 Repsol SA 632,583 6,911 4,193 Millicom International Cellular 89,966 Sacyr SA 445,961 23,613 SA SDR 284,509 (12,475) 77,963 Tecnicas Reunidas SA 3,576,553 120,437 (12,722) Millicom International Cellular 93,944 Telefonica SA 1,155,511 22,185 SA SDR (863,231) 40,926 (61,213) Telefonica SA (752,920) (12,011) 21,149 Modern Times Group AB 'B' 728,572 44,311 45,167 Tubacex SA 168,925 9,126 (36,142) Modern Times Group AB 'B' (1,245,074) (92,383) 32,669 Viscofan SA 1,374,385 20,536 (40,607) NCC AB 'B' (1,047,604) 3,301 (33,247) Viscofan SA (1,398,701) (79,772) 29,298 NCC AB 'B' 755,847 9,685 (43,401) Zardoya Otis SA (575,063) (32,744) 80,638 Net Entertainment NE AB 'B' 1,357,906 (27,421) 7,304,319 953,797 1,644 Nibe Industrier AB 'B' 35,248 (2,264) 35,448 Nobia AB 231,163 747 Sweden 87,347 Nolato AB 'B' 1,451,655 36,083 49,677 AarhusKarlshamn AB 2,384,952 (28,018) 82,134 Nordea Bank AB 890,426 40,642 (2,333) Alfa Laval AB (44,833) (469) (98,796) Peab AB (581,200) (15,879) (9,613) Arcam AB (193,619) (39,318) 154,192 Rezidor Hotel Group AB 717,862 4,286 (75,503) Assa Abloy AB 'B' (2,814,608) 51,423 (24,724) Saab AB 'B' (526,004) (5,330) (42,070) Atlas Copco AB 'A' (907,080) (31,198) (207,781) Sandvik AB (2,180,545) (15,079) (52,893) Avanza Bank Holding AB (1,469,935) 1,865 68,859 Sanitec Corp 661,248 17,522 (119,709) Axis Communications AB (2,581,070) 41,419 (263,220) SAS AB (380,963) 28,195 (23,501) Betsson AB (597,499) 20,147 (244,428) Seamless Distribution AB (817,830) 248,445 266 Betsson AB 6,763 (404) 31,063 Securitas AB 'B' 263,424 (250) 266 Betsson AB 266 266 (33,583) Securitas AB 'B' (284,794) 435 (31,312) Betsson AB (31,361) (31,361) 255,043 Skandinaviska Enskilda Banken AB 'A' 2,536,180 21,760 86,515 Bilia AB 'A' 2,009,150 (39,505) 136,893 Skanska AB 'B' 2,329,321 80,271 19,745 BillerudKorsnas AB 216,014 9,521 (209,110) Skanska AB 'B' (3,558,138) (74,788) (26,820) BillerudKorsnas AB (293,416) (6,839) (146,421) SKF AB 'B' (2,752,516) (36,429) (157,000) Boliden AB (1,619,115) 1,363 (10,592) SSAB AB 'A' (75,076) (1,113) 56,091 Byggmax Group AB 339,543 3,564 22,022 Svenska Cellulosa AB SCA 'B' 451,310 (6,602) 113,483 Castellum AB 1,441,369 23,009 (14,531) Svenska Cellulosa AB SCA 'B' (297,793) 3,850 (111,681) Castellum AB (1,418,481) (1,697) (19,907) Svenska Handelsbanken AB 'A' (745,382) (15,974) (153,115) CDON Group AB (476,917) 191,183 (97) Swedbank AB 'A' (1,900) (48) (858,484) Cloetta AB 'B' (2,163,746) (52,320) 57,073 Swedbank AB 'A' 1,118,122 36,171 20,155 Concentric AB 220,721 6,125 (63,839) Swedish Match AB (1,644,849) (72,859) (482) Dios Fastigheter AB (2,997) 15 65,123 Swedish Match AB 1,677,932 79,221 11,553 Duni AB 132,877 (4,768) 20,615 Swedish Orphan Biovitrum AB 193,767 6,533 192,104 Electrolux AB 'B' 3,558,435 (129,260) (332) Tele2 AB 'B' (2,898) 246 (211,847) Elekta AB 'B' (2,012,202) 124,619 12,383 Tele2 AB 'B' 108,078 (5,223) 146,371 Elekta AB 'B' 1,390,287 (94,588) 311,992 Telefonaktiebolaget LM Ericsson 'B' 2,865,552 159,932 (307,370) Eniro AB (1,792,982) (121,232) (300,737) TeliaSonera AB (1,637,778) (12,151) (125) Fabege AB (1,302) (43) 3,371 Tethys Oil AB 28,661 703 (20,512) Fastighets AB Balder 'B' (202,055) (7,804) 70,798 Trelleborg AB 'B' 1,131,816 43,804 93,811 Getinge AB 'B' 1,779,007 (203,813) (7,928) Unibet Group Plc (278,787) 33,589 91,931 Haldex AB 857,512 58,604 (66,431) Volvo AB 'B' (712,145) 24,863 20,842 Hemfosa Fastigheter AB 256,345 (3,254) 312,072 Volvo AB 'B' 3,345,433 (140,294) 143,633 Hennes & Mauritz AB 'B' 4,494,378 201,537 40,678 Wihlborgs Fastigheter AB 573,071 (806) 144,702 Hexagon AB 'B' 3,339,731 4,553 1,236,998 310,027 (52,687) Hexagon AB 'B' (1,216,019) (10,020) 89,088 Holmen AB 'B' 2,374,827 111,561 Switzerland (73,391) Holmen AB 'B' (1,956,390) (49,530) (64,750) ABB Ltd Reg (1,130,129) (28,675) 233,425 Husqvarna AB 'B' 1,348,793 13,765 67,175 Adecco SA Reg 4,131,926 116,934 (144,731) ICA Gruppen AB (3,574,563) (67,196) 16,599 AFG Arbonia-Forster Holding AG Reg 390,183 (8,846) (33,916) Indutrade AB (1,099,331) 12,003 (375) Allreal Holding AG Reg (37,655) 488 (93,468) Intrum Justitia AB (2,115,069) (117,790) 251 ams AG 29,973 1,191 54,400 Intrum Justitia AB 1,231,007 100,583 (17,472) ams AG (2,086,436) (158,601) 12,127 JM AB 329,410 13,891 3,568 Aryzta AG 243,284 3,990 (128,907) JM AB (3,501,549) (102,434) 87,792 Ascom Holding AG Reg 1,208,006 39,253 (8,121) Kambi Group Ltd (19,181) (19,181) 16,022 Autoneum Holding AG 2,421,130 80,815 16,996 KappAhl AB 72,767 (1,855) 17,792 Baloise Holding AG Reg 1,566,528 15,249 102,106 Kungsleden AB 592,806 (5,029) (6,572) Banque Cantonale Vaudoise Reg (2,632,155) 142,791 5,600 Lindab International AB 49,554 (362) 3 Barry Callebaut AG Reg 2,904 (34) 80,920 Loomis AB 'B' 1,692,186 107,108 (4,704) Basilea Pharmaceutica Reg (418,025) (61,833) 54,923 Lundin Petroleum AB 793,098 (4,735) (1,388) Berner Kantonalbank AG Reg (232,709) 8,028 34,723 Meda AB 'A' 441,405 (4,367) 501 Bucher Industries AG Reg 121,255 4,362
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 107 BlackRock European Diversified Equity Absolute Return Fund continued Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description EUR EUR Holding Description EUR EUR
Switzerland continued Switzerland continued (6,558) Burckhardt Compression Holding AG (2,439,896) 11,160 668 Sonova Holding AG Reg 74,846 460 17,320 Cembra Money Bank Ag 844,762 (18,317) (2,294) Straumann Holding AG Reg (374,648) (7,957) 62,671 Cie Financiere Richemont SA Reg 4,825,024 244,085 (6,927) Sulzer AG Reg (771,594) (3,835) (186,991) Clariant AG Reg (2,825,674) (168,452) 1,557 Swatch Group AG/The 672,692 (20,629) (2,279) Comet Holding AG Reg (1,099,422) (74,996) (3,215) Swatch Group AG/The (1,389,020) 44,141 (9,450) Cosmo Pharmaceuticals SpA (1,079,720) (144,731) 8,444 Swiss Life Holding AG Reg 1,488,317 (5,719) (124,316) Credit Suisse Group AG Reg (2,708,405) (43,756) (35,829) Swiss Prime Site AG Reg (2,123,138) 52,041 (7,042) Daetwyler Holding AG (807,475) (8,781) 12,495 Swiss Re AG 814,619 16,589 8,754 DKSH Holding AG 502,967 (12,844) 594 Swisscom AG Reg 260,039 2,725 (1,719) DKSH Holding AG (98,766) 4,422 (617) Syngenta AG Reg (174,547) 122 3,732 Dufry AG Reg 451,162 6,405 2 Syngenta AG Reg 566 (4) (23,261) Dufry AG Reg (2,812,028) (45,487) (11,502) Tecan Group AG Reg (1,010,830) 24,295 (50,556) EFG International AG (414,074) 3,424 (4,830) Temenos Group AG Reg (128,569) (8,448) 1,887 Emmi AG Reg 489,932 (9,908) 1,187 Temenos Group AG Reg 31,597 1,555 (2,843) EMS-Chemie Holding AG Reg (777,729) 14,494 34,647 Transocean Ltd 1,074,647 14,476 1,743 EMS-Chemie Holding AG Reg 476,814 (5,667) 28,966 U-Blox AG 2,825,565 349,697 (30,674) Evolva Holding SA (37,182) (3,338) 19,481 UBS AG Reg 286,884 5,041 4,289 Flughafen Zuerich AG Reg 1,965,446 18,597 1,033 Valiant Holding AG Reg 80,461 (250) (3,082) Flughafen Zuerich AG Reg (1,412,335) (9,134) (367) Valora Holding AG Reg (72,892) 1,857 987 Forbo Holding AG Reg 737,658 (600) (977) Zehnder Group AG (31,328) (578) (1,258) Galenica AG Reg (911,861) (25,392) 12 Zurich Insurance Group AG 2,641 92 3,599 GAM Holding AG 48,490 1,376 (3,219) Zurich Insurance Group AG (708,425) (43,288) (10,943) Gategroup Holding AG (218,691) 27,065 8,280,112 (4,373) 11,838 Geberit AG Reg 2,882,559 43,219 (2,021) Geberit AG Reg (492,115) (3,635) United Kingdom 4,773 Georg Fischer AG Reg 2,642,671 4,366 34,195 A.G.BARR Plc 266,949 14,219 (506) Georg Fischer AG Reg (280,157) 5,657 19,273 Abcam Plc 91,244 3,492 1,205 Givaudan SA Reg 1,447,845 56,753 (131,327) Aberdeen Asset Management Plc (712,331) (1,381) 1,605 Helvetia Holding AG Reg 561,974 (1,831) (249,376) Advanced Computer Software 16,404 Implenia AG Reg 896,150 46,837 Group Plc (383,228) (23,848) (5) Inficon Holding AG Reg (1,230) 61 438,527 Afren Plc 829,711 21,871 (256) Intershop Holdings AG (71,709) (327) 392,681 African Barrick Gold Plc 1,063,039 (53,420) (16,989) Julius Baer Group Ltd (544,481) 28,519 (65,480) African Barrick Gold Plc (177,263) 9,821 (4,259) Kaba Holding AG Reg 'B' (1,465,082) (26,315) (166,578) Aggreko Plc (3,410,785) 178,991 50,843 Kardex AG Reg 1,803,118 (42,036) 75,232 Aggreko Plc 1,540,421 (70,380) 150,904 Kudelski SA 1,884,845 107,128 130,834 Al Noor Hospitals Group Plc 1,658,685 44,290 (15,302) Kuehne + Nagel International AG (190,255) Alent Plc (746,371) (10,482) Reg (1,535,286) (42,031) (3,824) AMEC Plc (56,767) 239 7,239 Kuoni Reisen Holding AG Reg 'B' 2,290,087 16,267 (778,829) Amerisur Resources Plc (573,297) (42,163) 97 Lindt & Spruengli AG 353,221 3,763 (209,397) Amlin Plc (1,217,396) (68,391) (27) Lindt & Spruengli AG Reg (1,167,512) (28,227) 4,118 Amlin Plc 23,941 (194) (106,872) Logitech International SA Reg (1,019,753) 1,357 (3,169) Anglo American Plc (57,446) 5,497 9,783 Lonza Group AG Reg 769,617 12,251 689,626 Anite Plc 786,357 7,566 212 Luzerner Kantonalbank AG Reg 62,335 128 5,796 AO World Plc 19,310 2,830 (72,641) Meyer Burger Technology AG (728,824) (60,287) (39,473) APR Energy Plc (374,636) 18,595 35,739 Nestle SA Reg 2,053,407 (11,843) (447,789) Aquarius Platinum Ltd (139,169) (17,172) (139,483) Nobel Biocare Holding AG Reg (1,536,556) (109,353) 164,764 ARM Holdings Plc 1,864,720 99,728 (22,215) Novartis AG Reg (1,460,146) (14,625) (7,850) Ashmore Group Plc (34,173) (367) (134,407) OC Oerlikon Corp AG Reg (1,513,664) 19,335 65,652 Ashtead Group Plc 713,094 14,763 88,871 OC Oerlikon Corp AG Reg 1,000,847 2,993 (139,730) Ashtead Group Plc (1,517,708) (30,828) (23,536) Panalpina Welttransport Holding (4,286) ASOS Plc (237,535) (11,830) AG Reg (2,808,647) (181,707) 613 ASOS Plc 33,973 3,639 3,334 Partners Group Holding AG 643,348 (13,787) 101 Associated British Foods Plc 3,765 (14) 47,521 PSP Swiss Property AG Reg 3,170,163 (109,470) (50,571) Associated British Foods Plc (1,885,050) (3,223) (1,676) PubliGroupe AG Reg (274,817) 4,979 7,415 AstraZeneca Plc 391,987 (463) (692) Rieter Holding AG Reg (117,266) (4,680) (1,322) AstraZeneca Plc (69,886) 5,110 19,981 Roche Holding AG 4,330,241 51,832 (101,902) Avanti Communications Group Plc (349,839) (41,274) (10,117) Schindler Holding AG (1,146,814) (10,566) 47,097 Aveva Group Plc 1,308,560 72,456 31 Schmolz + Bickenbach AG Reg 37 5 (7,515) Aveva Group Plc (208,800) (9,440) (16) Schweizerische National- (37,856) Aviva Plc (244,335) (3,564) Versicherungs- 345,501 Babcock International Group Plc 5,152,313 77,048 Gesellschaft AG Reg (786) 13 (1,114,874) BAE Systems Plc (5,797,871) (274,182) (1,116) SGS SA Reg (2,048,382) (26,369) (63,542) Balfour Beatty Plc (182,797) 23,725 10,202 Siegfried Holding AG Reg 1,341,948 3,593 176,909 Balfour Beatty Plc 508,930 23,794 835 Sika AG 2,422,367 21,647 (2,010) Bank of Georgia Holdings Plc (62,247) (2,640) (10,428) Sonova Holding AG Reg (1,168,401) (85,107)
108 BlackRock Strategic Funds (BSF) BlackRock European Diversified Equity Absolute Return Fund continued Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description EUR EUR Holding Description EUR EUR
United Kingdom continued United Kingdom continued 266,813 Barclays Plc 805,943 3,208 43,713 Derwent London Plc (Reit) 1,466,044 15,158 62,311 Barratt Developments Plc 271,641 (8,513) (396,197) Devro Plc (1,244,498) (162,882) 28,945 BBA Aviation Plc 111,808 1,987 (271,447) Diageo Plc (6,402,343) (363,405) 78,048 Bellway Plc 1,318,380 (40,809) (207,416) Dialight Plc (2,284,769) 121,770 208,050 Berendsen Plc 2,562,875 663,190 36,680 Dignity Plc 638,817 14,260 109,505 Berkeley Group Holdings Plc 3,014,256 (10,776) (25,690) Diploma Plc (201,343) 4,841 37,944 Betfair Group Plc 469,281 17,695 118,790 Direct Line Insurance Group Plc 370,358 13,833 (129,083) BG Group Plc (1,946,385) (16,481) 656,106 Dixons Retail Plc 391,208 23,538 61,337 BHP Billiton Plc 1,415,776 (26,554) (137,098) Domino Printing Sciences Plc (1,298,400) (9,799) 347,389 Blinkx Plc 309,632 (64,275) (145,534) Domino's Pizza Group Plc (1,002,841) (92,976) (55,149) Bodycote Plc (510,195) (29,712) 179,116 Domino's Pizza Group Plc 1,234,247 114,080 116,032 Bodycote Plc 1,073,437 44,284 87,096 Dragon Oil Plc 649,413 13,772 (526,595) boohoo.com Plc (322,467) 6,946 220,602 Drax Group Plc 1,699,114 (33,122) 1,676,609 Booker Group Plc 2,906,317 (149,250) (125,104) Drax Group Plc (963,572) 43,774 123,963 Bovis Homes Group Plc 1,158,238 (22,467) (698,764) DS Smith Plc (2,728,799) (53,746) (43,575) Bovis Homes Group Plc (407,139) 15,525 28,542 Dunelm Group Plc 322,472 48 32,706 BowLeven Plc 13,771 (222) 5,381 easyJet Plc 101,215 (1,425) (328,409) BP Plc (2,032,731) 16,722 (340,620) Electrocomponents Plc (1,202,671) 354 46,362 BP Plc 286,964 (1,510) (132,374) Elementis Plc (466,739) (19,962) 30,856 British American Tobacco Plc 1,366,772 63,562 67,485 Elementis Plc 237,946 8,766 (25,143) British American Tobacco Plc (1,113,713) (24,555) 30,033 EnQuest Plc 51,887 848 14,901 British Land Co Plc (Reit) 131,166 2,667 (643,781) Entertainment One Ltd (2,358,558) (111,496) 256,703 British Sky Broadcasting Group Plc 2,767,723 36,208 (327,057) Essar Energy Plc (281,458) (13,592) 285,281 Britvic Plc 2,616,398 107,205 93,851 Essentra Plc 912,080 (1,273) 250,438 BT Group Plc 1,222,930 67,114 537,353 Evraz Plc 694,972 15,569 (47,766) BTG Plc (351,753) (31,326) (141,005) Evraz Plc (182,365) (6,502) 1,203 Bunzl Plc 24,684 (142) (25,103) Exova Group Plc (77,145) (611) (132,239) Bunzl Plc (2,713,364) 3,051 (118,121) Experian Plc (1,502,732) 105,866 17,007 Burberry Group Plc 319,689 900 245,389 Experian Plc 3,121,832 (116,212) (649) Burberry Group Plc (12,200) 15 4,654 Faroe Petroleum Plc 7,789 (411) (288,064) Bwin.Party Digital Entertainment Plc (420,016) 21,986 (294,257) Fenner Plc (1,262,538) 207,037 480,031 Cable & Wireless Communications Plc 312,189 (2,627) 299,785 Ferrexpo Plc 504,551 (36,159) 311,902 Cairn Energy Plc 758,083 60,864 (3,639) Fidessa Group Plc (104,373) (5,631) 218,955 Capita Plc 2,969,084 61,223 (1,531) Firstgroup Plc (2,648) (139) (157,546) Capital & Counties Properties Plc (654,661) (15,201) 425,475 Firstgroup Plc 735,970 47,540 516,777 Capital & Counties Properties Plc 2,147,395 (2,829) (23,859) Flybe Group Plc (42,238) (5,569) 49,924 Carillion Plc 217,395 4,517 (74,868) Fresnillo Plc (745,544) 27,074 (150,045) Carillion Plc (653,375) 21,523 190,795 Friends Life Group Ltd 730,194 37,933 (19,228) Carnival Plc (568,514) (4,495) (1,277,173) G4S Plc (3,928,521) 341 31 Carnival Plc 917 41 (27,374) Galliford Try Plc (380,621) 14,931 70,531 Catlin Group Ltd 454,342 3,415 (30,517) Genel Energy Plc (393,934) (4,789) 490,979 Centamin Plc 369,559 15,685 15,107 Genus Plc 198,726 1,746 (225,957) Centrica Plc (929,052) (26,066) 3,587 GKN Plc 17,278 163 367,599 Centrica Plc 1,511,432 42,093 (535,832) GKN Plc (2,580,983) (78,280) (41,488) Cineworld Group Plc (175,101) (5,739) 100,138 Go-Ahead Group Plc 2,719,387 360,848 223,463 Clinigen Healthcare Ltd 1,217,030 (67,591) 64,732 Grainger Plc 175,875 (657) 56,418 Close Brothers Group Plc 915,553 (42,418) 352,337 Great Portland Estates Plc (Reit) 2,830,714 95,376 (100,541) Close Brothers Group Plc (1,631,583) 73,148 (43,622) Great Portland Estates Plc (Reit) (350,464) (6,608) (686,702) Cobham Plc (2,675,869) (102,695) (224,634) Greencore Group Plc (805,994) (52,293) 106,804 Coca-Cola HBC AG 1,822,506 (57,447) 100,113 Greene King Plc 1,048,630 (7,292) 15,042 Colt Group SA 26,370 2,445 148,378 Greggs Plc 948,560 42,115 (115,541) Compass Group Plc (1,413,355) (86,783) 702,740 Gulf Keystone Petroleum Ltd 812,110 10,163 4,015 Costain Group Plc 13,031 155 (47,871) GW Pharmaceuticals Plc (205,984) (7,771) 12,905 Cranswick Plc 199,745 11,266 311,065 Halfords Group Plc 1,868,515 196,131 (88,523) CRH Plc (1,795,353) (22,858) (3,814) Halfords Group Plc (22,910) 191 (115,935) Croda International Plc (3,735,429) (92,873) 188,464 Halma Plc 1,362,379 36,499 161,795 CSR Plc 1,188,489 70,156 (45,374) Hammerson Plc (Reit) (332,465) (420) 55,293 Daily Mail & General Trust Plc 'A' 598,871 9,842 301,053 Hammerson Plc (Reit) 2,205,877 116,831 (108,468) Dairy Crest Group Plc (621,413) (12,018) (70,909) Hargreaves Lansdown Plc (1,062,348) (32,806) 9,923 Dart Group Plc 33,670 1,249 (509,339) Hays Plc (939,270) (13,816) (1,115,904) Darty Plc (1,210,692) 151,483 635 Henderson Group Plc 1,952 121 56,170 DCC Plc 2,412,099 337,908 (542,736) Henderson Group Plc (1,668,095) (68,499) 87,600 De La Rue Plc 925,640 33,753 (5,341) Heritage Oil Plc (20,874) (1,326) 1,324,981 Debenhams Plc 1,248,410 (30,368) 31,221 Hikma Pharmaceuticals Plc 648,289 43,163 (63,829) Dechra Pharmaceuticals Plc (544,394) (10,950) (102,867) Hiscox Ltd (866,281) 37,436
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 109 BlackRock European Diversified Equity Absolute Return Fund continued Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description EUR EUR Holding Description EUR EUR
United Kingdom continued United Kingdom continued 12,771 Hiscox Ltd 107,549 (2,118) (135,218) Lonmin Plc (436,205) 15,377 (235) Hochschild Mining Plc (431) 12 154,646 Lookers Plc 268,071 3,024 23,516 Home Retail Group Plc 55,216 (3,134) (72,822) Majestic Wine Plc (415,182) 9,222 (1,429) Home Retail Group Plc (3,355) 170 131,342 Man Group Plc 160,826 3,387 662,177 Howden Joinery Group Plc 2,596,096 (9,826) (267,072) Man Group Plc (327,024) (11,521) (246,825) HSBC Holdings Plc (1,909,585) (94,043) 70,412 Marks & Spencer Group Plc 386,423 (8,749) (371,219) Hunting Plc (3,730,869) 93,520 (108,454) Marston's Plc (202,533) (8,354) (70,185) ICAP Plc (343,588) 9,530 (332,378) Mears Group Plc (1,940,966) 94,581 40,179 IG Group Holdings Plc 297,117 (7,031) 129,610 Mecom Group Plc 181,148 (12,264) (41,479) IG Group Holdings Plc (306,730) 11,774 226 Meggitt Plc 1,341 53 35,493 IGAS Energy Plc 57,997 (2,183) (133,477) Meggitt Plc (791,764) (62,737) (986,789) Imagination Technologies Group Plc (2,828,108) (503,905) 607,820 Melrose Industries Plc 2,090,811 (21,961) (2,188) IMI Plc (42,770) (1,366) (829,887) Melrose Industries Plc (2,854,689) 26,465 3,665 Imperial Tobacco Group Plc 121,565 7,578 (21,643) Merlin Entertainments Plc (96,586) (74) (88,463) Imperial Tobacco Group Plc (2,934,240) (142,028) (135,726) Michael Page International Plc (759,719) 12,558 7,028 Inchcape Plc 53,958 36 (113,782) Millennium & Copthorne Hotels Plc (800,832) (32,252) (182,421) Inchcape Plc (1,400,552) 21,718 190,416 Mitchells & Butlers Plc 984,869 (33,971) (1,533) Infinis Energy Plc (3,928) 1,017 (2) Mitchells & Butlers Plc (10) – 229 Informa Plc 1,447 73 (322,338) Mitie Group Plc (1,329,524) (76,431) (343,185) Informa Plc (2,168,620) (133,746) 22,328 Mitie Group Plc 92,095 6,085 174,634 Inmarsat Plc 1,553,315 18,579 (35,874) Mondi Plc (473,670) (42,960) (22,947) Inmarsat Plc (204,106) (914) 121,519 Mondi Plc 1,604,503 151,290 (1,416,897) Innovation Group Plc (583,546) (38,924) 970,352 Moneysupermarket.com Group Plc 2,105,553 4,009 33,290 InterContinental Hotels Group Plc 959,320 43,912 (168,899) Monitise Plc (136,526) (12,852) (21,701) Intermediate Capital Group Plc (111,999) (1,130) 233,627 Monitise Plc 188,847 (3,121) 414,248 Intermediate Capital Group Plc 2,137,937 (94,587) 105,669 Morgan Sindall Group Plc 1,060,059 42,618 (65,244) International Consolidated Airlines (407,922) N Brown Group Plc (2,349,518) (25,628) Group SA (316,191) 7,064 (656,226) Nanoco Group Plc (774,492) 154,680 132,587 International Consolidated Airlines (213,557) National Express Group Plc (724,103) (3,846) Group SA 642,554 17,337 197,869 National Express Group Plc 670,910 (2,817) 43,138 International Personal Finance Plc 320,854 21,513 326 National Grid Plc 3,572 182 (146) International Personal Finance Plc (1,086) (17) (253,812) National Grid Plc (2,780,737) (185,964) (38,397) Intertek Group Plc (1,373,670) 13,507 8,049 Next Plc 655,076 11,706 (432,706) Intu Properties Plc (Reit) (1,675,697) (24,702) 4,021 NMC Health Plc 23,852 (998) (194,535) Investec Plc (1,239,905) (79,752) (385,716) Northgate Plc (2,489,540) (98,271) (6,372,728) IQE Plc (1,723,223) 44,505 (221,226) Ocado Group Plc (1,045,786) (192,511) 155,456 ITE Group Plc 445,876 10,983 (104,172) Old Mutual Plc (259,851) (4,001) 1,175,010 ITV Plc 2,647,867 83,151 302,696 Ophir Energy Plc 982,432 20,993 (423,205) ITV Plc (953,686) (54,855) 575,986 Optimal Payments Plc 2,747,488 245,923 (11,950) J D Wetherspoon Plc (119,881) 2,722 (95,189) Oxford Instruments Plc (1,524,836) (35,213) 345,240 J Sainsbury Plc 1,456,668 57,972 148,281 Pace Plc 688,168 26,341 (274) J Sainsbury Plc (1,156) (37) 454,528 Paragon Group of Cos Plc 2,079,836 70,881 808 Jardine Lloyd Thompson Group Plc 10,241 (212) (880) PayPoint Plc (11,370) 800 7,408 John Wood Group Plc 71,675 2,759 (83,494) Pearson Plc (1,193,788) (18,350) (5,653) Johnson Matthey Plc (225,798) 3,491 4,005,093 Pendragon Plc 1,452,535 (143,368) 452,031 Jupiter Fund Management Plc 2,224,569 86,035 241,577 Pennon Group Plc 2,328,433 58,471 (22,360) Just Eat Plc (65,837) (1,185) (211,601) Pennon Group Plc (2,039,510) (88,145) (292) Kcom Group Plc (333) (333) 86,319 Persimmon Plc 1,409,278 8,904 208,235 Keller Group Plc 2,474,273 (36,664) 16,624 Petrofac Ltd 257,717 (20,308) (1,771,929) Kenmare Resources Plc (221,936) 79,504 15,457 Playtech Plc 128,174 9,906 240,078 Kentz Corp Ltd 2,145,749 101,010 (187,224) Polyus Gold International Ltd (426,395) (2,632) (130,038) Kier Group Plc (2,725,755) (93,029) (573,655) Premier Farnell Plc (1,495,835) 52,703 24,738 Kingfisher Plc 119,370 (5,788) (131,158) Premier Foods Plc (96,747) (12,257) (15,873) Kingfisher Plc (76,593) 3,934 175,134 Premier Oil Plc 760,903 28,756 187,779 Ladbrokes Plc 352,746 21,207 (145,572) Premier Oil Plc (632,465) (43,560) (214,072) Ladbrokes Plc (402,138) (20,029) (31,395) Primary Health Properties Plc (Reit) (134,607) (356) (383,423) Laird Plc (1,402,353) (96,838) (96,328) Provident Financial Plc (2,484,564) (184,764) (76,498) Lancashire Holdings Ltd (609,421) 40,093 (66,574) Prudential Plc (1,135,202) (32,963) (43,035) Land Securities Group Plc (Reit) (566,635) (19,094) (88,526) PZ Cussons Plc (383,203) 23,334 (46) Lavendon Group Plc (126) – 726,703 QinetiQ Group Plc 1,884,194 104,596 (21,559) Legal & General Group Plc (61,093) (1,999) (884) Quadrise Fuels International Plc (361) 43 2,936,832 Lloyds Banking Group Plc 2,795,996 100,741 1,246,503 Quindell Portfolio Plc 296,452 (3,438) (473,205) London Mining Plc (226,885) 312,972 1,202,701 Quintain Estates & Development Plc 1,404,667 14,797 34,952 London Stock Exchange Group Plc 841,350 61,199 7,322 Randgold Resources Ltd 397,062 (3,688)
110 BlackRock Strategic Funds (BSF) BlackRock European Diversified Equity Absolute Return Fund continued Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description EUR EUR Holding Description EUR EUR
United Kingdom continued United Kingdom continued 6,595 Rathbone Brothers Plc 169,130 17,205 (81,352) Standard Chartered Plc (1,344,187) (145,568) (70,167) Reckitt Benckiser Group Plc (4,399,418) (138,943) (12,213) Standard Life Plc (60,074) (3,298) (241,813) Reed Elsevier Plc (2,839,064) (274,172) 65,455 Stock Spirits Group Plc 239,198 11,115 (651) Regenersis Plc (2,667) 49 9,737 SuperGroup Plc 137,782 271 (165,213) Regus Plc (391,804) 26,348 31,766 Synergy Health Plc 495,973 6,226 (5,361) Renishaw Plc (111,450) 390 (268,635) Synthomer Plc (868,912) (6,299) (2,019,529) Rentokil Initial Plc (2,942,121) 3,035 (89,713) TalkTalk Telecom Group Plc (354,272) (3,969) 117,784 Restaurant Group Plc/The 891,264 16,386 277,357 TalkTalk Telecom Group Plc 1,095,268 122,261 (419,558) Rexam Plc (2,717,716) (51,982) 364,753 Tate & Lyle Plc 3,103,549 7,859 (789) Ricardo Plc (6,646) (24) 229,202 Taylor Wimpey Plc 306,366 2,493 165,611 Rightmove Plc 4,660,442 (60,189) 40,901 Ted Baker Plc 969,970 57,355 36,340 Rio Tinto Plc 1,374,689 (62,510) 167,682 Telecity Group Plc 1,486,325 34,853 38,559 Rockhopper Exploration Plc 44,916 (1,688) (19,811) Telecom Plus Plc (371,179) 1,836 28,021,410 Rolls Royce Holdings Plc (Pref) 34,449 34,449 (830,737) Tesco Plc (3,107,781) (81,417) 245,928 Rolls-Royce Holdings Plc 3,140,256 29,691 (127,745) Thomas Cook Group Plc (258,189) (7,813) 73,077 Rotork Plc 2,360,113 57,094 151,612 Travis Perkins Plc 3,123,639 (7,513) (9,167) Rotork Plc (296,060) (987) 331,913 Trinity Mirror Plc 651,864 (52,388) 8,874 Royal Bank of Scotland Group Plc 37,672 2,124 (303,422) TT electronics Plc (766,569) (64,126) (730,031) Royal Bank of Scotland Group Plc (3,099,096) (156,096) 422,484 TUI Travel Plc 2,134,736 (65,068) (75,109) Royal Dutch Shell Plc 'B' (2,245,217) 56,977 (666,511) Tullett Prebon Plc (2,394,306) 175,934 97,693 RPC Group Plc 734,192 (7,939) 5 Tullett Prebon Plc 18 (1) (205,326) RPS Group Plc (731,786) 3,707 203,946 Tullow Oil Plc 2,113,032 (23,922) (34) RSA Insurance Group Plc (201) 2 (133,492) Tyman Plc (470,599) 14,652 1 RSA Insurance Group Plc (Right)* – – 109,501 UBM Plc 909,359 34,975 9,173 SABMiller Plc 373,785 2,637 (15,238) UBM Plc (126,545) 1,203 70,733 SafeStyle UK Plc 176,603 11,909 37,596 UDG Healthcare Plc 158,028 (2,356) (369,196) Sage Group Plc /The (1,877,282) (57,085) (113,702) Ultra Electronics Holdings Plc (2,584,622) (154,993) 235,183 Salamander Energy Plc 429,363 19,658 128,331 United Utilities Group Plc 1,363,170 106,049 (16,350) Savills Plc (127,137) (7,815) (83,971) United Utilities Group Plc (891,965) (61,153) (10,619) Schroders Plc (341,387) (6,366) (29,684) Utilitywise Plc (110,208) 5,489 (276,295) SDL Plc (1,097,154) (72,974) (127,847) Vectura Group Plc (204,720) (326) (300,707) Segro Plc (Reit) (1,354,907) (47,488) (128,200) Vedanta Resources Plc (1,747,880) (64,740) 184,144 Senior Plc 672,801 32,454 (261,463) Vesuvius Plc (1,462,239) (69,341) (137,605) Serco Group Plc (612,569) (12,717) 129,668 Vesuvius Plc 725,172 18,231 (79,591) Shaftesbury Plc (Reit) (655,099) (5,442) 84,086 Victrex Plc 1,864,886 (18,647) 50,135 Shaftesbury Plc (Reit) 412,652 5,371 234,181 Vodafone Group Plc 603,153 (20,936) 27,273 Shire Plc 1,147,039 5,947 4,751 Weir Group Plc/The 153,375 997 521,893 SIG Plc 1,263,979 49,193 (65,908) WH Smith Plc (841,061) 28,379 (830,992) Sirius Minerals Plc (119,315) (23,811) 9,965 Whitbread Plc 511,722 16,427 (38,477) Smith & Nephew Plc (496,078) (53,414) (30,576) William Hill Plc (133,482) (471) (116,868) Smiths Group Plc (1,903,722) (8,695) 994 William Hill Plc 4,339 51 607,228 Smiths News Plc 1,481,253 162,477 75,065 WM Morrison Supermarkets Plc 183,877 (5,125) 62,359 Soco International Plc 321,759 108 (712) Wolseley Plc (29,105) 135 (9,643) Spectris Plc (271,244) 355 69,209 Workspace Group Plc (Reit) 488,390 8,658 172,714 Speedy Hire Plc 122,092 3,318 (156,400) WPP Plc (2,470,768) (47,198) 83,430 Spirax-Sarco Engineering Plc 2,958,806 17,530 103,566 WS Atkins Plc 1,689,586 38,847 (55,381) Spirent Communications Plc (71,217) (7,181) 160,975 Xaar Plc 1,677,219 102,953 (29,236) Sports Direct International Plc (287,541) (7,122) 1,204,195 Xchanging Plc 2,172,536 (113,920) 147,344 SSE Plc 2,824,039 90,427 (2,800,955) 371,895 (106,336) SSE Plc (2,038,067) (9,956) (86,548) St James's Place Plc (835,786) (24,933) Total market value 5,488 ST Modwen Properties Plc 24,953 59 (EUR underlying exposure – EUR 1,365,331,152) (70,313) 626,777 371,488 Stagecoach Group Plc 1,773,390 97,027 (101,018) Stagecoach Group Plc (482,234) (21,219)
Note: The net unrealised appreciation attributed to these transactions is included in the Statement of Net Assets (see Note 2(d)). Barclays Bank, Goldman Sachs and Morgan Stanley are the counterparties to these Contracts for Difference. * Investments which are less than 0.5 EUR have been rounded down to zero.
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 111 BlackRock European Opportunities Extension Fund
Portfolio of Investments as at 31 May 2014 Transferable Securities and Money Market Instruments Admitted to an Transferable Securities and Money Market Instruments Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Official Stock Exchange Listing or Dealt in on Another Regulated Market
Market % of Market % of Value Net Value Net Holding Description EUR Assets Holding Description EUR Assets
COMMON STOCKS (SHARES) Netherlands 102,063 ASML Holding NV 6,430,989 1.25 Austria 211,546 Beter Bed Holding NV 3,674,554 0.72 83,141 Schoeller-Bleckmann Oilfield 1,380,636 ING Groep NV - CVA 14,186,035 2.77 Equipment AG 7,381,258 1.44 235,011 TKH Group NV 6,039,783 1.18 7,381,258 1.44 30,331,361 5.92
Belgium Sweden 62,965 Anheuser-Busch InBev NV 5,077,498 0.99 338,431 Assa Abloy AB 'B' 12,616,064 2.46 154,181 Arseus NV 6,062,397 1.19 570,448 Hexagon AB 'B' 13,165,975 2.57 292,872 KBC Groep NV 12,761,897 2.49 1,074,199 Nordea Bank AB 11,645,537 2.28 43,561 Kinepolis Group NV 5,750,052 1.12 26,974 Melexis NV 809,355 0.16 37,427,576 7.31 30,461,199 5.95 Switzerland 156,186 Actelion Ltd Reg 11,359,518 2.22 Denmark 221,359 Cembra Money Bank AG 10,796,520 2.11 400,667 GN Store Nord A/S 8,079,304 1.58 602,771 Clariant AG Reg 9,108,640 1.78 277,222 Novo Nordisk A/S 'B' 8,609,838 1.68 58,993 Daetwyler Holding AG 6,764,464 1.32 153,780 Novozymes A/S 'B' 5,513,658 1.08 8,489 Givaudan SA Reg 10,199,796 1.99 118,751 Royal UNIBREW 14,001,476 2.73 156,018 Holcim Ltd Reg 9,980,001 1.95 36,204,276 7.07 175,336 Novartis AG Reg 11,524,470 2.25 97,077 Roche Holding AG 21,038,319 4.11 France 57,053 Syngenta AG Reg 16,140,079 3.15 112,111 Legrand SA 5,168,317 1.01 69,348 U-Blox AG 6,764,731 1.32 28,495 MGI Digital Graphic Technology 848,011 0.16 780,946 UBS AG Reg 11,500,469 2.24 6,016,328 1.17 125,177,007 24.44
Germany United Kingdom 120,876 Bayer AG 12,764,506 2.49 904,830 Restaurant Group Plc/The 6,846,791 1.34 51,224 Continental AG 8,864,313 1.73 6,846,791 1.34 181,899 LEG Immobilien AG 9,398,721 1.83 200,883 Norma Group SE 8,081,523 1.58 Total Common Stocks (Shares) 368,632,286 71.97 104,484 Porsche Automobil Holding SE (Pref) 8,191,546 1.60 Total Transferable Securities and Money 59,111 SHW AG 2,750,139 0.54 Market Instruments Admitted to an 50,050,748 9.77 Official Stock Exchange Listing or Dealt in on Another Regulated Market 368,632,286 71.97 Ireland 277,280 DCC Plc 11,907,185 2.32 Funds 350,288 Irish Continental Group Plc 10,158,352 1.98 253,174 Kingspan Group Plc 3,306,453 0.65 Ireland 25,371,990 4.95 46,348,209 Institutional Cash Series Plc - Institutional Euro Assets Italy Liquidity Fund 1 46,348,209 9.05 326,194 Ei Towers SpA 13,256,524 2.59 Total Funds 46,348,209 9.05 13,256,524 2.59 Securities portfolio at market value 414,980,495 81.02 Jersey 17,800 WANdisco Plc 107,228 0.02 Other Net Assets 97,236,429 18.98 107,228 0.02 Total Net Assets (EUR) 512,216,924 100.00
1 This fund is managed by BlackRock.
112 BlackRock Strategic Funds (BSF) BlackRock European Opportunities Extension Fund continued
Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description EUR EUR Holding Description EUR EUR
Belgium Jersey (42,942) Barco NV (2,403,893) (33,557) (173,159) Petrofac Ltd (2,684,430) (95,158) (80,633) Colruyt SA (3,317,241) (94,186) (2,684,430) (95,158) (33,714) EVS Broadcast Equipment SA (1,310,969) 241,452 (71,054) Umicore SA (2,507,496) 140,144 Netherlands (9,539,599) 253,853 (49,656) Fugro NV - CVA (2,098,463) (41,243) (88,320) Koninklijke Vopak NV (3,318,182) 291,988 Bermuda (904) Nutreco NV (29,172) (29,172) (289,761) Vostok Nafta Investment Ltd SDR (1,602,561) (181,423) (13,198) SNS REAAL NV – 12,010 (1,602,561) (181,423) (5,445,817) 233,583
Denmark Norway (56,924) FLSmidth & Co A/S (2,427,649) (260,555) (76,445) Norwegian Air Shuttle AS (2,331,855) (133,803) (2,427,649) (260,555) (63,132) TGS Nopec Geophysical Co ASA (1,508,228) (158,751) (3,840,083) (292,554) Finland (192,576) Fortum OYJ (3,433,630) (276,117) Portugal (136,588) Neste Oil OYJ (2,052,918) (18,341) 677,771 Jeronimo Martins SGPS SA 8,489,082 (204,704) (71,532) Nokian Renkaat OYJ (2,246,105) (126,454) 8,489,082 (204,704) (74,290) Stockmann OYJ Abp 'B' (883,308) (27,025) (8,615,961) (447,937) Spain (597,010) Distribuidora Internacional France de Alimentacion SA (4,015,489) (212,554) 137,017 Cap Gemini SA 7,305,746 295,440 228,301 Grifols SA 6,964,322 328,799 (103,466) Carrefour SA (2,760,990) 25,161 100,822 Inditex SA 10,782,913 (139,310) (27,620) Essilor International SA (2,126,464) (42,538) (79,705) Viscofan SA (3,354,784) (334,665) (16,726) LVMH Moet Hennessy Louis 10,376,962 (357,730) Vuitton SA (2,425,270) (224,354) 206,919 Schneider Electric SA 14,198,782 726,800 Sweden 297,730 Societe Generale SA 12,565,695 (781,964) (114,267) Axis Communications AB (2,463,734) 163,094 (85,470) Veolia Environnement SA (1,193,589) (127,457) (291,148) Elekta AB 'B' (2,765,433) 161,035 233,378 Vinci SA 12,625,750 692,717 (87,137) Hennes & Mauritz AB 'B' (2,726,579) (25,818) 38,189,660 563,805 (132,884) Swedish Match AB (3,423,834) (384,935) (330,590) TelefonaktiebolAGet LM Germany Ericsson 'B' (3,036,369) 66,364 (58,245) Bauer AG (1,080,736) 21,587 (280,461) Volvo AB 'B' (3,005,017) (10,758) (69,042) Delticom AG (2,353,987) (34,314) (17,420,966) (31,018) (77,427) Deutsche Bank AG (2,296,872) 330,050 (71,054) Evonik Industries AG (2,059,500) (68,286) Switzerland (134,793) Hamburger Hafen und Logistik AG (2,503,780) (76,401) (148,793) ABB Ltd Reg (2,595,774) 130,879 (36,050) Hugo Boss AG (3,745,595) (371,877) (42,052) DKSH Holding AG (2,416,124) (89,422) (347,324) Kontron AG (1,756,765) (16,002) (96,128) Julius Baer Group Ltd (3,080,021) 214,903 (19,064) Merck KGaA (2,401,111) (91,937) (207,060) OC Oerlikon Corp AG (2,323,387) 113,690 (102,577) Software AG (2,906,519) (212,848) (10,415,306) 370,050 (131,537) Suedzucker AG (1,980,947) 485,403 (22,574) XING AG (2,136,426) 15,686 United Kingdom (25,222,238) (18,939) (458,937) Aberdeen Asset Management Plc (2,490,447) (224,745) (253,572) ARM Holdings Plc (2,869,572) 30,340 Greece (439,163) Ashmore Group Plc (1,911,805) (193,138) 300,019 OPAP SA 3,780,239 683,944 332,315 AstraZeneca Plc 17,567,517 (621,737) 3,780,239 683,944 540,904 Barratt Developments Plc 2,358,039 (181,837) 306,085 British American Tobacco Plc 13,554,320 1,525,280 Ireland 701,894 BTG Plc 5,168,807 82,740 1,924,106 Ryanair Holdings Plc 13,843,943 588,976 2,463,174 Card Factory Plc 6,056,435 (514,073) 13,843,943 588,976 713,790 Daily Mail & General Trust Plc 7,722,272 (770,879) (117,113) Diageo Plc (2,761,504) (109,089) Italy 944,620 Diploma Plc 7,403,368 (515,768) (352,454) Davide Campari-Milano SpA (2,209,886) (28,240) 863,615 Hargreaves Lansdown Plc 12,938,503 (1,894,864) (263,527) Fiat SpA (2,022,570) 56,544 543,065 Imperial Tobacco Group Plc 18,012,987 2,214,665 (28,645) Tod's SpA (2,835,855) 14,833 (344,531) Infinis Energy Plc (882,710) 178,828 996,041 Inmarsat Plc 8,859,470 (132,680) (7,068,311) 43,137
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 113 BlackRock European Opportunities Extension Fund continued
Contracts For Difference as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Commitment (depreciation) Commitment (depreciation) Holding Description EUR EUR Holding Description EUR EUR
United Kingdom continued United Kingdom continued (79,608) Intertek Group Plc (2,848,011) 72,526 (517,542) Royal Bank of Scotland Group Plc (2,197,657) (235,179) (2,959,292) IQE Plc (800,391) (5,614) 793,387 Royal Dutch Shell Plc 'A' 22,872,830 1,306,558 (1,413,269) J Sainsbury Plc (5,962,990) (85,555) 2,961,292 Senior Plc 10,841,713 721,422 244,542 Johnson Matthey Plc 9,770,770 134,724 1,389,974 Sports Direct International Plc 13,670,634 552,777 (535,575) Just Eat Plc (1,576,949) 21,713 (131,213) Synergy Health Plc (2,048,673) 138,265 222,173 London Stock Exchange Group Plc 5,348,056 42,097 136,504,462 1,814,684 (661,793) McBride Plc (814) (814) 1,634,438 National Express Group Plc 5,541,849 (26,580) Total market value (949,687) Pets at Home Group Plc (2,429,071) 309,800 (EUR underlying exposure – EUR 399,433,291) 116,001,427 2,662,014 (188,268) Rolls-Royce Holdings Plc (2,402,514) (4,499)
Note: The net unrealised appreciation attributed to these transactions is included in the Statement of Net Assets (see Note 2(d)). Deutsche Bank and JPMorgan are the counterparties to these Contracts for Difference.
Time Deposit as at 31 May 2014
Market Value Description EUR %
TIME DEPOSITS ING Bank NV 77,260,429 15.08 Lloyds Bank Plc 6,940,000 1.36 Total Time Deposits 84,200,429 16.44
Open Forward Foreign Exchange Transactions Sector Breakdown as at 31 May 2014 as at 31 May 2014
Unrealised % of Net appreciation/ Assets* (depreciation) Consumer, Non-cyclical 17.82 Purchases Sales Value Date EUR Financial 13.72 EUR 48,856,956 CHF 59,504,352 13/6/2014 114,455 Industrial 13.12 EUR 18,306,360 DKK 136,607,367 13/6/2014 1,280 Consumer, Cyclical 10.95 EUR 6,357,328 SEK 57,459,122 13/6/2014 34,276 Funds 9.05 GBP 109,981,321 EUR 134,020,595 13/6/2014 1,183,139 Basic Materials 8.00 NOK 56,112,980 EUR 6,816,239 13/6/2014 66,386 Communications 5.49 Net unrealised appreciation Energy 1.44 (EUR underlying exposure – EUR 215,456,992) 1,399,536 Technology 1.43 Other Net Assets 18.98 Note: The net unrealised appreciation attributed to these transactions is included 100.00 in the Statement of Net Assets (see Note 2(d)). State Street Bank London is the counterparty to these Open Forward Foreign Exchange * Based on the market value of the Portfolio of Investments except Transactions. for Contract For Difference, which are based on the commitment (where applicable).
114 BlackRock Strategic Funds (BSF) BlackRock Fixed Income Strategies Fund
Portfolio of Investments as at 31 May 2014 Transferable Securities and Money Market Instruments Admitted to an Transferable Securities and Money Market Instruments Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Official Stock Exchange Listing or Dealt in on Another Regulated Market
Market Market Value Value Holding Description EUR % Holding Description EUR %
BONDS Cyprus EUR 8,609,000 Cyprus Government International Australia Bond 4.625% 3/2/2020 8,446,290 1.35 USD 597,000 CNOOC Curtis Funding No 1 Pty Ltd Reg 4.50% 3/10/2023 461,422 0.07 8,446,290 1.35 461,422 0.07 Czech Republic EUR 1,190,000 Czech Republic International Austria 3.875% 24/5/2022 1,379,121 0.22 EUR 400,000 BAWAG PSK Bank fuer Arbeit und Wirtschaft und Oesterreichische 1,379,121 0.22 Postsparkasse AG 8.125% 30/10/2023 471,500 0.08 Denmark EUR 2,000,000 UniCredit Bank Austria AG EUR 675,000 Danske Bank A/S FRN 31/10/2049 697,478 0.11 2.625% 30/1/2018 2,078,450 0.33 697,478 0.11 EUR 1,000,000 Vienna Insurance Group AG / Wiener Versicherung Gruppe France FRN 9/10/2043 1,122,500 0.18 EUR 1,700,000 Auto ABS Compartiment 2013-2 'A' FRN 27/1/2023 1,703,253 0.27 3,672,450 0.59 EUR 1,175,000 BNP Paribas SA 2.375% Belgium 20/5/2024 1,187,267 0.19 EUR 900,000 Anheuser-Busch InBev NV FRN EUR 975,000 BNP Paribas SA FRN 20/3/2026 988,962 0.16 29/3/2018 903,425 0.14 EUR 600,000 BPCE SA 1.75% 14/3/2016 611,235 0.10 EUR 3,100,000 Belfius Bank SA/NV 1.125% EUR 1,200,000 CNP Assurances FRN 5/6/2045 1,206,540 0.19 22/5/2017 3,108,742 0.50 EUR 4,000,000 Compagnie de Financement EUR 2,000,000 KBC Groep NV FRN 29/3/2049 2,007,660 0.32 Foncier SA 2.00% 7/5/2024 4,064,580 0.65 EUR 746,000 KBC Groep NV FRN 29/3/2049 748,857 0.12 EUR 1,200,000 Electricite de France FRN 29/1/2049 1,247,274 0.20 6,768,684 1.08 EUR 165,789 FCT Copernic 2012-1 'A1' FRN 25/9/2029 166,386 0.03 Bermuda EUR 800,000 FCT GINKGO Compartment EUR 2,000,000 Fidelity International Ltd Sales Finance 2013-1 'A' 6.875% 24/2/2017 2,262,780 0.36 FRN 23/12/2040 803,284 0.13 2,262,780 0.36 EUR 14,707,887 France Government Bond OAT 0.25% 25/7/2024 14,658,248 2.34 Brazil EUR 690,000 GDF Suez 1.50% 1/2/2016 702,699 0.11 BRL 4,503,000 Brazil Letras do Tesouro Nacional EUR 3,800,000 GDF Suez 2.375% 19/5/2026 3,799,240 0.61 1/1/2016 (Zero Coupon) 1,237,595 0.20 EUR 3,300,000 GDF Suez FRN 29/6/2049 3,318,150 0.53 1,237,595 0.20 EUR 270,000 Kering 3.75% 8/4/2015 277,337 0.04 EUR 900,000 Master Credit Cards Pass British Virgin Islands Compartment France 2013-1 USD 405,000 CNPC General Capital Ltd Reg 'A' FRN 25/10/2025 901,818 0.14 3.40% 16/4/2023 287,544 0.05 EUR 1,750,000 Numericable Group SA Reg USD 577,000 Wanda Properties International 5.375% 15/5/2022 1,850,914 0.30 Co Ltd 7.25% 29/1/2024 443,841 0.07 EUR 675,000 Renault SA 3.125% 5/3/2021 693,947 0.11 731,385 0.12 38,181,134 6.10
Canada Germany USD 167,000 Barrick Gold Corp 3.85% 1/4/2022 119,393 0.02 EUR 2,875,000 Bayerische Landesbank USD 702,000 Barrick Gold Corp 4.10% 1/5/2023 501,365 0.08 1.75% 8/4/2024 2,913,539 0.47 EUR 16,000,000 Bundesrepublik Deutschland 620,758 0.10 2.50% 15/8/2046 16,840,800 2.69 Cayman Islands EUR 196,000 Daimler AG 1.75% 21/5/2015 198,549 0.03 USD 200,000 China Resources Land Ltd Reg GBP 900,000 Deutsche Bank AG FRN 4.625% 19/5/2016 153,342 0.03 30/4/2049 1,113,107 0.18 USD 1,260,000 Petrobras International Finance EUR 3,000,000 Deutsche Bank AG FRN Co 5.75% 20/1/2020 987,093 0.16 (Perpetual) 3,047,085 0.49 EUR 1,100,000 Principal Financial Global Funding II USD 4,950,000 Deutsche Bank AG/London LLC 4.50% 26/1/2017 1,194,957 0.19 3.70% 30/5/2024 3,649,544 0.58 GBP 400,000 Punch Taverns Finance B Ltd 'A6' EUR 3,000,000 Driver Twelve GmbH 'B' FRN 5.943% 30/12/2024 490,529 0.08 21/6/2020 3,001,500 0.48 GBP 440,411 Punch Taverns Finance B Ltd 'A8' EUR 17,000,000 German Treasury Bill 0.00% FRN 30/6/2033 527,904 0.08 24/9/2014 (Zero Coupon) 16,999,915 2.72 GBP 779,491 Punch Taverns Finance B Ltd Reg EUR 74,000,000 German Treasury Bill 0.00% 7.369% 30/6/2022 1,020,593 0.16 28/1/2015 (Zero Coupon) 73,981,130 11.83 EUR 86,038,961 German Treasury Bill 0.00% 4,374,418 0.70 25/2/2015 (Zero Coupon) 86,008,847 13.75
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 115 BlackRock Fixed Income Strategies Fund continued
Portfolio of Investments as at 31 May 2014 Transferable Securities and Money Market Instruments Admitted to an Transferable Securities and Money Market Instruments Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Official Stock Exchange Listing or Dealt in on Another Regulated Market
Market Market Value Value Holding Description EUR % Holding Description EUR %
Germany continued Ireland continued EUR 3,000,000 Landesbank Hessen-Thueringen EUR 1,700,000 Opera Germany No2 Plc 'C' FRN Girozentrale 0.375% 26/5/2017 2,999,085 0.48 20/10/2014 1,674,075 0.27 EUR 2,850,000 LBBW FRN 27/5/2026 2,850,342 0.45 EUR 399,091 SCF Rahoituspalvelut Ltd 2013-1 EUR 775,000 Mahle GmbH 2.50% 14/5/2021 778,267 0.12 'A' Reg 0.802% 25/5/2021 399,770 0.06 EUR 236,213 Red & Black Auto Germany 2 'A' USD 1,100,000 Sibur Securities Ltd Reg 3.914% FRN 15/9/2022 236,771 0.04 31/1/2018 768,235 0.12 EUR 930,550 SC Germany Auto 'A' FRN EUR 1,709,202 Talisman-4 Finance Plc 'B' FRN 11/12/2023 931,888 0.15 22/7/2015 299,816 0.05 EUR 634,181 SC Germany auto 2013-2 UG EUR 1,732,820 Talisman-6 Finance Plc 'A' FRN haftungsbeschraenkt 'A' 22/10/2016 1,687,189 0.27 FRN 12/3/2023 635,717 0.10 GBP 1,134,617 Titan Europe 2007-1 Nhp Ltd 'A' 216,186,086 34.56 FRN 20/1/2017 1,334,809 0.21 27,353,640 4.37 Greece EUR 1,000,000 Hellenic Republic Government Italy Bond (Step-up Coupon) EUR 4,800,000 Assicurazioni Generali SpA 2.00% 24/2/2024 793,475 0.13 4.125% 4/5/2026 4,950,720 0.79 793,475 0.13 EUR 262,963 AUTO ABS 2012-2 Srl 'A' Reg 2.80% 27/4/2025 267,039 0.04 Indonesia EUR 500,000 Banca Monte dei Paschi di Siena USD 1,027,000 Perusahaan Penerbit SBSN SpA 4.875% 15/9/2016 539,708 0.09 Indonesia Reg 6.125% EUR 8,825,000 Banca Monte dei Paschi di Siena 15/3/2019 845,581 0.14 SpA 2.875% 16/4/2021 8,958,522 1.43 EUR 4,865,000 Banca Popolare dell'Emilia 845,581 0.14 Romagna SC 3.375% 22/10/2018 5,213,091 0.83 Ireland EUR 600,353 Berica PMI Srl 1 'A1X' FRN EUR 100,000 Ardagh Packaging Finance Plc 31/5/2057 609,041 0.10 Reg 7.375% 15/10/2017 105,289 0.02 EUR 200,000 Enel SpA FRN FRN 15/1/2075 208,983 0.03 EUR 1,425,000 Bank of Ireland 2.00% 8/5/2017 1,419,599 0.23 EUR 1,110,256 Fondi Immobili Pubblici Funding EUR 1,010,000 Bank of Ireland Mortgage Bank Srl 'A1' FRN 10/1/2023 1,024,450 0.16 1.875% 13/5/2017 1,038,714 0.17 EUR 1,807,302 Italy Buoni Poliennali Del Tesoro EUR 2,525,000 Bank of Ireland Mortgage Bank 2.15% 15/9/2014 1,814,893 0.29 1.75% 19/3/2019 2,586,673 0.41 EUR 2,622,266 Italy Buoni Poliennali Del Tesoro SEK 12,835,998 Bluestep Mortgage Securities 2.55% 22/10/2016 2,722,895 0.44 No2 Ltd FRN 10/11/2055 1,415,061 0.23 EUR 2,424,321 Italy Buoni Poliennali Del Tesoro EUR 900,000 Caterpillar International Finance 2.25% 22/4/2017 2,507,960 0.40 Ltd 1.375% 18/5/2015 907,812 0.14 EUR 16,892,000 Italy Buoni Poliennali Del Tesoro EUR 215,259 Deco 7-Pan Europe 2 Plc 'C' FRN 2.15% 12/11/2017 17,477,308 2.80 27/1/2018 194,045 0.03 EUR 7,000,000 Italy Buoni Poliennali Del Tesoro EUR 749,723 Deco 9-Pan Europe 3 Plc 'A2' FRN 4.50% 1/3/2019 7,935,025 1.27 27/7/2017 731,370 0.12 EUR 8,695,000 Italy Buoni Poliennali Del Tesoro EUR 1,847,677 Fleet Street Finance Three Plc 'B' 1.65% 23/4/2020 8,778,689 1.40 FRN 25/10/2016 1,799,945 0.29 EUR 360,000 Italy Buoni Poliennali Del Tesoro EUR 1,000,000 GE Capital European Funding 5.50% 1/11/2022 434,268 0.07 1.625% 15/3/2018 1,029,700 0.16 EUR 1,000,000 Luxottica Group SpA 4.00% EUR 179,350 German Residential Funding 10/11/2015 1,048,515 0.17 2013-2 Ltd 'A' FRN 27/11/2024 180,929 0.03 EUR 703,000 Telecom Italia SpA 4.50% EUR 243,534 German Residential Funding 20/9/2017 757,170 0.12 2013-2 Ltd 'B' FRN 27/11/2024 245,643 0.04 GBP 300,000 Telecom Italia SpA 5.875% EUR 316,851 German Residential Funding 19/5/2023 387,173 0.06 2013-2 Ltd 'E' FRN 27/11/2024 325,358 0.05 EUR 8,100,000 UniCredit SpA FRN 10/4/2017‡ 8,098,015 1.30 EUR 228,275 German Residential Funding Plc EUR 1,186,000 UniCredit SpA Reg 6.95% 'A' FRN 27/8/2024 231,550 0.04 31/10/2022 1,424,202 0.23 EUR 113,354 German Residential Funding Plc 'B' FRN 27/8/2024 115,206 0.02 75,157,667 12.02 EUR 142,924 German Residential Funding Plc 'D' FRN 27/8/2024 149,006 0.02 Jersey EUR 142,924 German Residential Funding Plc GBP 1,225,000 AA Bond Co Ltd Reg 9.50% 'E' FRN 27/8/2024 148,641 0.02 31/7/2019 1,696,604 0.27 EUR 7,000,000 Ireland Government Bond 3.40% EUR 2,350,000 Semper Finance 2006-1 Ltd 'D' 18/3/2024 7,476,175 1.20 FRN 30/9/2084 2,305,350 0.37 EUR 1,093,111 Opera Germany No 2 Plc 'A' FRN 4,001,954 0.64 20/10/2014 1,089,030 0.17
‡ Securities pledged or given in guarantee, see Note 14, for further details.
116 BlackRock Strategic Funds (BSF) BlackRock Fixed Income Strategies Fund continued
Portfolio of Investments as at 31 May 2014 Transferable Securities and Money Market Instruments Admitted to an Transferable Securities and Money Market Instruments Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Official Stock Exchange Listing or Dealt in on Another Regulated Market
Market Market Value Value Holding Description EUR % Holding Description EUR %
Latvia Netherlands continued EUR 8,944,000 Republic of Latvia Reg 2.625% EUR 1,300,000 Grupo Antolin Dutch BV Reg 4.75% 21/1/2021 9,192,956 1.47 1/4/2021 1,326,306 0.21 9,192,956 1.47 EUR 58,634 HIGHWAY BV 2012-1 'A' FRN 26/3/2024 58,768 0.01 Luxembourg EUR 4,700,000 ING Bank NV FRN 25/2/2026 4,877,260 0.78 USD 167,000 ArcelorMittal 6.125% 1/6/2018 134,451 0.02 EUR 2,000,000 Louis Dreyfus Commodities BV EUR 111,854 Bumper 2 SA 'A' FRN 23/2/2023 112,307 0.02 3.875% 30/7/2018 2,098,480 0.34 EUR 1,530,000 CNH Industrial Finance Europe EUR 175,000 Nederlandse Gasunie NV 0.875% SA 2.75% 18/3/2019 1,547,740 0.25 30/10/2015 176,072 0.03 EUR 298,292 E-CARAT 2012-1 'A' FRN 18/7/2020 299,652 0.05 EUR 5,025,000 NN Group NV FRN 8/4/2044 5,262,130 0.84 EUR 447,111 ECAR 2013-1 'A' 0.852% EUR 650,000 North Westerly CLO IV 2013 BV 'A1' 18/11/2020 448,116 0.07 FRN 15/1/2026 648,375 0.10 EUR 415,000 ECAR 2013-1 'B' 1.478% EUR 1,471,000 North Westerly CLO IV 2013 BV 'D' 18/11/2020 415,622 0.06 Reg FRN 15/1/2026 1,471,000 0.24 EUR 340,000 Gategroup Finance Luxembourg EUR 1,425,000 PACCAR Financial Europe BV FRN SA Reg 6.75% 1/3/2019 361,563 0.06 19/5/2017 1,426,553 0.23 EUR 710,000 John Deere Bank SA FRN EUR 500,000 Roche Finance Europe BV 2.00% 19/3/2019 712,368 0.11 25/6/2018 526,240 0.09 EUR 100,000 Ontex IV SA Reg 7.50% 15/4/2018 104,250 0.02 EUR 20,414 Storm 2010-1 BV 'A1' FRN EUR 600,000 Red & Black Auto Lease Germany 1 22/3/2052 20,469 0.00 SA 'A' Reg 0.911% 15/4/2024 600,720 0.09 EUR 639,390 Storm 2012-4 BV 'A1' FRN EUR 100,000 Servus Luxembourg Holding SCA 22/8/2054 642,856 0.10 Reg 7.75% 15/6/2018 108,127 0.02 EUR 168,418 Storm 2013-4 BV 'A1' FRN EUR 104,912 Volkswagen Car Lease '15B' FRN 22/10/2053 168,508 0.03 21/1/2018 105,150 0.02 EUR 1,000,000 Volkswagen International Finance EUR 395,225 Volkswagen Car Lease '16A' FRN NV FRN 15/4/2019 1,002,160 0.16 21/7/2018 395,264 0.06 EUR 2,230,000 Volkswagen International Finance EUR 500,000 Volkswagen Car Lease 19 'B' Reg NV Reg FRN 24/3/2049 2,326,124 0.37 FRN 21/11/2019 499,750 0.08 EUR 935,000 Volkswagen International Finance NV Reg FRN 29/3/2049 957,206 0.15 5,845,080 0.93 39,059,128 6.24 Mexico EUR 1,500,000 America Movil SAB de CV 1.00% Norway 4/6/2018 1,495,867 0.24 EUR 1,000,000 Santander Consumer Bank AS 1.00% 10/6/2016 999,805 0.16 1,495,867 0.24 999,805 0.16 Netherlands EUR 700,000 Aegon NV FRN 25/4/2044 713,108 0.11 Portugal EUR 1,000,000 ASML Holding NV 3.375% EUR 683,634 Atlantes Ltd Atlantes Finance Plc 19/9/2023 1,079,165 0.17 'A' FRN 20/3/2033 685,443 0.11 EUR 250,000 BASF Finance Europe NV 5.00% EUR 3,300,000 Banco Espirito Santo SA 4.00% 26/9/2014 253,658 0.04 21/1/2019 3,398,373 0.54 USD 821,000 Bharti Airtel International EUR 6,200,000 Banco Santander Totta SA 1.50% Netherlands BV Reg 5.35% 3/4/2017 6,253,134 1.00 20/5/2024 634,075 0.10 EUR 400,000 Brisa Concessao Rodoviaria SA EUR 875,000 BMW Finance NV FRN 4/4/2017 875,324 0.14 3.875% 1/4/2021 417,942 0.07 EUR 21,706 Bumper 4 NL Finance BV 2011-4 EUR 1,330,652 GAMMA Sociedade de Titularizacao 'A' FRN 20/5/2026 21,718 0.00 de Creditos SA Atlantes SME 'A' EUR 5,700,000 Cooperatieve Centrale Raiffeisen- FRN 28/12/2043 1,339,544 0.22 EUR 19,090,000 Portugal Obrigacoes do Tesouro Boerenleenbank BA/Netherlands OT 4.75% 14/6/2019 21,072,019 3.37 FRN 23/11/2015 5,699,116 0.91 EUR 4,200,000 Portugal Obrigacoes do Tesouro EUR 2,150,000 Cooperatieve Centrale Raiffeisen- OT 4.80% 15/6/2020 4,651,815 0.74 Boerenleenbank BA/Netherlands EUR 2,546,575 TAGUS-Sociedade de Titularizacao FRN 26/5/2026 2,129,683 0.34 de Creditos SA Volta II Electricity GBP 2,200,000 Cooperatieve Centrale Raiffeisen- Receivables ABS 2.98% Boerenleenbank BA/Netherlands 16/2/2018 2,559,479 0.41 4.625% 23/5/2029 2,697,667 0.43 EUR 1,414,703 Volta Electricity Receivables Reg EUR 162,003 E-MAC DE 2009-I BV 'A1' FRN 4.172% 16/2/2017 1,443,834 0.23 25/11/2053 165,935 0.03 EUR 1,679,000 EDP Finance BV 4.125% 20/1/2021 1,801,172 0.29 41,821,583 6.69
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 117 BlackRock Fixed Income Strategies Fund continued
Portfolio of Investments as at 31 May 2014 Transferable Securities and Money Market Instruments Admitted to an Transferable Securities and Money Market Instruments Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Official Stock Exchange Listing or Dealt in on Another Regulated Market
Market Market Value Value Holding Description EUR % Holding Description EUR %
Romania United Arab Emirates EUR 5,300,000 Romanian Government USD 555,000 Emirates Airline Reg 4.50% International Bond 6/2/2025 403,212 0.06 5.25% 17/6/2016 5,683,455 0.91 EUR 2,000,000 Glencore Finance Dubai Ltd 5,683,455 0.91 2.625% 19/11/2018 2,094,010 0.34 2,497,222 0.40 Slovakia EUR 298,689 Granvia AS 4.781% 30/9/2039 313,358 0.05 United Kingdom 313,358 0.05 EUR 1,228,349 Aire Valley Mortgages Plc 2004-1X FRN 20/9/2066 1,204,759 0.19 Slovenia GBP 214,900 Annington Finance No 4 Plc 'B3' EUR 3,932,000 Slovenia Government Bond FRN 10/1/2023 262,744 0.04 1.75% 9/10/2017 3,968,882 0.63 GBP 2,325,000 Asset-Backed European EUR 3,255,000 Slovenia Government Bond Securitisation Transaction 3.00% 8/4/2021 3,304,866 0.53 Eight Srl 'B' Reg FRN EUR 1,750,000 Slovenia Government Bond 15/6/2019 2,870,209 0.46 4.625% 9/9/2024 1,946,394 0.31 EUR 330,000 BP Capital Markets Plc 2.972% EUR 375,000 Slovenia Government Bond 27/2/2026 349,551 0.06 5.125% 30/3/2026 428,091 0.07 GBP 958,332 Broadgate Financing Plc 'C1' FRN 5/1/2022 1,160,711 0.19 9,648,233 1.54 GBP 133,000 Broadgate Financing Plc 'D' South Korea FRN 5/10/2023 160,035 0.03 GBP 123,574 Bruntwood Alpha Plc 2007-1 'A' USD 200,000 Korea Finance Corp 4.625% FRN 15/1/2019 153,213 0.02 16/11/2021 162,304 0.03 GBP 404,265 Bruntwood Alpha Plc 2007-1 'B' 162,304 0.03 FRN 15/1/2019 502,101 0.08 EUR 131,111 Bumper 5 UK Finance Plc 'A1' FRN Spain 20/6/2022 131,470 0.02 EUR 700,000 Ayt Cedulas Cajas Global 4.00% GBP 285,000 Co-operative Group Holdings 2011 20/12/2016 748,685 0.12 (Step Coupon) 6.875% 8/7/2020 370,635 0.06 EUR 3,500,000 Ayt Cedulas Cajas Global 4.00% GBP 106,158 E-CARAT 2012-1 'A' 1.30% 24/3/2021 3,801,087 0.61 18/6/2020 130,628 0.02 EUR 1,000,000 Banco Bilbao Vizcaya Argentaria GBP 388,726 E-CARAT 3 Plc 'A' FRN 18/3/2022 478,430 0.08 SA 4.25% 15/7/2014 1,004,390 0.16 GBP 278,639 Eddystone Finance Plc 'A2' FRN EUR 800,000 Banco Bilbao Vizcaya Argentaria 19/4/2021 337,330 0.05 SA 3.00% 9/10/2014 806,736 0.13 GBP 150,000 Enterprise Inns Plc 6.875% EUR 8,900,000 Bankia FRN 22/5/2024 8,834,763 1.41 15/2/2021 197,319 0.03 EUR 4,700,000 Bankia SA 3.625% 5/10/2016 4,974,715 0.80 EUR 1,400,000 FCE Bank Plc 1.875% 18/4/2019 1,428,623 0.23 EUR 1,000,000 Bankia SA 4.25% 25/5/2018 1,109,650 0.18 GBP 280,000 Gala Group Finance Plc Reg EUR 1,100,000 CaixaBank SA 2.625% 21/3/2024 1,129,502 0.18 8.875% 1/9/2018 367,320 0.06 EUR 2,000,000 Cajas Rurales Unidas SCC 3.75% GBP 1,596,132 Greene King Finance Plc 'A5' FRN 22/11/2018 2,141,140 0.34 15/12/2033 1,961,053 0.31 EUR 2,400,000 Cedulas TDA Fondo de Titulizacion USD 835,000 HSBC Holdings Plc 5.25% de Activos 'A6' 4.25% 10/4/2031 2,437,980 0.39 14/3/2044 648,106 0.10 EUR 870,000 Spain Government Bond 2.10% GBP 295,000 IDH Finance Plc Reg 6.00% 30/4/2017 897,144 0.14 1/12/2018 379,852 0.06 27,885,792 4.46 USD 410,144 Leek Finance Number Eighteen Plc 'A2B' FRN 21/9/2038 311,320 0.05 Sweden USD 256,340 Leek Finance Number Eighteen EUR 800,000 Scania CV AB 1.75% 22/3/2016 816,152 0.13 Plc 'A2D' FRN 21/9/2038 194,339 0.03 EUR 2,530,000 Scania CV AB 1.625% 14/9/2017 2,591,757 0.42 GBP 134,950 London & Regional Debt 3,407,909 0.55 Securitisation No 1 Plc 'A' FRN 15/10/2017 167,773 0.03 Switzerland GBP 271,822 London & Regional Debt EUR 1,300,000 Credit Suisse AG/London 3.875% Securitisation No 2 Plc 25/1/2017 1,405,794 0.22 'A' FRN 15/10/2018 339,022 0.05 USD 2,925,000 UBS AG 5.125% 15/5/2024 2,164,280 0.35 GBP 300,000 Mitchells & Butlers Finance Plc 3,570,074 0.57 'C1' 6.469% 15/9/2030 442,685 0.07 GBP 955,000 Mitchells & Butlers Finance Plc Turkey 'C2' FRN 15/9/2034 1,056,666 0.17 USD 630,000 Hazine Mustesarligi Varlik GBP 798,000 Mitchells & Butlers Finance Plc Kiralama AS Reg 2.803% 'D1' FRN 15/6/2036 867,707 0.14 26/3/2018 458,306 0.07 GBP 23,863 Motor 2012 Plc 'A2' FRN 25/2/2020 29,354 0.00 458,306 0.07
118 BlackRock Strategic Funds (BSF) BlackRock Fixed Income Strategies Fund continued
Portfolio of Investments as at 31 May 2014 Transferable Securities and Money Market Instruments Admitted to an Transferable Securities and Money Market Instruments Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Official Stock Exchange Listing or Dealt in on Another Regulated Market
Market Market Value Value Holding Description EUR % Holding Description EUR %
United Kingdom continued United Kingdom continued GBP 850,000 Nationwide Building Society FRN GBP 821,000 Turbo Finance 4 Plc 'A' FRN 11/3/2049 1,071,765 0.17 20/1/2021 1,009,542 0.16 EUR 2,581,000 NBG Finance Plc 4.375% GBP 1,930,000 Unique Pub Finance Co Plc/The 30/4/2019 2,550,170 0.41 7.395% 28/3/2024 2,461,713 0.39 EUR 2,700,807 Paragon Mortgages No 7 Plc 'A1C' GBP 1,731,350 Unique Pub Finance Co Plc/The FRN 15/5/2034 2,595,167 0.42 5.659% 30/6/2027 2,163,551 0.35 GBP 285,000 Phones4u Finance Plc Reg 9.50% GBP 2,273,280 Unique Pub Finance Co Plc/The 1/4/2018 366,413 0.06 'A3' 6.542% 30/3/2021 2,957,571 0.47 GBP 350,125 Precise Mortgage Funding No 1 Plc GBP 3,106,000 Unique Pub Finance Co Plc/The 'A' FRN 12/3/2047 434,183 0.07 'N' 6.464% 30/3/2032 3,618,034 0.58 GBP 155,725 Premiertel Plc 'B' 6.175% 8/5/2032 213,603 0.03 GBP 5,700 Windermere CMBS Plc 'A' FRN GBP 100,000 Priory Group No 3 Plc Reg 7.00% 24/4/2017 6,971 0.00 15/2/2018 129,864 0.02 52,179,851 8.34 GBP 1,520,000 Punch Taverns Finance Plc 'A1R' 7.274% 15/4/2022 1,987,811 0.32 United States GBP 315,785 Punch Taverns Finance Plc 'A2R' USD 180,000 Barrick North America Finance 6.82% 15/7/2020 411,519 0.07 LLC 4.40% 30/5/2021 135,987 0.02 GBP 254,412 Residential Mortgage Securities EUR 538,000 Citigroup Inc FRN 30/11/2017 536,655 0.08 25 Plc 'A1' FRN 16/12/2050 327,949 0.05 USD 350,000 COX Communications Inc '144A' GBP 155,039 Residential Mortgage Securities 26 8.375% 1/3/2039 364,125 0.06 Plc 'A1' FRN 14/2/2041 200,252 0.03 USD 454,000 Dell Inc 2.30% 10/9/2015 336,654 0.05 GBP 200,000 Rochester Financing No 1 Plc 'B' USD 285,000 General Motors Co '144A' 6.25% Reg FRN 16/7/2046 247,505 0.04 2/10/2043 238,537 0.04 EUR 2,000,000 Royal Bank of Scotland Group Plc USD 896,000 HCP Inc 4.25% 15/11/2023 689,942 0.11 1.50% 28/11/2016 2,028,140 0.32 USD 543,000 HSBC Finance Corp 5.25% GBP 1,500,000 Sherwood Castle Funding Series 15/4/2015 414,988 0.07 2004-2 Plc 'A' FRN 15/6/2016 1,842,982 0.29 USD 660,000 Interpublic Group of Cos Inc/The GBP 139,176 Silk Road Finance Number Three 4.20% 15/4/2024 501,506 0.08 Plc 'A' FRN 21/6/2055 173,592 0.03 EUR 1,975,000 Jefferies Group LLC 2.375% GBP 1,972,000 Spirit Issuer Plc 'A2' FRN 20/5/2020 1,992,666 0.32 28/12/2031 2,303,151 0.37 USD 400,000 JPMorgan Chase & Co 'Q' FRN GBP 674,000 Spirit Issuer Plc 'A6' FRN (Perpetual) 281,928 0.04 28/12/2036 797,540 0.13 USD 2,100,000 JPMorgan Chase & Co 'U' FRN EUR 1,330,000 SSE Plc FRN (Perpetual) 1,377,953 0.22 (Perpetual) 1,560,126 0.25 GBP 505,000 Stonegate Pub Co Financing Plc USD 80,000 Life Technologies Corp 6.00% Reg FRN 15/4/2019 629,463 0.10 1/3/2020 69,092 0.01 GBP 420,000 Stonegate Pub Co Financing Plc USD 352,000 Life Technologies Corp 5.00% Reg 5.75% 15/4/2019 522,801 0.08 15/1/2021 291,523 0.05 EUR 217,256 Taurus 2013 GMF1 Plc 'A' FRN EUR 1,400,000 Morgan Stanley 2.25% 12/3/2018 1,455,915 0.23 21/5/2024 219,513 0.04 USD 300,000 Morgan Stanley 5.75% 25/1/2021 255,173 0.04 EUR 98,753 Taurus 2013 GMF1 Plc 'B' FRN USD 3,500,000 Morgan Stanley 'H' FRN (Perpetual) 2,664,411 0.43 21/5/2024 99,832 0.02 USD 740,000 QVC Inc 5.125% 2/7/2022 577,735 0.09 EUR 266,632 Taurus 2013 GMF1 Plc 'D' FRN USD 2,093,000 QVC Inc 4.375% 15/3/2023 1,553,715 0.25 21/5/2024 269,445 0.04 USD 1,410,000 QVC Inc '144A' 4.85% 1/4/2024 1,085,306 0.17 EUR 679,418 Taurus 2013 GMF1 Plc 'E' FRN USD 566,000 SLM Corp 3.875% 10/9/2015 429,055 0.07 21/5/2024 688,132 0.11 USD 160,000 SLM Corp 6.25% 25/1/2016 126,133 0.02 GBP 250,000 Telereal Securitisation Plc 'B6' USD 324,000 Verizon Communications Inc FRN 10/12/2031 247,680 0.04 2.45% 1/11/2022 224,949 0.04 GBP 200,000 Temese Funding 1 Plc 'B' FRN USD 1,223,000 Verizon Communications Inc 21/11/2021 246,244 0.04 5.15% 15/9/2023 1,012,789 0.16 GBP 385,000 Temese Funding 1 Plc 'C' FRN USD 2,650,000 Wells Fargo & Co 'S' FRN 21/11/2021 474,054 0.08 (Perpetual) 2,050,171 0.33 GBP 10,636 Turbo Finance 2 2012-1 Plc 'A' 18,849,081 3.01 FRN 20/2/2019 13,084 0.00 GBP 249,000 Turbo Finance 2 2012-1 Plc 'B' Total Bonds 616,241,922 98.52 5.50% 20/2/2019 312,948 0.05 Total Transferable Securities and Money GBP 98,283 Turbo Finance 3 Plc 'A' FRN Market Instruments Admitted to an 20/11/2019 120,943 0.02 Official Stock Exchange Listing or GBP 451,000 Turbo Finance 3 Plc 'B' FRN Dealt in on Another Regulated Market 616,241,922 98.52 20/11/2019 555,816 0.09
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 119 BlackRock Fixed Income Strategies Fund continued
Portfolio of Investments as at 31 May 2014
Funds
Market Value Holding Description EUR %
Ireland 16,531,218 Institutional Cash Series Plc - Institutional Euro Assets Liquidity Fund 1 16,531,218 2.64 16,531,218 2.64 Total Funds 16,531,218 2.64 Securities portfolio at market value 632,773,140 101.16
Other Net Liabilities (7,247,499) (1.16) Total Net Assets (EUR) 625,525,641 100.00
1 This fund is managed by BlackRock.
Open Exchange Traded Futures Contracts Open Forward Foreign Exchange Transactions as at 31 May 2014 as at 31 May 2014
Unrealised Unrealised Underlying appreciation/ appreciation/ Number of Contract/ Expiration exposure (depreciation) (depreciation) Contracts Description date EUR EUR Purchases Sales Value date EUR (343) 90 Day Euro March 2016 251,121,028 12,591 DKK 940,000 EUR 126,038 12/6/2014 (81) 152 Euro BTP June 2014 17,194,088 57,579 EUR 504,324 AUD 780,000 12/6/2014 (27,505) (264) Euro-OAT June 2014 32,461,704 (219,440) EUR 51,158,596 GBP 42,520,000 12/6/2014 (1,112,936) (934) German Euro BOBL June 2014 108,060,064 (347,240) EUR 4,587,665 NOK 37,940,000 12/6/2014 (66,097) (381) German Euro Bund June 2014 39,267,003 (202,330) EUR 1,522,557 SEK 13,530,000 12/6/2014 33,633 11 German Euro Buxl June 2014 1,531,651 48,620 EUR 52,670,936 USD 72,840,000 12/6/2014 (808,423) (17) German Euro Schatz June 2014 1,705,831 (2,040) GBP 4,030,000 EUR 4,969,144 12/6/2014 (14,904) (28) UK Long Gilt Bond September 2014 4,188,627 (24,785) NOK 38,640,000 EUR 4,686,004 12/6/2014 53,621 (324) US Treasury 10 Year Note September 2014 25,527,488 (76,201) PLN 320,000 EUR 75,449 12/6/2014 1,822 (22) US Treasury 2 Year Note September 2014 3,303,656 (757) USD 1,539,236 BRL 3,670,000 12/6/2014 (67,623) 36 US Treasury 5 Year Note September 2014 2,628,034 1,033 USD 34,060,000 EUR 24,764,082 12/6/2014 242,878 (8) US Ultra Bond September 2014 734,264 (8,535) CHF 8,968 EUR 7,348 13/6/2014 (3) Total 487,723,438 (761,505) EUR 23 CHF 28 13/6/2014 0 USD 10,051 EUR 7,307 13/6/2014 73 Note: The net unrealised depreciation of attributed to these transactions is included Net unrealised depreciation in the Statement of Net Assets (see Notes 2(d)). (EUR underlying exposure – EUR 149,672,053) (1,765,545)
Note: The net unrealised depreciation attributed to these transactions is included Sector Breakdown in the Statement of Net Assets (see Note 2(d)). as at 31 May 2014 Barclays Bank Plc, BNP Paribas SA, Citibank N.A. London, Credit Suisse International, Deutsche Bank AG London, HSBC Bank Plc, State Street Bank and Trust Company, State % of Net Street Bank London and UBS AG London are the counterparties to these Open Forward Foreign Exchange Transactions. Assets* Government 51.48 Financial 26.28 Consumer, Cyclical 6.03 Asset Backed Securities 4.62 Mortgage Securities 3.90 Funds 2.64 Utilities 2.02 Communications 1.22 Consumer, Non-cyclical 1.14 Basic Materials 0.52 Energy 0.46 Diversified 0.43 Technology 0.22 Industrial 0.20 Other Net Liabilities (1.16) 100.00
* Based on the market value of the Portfolio of Investments except for Contract For Difference, which are based on the commitment (where applicable).
120 BlackRock Strategic Funds (BSF) BlackRock Fixed Income Strategies Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
EUR 2,500,000 Credit Default Swaps (Bank of America) (Fund EUR 16,800,000 Credit Default Swaps (Barclays Bank) (Fund receives default protection on Imperial Tobacco receives Fixed 5.000% and provides default Finance Plc 6.250% 4/12/2018 and pays Fixed protection on iTraxx XO 21 Version 1) 1.000%) (20/3/2019) (14,368) (20/6/2019) 149,727 EUR 1,345,000 Credit Default Swaps (Bank of America) (Fund EUR 400,000 Credit Default Swaps (Citibank) (Fund receives receives Fixed 1.000% and provides default default protection on iTraxx FinSub 17 Version 1 protection on British Telecommunications Plc and pays Fixed 1.000%) (20/6/2017) (31,515) 5.750% 7/12/2028) (20/6/2019) 951 EUR 690,000 Credit Default Swaps (Citibank) (Fund receives USD 30,000 Credit Default Swaps (Bank of America) (Fund default protection on Koninklijke KPN NV receives Fixed 1.000% and provides default 8.375% 1/10/2030 and pays Fixed 1.000%) protection on Host Hotels & Resorts LP 6.750% (20/3/2019) (6,714) 1/6/2016) (20/6/2018) 919 EUR 1,000,000 Credit Default Swaps (Citibank) (Fund receives EUR 300,000 Credit Default Swaps (Bank of America) (Fund default protection on Koninklijke KPN NV receives Fixed 1.000% and provides default 8.375% 1/10/2030 and pays Fixed 1.000%) protection on RWE AG 5.750% 14/2/2033) (20/3/2019) (8,732) (20/9/2018) 5,182 EUR 54,000,000 Credit Default Swaps (Citigroup Global Markets EUR 1,565,000 Credit Default Swaps (Bank of America) (Fund SG) (Fund receives default protection on iTraxx receives Fixed 1.000% and provides default Europe Series 21 Version 1 and pays Fixed protection on Vodafone Group Plc 5.000% 1.000%) (20/6/2019) (83,492) 4/6/2018) (20/6/2019) 2,912 EUR 1,245,000 Credit Default Swaps (Credit Suisse) (Fund EUR 2,500,000 Credit Default Swaps (Barclays Bank) (Fund receives default protection on Koninklijke KPN receives default protection on Deutsche NV 7.500% 4/2/2019 and pays Fixed 1.000%) Telekom International Finance BV 6.000% (20/6/2019) (3,350) 20/1/2017 and pays Fixed 1.000%) (20/3/2019) (5,271) EUR 505,000 Credit Default Swaps (Credit Suisse) (Fund EUR 1,260,000 Credit Default Swaps (Barclays Bank) (Fund receives default protection on Koninklijke KPN receives default protection on iTraxx Europe NV 8.375% 1/10/2030 and pays Fixed 1.000%) Series 21 Version 1 and pays Fixed 1.000%) (20/3/2019) (4,425) (20/6/2019) (749) USD 260,000 Credit Default Swaps (Credit Suisse) (Fund EUR 930,000 Credit Default Swaps (Barclays Bank) (Fund receives Fixed 1.000% and provides default receives default protection on Koninklijke KPN protection on Host Hotels & Resorts LP 6.750% NV 7.500% 4/2/2019 and pays Fixed 1.000%) 1/6/2016) (20/6/2018) 7,779 (20/6/2019) (1,589) USD 510,000 Credit Default Swaps (Credit Suisse) (Fund EUR 550,000 Credit Default Swaps (Barclays Bank) (Fund receives Fixed 1.000% and provides default receives default protection on Koninklijke KPN protection on Host Hotels & Resorts LP 6.750% NV 8.375% 1/10/2030 and pays Fixed 1.000%) 1/6/2016) (20/6/2018) 14,885 (20/3/2019) (4,294) EUR 516,000 Credit Default Swaps (Deutsche Asset EUR 350,000 Credit Default Swaps (Barclays Bank) (Fund Management Life) (Fund receives Fixed 1.000% receives default protection on Pernod Ricard and provides default protection on E.ON AG SA 4.875% 18/3/2016 and pays Fixed 1.000%) 6.375% 29/5/2017) (20/12/2017) 6,580 (20/9/2018) (7,062) USD 525,000 Credit Default Swaps (Deutsche Bank) (Fund EUR 300,000 Credit Default Swaps (Barclays Bank) (Fund provides default protection on Firstenergy Corp receives default protection on Pernod Ricard 7.375% 15/11/2031 and receives Fixed 1.000%) SA 4.875% 18/3/2016 and pays Fixed 1.000%) (20/3/2018) (7,645) (20/9/2018) (5,905) EUR 1,015,000 Credit Default Swaps (Deutsche Bank) (Fund EUR 200,000 Credit Default Swaps (Barclays Bank) (Fund receives default protection on Banco Bilbao receives default protection on Pernod Ricard Vizcaya Argentaria SA 4.375% 20/10/2019 SA 4.875% 18/3/2016 and pays Fixed 1.000%) and pays Fixed 3.000%) (20/3/2019) (26,171) (20/9/2018) (3,838) EUR 1,105,000 Credit Default Swaps (Deutsche Bank) (Fund EUR 300,000 Credit Default Swaps (Barclays Bank) (Fund receives default protection on iTraxx Europe receives Fixed 1.000% and provides default Series 21 Version 1 and pays Fixed 1.000%) protection on RWE AG 5.750% 14/2/2033) (20/6/2019) (588) (20/9/2018) 7,405 EUR 965,000 Credit Default Swaps (Deutsche Bank) (Fund EUR 350,000 Credit Default Swaps (Barclays Bank) (Fund receives default protection on iTraxx Europe receives Fixed 1.000% and provides default Series 21 Version 1 and pays Fixed 1.000%) protection on RWE AG 5.750% 14/2/2033) (20/6/2019) 39 (20/9/2018) 6,565 EUR 660,000 Credit Default Swaps (Deutsche Bank) (Fund EUR 200,000 Credit Default Swaps (Barclays Bank) (Fund receives default protection on iTraxx Europe receives Fixed 1.000% and provides default Series 21 Version 1 and pays Fixed 1.000%) protection on RWE AG 5.750% 14/2/2033) (20/6/2019) 106 (20/9/2018) 3,454 EUR 1,095,000 Credit Default Swaps (Deutsche Bank) (Fund EUR 1,260,000 Credit Default Swaps (Barclays Bank) (Fund receives default protection on iTraxx Europe receives Fixed 1.000% and provides default Series 21 Version 1 and pays Fixed 1.000%) protection on Vodafone Group Plc 5.000% (20/6/2019) 166 4/6/2018) (20/6/2019) 2,991
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 121 BlackRock Fixed Income Strategies Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
EUR 385,000 Credit Default Swaps (Deutsche Bank) (Fund EUR 705,000 Credit Default Swaps (HSBC Bank Plc) (Fund receives default protection on Koninklijke KPN receives Fixed 3.000% and provides default NV 8.375% 1/10/2030 and pays Fixed 1.000%) protection on Banco Santander SA 5.780% (20/3/2019) (3,561) 17/2/2028) (20/3/2019) 18,892 EUR 360,000 Credit Default Swaps (Deutsche Bank) (Fund EUR 1,770,000 Credit Default Swaps (HSBC Bank Plc) (Fund receives default protection on Tesco Plc receives Fixed 3.000% and provides default 6.000% 14/12/2029 and pays Fixed 1.000%) protection on Banco Santander SA 5.780% (20/6/2019) (1,168) 17/2/2028) (20/3/2019) 47,431 EUR 360,000 Credit Default Swaps (Deutsche Bank) (Fund EUR 1,240,000 Credit Default Swaps (HSBC Bank Plc) (Fund receives default protection on Tesco Plc receives Fixed 3.000% and provides default 6.000% 14/12/2029 and pays Fixed 1.000%) protection on Banco Santander SA 5.780% (20/6/2019) (1,711) 17/2/2028) (20/3/2019) 33,873 USD 1,000,000 Credit Default Swaps (Deutsche Bank) (Fund EUR 1,040,000 Credit Default Swaps (JP Morgan) (Fund receives receives Fixed 1.000% and provides default default protection on Koninklijke KPN NV protection on CDX NA IG 20 Version 1) 7.500% 4/2/2019 and pays Fixed 1.000%) (20/6/2018) 5,312 (20/6/2019) (2,035) EUR 360,000 Credit Default Swaps (Deutsche Bank) (Fund EUR 300,000 Credit Default Swaps (JP Morgan) (Fund receives receives Fixed 1.000% and provides default default protection on Pernod Ricard SA 4.875% protection on J Sainsbury Plc 4.250% 18/3/2016 and pays Fixed 1.000%) (20/9/2018) (8,267) 16/7/2014) (20/6/2019) (423) EUR 800,000 Credit Default Swaps (JP Morgan) (Fund receives EUR 360,000 Credit Default Swaps (Deutsche Bank) (Fund default protection on St-Gobain Nederland BV receives Fixed 1.000% and provides default 5.000% 25/4/2014 and pays Fixed 1.000%) protection on J Sainsbury Plc 4.250% (20/6/2018) (34,949) 16/7/2014) (20/6/2019) 111 USD 350,000 Credit Default Swaps (JP Morgan) (Fund receives EUR 1,015,000 Credit Default Swaps (Deutsche Bank) (Fund Fixed 1.000% and provides default protection receives Fixed 3.000% and provides default on FirstEnergy Corp 7.375% 15/11/2031) protection on Banco Santander SA 5.780% (20/9/2018) 9,146 17/2/2028) (20/3/2019) 27,199 EUR 1,775,000 Credit Default Swaps (Morgan Stanley) (Fund EUR 2,500,000 Credit Default Swaps (Goldman Sachs) (Fund receives Fixed 1.000% and provides default receives default protection on Metsa OYJ protection on Vodafone Group Plc 5.000% 3.800% 27/6/2022 and pays Fixed 1.000%) 4/6/2018) (20/6/2019) 2,438 (20/3/2019) (43,159) EUR 16,400,000 Interest Rate Swap (Barclays Bank) (Fund receives USD 3,000,000 Credit Default Swaps (Goldman Sachs) (Fund Floating EUR 6 Month EURIBOR and pays Fixed receives default protection on Russian Foreign 2.282%) (15/8/2046) (70,954) Bond - Eurobond 7.500% 31/3/2030 and pays EUR 830,000 Interest Rate Swap (Barclays Bank) (Fund receives Fixed 1.000%) (20/6/2019) (34,008) Floating EUR 6 Month EURIBOR and pays Fixed EUR 370,000 Credit Default Swaps (Goldman Sachs) (Fund 2.605%) (8/7/2063) (80,465) receives default protection on Tesco Plc EUR 6,000,000 Interest Rate Swap (Citigroup Global Markets SG) 6.000% 14/12/2029 and pays Fixed 1.000%) (Fund receives Fixed 0.900% and pays Floating (20/3/2019) (1,498) EUR 6 Month EURIBOR) (14/5/2019) 40,861 EUR 370,000 Credit Default Swaps (Goldman Sachs) (Fund GBP 1,200,000 Interest Rate Swap (Citigroup Global Markets SG) receives Fixed 1.000% and provides default (Fund receives Fixed 3.277% and pays Floating protection on J Sainsbury Plc 4.250% GBP 6 Month LIBOR) (12/5/2044) 23,423 16/7/2014) (20/3/2019) 46 EUR 1,300,000 Interest Rate Swap (Citigroup Global Markets SG) EUR 1,770,000 Credit Default Swaps (HSBC Bank Plc) (Fund (Fund receives Floating EUR 6 Month EURIBOR receives default protection on Banco Bilbao and pays Fixed 2.414%) (14/5/2044) (45,465) Vizcaya Argentaria SA 4.375% 20/10/2019 GBP 5,000,000 Interest Rate Swap (Citigroup Global Markets SG) and pays Fixed 3.000%) (20/3/2019) (44,290) (Fund receives Floating GBP 6 Month LIBOR EUR 705,000 Credit Default Swaps (HSBC Bank Plc) (Fund and pays Fixed 2.147%) (12/5/2019) (51,721) receives default protection on BBVA Senior PLN 13,325,000 Interest Rate Swap (Deutsche Asset Management Finance SAU 3.750% 17/1/2018 and pays Life) (Fund receives Floating PLN 3 Month Fixed 3.000%) (20/3/2019) (18,178) WIBOR and pays Fixed 4.130%) (18/9/2014) (12,840) EUR 1,240,000 Credit Default Swaps (HSBC Bank Plc) (Fund EUR 6,000,000 Interest Rate Swap (Deutsche Bank) (Fund receives default protection on BBVA Senior receives Fixed 2.500% and pays Floating EUR Finance SAU 3.750% 17/1/2018 and pays 6 Month EURIBOR) (7/4/2044) 324,948 Fixed 3.000%) (20/3/2019) (32,616) EUR 4,480,000 Interest Rate Swap (Deutsche Bank) (Fund EUR 2,250,000 Credit Default Swaps (HSBC Bank Plc) (Fund receives Floating EUR 6 Month EURIBOR receives Fixed 1.000% and provides default and pays Fixed 2.541%) (7/4/2064) (349,882) protection on British Telecommunications Plc (EUR underlying exposure – EUR 169,256,750) (305,725) 5.75 7/12/2028) (20/6/2019) 3,832
Note: The total market value of EUR 799,270 is included in the Statement of Net Assets (see Note 2(d)).
122 BlackRock Strategic Funds (BSF) BlackRock Fund of iShares – Conservative
Portfolio of Investments as at 31 May 2014 Transferable Securities and Money Market Instruments Admitted to an Transferable Securities and Money Market Instruments Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Official Stock Exchange Listing or Dealt in on Another Regulated Market
Market Market Value Value Holding Description EUR % Holding Description EUR %
FUNDS Ireland continued 3,383 iShares JP Morgan $ Emerging Germany Markets Bond UCITS ETF 1 283,986 6.77 3,889 iShares Dow Jones - UBS Commodity 4,906 iShares MSCI Emerging Markets Swap UCITS ETF 1 98,081 2.34 UCITS ETF 1 144,286 3.44 98,081 2.34 2,630 iShares MSCI Europe ex-UK UCITS ETF 1 71,950 1.71 Ireland 3,825 iShares MSCI Japan UCITS ETF 1 32,637 0.78 11,856 iShares Developed Markets Property 4,324 iShares MSCI North America Yield UCITS ETF 1 207,954 4.96 UCITS ETF 1 117,818 2.81 3,196 iShares Euro Corporate Bond 471 iShares MSCI Pacific ex-Japan UCITS ETF 1 403,703 9.62 UCITS ETF 1 16,306 0.39 3,680 iShares Euro Government Bond 4,083,364 97.31 1-3 UCITS ETF 1 525,283 12.52 2,234 iShares Euro Government Bond Total Funds 4,181,445 99.65 3-5 UCITS ETF 1 363,271 8.66 Total Transferable Securities and Money 2,647 iShares Euro Government Bond Market Instruments Admitted to an 7-10 UCITS ETF 1 499,833 11.91 Official Stock Exchange Listing or 4,250 iShares Euro High Yield Corporate Dealt in on Another Regulated Market 4,181,445 99.65 Bond UCITS ETF 1 468,350 11.16 Securities portfolio at market value 4,181,445 99.65 4,087 iShares Euro Inflation Linked Government Bond UCITS ETF 1 798,334 19.02 Other Net Assets 14,605 0.35 3,938 iShares EURO STOXX Small UCITS ETF 1 115,639 2.75 4,065 iShares FTSE 100 UCITS ETF 1 34,014 0.81 Total Net Assets (EUR) 4,196,050 100.00
1 This fund is managed by BlackRock.
Sector Breakdown as at 31 May 2014
% of Net Assets* Funds 99.65 Other net assets 0.35 100.00
* Based on the market value of the Portfolio of Investments except for Contract For Difference, which are based on the commitment (where applicable).
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 123 BlackRock Fund of iShares – Dynamic
Portfolio of Investments as at 31 May 2014 Transferable Securities and Money Market Instruments Admitted to an Transferable Securities and Money Market Instruments Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Official Stock Exchange Listing or Dealt in on Another Regulated Market
Market Market Value Value Holding Description EUR % Holding Description EUR %
FUNDS Ireland continued 23,638 iShares MSCI Emerging Markets Germany UCITS ETF 1 695,194 16.77 727 iShares Dow Jones - UBS Commodity 19,103 iShares MSCI Europe ex-UK UCITS ETF 1 522,610 12.60 Swap UCITS ETF 1 18,335 0.44 25,437 iShares MSCI Japan UCITS ETF 1 217,041 5.23 18,335 0.44 24,475 iShares MSCI North America UCITS ETF 1 666,883 16.08 4,012 iShares MSCI Pacific ex-Japan Ireland UCITS ETF 1 138,895 3.35 2,302 iShares Developed Markets Property 14,636 iShares S&P 500 UCITS ETF 1 205,328 4.95 Yield UCITS ETF 1 40,377 0.97 4,103,136 98.95 669 iShares Euro Corporate Bond UCITS ETF 1 84,505 2.04 Total Funds 4,121,471 99.39 473 iShares Euro Government Bond Total Transferable Securities and Money 3-5 UCITS ETF 1 76,915 1.86 Market Instruments Admitted to an 318 iShares Euro Government Bond Official Stock Exchange Listing or 7-10 UCITS ETF 1 60,048 1.45 Dealt in on Another Regulated Market 4,121,471 99.39 907 iShares Euro High Yield Corporate Securities portfolio at market value 4,121,471 99.39 Bond UCITS ETF 1 99,951 2.41 1,112 iShares Euro Inflation Linked Other Net Assets 25,106 0.61 Government Bond UCITS ETF 1 217,213 5.24 26,642 iShares EURO STOXX Small UCITS ETF 1 782,342 18.87 Total Net Assets (EUR) 4,146,577 100.00 28,463 iShares FTSE 100 UCITS ETF 1 238,164 5.74 687 iShares JP Morgan $ Emerging Markets Bond UCITS ETF 1 57,670 1.39
1 This fund is managed by BlackRock.
Sector Breakdown as at 31 May 2014
% of Net Assets* Funds 99.39 Other net assets 0.61 100.00
* Based on the market value of the Portfolio of Investments except for Contract For Difference, which are based on the commitment (where applicable).
124 BlackRock Strategic Funds (BSF) BlackRock Fund of iShares – Growth
Portfolio of Investments as at 31 May 2014 Transferable Securities and Money Market Instruments Admitted to an Transferable Securities and Money Market Instruments Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Official Stock Exchange Listing or Dealt in on Another Regulated Market
Market Market Value Value Holding Description EUR % Holding Description EUR %
FUNDS Ireland continued 46,387 iShares MSCI Emerging Markets Germany UCITS ETF 1 1,364,242 12.54 4,977 iShares Dow Jones - UBS Commodity 36,190 iShares MSCI Europe ex-UK Swap UCITS ETF 1 125,520 1.15 UCITS ETF 1 990,068 9.10 125,520 1.15 47,770 iShares MSCI Japan UCITS ETF 1 407,598 3.75 60,566 iShares MSCI North America Ireland UCITS ETF 1 1,650,272 15.17 15,270 iShares Developed Markets Property 7,266 iShares MSCI Pacific ex-Japan Yield UCITS ETF 1 267,836 2.46 UCITS ETF 1 251,549 2.31 4,408 iShares Euro Corporate Bond 10,703,092 98.39 UCITS ETF 1 556,796 5.12 3,030 iShares Euro Government Bond Total Funds 10,828,612 99.54 3-5 UCITS ETF 1 492,708 4.53 Total Transferable Securities and Money 1,967 iShares Euro Government Bond Market Instruments Admitted to an 7-10 UCITS ETF 1 371,429 3.41 Official Stock Exchange Listing or 5,802 iShares Euro High Yield Corporate Dealt in on Another Regulated Market 10,828,612 99.54 Bond UCITS ETF 1 639,380 5.88 Securities portfolio at market value 10,828,612 99.54 7,063 iShares Euro Inflation Linked Government Bond UCITS ETF 1 1,379,651 12.68 Other Net Assets 49,896 0.46 51,490 iShares EURO STOXX Small UCITS ETF 1 1,512,004 13.90 53,021 iShares FTSE 100 UCITS ETF 1 443,653 4.08 Total Net Assets (EUR) 10,878,508 100.00 4,478 iShares JP Morgan $ Emerging Markets Bond UCITS ETF 1 375,906 3.46
1 This fund is managed by BlackRock.
Sector Breakdown as at 31 May 2014
% of Net Assets* Funds 99.54 Other net assets 0.46 100.00
* Based on the market value of the Portfolio of Investments except for Contract For Difference, which are based on the commitment (where applicable).
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 125 BlackRock Fund of iShares – Moderate
Portfolio of Investments as at 31 May 2014 Transferable Securities and Money Market Instruments Admitted to an Transferable Securities and Money Market Instruments Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Official Stock Exchange Listing or Dealt in on Another Regulated Market
Market Market Value Value Holding Description EUR % Holding Description EUR %
FUNDS Ireland continued 47,118 iShares MSCI Emerging Markets Germany UCITS ETF 1 1,385,740 7.87 13,080 iShares Dow Jones - UBS Commodity 33,566 iShares MSCI Europe ex-UK Swap UCITS ETF 1 329,878 1.88 UCITS ETF 1 918,282 5.22 329,878 1.88 45,340 iShares MSCI Japan UCITS ETF 1 386,863 2.20 57,104 iShares MSCI North America Ireland UCITS ETF 1 1,555,941 8.84 41,387 iShares Developed Markets Property 7,127 iShares MSCI Pacific ex-Japan Yield UCITS ETF 1 725,928 4.13 UCITS ETF 1 246,737 1.40 11,601 iShares Euro Corporate Bond 17,182,411 97.65 UCITS ETF 1 1,465,380 8.33 7,928 iShares Euro Government Bond Total Funds 17,512,289 99.53 3-5 UCITS ETF 1 1,289,172 7.33 Total Transferable Securities and Money 7,055 iShares Euro Government Bond Market Instruments Admitted to an 7-10 UCITS ETF 1 1,332,196 7.57 Official Stock Exchange Listing or 15,369 iShares Euro High Yield Corporate Dealt in on Another Regulated Market 17,512,289 99.53 Bond UCITS ETF 1 1,693,664 9.62 Securities portfolio at market value 17,512,289 99.53 16,949 iShares Euro Inflation Linked Government Bond UCITS ETF 1 3,310,733 18.82 Other Net Assets 83,060 0.47 48,925 iShares EURO STOXX Small UCITS ETF 1 1,436,683 8.16 51,231 iShares FTSE 100 UCITS ETF 1 428,675 2.44 Total Net Assets (EUR) 17,595,349 100.00 11,989 iShares JP Morgan $ Emerging Markets Bond UCITS ETF 1 1,006,417 5.72
1 This fund is managed by BlackRock.
Sector Breakdown as at 31 May 2014
% of Net Assets* Funds 99.53 Other net assets 0.47 100.00
* Based on the market value of the Portfolio of Investments except for Contract For Difference, which are based on the commitment (where applicable).
126 BlackRock Strategic Funds (BSF) BlackRock Global Absolute Return Bond Fund
Portfolio of Investments as at 31 May 2014 Transferable Securities and Money Market Instruments Admitted to an Transferable Securities and Money Market Instruments Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Official Stock Exchange Listing or Dealt in on Another Regulated Market
Market % of Market % of Value Net Value Net Holding Description EUR Assets Holding Description EUR Assets
BONDS Cayman Islands continued USD 362,000 Seagate HDD Cayman 3.75% Australia 15/11/2018 275,576 0.09 USD 1,017 Medallion Trust Series 2007-1G 'A1' HKD 4,000,000 Shenzhou International Group FRN 27/2/2039 746 0.00 Holdings Ltd 0.50% 18/6/2019 388,744 0.13 USD 72,750 Puma Finance Ltd G5 'A1' '144A' FRN USD 450,000 Tencent Holdings Ltd 3.375% 21/2/2038 52,874 0.02 2/5/2019 338,305 0.11 AUD 1,094,000 Queensland Treasury Corp 6.00% USD 35,000 XLIT Ltd 2.30% 15/12/2018 25,854 0.01 21/7/2022 854,360 0.28 USD 194,014 Series 2006-1E SWAN Trust 'A1' 2,235,671 0.75 FRN 12/5/2037 142,335 0.05 AUD 551,414 Torrens Trust/The 2013-1 'A' FRN Denmark EUR 575,000 Danske Bank A/S FRN (Perpetual) 594,147 0.20 12/4/2044 376,893 0.13 USD 191,398 Virgin Australia 2013-1B Trust 594,147 0.20 '144A' 6.00% 23/10/2020 147,372 0.05 France 1,574,580 0.53 EUR 2,100,000 Auto ABS Compartiment 2012-1 'A' Austria FRN 25/7/2026 2,117,336 0.71 EUR 600,000 AXA SA FRN 16/4/2040 675,837 0.23 EUR 500,000 BAWAG PSK Bank fuer Arbeit und GBP 450,000 AXA SA FRN (Perpetual) 606,062 0.20 Wirtschaft und Oesterreichische USD 101,000 BNP Paribas SA 1.25% 12/12/2016 74,343 0.02 Postsparkasse AG 8.125% EUR 500,000 BNP Paribas SA 2.375% 20/5/2024 505,220 0.17 30/10/2023 589,375 0.20 EUR 750,000 BNP Paribas SA FRN 20/3/2026 760,740 0.25 589,375 0.20 EUR 548,458 Cars Alliance Auto Loans France V 2012-1 'A' FRN 25/2/2024 549,485 0.18 Belgium EUR 500,000 CNP Assurances FRN 5/6/2045 502,725 0.17 EUR 525,000 Anheuser-Busch InBev NV FRN EUR 954,139 Driver France 1 FCT 'A' FRN 29/3/2018 526,998 0.18 21/10/2020 955,222 0.32 EUR 121,000 KBC Groep NV FRN (Perpetual) 121,463 0.04 GBP 1,000,000 Electricite de France 5.50% EUR 190,000 UCB SA 4.125% 4/1/2021 208,964 0.07 17/10/2041 1,403,098 0.47 857,425 0.29 EUR 600,000 Electricite de France FRN (Perpetual) 623,637 0.21 EUR 200,000 Electricite de France FRN (Perpetual) 212,845 0.07 Bermuda EUR 1,504,995 FCT Copernic 2012-1 'A1' FRN USD 140,000 Aircastle Ltd 6.75% 15/4/2017 115,124 0.04 25/9/2029 1,510,410 0.51 USD 400,000 Weatherford International Ltd/ EUR 1,900,000 FCT GINKGO Compartment Sales Bermuda 5.50% 15/2/2016 315,517 0.10 Finance 2013-1 'A' FRN 430,641 0.14 23/12/2040 1,907,799 0.64 EUR 252,270 FCT GINKGO Sales Finance 2012-1 Brazil 'A' FRN 18/7/2038 253,871 0.09 BRL 2,004,000 Brazil Notas do Tesouro Nacional EUR 495,196 FCT Marsollier Mortgages 2009-1 'A' Serie F 10.00% 1/1/2017 658,073 0.22 FRN 27/9/2050 492,225 0.16 658,073 0.22 EUR 4,253,801 France Government Bond OAT 0.25% 25/7/2024‡ 4,239,445 1.42 Canada EUR 1,600,000 GDF Suez 2.375% 19/5/2026 1,599,680 0.54 USD 500,000 CNOOC Nexen Finance 2014 ULC EUR 1,300,000 GDF Suez FRN (Perpetual) 1,307,150 0.44 4.25% 30/4/2024 378,001 0.12 EUR 1,000,000 Master Credit Cards Pass USD 128,000 Husky Energy Inc 7.25% 15/12/2019 116,607 0.04 Compartment France 2013-1 USD 96,000 Rogers Communications Inc 6.80% 'A' FRN 25/10/2025 1,002,020 0.34 15/8/2018 84,120 0.03 USD 200,000 Numericable Group SA '144A' 6.00% 15/5/2022 153,078 0.05 578,728 0.19 EUR 435,000 Numericable Group SA Reg 5.375% 15/5/2022 460,084 0.15 Cayman Islands EUR 700,000 Plastic Omnium SA 2.875% HKD 2,000,000 China Overseas Grand Oceans 29/5/2020 722,900 0.24 Finance Cayman Ltd (Step Coupon) EUR 79,472 Red & Black Auto France 2012-1 'A' 2.00% 21/3/2017 191,037 0.06 FRN 28/12/2021 79,612 0.03 USD 600,000 Logan Property Holdings Co Ltd EUR 605,000 Renault SA 3.125% 5/3/2021 621,982 0.21 11.25% 4/6/2019 445,358 0.15 EUR 200,000 Valeo SA 3.25% 22/1/2024 214,428 0.07 GBP 450,000 Punch Taverns Finance B Ltd 'A6' 5.943% 30/12/2024 551,846 0.19 23,551,234 7.89 USD 25,000 Seagate HDD Cayman '144A' 3.75% 15/11/2018 18,951 0.01
‡ Securities pledged or given in guarantee, see Note 14, for further details.
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 127 BlackRock Global Absolute Return Bond Fund continued
Portfolio of Investments as at 31 May 2014 Transferable Securities and Money Market Instruments Admitted to an Transferable Securities and Money Market Instruments Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Official Stock Exchange Listing or Dealt in on Another Regulated Market
Market % of Market % of Value Net Value Net Holding Description EUR Assets Holding Description EUR Assets
Germany Iceland EUR 1,172,000 Bayer AG FRN 29/7/2105 1,215,768 0.41 USD 200,000 Iceland Government International EUR 6,500,000 Bundesrepublik Deutschland 4.25% Bond 4.875% 16/6/2016 154,554 0.05 ‡ 4/7/2014 6,522,068 2.18 154,554 0.05 EUR 4,000,000 Bundesschatzanweisungen 13/6/2014 (Zero Coupon)‡ 3,999,800 1.34 India EUR 1,500,000 Bundesschatzanweisungen USD 200,000 Indian Railway Finance Corp Ltd 12/9/2014 (Zero Coupon) 1,499,738 0.50 3.917% 26/2/2019 151,355 0.05 EUR 750,000 Continental AG 3.00% 16/7/2018 806,760 0.27 USD 1,150,000 Oil India Ltd 5.375% 17/4/2024 890,596 0.30 EUR 1,200,000 Deutsche Bank AG FRN (Perpetual) 1,218,834 0.41 USD 350,000 Syndicate Bank/London 3.875% GBP 1,000,000 Deutsche Bank AG FRN (Perpetual) 1,236,785 0.41 4/12/2019 257,139 0.08 USD 700,000 Deutsche Bank AG/London 1.35% 1,299,090 0.43 30/5/2017 514,540 0.17 USD 2,295,000 Deutsche Bank AG/London 3.70% Indonesia 30/5/2024 1,692,061 0.57 IDR 12,800,000,000 Indonesia Treasury Bond EUR 1,185,344 Driver Ten GmbH 'A' FRN 21/3/2019 1,185,770 0.40 8.375% 15/3/2034 788,875 0.26 EUR 600,000 Driver Twelve GmbH 'A' FRN USD 300,000 Pertamina Persero PT 6.45% 21/6/2020 600,239 0.20 30/5/2044 224,496 0.08 GBP 300,000 FMS Wertmanagement AoeR FRN 3/8/2015 369,697 0.12 1,013,371 0.34 EUR 2,500,000 German Treasury Bill 25/6/2014 (Zero Coupon) 2,499,975 0.84 Ireland EUR 1,500,000 German Treasury Bill 27/8/2014 EUR 650,000 Bank of Ireland 2.00% 8/5/2017 647,537 0.22 (Zero Coupon) 1,500,015 0.50 EUR 1,800,000 Bank of Ireland 3.25% 15/1/2019 1,856,295 0.62 EUR 3,000,000 German Treasury Bill 24/9/2014 EUR 141,352 Bluebonnet Finance Plc 2006-1 (Zero Coupon) 2,999,985 1.01 'D' FRN 20/12/2016 141,562 0.05 EUR 3,000,000 German Treasury Bill 29/10/2014 GBP 750,000 Deco 2012-MHILL Ltd 'C' FRN (Zero Coupon) 2,999,520 1.01 28/7/2021 919,622 0.31 EUR 1,000,000 German Treasury Bill 26/11/2014 EUR 373,851 Deco 9-Pan Europe 3 Plc 'A2' FRN (Zero Coupon) 999,850 0.34 27/7/2017 364,699 0.12 EUR 3,000,000 German Treasury Bill 28/1/2015 EUR 395,000 ESB Finance Ltd 3.494% 12/1/2024 434,304 0.14 (Zero Coupon) 2,999,235 1.00 EUR 84,085 Opera Germany No2 Plc 'A' FRN EUR 1,200,000 LB Baden-Wuerttemberg FRN 20/10/2014 83,772 0.03 27/5/2026 1,200,144 0.40 EUR 400,000 Opera Germany No2 Plc 'C' FRN EUR 350,000 Mahle GmbH 2.50% 14/5/2021 351,475 0.12 20/10/2014 393,900 0.13 EUR 1,259,803 Red & Black Auto Germany 2 'A' EUR 479,558 SCF Rahoituspalvelut Ltd 2013-1 FRN 15/9/2022 1,262,776 0.42 'A' Reg 0.802% 25/5/2021 480,373 0.16 EUR 474,502 Red & Black TME Germany 1 UG GBP 229,358 Titan Europe 2007-1 Nhp Ltd 'A' 'A' FRN 15/1/2023 474,800 0.16 FRN 20/1/2017 269,825 0.09 EUR 105,809 SC Germany Auto 2010-1 UG 'A' 5,591,889 1.87 FRN 12/8/2019 105,830 0.04 EUR 293,902 SC Germany Auto 2011-2 UG 'A' Isle Of Man FRN 13/11/2021 295,442 0.10 USD 500,000 Sasol Financing International Plc EUR 425,524 SC Germany Auto 2013-1 UG 'A' 4.50% 14/11/2022 370,118 0.12 FRN 12/10/2022 425,681 0.14 370,118 0.12 EUR 775,109 SC Germany auto 2013-2 UG haftungsbeschraenkt 'A' FRN Italy 12/3/2023 776,988 0.26 EUR 276,527 Asset-Backed European EUR 1,023,605 SC Germany Auto 2014-1 'A' FRN Securitisation Transaction 11/12/2023 1,025,077 0.34 Seven Srl 'A' FRN 10/12/2026 279,474 0.09 40,778,853 13.66 EUR 600,000 Assicurazioni Generali SpA 4.125% 4/5/2026 618,840 0.21 Hong Kong EUR 2,650,000 Banca Monte dei Paschi di Siena USD 200,000 AIA Group Ltd '144A' 2.25% SpA 2.875% 16/4/2021 2,690,094 0.90 11/3/2019 147,191 0.05 EUR 1,100,000 Banca Popolare dell'Emilia USD 250,000 China CITIC Bank International Romagna SC 3.375% Ltd FRN (Perpetual) 191,776 0.06 22/10/2018 1,178,705 0.40 USD 850,000 Guotai Junan Financial Holdings EUR 702,484 Berica ABS Srl 2012-2 'A1' FRN Ltd 3.625% 22/5/2019 627,725 0.21 30/11/2051 693,239 0.23 EUR 100,000 Enel SpA FRN 15/1/2075 104,492 0.04 966,692 0.32
‡ Securities pledged or given in guarantee, see Note 14, for further details.
128 BlackRock Strategic Funds (BSF) BlackRock Global Absolute Return Bond Fund continued
Portfolio of Investments as at 31 May 2014 Transferable Securities and Money Market Instruments Admitted to an Transferable Securities and Money Market Instruments Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Official Stock Exchange Listing or Dealt in on Another Regulated Market
Market % of Market % of Value Net Value Net Holding Description EUR Assets Holding Description EUR Assets
Italy continued Luxembourg continued EUR 523,420 Fondi Immobili Pubblici Funding EUR 101,293 Volkswagen Car Lease '17A' FRN SRL 1 'A2' FRN 10/1/2023 484,233 0.16 21/1/2019 101,293 0.04 USD 200,000 Intesa Sanpaolo SpA 2.375% EUR 1,419,311 Volkswagen Car Lease '19A' FRN 13/1/2017 148,701 0.05 21/11/2019 1,419,723 0.48 EUR 300,000 Intesa Sanpaolo SpA 4.00% EUR 150,000 Wind Acquisition Finance SA 7.00% 30/10/2023 332,631 0.11 23/4/2021 156,855 0.05 EUR 1,666,870 Italy Buoni Poliennali Del Tesoro 9,600,848 3.22 2.15% 15/9/2014 1,673,871 0.56 EUR 3,605,990 Italy Buoni Poliennali Del Tesoro Mexico 2.55% 22/10/2016 3,744,370 1.25 USD 65,000 Kansas City Southern de Mexico SA EUR 664,814 Italy Buoni Poliennali Del Tesoro de CV FRN 28/10/2016 47,784 0.02 2.25% 22/4/2017 687,750 0.23 USD 600,000 Petroleos Mexicanos 3.50% EUR 1,417,000 Italy Buoni Poliennali Del Tesoro 30/1/2023 424,390 0.14 2.15% 12/11/2017 1,466,099 0.49 472,174 0.16 EUR 2,375,000 Italy Buoni Poliennali Del Tesoro 1.65% 23/4/2020 2,397,859 0.80 Netherlands EUR 440,000 UniCredit SpA 3.00% 31/1/2024 464,787 0.16 EUR 150,000 Aegon NV FRN 25/4/2044 152,809 0.05 16,965,145 5.68 EUR 500,000 ASML Holding NV 3.375% 19/9/2023 539,582 0.18 Japan EUR 450,000 Bharti Airtel International JPY 20,000,000 Kawasaki Kisen Kaisha Ltd Netherlands BV 3.375% 26/9/2018 (Zero Coupon) 144,967 0.05 20/5/2021 458,663 0.15 USD 400,000 Yamaguchi Financial Group Inc USD 1,200,000 Bharti Airtel International 20/12/2018 (Zero Coupon) 310,834 0.10 Netherlands BV Reg 5.35% 455,801 0.15 20/5/2024 926,785 0.31 EUR 550,000 BMW Finance NV FRN 4/4/2017 550,203 0.18 Jersey EUR 700,000 Brenntag Finance BV 5.50% GBP 200,000 AA Bond Co Ltd 3.781% 31/7/2019 249,047 0.08 19/7/2018 800,894 0.27 USD 123,381 Aircraft Lease Securitisation Ltd EUR 379,849 Bumper 4 NL Finance BV 2011-4 '144A' FRN 10/5/2032 87,867 0.03 'A' FRN 20/5/2026 380,050 0.13 GBP 150,000 Heathrow Funding Ltd 4.625% GBP 300,000 Cable & Wireless International 31/10/2046 185,246 0.06 Finance BV 8.625% 25/3/2019 429,890 0.14 GBP 4,000,000 Cooperatieve Centrale Raiffeisen- 522,160 0.17 Boerenleenbank BA/Netherlands Latvia 4.625% 23/5/2029 4,904,850 1.64 USD 220,000 Republic of Latvia '144A' 5.25% GBP 150,000 Enel Finance International NV 22/2/2017 176,291 0.06 5.75% 14/9/2040 201,597 0.07 EUR 439,756 HIGHWAY BV 2012-1 'A' FRN 176,291 0.06 26/3/2024 440,763 0.15 EUR 1,620,000 ING Bank NV FRN 25/2/2026 1,681,098 0.56 Luxembourg EUR 665,000 Louis Dreyfus Commodities BV EUR 150,000 Altice SA 7.25% 15/5/2022 158,044 0.05 3.875% 30/7/2018 697,745 0.23 USD 200,000 Altice SA '144A' 7.75% 15/5/2022 153,922 0.05 EUR 1,250,000 NN Group NV FRN 8/4/2044 1,308,987 0.44 EUR 1,454,095 Bumper 2 SA 2011-2 'A' FRN GBP 600,000 Petrobras Global Finance BV 23/2/2023 1,459,986 0.49 6.625% 16/1/2034 745,660 0.25 EUR 680,000 CNH Industrial Finance Europe SA EUR 300,000 Schaeffler Finance BV 2.75% 2.75% 18/3/2019 687,885 0.23 15/5/2019 299,765 0.10 EUR 1,160,258 E-Carat SA 2012-1 'A' FRN EUR 150,000 Schaeffler Finance BV 3.50% 18/7/2020 1,165,548 0.39 15/5/2022 151,291 0.05 EUR 784,229 E-CARAT SA 2014-1 'A' FRN EUR 191,817 Storm 2012-4 BV 'A1' FRN 18/9/2021 783,378 0.26 22/8/2054 192,857 0.07 EUR 1,301,486 ECAR 2013-1 'A' 0.852% EUR 842,090 Storm 2013-4 BV 'A1' FRN 18/11/2020 1,304,411 0.44 22/10/2053 842,541 0.28 EUR 540,000 John Deere Bank SA FRN EUR 500,000 Volkswagen International Finance 19/3/2019 541,801 0.18 NV FRN 15/4/2019 501,080 0.17 EUR 1,500,000 Red & Black Auto Lease Germany 1 EUR 625,000 Volkswagen International Finance SA 'A' Reg 0.911% 15/4/2024 1,501,800 0.50 NV Reg FRN (Perpetual) 639,844 0.22 EUR 58,352 Volkswagen Car Lease '15A' FRN EUR 190,000 Volkswagen International Finance 21/1/2018 58,403 0.02 NV Reg FRN (Perpetual) 198,190 0.07 EUR 107,789 Volkswagen Car Lease '16A' FRN 17,045,144 5.71 21/7/2018 107,799 0.04
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 129 BlackRock Global Absolute Return Bond Fund continued
Portfolio of Investments as at 31 May 2014 Transferable Securities and Money Market Instruments Admitted to an Transferable Securities and Money Market Instruments Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Official Stock Exchange Listing or Dealt in on Another Regulated Market
Market % of Market % of Value Net Value Net Holding Description EUR Assets Holding Description EUR Assets
Portugal Sweden EUR 1,025,452 Atlantes Ltd / Atlantes Finance Plc EUR 300,000 Norcell Sweden Holding 2 AB 6 'A' FRN 20/3/2033 1,028,165 0.35 10.75% 29/9/2019 342,429 0.12 EUR 700,000 Banco Espirito Santo SA 4.00% EUR 270,000 Svenska Handelsbanken AB FRN 21/1/2019 720,867 0.24 15/1/2024 278,199 0.09 EUR 400,000 Caixa Geral de Depositos SA 3.00% 620,628 0.21 15/1/2019 420,924 0.14 EUR 1,273,287 TAGUS-Sociedade de Titularizacao Switzerland de Creditos SA/Volta II Electricity USD 590,000 Credit Suisse/New York NY 1.375% Receivables 2.98% 16/2/2018 1,279,739 0.43 26/5/2017 434,467 0.15 EUR 1,178,919 Volta Electricity Recivables USD 730,000 Credit Suisse/New York NY 2.30% Securitization 1 'SNR' 4.172% 28/5/2019 537,516 0.18 16/2/2017 1,203,195 0.40 USD 5,450,000 UBS AG 5.125% 15/5/2024 4,032,590 1.35 4,652,890 1.56 5,004,573 1.68
Puerto Rico United Kingdom USD 190,000 Warner Chilcott Co LLC / Warner GBP 1,513,000 Affordable Housing Finance Plc Chilcott Finance LLC 7.75% 3.80% 20/5/2042 1,899,687 0.64 15/9/2018 147,517 0.05 GBP 34,286 Asset-Backed European 147,517 0.05 Securitisation Transaction 8 Srl 'A' FRN 15/6/2019 42,178 0.01 Russia GBP 220,000 Asset-Backed European USD 400,000 Russian Foreign Bond - Eurobond Securitisation Transaction 8 4.875% 16/9/2023 302,805 0.10 Srl 'B' FRN 15/6/2019 271,590 0.09 302,805 0.10 USD 90,000 AXIS Specialty Finance Plc 2.65% 1/4/2019 67,059 0.02 Singapore USD 200,000 Barclays Bank Plc 2.50% 20/2/2019 149,291 0.05 USD 400,000 Alam Synergy Pte Ltd 6.95% EUR 285,000 BP Capital Markets Plc 2.972% 27/3/2020 287,772 0.09 27/2/2026 301,885 0.10 USD 400,000 Olam International Ltd 7.50% GBP 36,214 Brass No 2 Plc 2012-1 'A1' FRN 12/8/2020 332,219 0.11 16/7/2050 44,638 0.02 SGD 900,000 Singapore Government Bond GBP 1,678,234 Brass No 3 Plc 'A' FRN 16/4/2051 2,075,774 0.70 2.50% 1/6/2019 558,131 0.19 EUR 1,306,240 Brunel Residential Mortgage Securitisation Plc 2007-1X 1,178,122 0.39 'A4A' FRN 13/1/2039 1,294,615 0.43 Slovenia GBP 500,000 Dixons Retail Plc 8.75% 15/9/2017 721,087 0.24 GBP 624,935 E-Carat 2 Plc 'A' FRN 18/10/2021 769,368 0.26 EUR 174,000 Slovenia Government Bond GBP 1,275,390 E-Carat 2012-1 'A' 1.30% 18/6/2020 1,569,371 0.53 1.75% 9/10/2017 175,632 0.06 GBP 347,212 E-Carat 3 Plc 'A' FRN 18/3/2022 427,335 0.14 175,632 0.06 GBP 1,994,982 Gosforth Funding 2012-2 Plc 'A2' FRN 18/11/2049 2,472,667 0.83 South Africa USD 54,865 Granite Master Issuer Plc 2006-1A ZAR 10,220,000 South Africa Government Bond 'A1' '144A' FRN 20/12/2054 39,911 0.01 8.75% 28/2/2048 676,153 0.23 USD 92,585 Granite Master Issuer Plc 2006-1A 676,153 0.23 'A5' '144A' FRN 20/12/2054 67,475 0.02 GBP 605,849 Granite Master Issuer Plc 2006-1X South Korea 'A7' FRN 20/12/2054 741,375 0.25 KRW 1,805,962,656 Inflation Linked Korea Treasury USD 625,027 Granite Master Issuer Plc 2006-2 Bond 1.125% 10/6/2023 1,237,459 0.42 'A4' FRN 20/12/2054 455,252 0.15 USD 250,000 Korea Hydro & Nuclear Power Co USD 1,343,209 Granite Master Issuer Plc 2006-3 Ltd '144A' 6.25% 17/6/2014 183,914 0.06 'A4' FRN 20/12/2054 977,283 0.33 USD 250,000 Korea National Oil Corp '144A' USD 2,506,574 Granite Master Issuer Plc 2007-1 5.375% 30/7/2014 184,945 0.06 '2A1' 0.289% 20/12/2054 1,826,602 0.61 1,606,318 0.54 GBP 205,737 Granite Master Issuer Plc 2007-1 '5A1' FRN 20/12/2054 251,607 0.08 Spain GBP 620,718 Greene King Finance Plc 'A5' FRN EUR 600,000 Bankia SA 4.25% 25/5/2018 665,790 0.22 15/12/2033 762,632 0.26 EUR 2,600,000 Bankia SA FRN 22/5/2024 2,580,942 0.87 EUR 1,005,000 HBOS Plc 4.875% 20/3/2015 1,034,311 0.35 3,246,732 1.09 EUR 800,000 HSBC Holdings Plc FRN 10/1/2024 846,096 0.28 GBP 100,000 Imperial Tobacco Finance Plc 4.875% Sri Lanka 7/6/2032 126,622 0.04 USD 250,000 Sri Lanka Government International GBP 1,387,679 Kenrick No 2 Plc 'A' FRN 18/4/2049 1,714,808 0.58 Bond 5.125% 11/4/2019 189,053 0.06 GBP 250,000 Manchester Airport Group Funding Plc 4.75% 31/3/2034 321,562 0.11 189,053 0.06
130 BlackRock Strategic Funds (BSF) BlackRock Global Absolute Return Bond Fund continued
Portfolio of Investments as at 31 May 2014 Transferable Securities and Money Market Instruments Admitted to an Transferable Securities and Money Market Instruments Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Official Stock Exchange Listing or Dealt in on Another Regulated Market
Market % of Market % of Value Net Value Net Holding Description EUR Assets Holding Description EUR Assets
United Kingdom continued United States continued GBP 405,000 Mitchells & Butlers Finance Plc 'C2' USD 155,000 American International Group Inc FRN 15/9/2034 448,115 0.15 5.85% 16/1/2018 130,403 0.04 GBP 170,000 Mitchells & Butlers Finance Plc 'D1' USD 146,000 American International Group Inc FRN 15/6/2036 184,850 0.06 8.25% 15/8/2018 134,107 0.05 GBP 147,092 Motor 2012 Plc 'A2' FRN 25/2/2020 180,940 0.06 USD 1,250,000 AmeriCredit Automobile Receivables GBP 1,350,000 Nationwide Building Society FRN Trust 2012-3 'D' 3.03% 9/7/2018 947,467 0.32 (Perpetual) 1,702,215 0.57 USD 155,000 ARC Properties Operating Partnership GBP 400,000 Next Plc 5.375% 26/10/2021 558,714 0.19 LP/Clark Acquisition LLC '144A' EUR 600,000 OTE Plc 7.875% 7/2/2018 695,613 0.23 2.00% 6/2/2017 114,294 0.04 GBP 440,000 Penarth Master Issuer Plc 2010-2X USD 205,000 AutoZone Inc 5.75% 15/1/2015 155,335 0.05 'A3' FRN 18/12/2016 543,157 0.18 USD 50,000 Aviation Capital Group Corp '144A' GBP 400,000 Punch Taverns Finance Plc 'A1R' 3.875% 27/9/2016 38,017 0.01 7.274% 15/4/2022 523,108 0.18 USD 26,000 Avis Budget Car Rental LLC / Avis GBP 93,234 Rochester Financing No 1 Plc 'A1' Budget Finance Inc 4.875% 1.969% 16/7/2046 115,341 0.04 15/11/2017 20,019 0.01 GBP 1,500,000 Sherwood Castle Funding Series USD 300,000 BA Credit Card Trust 2014-A1 'A' FRN 2004-2 Plc 'A' FRN 15/6/2016 1,842,982 0.62 15/6/2021 220,610 0.07 GBP 668,000 Spirit Issuer Plc 'A2' FRN 28/12/2031 780,175 0.26 USD 250,000 BAMLL Commercial Mortgage GBP 360,000 Spirit Issuer Plc 'A6' FRN 28/12/2036 425,986 0.14 Securities Trust 2013-DSNY 'A' EUR 830,000 SSE Plc FRN (Perpetual) 859,926 0.29 '144A' FRN 15/9/2026 185,233 0.06 GBP 125,000 Stonegate Pub Co Financing Plc Reg USD 22,000 Bank of America Corp 1.25% 11/1/2016 16,285 0.01 FRN 15/4/2019 155,808 0.05 USD 90,000 Bank of America Corp 6.50% 1/8/2016 73,610 0.02 GBP 100,000 Stonegate Pub Co Financing Plc Reg USD 305,000 Bank of America Corp 6.00% 1/9/2017 254,552 0.09 5.75% 15/4/2019 124,476 0.04 USD 240,000 Bank of America Corp 5.75% GBP 761,916 Temese Funding 1 Plc 'A' FRN 1/12/2017 199,789 0.07 21/11/2021 937,937 0.31 USD 200,000 Bank of New York Mellon Corp/The GBP 952,132 Tesco Property Finance 1 Plc 7.623% 3.40% 15/5/2024 149,533 0.05 13/7/2039 1,547,670 0.52 EUR 250,000 Belden Inc 5.50% 15/4/2023 261,250 0.09 GBP 36,362 Turbo Finance 2 Plc 2012-1 'A' FRN USD 75,000 Biomet Inc 6.50% 1/8/2020 59,882 0.02 20/2/2019 44,730 0.02 USD 175,000 Biomet Inc 6.50% 1/10/2020 138,761 0.05 GBP 508,000 Turbo Finance 2 Plc 2012-1 'B' 5.50% USD 210,000 CA Inc 6.125% 1/12/2014 158,501 0.05 20/2/2019 638,464 0.21 USD 300,000 Capital Auto Receivables Asset Trust GBP 426,770 Turbo Finance 3 Plc 'A' FRN 2014-1 'A4' 1.69% 22/10/2018 222,157 0.07 20/11/2019 525,164 0.18 USD 100,000 Capital One Financial Corp 6.75% GBP 763,000 Turbo Finance 4 Plc 'A' FRN 15/9/2017 85,663 0.03 20/1/2021 938,222 0.31 USD 512,000 Capital One Financial Corp 2.45% GBP 850,000 Unique Pub Finance Co Plc/The 24/4/2019 380,380 0.13 7.395% 28/3/2024 1,084,174 0.36 USD 400,000 CarMax Auto Owner Trust 2013-2 'A4' GBP 693,684 Unique Pub Finance Co Plc/The 0.84% 15/11/2018 292,204 0.10 5.659% 30/6/2027 866,850 0.29 USD 500,000 CarMax Auto Owner Trust 2013-2 'B' GBP 868,000 Unique Pub Finance Co Plc/The 1.21% 15/1/2019 365,753 0.12 6.464% 30/3/2032 1,011,093 0.34 USD 95,000 Case New Holland Industrial Inc GBP 884,463 United Kingdom Gilt 3.50% 7.875% 1/12/2017 82,302 0.03 22/7/2068 1,128,479 0.38 USD 230,000 CD 2007-CD5 Mortgage Trust 'AJ' GBP 559,037 United Kingdom Gilt Inflation Linked FRN 15/11/2044 186,479 0.06 0.25% 22/3/2052 775,531 0.26 USD 1,485,000 Chase Issuance Trust 2012-A5 'A5' 39,911,801 13.37 0.59% 15/8/2017 1,092,580 0.37 USD 575,000 Chase Issuance Trust 2013-A9 'A' United States FRN 16/11/2020 422,941 0.14 USD 162,000 Actavis Inc 1.875% 1/10/2017 120,410 0.04 USD 850,000 Chesapeake Funding LLC 2014-1A 'B' USD 200,000 ADT Corp/The 4.125% 15/4/2019 147,205 0.05 '144A' FRN 7/3/2026 624,895 0.21 USD 350,000 AES Corp/VA FRN 1/6/2019 260,178 0.09 USD 850,000 Chesapeake Funding LLC 2014-1A 'C' USD 50,000 Air Lease Corp 4.50% 15/1/2016 38,682 0.01 '144A' 1.352% 7/3/2026 624,059 0.21 USD 50,000 Air Lease Corp 3.375% 15/1/2019 37,811 0.01 USD 850,000 Chesapeake Funding LLC 2014-1A 'D' USD 75,000 Ally Financial Inc 5.50% 15/2/2017 59,917 0.02 '144A' FRN 7/3/2026 624,059 0.21 USD 70,000 Ally Financial Inc 6.25% 1/12/2017 57,560 0.02 USD 160,000 Chrysler Capital Auto Receivables USD 300,000 American Express Credit Account Trust 2014-AA 'D' '144A' 2.64% Master Trust 2013-3 'A' 0.98% 15/7/2021 118,044 0.04 15/5/2019 221,187 0.07 USD 305,000 CHS/Community Health Systems USD 100,000 American Homes 4 Rent 2014-SFR1 Inc 5.125% 15/8/2018 235,963 0.08 'A' 1.25% 17/6/2031 73,571 0.02 USD 330,000 CIT Group Inc 4.25% 15/8/2017 253,790 0.09 USD 120,000 American International Group Inc USD 1,485,000 Citibank Credit Card Issuance Trust 5.45% 18/5/2017 98,673 0.03 2005-A9 'A9' 5.10% 20/11/2017 1,163,403 0.39
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 131 BlackRock Global Absolute Return Bond Fund continued
Portfolio of Investments as at 31 May 2014 Transferable Securities and Money Market Instruments Admitted to an Transferable Securities and Money Market Instruments Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Official Stock Exchange Listing or Dealt in on Another Regulated Market
Market % of Market % of Value Net Value Net Holding Description EUR Assets Holding Description EUR Assets
United States continued United States continued USD 345,000 Citibank Credit Card Issuance Trust USD 28,959,691 FHLMC Multifamily Structured 2007-A8 'A8' 5.65% 20/9/2019 289,092 0.10 Pass Through Certificates K035 USD 105,000 Citibank Credit Card Issuance Trust 'X1' FRN 25/8/2023 779,493 0.26 2013-A6 'A6' 1.32% 7/9/2018 77,991 0.03 USD 60,000 Fifth Third Bancorp 3.625% 25/1/2016 46,100 0.02 USD 8,259,146 Citigroup Commercial Mortgage Trust USD 860,000 Ford Credit Auto Owner Trust 2012-B 2013-GC15 'XA' FRN 10/9/2046 454,033 0.15 'D' 2.93% 15/10/2018 654,963 0.22 USD 23,982,687 Citigroup Commercial Mortgage Trust USD 550,000 Ford Credit Auto Owner Trust 2013-D 2014-GC19 'XA' FRN 10/3/2047 1,613,860 0.54 'A3' 0.67% 15/4/2018 404,072 0.14 USD 50,000 Citigroup Inc 1.25% 15/1/2016 36,949 0.01 USD 335,000 Ford Credit Floorplan Master Owner USD 100,000 Citigroup Inc 1.70% 25/7/2016 74,391 0.02 Trust A 2012-2 'D' 3.50% 15/1/2019 256,550 0.09 USD 50,000 CNH Capital LLC 6.25% 1/11/2016 40,289 0.01 USD 225,000 Ford Credit Floorplan Master Owner USD 260,000 COBALT CMBS Commercial Mortgage Trust A 2013-3 'A1' 0.79% 15/6/2017 165,737 0.06 Trust 2007-C3 'AM' FRN 15/5/2046 211,308 0.07 USD 200,000 Ford Motor Credit Co LLC 2.375% USD 409,627 Comm 2013-CCRE13 Mortgage Trust 12/3/2019 147,611 0.05 'XA' FRN 10/10/2046 19,631 0.01 USD 250,000 Forest Laboratories Inc '144A' 4.375% USD 4,440,406 Comm 2013-CR7 Mortgage Trust 'XA' 1/2/2019 198,919 0.07 FRN 10/3/2046 294,535 0.10 USD 600,000 Forest Laboratories Inc 4.875% USD 6,825,150 Comm 2014-CCRE14 Mortgage Trust 15/2/2021 479,608 0.16 'XA' FRN 10/2/2047 277,584 0.09 USD 100,000 GATX Corp 1.25% 4/3/2017 73,335 0.02 USD 3,870,000 Comm 2014-CR17 Mortgage USD 75,000 GATX Corp 2.50% 15/3/2019 55,465 0.02 Pass Through Certificates USD 38,000 General Motors Co '144A' 3.50% 'XA' FRN 10/5/2047 235,986 0.08 2/10/2018 28,597 0.01 USD 250,000 Comm 2014-UBS2 Mortgage Trust USD 120,000 General Motors Financial Co Inc 'A2' 2.82% 10/3/2047 189,922 0.06 3.25% 15/5/2018 89,644 0.03 USD 154,995 Continental Airlines 2009-1 Pass USD 300,000 Genesis Energy LP / Genesis Energy Through Trust 9.00% 8/7/2016 130,296 0.04 Finance Corp 7.875% 15/12/2018 235,674 0.08 USD 409,028 Countrywide Asset-Backed USD 408,000 Goldman Sachs Group Inc/The 6.25% Certificates 2007-4 'A2' 1/9/2017 343,179 0.12 FRN 25/4/2047 274,866 0.09 USD 275,000 Goldman Sachs Group Inc/The 6.15% USD 210,000 Cox Communications Inc 5.45% 1/4/2018 232,480 0.08 15/12/2014 158,236 0.05 GBP 220,000 Goldman Sachs Group Inc/The 4.25% USD 50,000 Crane Co 2.75% 15/12/2018 37,548 0.01 29/1/2026 277,963 0.09 USD 300,000 Credit Acceptance Auto Loan Trust USD 150,000 GS Mortgage Securities Trust 2013-2A 'A' '144A' 1.50% 15/4/2021 221,468 0.07 2006-GG8 'AM' 5.591% USD 350,000 Credit Suisse Commercial Mortgage 10/11/2039 120,404 0.04 Trust Series 2006-C5 'A3' 5.311% USD 210,000 Harley-Davidson Funding Corp 15/12/2039 279,155 0.09 '144A' 5.75% 15/12/2014 158,305 0.05 USD 200,000 CSX Corp 6.25% 1/4/2015 153,760 0.05 USD 80,000 Hartford Financial Services Group USD 60,000 DIRECTV Holdings LLC / DIRECTV Inc/The 4.00% 15/10/2017 63,674 0.02 Financing Co Inc 3.125% 15/2/2016 45,843 0.02 USD 45,000 HCA Inc 6.50% 15/2/2016 35,764 0.01 USD 210,000 DIRECTV Holdings LLC / DIRECTV USD 100,000 HCA Inc 3.75% 15/3/2019 74,887 0.03 Financing Co Inc 2.40% 15/3/2017 159,432 0.05 USD 97,000 HCA Inc 7.25% 15/9/2020 76,824 0.03 USD 294,000 DIRECTV Holdings LLC / DIRECTV USD 185,000 HCP Inc 6.00% 30/1/2017 152,707 0.05 Financing Co Inc 5.00% 1/3/2021 242,421 0.08 USD 140,000 Health Care (Reit) Inc 6.20% 1/6/2016 113,502 0.04 USD 42,000 DIRECTV Holdings LLC / DIRECTV USD 100,000 Hilton USA Trust 2013-HLT '144A' FRN Financing Co Inc 3.80% 15/3/2022 31,925 0.01 5/11/2030 76,151 0.03 USD 40,000 DIRECTV Holdings LLC / DIRECTV USD 100,000 Hilton USA Trust 2013-HLT 'DFX' '144A' Financing Co Inc 4.45% 1/4/2024 31,312 0.01 4.407% 5/11/2030 76,041 0.03 USD 350,000 Discover Card Execution Note Trust USD 250,000 HLSS Servicer Advance Receivables 1.04% 15/4/2019 258,037 0.09 Trust 2014-T1 'AT1' '144A' 1.244% USD 156,000 Dollar General Corp 1.875% 15/4/2018 114,563 0.04 17/1/2045 183,809 0.06 USD 400,000 DT Auto Owner Trust 2014-1A 'C' USD 125,000 Huntington Bancshares Inc/OH 2.60% '144A' 2.64% 15/10/2019 294,095 0.10 2/8/2018 93,784 0.03 USD 32,000 ERP Operating LP 5.125% 15/3/2016 25,297 0.01 USD 450,000 Huntington National Bank/The 1.375% USD 43,000 ERP Operating LP 5.375% 1/8/2016 34,627 0.01 24/4/2017 331,739 0.11 USD 100,000 ERP Operating LP 5.75% 15/6/2017 83,241 0.03 USD 50,000 Icahn Enterprises LP / Icahn USD 215,000 Express Scripts Holding Co 2.10% Enterprises Finance Corp 12/2/2015 159,619 0.05 3.50% 15/3/2017 37,168 0.01 USD 27,384,006 Fannie Mae-Aces 2013-M5 'X2' FRN USD 158,000 Interpublic Group of Cos Inc/The 25/1/2022 2,496,395 0.84 2.25% 15/11/2017 117,692 0.04 USD 162,666 FHLMC Multifamily Structured USD 65,000 Iowa State Financial Authority 5.00% Pass Through Certificates K031 1/12/2019 49,816 0.02 'X1' 0.268% 25/4/2023 2,277 0.00
132 BlackRock Strategic Funds (BSF) BlackRock Global Absolute Return Bond Fund continued
Portfolio of Investments as at 31 May 2014 Transferable Securities and Money Market Instruments Admitted to an Transferable Securities and Money Market Instruments Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Official Stock Exchange Listing or Dealt in on Another Regulated Market
Market % of Market % of Value Net Value Net Holding Description EUR Assets Holding Description EUR Assets
United States continued United States continued USD 200,000 Jackson National Life Global Funding USD 870,000 Nissan Master Owner Trust '144A' 2.30% 16/4/2019 147,931 0.05 Receivables 2013-A 'A' FRN EUR 825,000 Jefferies Group LLC 2.375% 15/2/2018 639,329 0.21 20/5/2020 832,380 0.28 USD 1,000 Omnicom Group Inc 5.90% 15/4/2016 802 0.00 USD 1,584,703 JP Morgan Chase Commercial USD 140,000 Oncor Electric Delivery Co LLC 5.00% Mortgage Securities Corp 30/9/2017 115,184 0.04 2012-LC9 'XA' FRN 15/12/2047 127,534 0.04 USD 300,000 OneMain Financial Issuance Trust USD 264,076 JP Morgan Chase Commercial 2014-1A 'A' '144A' 2.43% Mortgage Securities Trust 18/6/2024 220,252 0.07 2006-LDP6 'A4' FRN 15/4/2043 207,483 0.07 USD 210,000 PC Financial Partnership 5.00% USD 310,000 JP Morgan Chase Commercial 15/11/2014 157,345 0.05 Mortgage Securities Trust USD 85,000 Penske Truck Leasing Co Lp / PTL 2007-CIBC18 'A4' 5.44% 12/6/2047 250,202 0.08 Finance Corp '144A' 3.375% USD 53,054 JP Morgan Chase Commercial 15/3/2018 65,498 0.02 Mortgage Securities Trust USD 73,000 Penske Truck Leasing Co Lp / PTL 2007-CIBC19 'A1A' FRN 12/2/2049 43,702 0.01 Finance Corp '144A' 2.875% USD 59,900 JP Morgan Chase Commercial 17/7/2018 55,189 0.02 Mortgage Securities Trust USD 70,000 Petrohawk Energy Corp 6.25% 2007-CIBC20 'AJ' FRN 12/2/2051 47,349 0.02 1/6/2019 55,736 0.02 USD 5,567,123 JP Morgan Chase Commercial USD 350,000 PFS Financing Corp 2014-AA 'A' Mortgage Securities Trust '144A' FRN 15/2/2019 257,211 0.09 2013-LC11 'XA' FRN 15/4/2046 397,013 0.13 USD 315,000 PFS Tax Lien Trust 2014-1 '144A' USD 215,000 JP Morgan Chase Commercial 1.44% 15/5/2029 231,257 0.08 Mortgage Securities Trust 2014-FL4 EUR 400,000 Philip Morris International Inc 'C' '144A' FRN 15/12/2030 158,544 0.05 2.875% 3/3/2026 415,921 0.14 USD 997,309 JPMBB Commercial Mortgage USD 360,000 PNC Financial Services Group Inc/ Securities Trust 2013-C17 'XA' The 3.90% 29/4/2024 270,560 0.09 FRN 15/1/2047 52,414 0.02 USD 350,000 Prestige Auto Receivables Trust USD 23,000 JPMorgan Chase & Co 3.45% 1/3/2016 17,662 0.01 2013-1A 'B' '144A' 1.74% 15/5/2019 258,336 0.09 USD 130,000 JPMorgan Chase & Co 3.15% 5/7/2016 99,770 0.03 USD 125,000 Prestige Auto Receivables Trust USD 415,000 LB-UBS Commercial Mortgage Trust 2014-1A 'C' '144A' 2.39% 15/5/2020 92,158 0.03 2006-C7 'A3' 5.347% 15/11/2038 334,598 0.11 USD 150,000 Prestige Auto Receivables Trust USD 579,749 LB-UBS Commercial Mortgage Trust 2014-1A 'D' '144A' 2.91% 15/7/2021 110,791 0.04 2007-C2 'A1A' 5.387% 15/2/2040 471,443 0.16 USD 150,000 ProLogis LP 5.625% 15/11/2016 123,816 0.04 USD 150,000 LB-UBS Commercial Mortgage Trust USD 120,000 Prudential Financial Inc 6.00% 2007-C2 'AM' FRN 15/2/2040 118,837 0.04 1/12/2017 101,543 0.03 USD 250,000 LB-UBS Commercial Mortgage Trust USD 186,000 QVC Inc '144A' 3.125% 1/4/2019 138,622 0.05 2007-C7 'AM' FRN 15/9/2045 211,484 0.07 USD 100,000 Regions Financial Corp 2.00% USD 150,000 Lennar Corp 4.50% 15/6/2019 112,055 0.04 15/5/2018 73,342 0.02 USD 210,000 Life Technologies Corp 4.40% 1/3/2015 158,625 0.05 USD 415,000 Reynolds American Inc 3.25% USD 57,000 Lubrizol Corp 8.875% 1/2/2019 54,328 0.02 1/11/2022 295,457 0.10 USD 350,000 M/I Homes Inc 8.625% 15/11/2018 275,595 0.09 USD 300,000 Reynolds American Inc 4.85% USD 150,000 Manitowoc Co Inc/The 8.50% 15/9/2023 237,806 0.08 1/11/2020 122,793 0.04 USD 215,000 Sabine Pass LNG LP 7.50% USD 100,000 Maxim Integrated Products Inc 30/11/2016 175,608 0.06 2.50% 15/11/2018 74,417 0.02 USD 85,000 Santander Drive Auto Receivables USD 90,000 MetroPCS Wireless Inc 7.875% Trust 2012-3 'C' 3.01% 16/4/2018 63,911 0.02 1/9/2018 69,774 0.02 USD 300,000 Santander Drive Auto Receivables USD 100,000 Morgan Stanley 5.75% 18/10/2016 81,229 0.03 Trust 2012-AA 'C' '144A' 1.78% USD 450,000 Morgan Stanley 3.75% 25/2/2023 335,998 0.11 15/11/2018 222,041 0.07 USD 1,000,000 Morgan Stanley FRN (Perpetual) 761,260 0.26 USD 200,000 Santander Drive Auto Receivables USD 42,659,828 Morgan Stanley Bank of America Trust 2013-1 'C' 1.76% 15/1/2019 147,875 0.05 Merrill Lynch Trust 2013-C13 'XA' USD 500,000 Santander Drive Auto Receivables FRN 15/11/2046 2,616,701 0.88 Trust 2013-3 'C' 1.81% 15/4/2019 369,203 0.12 USD 400,000 Morgan Stanley Capital I Trust USD 500,000 Santander Drive Auto Receivables 2007-IQ13 'AM' 5.406% Trust 2013-3 'D' 2.42% 15/4/2019 369,974 0.12 15/3/2044 321,985 0.11 USD 1,025,000 Santander Drive Auto Receivables USD 250,000 Morgan Stanley Re-REMIC Trust Trust 2013-5 'A2B' FRN 17/4/2017 752,979 0.25 2011-IO 'B' '144A' 23/3/2051 USD 380,000 Santander Drive Auto Receivables (Zero Coupon) 178,040 0.06 Trust 2014-1 'B' 1.59% 15/10/2018 280,880 0.09 USD 140,000 Mylan Inc/PA '144A' 7.875% 15/7/2020 114,481 0.04 USD 307,768 Santander Drive Auto Receivables EUR 200,000 NASDAQ OMX Group Inc/The 3.875% Trust 2014-S1 'R' '144A' 1.42% 7/6/2021 217,700 0.07 16/8/2018 225,956 0.08
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 133 BlackRock Global Absolute Return Bond Fund continued
Portfolio of Investments as at 31 May 2014 Transferable Securities and Money Market Instruments Admitted to an Transferable Securities and Money Market Instruments Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Official Stock Exchange Listing or Dealt in on Another Regulated Market
Market % of Market % of Value Net Value Net Holding Description EUR Assets Holding Description EUR Assets
United States continued TBA USD 100,000 SES Global Americas Holdings GP '144A' 2.50% 25/3/2019 74,191 0.02 United States USD 1,200,000 Fannie Mae Pool 3.00% TBA 870,838 0.29 USD 215,000 Shea Homes LP / Shea Homes USD 4,570,348 Fannie Mae Pool 4.00% TBA 3,555,247 1.19 Funding Corp 8.625% 15/5/2019 173,635 0.06 USD 8,040,000 Fannie Mae Pool 4.50% TBA 6,379,704 2.14 USD 425,000 SLM Private Education Loan Trust USD 530,000 Fannie Mae Pool 5.00% TBA 429,734 0.14 2011-A 'A3' '144A' FRN 15/1/2043 336,127 0.11 USD 182,992 Fannie Mae Pool 3.709% TBA 141,326 0.05 USD 409,865 SLM Private Education Loan Trust USD 376,132 Fannie Mae Pool 4.00% TBA 292,988 0.10 2013-A 'A1' '144A' FRN 15/8/2022 301,679 0.10 USD 1,460,209 Fannie Mae Pool 4.00% TBA 1,139,831 0.38 USD 373,844 SLM Private Education Loan Trust USD 270,800 Fannie Mae Pool 3.50% TBA 205,043 0.07 2013-B 'A1' '144A' FRN 15/7/2022 275,374 0.09 USD 2,880,362 Fannie Mae Pool 3.00% TBA 2,096,881 0.70 USD 439,469 SLM Private Education Loan Trust 2013-C 'A1' '144A' FRN 15/2/2022 324,582 0.11 15,111,592 5.06 USD 400,000 SLM Private Education Loan Trust Total TBA 15,111,592 5.06 2014-A 'A2B' '144A' FRN 15/1/2026 295,654 0.10 Total Transferable Securities and Money USD 138,279 SLM Student Loan Trust 2013-4 'A' Market Instruments Admitted to an FRN 25/6/2027 101,662 0.03 Official Stock Exchange Listing or USD 55,000 T-Mobile USA Inc 5.25% 1/9/2018 42,551 0.01 Dealt in on Another Regulated Market 248,870,934 83.35 USD 140,000 Tenet Healthcare Corp 8.00% 1/8/2020 112,294 0.04 USD 151,000 Thermo Fisher Scientific Inc 2.25% Funds 15/8/2016 114,107 0.04 USD 34,000 Time Warner Cable Inc 5.85% Luxembourg 1/5/2017 28,218 0.01 92,279 BlackRock Global Funds - Emerging USD 50,000 United Airlines Inc '144A' 6.75% Markets Bond Fund X2 EUR 15/9/2015 37,306 0.01 hedged 1 1,493,074 0.50 USD 1,598,015 United States Treasury Inflation 284,323 BlackRock Global Funds - Emerging Indexed Bonds 1.125% 15/1/2021 1,274,388 0.43 Markets Local Currency Bond USD 1,725,000 United States Treasury Note/Bond Fund X2 EUR 1 1,501,226 0.50 0.25% 30/9/2015 1,268,105 0.42 172,300 BlackRock Global Funds - Global USD 735,000 United States Treasury Note/Bond High Yield Bond Fund X2 EUR 1.375% 31/7/2018 542,368 0.18 hedged 1 2,984,236 1.00 USD 1,030,000 United States Treasury Note/Bond 1.625% 31/3/2019 761,914 0.26 5,978,536 2.00 USD 200,000 United States Treasury Note/Bond 1.625% 30/4/2019 147,767 0.05 United Kingdom USD 100,000 Ventas Realty LP 1.55% 26/9/2016 74,419 0.02 3,110,000 BlackRock Corporate Bond 1 USD 80,000 Ventas Realty LP / Ventas Capital Fund - D Acc 10,445,592 3.50 Corp 2.00% 15/2/2018 59,603 0.02 10,445,592 3.50 USD 62,000 Verizon Communications Inc 2.50% Total Funds 16,424,128 5.50 15/9/2016 47,116 0.02 USD 125,000 Verizon Communications Inc 2.55% 17/6/2019 93,749 0.03 Other Transferable Securities and Money Market Instruments EUR 300,000 Verizon Communications Inc 2.375% 17/2/2022 311,683 0.10 BONDS EUR 100,000 Verizon Communications Inc 3.25% 17/2/2026 108,148 0.04 Australia USD 115,000 Wachovia Bank Commercial Mortgage AUD 994,000 Western Australian Treasury Corp Trust Series 2007-C33 'AJ' FRN 6.00% 16/10/2023 781,767 0.26 15/2/2051 88,967 0.03 781,767 0.26 USD 70,000 WellPoint Inc 1.875% 15/1/2018 51,513 0.02 Total Bonds 781,767 0.26 USD 100,000 WellPoint Inc 2.30% 15/7/2018 74,670 0.03 USD 5,043,598 WFRBS Commercial Mortgage Trust Total Other Transferable Securities 2013-C14 'XA' FRN 15/6/2046 223,778 0.08 and Money Market Instruments 781,767 0.26 USD 546,103 WFRBS Commercial Mortgage Trust Securities portfolio at market value 266,076,829 89.11 2013-C15 'XA' FRN 15/8/2046 16,559 0.01 USD 3,493,504 WFRBS Commercial Mortgage Trust Other Net Assets 32,526,823 10.89 2014-LC14 'XA' FRN 15/3/2047 235,923 0.08 Total Net Assets (EUR) 298,603,652 100.00 49,565,114 16.60 Total Bonds 233,759,342 78.29
1 This fund is managed by BlackRock.
134 BlackRock Strategic Funds (BSF) BlackRock Global Absolute Return Bond Fund continued
Time Deposit as at 31 May 2014
Market Value Description EUR %
TIME DEPOSITS BNP Paribas SA 3,600,099 1.20 HSBC Bank Plc 3,600,000 1.21 ING Bank NV 3,600,207 1.21 Lloyds Bank Plc 3,600,107 1.20 Societe Generale SA 3,600,178 1.21 Total Time Deposits 18,000,591 6.03
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
EUR 340,000 Credit Default Swaps (Bank of America EUR 50,000 Credit Default Swaps (Bank of America International Ltd) (Fund receives default International Ltd) (Fund receives Fixed protection on Carrefour SA 4.375% 2/11/2016 5.000% and provides default protection and pays Fixed 1.000%) (20/6/2019) (893) where necessary on Galp Energia SGPS SA EUR 640,000 Credit Default Swaps (Bank of America 4.125% 25/1/2019) (20/6/2019) (412) International Ltd) (Fund receives default EUR 110,000 Credit Default Swaps (Bank of America protection on Deutsche Lufthansa AG 6.500% International Ltd) (Fund receives Fixed 7/7/2016 and pays Fixed 1.000%) (20/6/2019) (2,096) 5.000% and provides default protection EUR 640,000 Credit Default Swaps (Bank of America where necessary on UCB SA 3.750% International Ltd) (Fund receives default 27/3/2020) (20/6/2019) 1,279 protection on E.ON International Finance BV EUR 56,512 Credit Default Swaps (Bank of America) (Fund 6.375% 29/5/2017 and pays Fixed 1.000%) receives default protection on Accor SA (20/6/2019) (7,771) 2.875% 19/6/2017 and pays Fixed 1.000%) EUR 110,000 Credit Default Swaps (Bank of America (20/6/2019) (87) International Ltd) (Fund receives default EUR 118,100 Credit Default Swaps (Bank of America) (Fund protection on HeidelbergCement Finance receives default protection on BASF SE Luxembourg SA 1.068% 4/7/2016 and pays 4.500% (29/6/2016) and pays Fixed 1.000%) Fixed 5.000%) (20/12/2018) (1,368) (20/9/2017) (2,759) EUR 1,010,000 Credit Default Swaps (Bank of America EUR 122,800 Credit Default Swaps (Bank of America) (Fund International Ltd) (Fund receives default receives default protection on BASF SE protection on Tesco Plc 6.000% 14/12/2029 4.500% 29/6/2016 and pays Fixed 1.000%) and pays Fixed 1.000%) (20/6/2019) (10,305) (20/9/2017) (2,815) EUR 200,000 Credit Default Swaps (Bank of America USD 1,420,000 Credit Default Swaps (Bank of America) (Fund International Ltd) (Fund receives Fixed receives default protection on Citigroup Inc 1.000% and provides default protection 6.125% 15/5/2018 and pays Fixed 1.000%) where necessary on Ahold Finance USA LLC (20/6/2019) (3,581) 6.875% 1/5/2029) (20/6/2019) 669 USD 1,500,000 Credit Default Swaps (Bank of America) (Fund EUR 230,000 Credit Default Swaps (Bank of America receives default protection on Darden International Ltd) (Fund receives Fixed Restaurants Inc 6.000% 15/8/2035 and pays 1.000% and provides default protection Fixed 1.000%) (20/6/2019) 896 where necessary on Anglo American Capital EUR 640,000 Credit Default Swaps (Bank of America) (Fund Plc 5.875% 17/4/2015) (20/6/2019) 1,393 receives default protection on Deutsche EUR 820,000 Credit Default Swaps (Bank of America Luf thansa AG 6.500% 7/7/2016 and pays International Ltd) (Fund receives Fixed Fixed 1.000%) (20/6/2019) (2,415) 1.000% and provides default protection EUR 240,000 Credit Default Swaps (Bank of America) (Fund where necessary on Marks & Spencer Plc receives default protection on Deutsche 1.068% 4/7/2016) (20/3/2019) 7,926 Telekom International Finance BV 1.068% EUR 48,312 Credit Default Swaps (Bank of America 4/7/2016 and pays Fixed 1.000%) (20/6/2019) (625) International Ltd) (Fund receives Fixed EUR 290,000 Credit Default Swaps (Bank of America) 1.000% and provides default protection (Fund receives default protection on where necessary on PostNL NV 1.068% Deutsche Telekom International Finance BV 4/7/2016) (20/3/2019) 273 6.000% 20/1/2017 and pays Fixed 1.000%) EUR 520,000 Credit Default Swaps (Bank of America (20/6/2019) (1,224) International Ltd) (Fund receives Fixed EUR 370,000 Credit Default Swaps (Bank of America) 5.000% and provides default protection (Fund receives default protection on where necessary on CIR-Compagnie Deutsche Telekom International Finance BV Industriali Riunite SpA 5.750% 16/12/2024) 6.000% 20/1/2017 and pays Fixed 1.000%) (20/6/2019) (165) (20/6/2019) (1,641)
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 135 BlackRock Global Absolute Return Bond Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
EUR 430,000 Credit Default Swaps (Bank of America) EUR 86,000 Credit Default Swaps (Bank of America) (Fund receives default protection on E.ON (Fund receives default protection on International Finance BV 6.375% 29/5/2017 Portugal Telecom International Finance BV and pays Fixed 1.000%) (20/6/2019) (4,990) 4.375% 24/3/2017 and pays Fixed 5.000%) EUR 280,000 Credit Default Swaps (Bank of America) (Fund (20/6/2019) (2,219) receives default protection on Electrolux AB EUR 105,200 Credit Default Swaps (Bank of America) (Fund FRN 1.068% 4/7/2016 and pays Fixed 1.000%) receives default protection on PostNL NV (20/3/2019) (3,648) 3.875% 1/6/2015 and pays Fixed 1.000%) EUR 100,000 Credit Default Swaps (Bank of America) (Fund (20/9/2017) (6,103) receives default protection on Electrolux AB EUR 200,000 Credit Default Swaps (Bank of America) (Fund FRN 1.068% 4/7/2016 and pays Fixed 1.000%) receives default protection on Rallye SA (20/3/2019) (1,354) 7.625% 4/11/2016 and pays Fixed 5.000%) EUR 170,000 Credit Default Swaps (Bank of America) (Fund (20/9/2017) (30,172) receives default protection on Electrolux AB EUR 580,000 Credit Default Swaps (Bank of America) (Fund FRN 7/4/2016 and pays Fixed 1.000%) receives default protection on RWE AG (20/12/2018) 48 5.750% 14/2/2033 and pays Fixed 1.000%) EUR 200,000 Credit Default Swaps (Bank of America) (Fund (20/12/2018) (11,566) receives default protection on Experian EUR 740,000 Credit Default Swaps (Bank of America) (Fund Finance Plc 4.750% 23/11/2018 and pays receives default protection on SABMiller Plc Fixed 1.000%) (20/12/2018) (522) 1.068% 4/7/2016 and pays Fixed 1.000%) EUR 520,000 Credit Default Swaps (Bank of America) (Fund (20/3/2019) 1,076 receives default protection on Fiat Finance EUR 80,000 Credit Default Swaps (Bank of America) (Fund North America Inc 5.625% 12/6/2017 and receives default protection on Scandinavian pays Fixed 5.000%) (20/6/2019) 1,539 Airlines 9.650% 15/6/2014 and pays Fixed EUR 73,394 Credit Default Swaps (Bank of America) (Fund 5.000%) (20/6/2019) 490 receives default protection on Finmeccanica EUR 110,000 Credit Default Swaps (Bank of America) (Fund Finance SA 5.750% 12/12/2018 and pays receives default protection on Societe Air Fixed 5.000%) (20/3/2018) (5,374) France SA 2.75% 1/4/2020 and pays Fixed EUR 158,000 Credit Default Swaps (Bank of America) (Fund 5.000%) (20/12/2018) (8,198) receives default protection on Finmeccanica EUR 40,000 Credit Default Swaps (Bank of America) (Fund Finance SA/Old 5.750% 12/12/2018 and pays receives default protection on Societe Air Fixed 5.000%) (20/6/2019) 935 France SA 2.750% 1/4/2020 and pays Fixed EUR 105,000 Credit Default Swaps (Bank of America) (Fund 5.000%) (20/9/2018) (6,474) receives default protection on Finmeccanica EUR 150,000 Credit Default Swaps (Bank of America) (Fund Finance SA/Old 5.750% 12/12/2018 and pays receives default protection on Solvay SA Fixed 5.000%) (20/6/2019) (1,063) 4.625% 27/6/2018 and pays Fixed 1.000%) EUR 710,000 Credit Default Swaps (Bank of America) (Fund (20/6/2019) (1,520) receives default protection on GDF Suez EUR 120,000 Credit Default Swaps (Bank of America) (Fund 1.068% 4/7/2016 and pays Fixed 1.000%) receives default protection on Solvay SA (20/6/2019) (2,954) 4.625% 27/6/2018 and pays Fixed 1.000%) EUR 800,000 Credit Default Swaps (Bank of America) (Fund (20/6/2019) (1,216) receives default protection on Imperial EUR 60,000 Credit Default Swaps (Bank of America) (Fund Tobacco Finance Plc 6.250% 4/12/2018 and receives default protection on Stena AB pays Fixed 1.000%) (20/3/2019) (4,598) 6.125% 1/2/2017 and pays Fixed 5.000%) EUR 240,000 Credit Default Swaps (Bank of America) (Fund (20/12/2017) (6,777) receives default protection on Kering 1.068% EUR 1,215,000 Credit Default Swaps (Bank of America) (Fund 4/7/2016 and pays Fixed 1.000%) (20/6/2019) (1,272) receives default protection on Suedzucker EUR 80,000 Credit Default Swaps (Bank of America) (Fund International Finance BV 4.125% 29/3/2018 receives default protection on LANXESS and pays Fixed 1.000%) (20/6/2019) 13,463 Finance BV 7.750% 9/4/2014 and pays Fixed EUR 430,000 Credit Default Swaps (Bank of America) (Fund 1.000%) (20/3/2018) (1,895) receives default protection on Swedish Match EUR 110,000 Credit Default Swaps (Bank of America) (Fund AB 3.125% 3/4/2019 and pays Fixed 1.000%) receives default protection on LANXESS (20/6/2019) (1,588) Finance BV 7.750% 9/4/2014 and pays Fixed EUR 130,000 Credit Default Swaps (Bank of America) (Fund 1.000%) (20/3/2018) (2,709) receives default protection on Tate & Lyle EUR 1,150,000 Credit Default Swaps (Bank of America) (Fund International Finance Plc 1.068% 4/7/2016 receives default protection on LANXESS and pays Fixed 1.000%) (20/3/2019) 118 Finance BV 7.750% 9/4/2014 and pays Fixed EUR 1,710,000 Credit Default Swaps (Bank of America) (Fund 1.000%) (20/12/2018) (26,998) receives default protection on Tesco Plc EUR 140,000 Credit Default Swaps (Bank of America) (Fund 6.000% 14/12/2029 and pays Fixed 1.000%) receives default protection on Metro AG (20/6/2019) (17,493) 1.068% 4/7/2016 and pays Fixed 1.000%) EUR 430,000 Credit Default Swaps (Bank of America) (Fund (20/3/2019) (1,182) receives default protection on Tesco Plc EUR 260,000 Credit Default Swaps (Bank of America) (Fund 6.000% 14/12/2029 and pays Fixed 1.000%) receives default protection on Pearson Plc (20/6/2019) (3,755) 1.068% 4/7/2016 and pays Fixed 1.000%) (20/3/2019) (67)
136 BlackRock Strategic Funds (BSF) BlackRock Global Absolute Return Bond Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
EUR 530,000 Credit Default Swaps (Bank of America) (Fund EUR 700,000 Credit Default Swaps (Bank of America) receives default protection on Thales SA (Fund receives Fixed 1.000% and provides 2.750% 19/10/2016 and pays Fixed 1.000%) default protection where necessary on (20/6/2019) (1,081) Telefonaktiebolaget LM Ericsson 5.375% EUR 90,000 Credit Default Swaps (Bank of America) (Fund 27/6/2017) (20/12/2018) 8,780 receives default protection on ThyssenKrupp EUR 50,000 Credit Default Swaps (Bank of America) (Fund AG 4.375% 18/3/2015 and pays Fixed 1.000%) receives Fixed 5.000% and provides default (20/6/2019) (2,058) protection where necessary on Brisa EUR 500,000 Credit Default Swaps (Bank of America) (Fund Concessao Rodoviaria SA 1.068% 4/7/2016) receives default protection on ThyssenKrupp (20/3/2019) 3,135 AG 4.375% 18/3/2015 and pays Fixed 1.000%) EUR 120,000 Credit Default Swaps (Bank of America) (Fund (20/6/2017) (85,601) receives Fixed 5.000% and provides default EUR 400,000 Credit Default Swaps (Bank of America) (Fund protection where necessary on Brisa receives default protection on Vinci SA 4.125% Concessao Rodoviaria SA 1.068% 4/7/2016) 20/2/2017 and pays Fixed 1.000%) (20/6/2019) (1,855) (20/3/2019) 6,966 EUR 324,000 Credit Default Swaps (Bank of America) (Fund EUR 70,000 Credit Default Swaps (Bank of America) (Fund receives default protection on Volvo Treasury receives Fixed 5.000% and provides default AB 5.000% 31/5/2017 and pays Fixed 1.000%) protection where necessary on Brisa (20/6/2019) (1,965) Concessao Rodoviaria SA 1.068% 4/7/2016) EUR 290,000 Credit Default Swaps (Bank of America) (Fund (20/3/2019) 5,098 receives Fixed 1.000% and provides default EUR 90,000 Credit Default Swaps (Bank of America) (Fund protection on British Telecommunications Plc receives Fixed 5.000% and provides default 5.750% 7/12/2028) (20/6/2019) 205 protection where necessary on Brisa EUR 300,000 Credit Default Swaps (Bank of America) (Fund Concessao Rodoviaria SA 1.068% 4/7/2016) receives Fixed 1.000% and provides default (20/3/2019) 4,030 protection on RWE AG 5.750% 14/2/2033) EUR 50,000 Credit Default Swaps (Bank of America) (Fund (20/9/2018) 5,182 receives Fixed 5.000% and provides default EUR 425,000 Credit Default Swaps (Bank of America) (Fund protection where necessary on Brisa receives Fixed 1.000% and provides default Concessao Rodoviaria SA 1.068% 4/7/2016) protection on Vodafone Group Plc 5.000% (20/3/2019) 1,585 4/6/2018) (20/6/2019) 791 EUR 110,000 Credit Default Swaps (Bank of America) (Fund EUR 520,000 Credit Default Swaps (Bank of America) (Fund receives Fixed 5.000% and provides default receives Fixed 1.000% and provides default protection where necessary on Brisa protection where necessary on Anglo Concessao Rodoviaria SA 4.500% 5/12/2016) American Capital Plc 5.875% 17/4/2015) (20/6/2019) 21 (20/6/2019) 4,522 EUR 260,000 Credit Default Swaps (Bank of America) (Fund USD 1,500,000 Credit Default Swaps (Bank of America) (Fund receives Fixed 5.000% and provides default receives Fixed 1.000% and provides default protection where necessary on British protection where necessary on Darden Airways Plc 8.750% 23/8/2016) (20/12/2018) 14,672 Restaurants Inc 6.000% 15/8/2035) (20/6/2017) (2,185) EUR 350,000 Credit Default Swaps (Bank of America) EUR 630,000 Credit Default Swaps (Bank of America) (Fund (Fund receives Fixed 5.000% and provides receives Fixed 1.000% and provides default default protection where necessary on CIR- protection where necessary on Gas Natural Compagnie Industriali Riunite SpA 5.750% Capital Markets SA 4.500% 27/1/2020) 16/12/2024) (20/12/2018) 30,294 (20/6/2019) 5,506 EUR 810,000 Credit Default Swaps (Bank of America) (Fund EUR 350,000 Credit Default Swaps (Bank of America) (Fund receives Fixed 5.000% and provides default receives Fixed 1.000% and provides default protection where necessary on Conti-Gummi protection where necessary on Koninklijke Finance BV 1.068% 4/7/2016) (20/3/2019) (6,407) KPN NV 7.500% 4/2/2019) (20/6/2019) 2,693 EUR 20,000 Credit Default Swaps (Bank of America) (Fund EUR 290,000 Credit Default Swaps (Bank of America) (Fund receives Fixed 5.000% and provides default receives Fixed 1.000% and provides default protection where necessary on Eileme 2 AB protection where necessary on Marks & 11.750% 31/1/2020) (20/12/2018) 3,761 Spencer Plc 1.068% 4/7/2016) (20/6/2019) (229) EUR 90,000 Credit Default Swaps (Bank of America) (Fund EUR 400,000 Credit Default Swaps (Bank of America) (Fund receives Fixed 5.000% and provides default receives Fixed 1.000% and provides default protection where necessary on Galp Energia protection where necessary on Next Plc SGPS SA 4.125% 25/1/2019) (20/6/2019) (204) 5.375% 26/10/2021) (20/6/2018) 9,051 EUR 147,000 Credit Default Swaps (Bank of America) (Fund EUR 100,000 Credit Default Swaps (Bank of America) (Fund receives Fixed 5.000% and provides default receives Fixed 1.000% and provides default protection where necessary on INEOS Group protection where necessary on Rolls-Royce Holdings SA 6.500% 15/8/2018) (20/6/2019) 1,172 Plc 7.375% 14/6/2016) (20/12/2017) 1,271 EUR 50,000 Credit Default Swaps (Bank of America) (Fund EUR 170,000 Credit Default Swaps (Bank of America) receives Fixed 5.000% and provides default (Fund receives Fixed 1.000% and provides protection where necessary on Melia Hotels default protection where necessary on International SA 5.000% 18/12/2014) Telefonaktiebolaget LM Ericsson 5.375% (20/3/2018) 9,468 27/6/2017) (20/12/2018) 2,631
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 137 BlackRock Global Absolute Return Bond Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
EUR 50,000 Credit Default Swaps (Bank of America) (Fund EUR 170,000 Credit Default Swaps (Barclays Bank) (Fund receives Fixed 5.000% and provides default receives default protection on Bouygues SA protection where necessary on Melia Hotels 4.750% 24/5/2016 and pays Fixed 1.000%) International SA 5.000% 18/12/2014) (20/3/2018) 9,468 (20/6/2019) (1,263) EUR 30,000 Credit Default Swaps (Bank of America) (Fund EUR 1,158,000 Credit Default Swaps (Barclays Bank) (Fund receives Fixed 5.000% and provides default receives default protection on CNH Industrial protection where necessary on Melia Hotels Finance Europe SA 6.250% 9/3/2018 and pays International SA 5.000% 18/12/2014) (20/3/2018) 5,756 Fixed 5.000%) (20/6/2019) (2,022) EUR 50,000 Credit Default Swaps (Bank of America) (Fund EUR 800,000 Credit Default Swaps (Barclays Bank) (Fund receives Fixed 5.000% and provides default receives default protection on Deutsche protection where necessary on Melia Hotels Telekom International Finance BV 6.000% International SA 5.000% 18/12/2014) (20/3/2018) 9,343 20/1/2017 and pays Fixed 1.000%) (20/3/2019) (1,687) EUR 50,000 Credit Default Swaps (Bank of America) (Fund EUR 150,000 Credit Default Swaps (Barclays Bank) (Fund receives Fixed 5.000% and provides default receives default protection on Finmeccanica protection where necessary on Melia Hotels Finance SA/Old 5.75% 12/12/2018 and pays International SA 5.000% 18/12/2014) (20/6/2018) 7,511 Fixed 5.000%) (20/12/2018) (7,326) EUR 105,000 Credit Default Swaps (Bank of America) (Fund EUR 400,000 Credit Default Swaps (Barclays Bank) (Fund receives Fixed 5.000% and provides default receives default protection on GDF Suez protection where necessary on Metsa Board 5.125% 19/2/2018 and pays Fixed 1.000%) OYJ 4.000% 13/3/2019) (20/6/2019) 132 (20/6/2018) (10,658) EUR 50,000 Credit Default Swaps (Bank of America) (Fund EUR 555,000 Credit Default Swaps (Barclays Bank) (Fund receives Fixed 5.000% and provides default receives default protection on iTraxx Europe protection where necessary on Nokia OYJ Series 21 Version 1 and pays Fixed 1.000%) 6.750% 4/2/2019) (20/12/2017) 10,201 (20/6/2019) (330) EUR 150,000 Credit Default Swaps (Bank of America) (Fund EUR 90,000 Credit Default Swaps (Barclays Bank) (Fund receives Fixed 5.000% and provides default receives default protection on Koninklijke DSM protection where necessary on OTE Plc NV 1.068% 4/7/2016 and pays Fixed 5.000%) 1.068% 4/7/2016) (20/3/2019) 709 (20/3/2019) (1,284) EUR 150,000 Credit Default Swaps (Bank of America) (Fund EUR 175,000 Credit Default Swaps (Barclays Bank) (Fund receives Fixed 5.000% and provides default receives default protection on Koninklijke KPN protection where necessary on OTE Plc NV 7.500% 4/2/2019 and pays Fixed 1.000%) 1.068% 4/7/2016) (20/3/2019) 536 (20/6/2019) (299) EUR 140,000 Credit Default Swaps (Bank of America) (Fund EUR 600,000 Credit Default Swaps (Barclays Bank) (Fund receives Fixed 5.000% and provides default receives default protection on Koninklijke KPN protection where necessary on Peugeot SA NV 8.375% 1/10/2030 and pays Fixed 1.000%) 7.375% 6/3/2018) (20/6/2019) 695 (20/3/2019) (4,685) EUR 70,000 Credit Default Swaps (Bank of America) (Fund EUR 77,000 Credit Default Swaps (Barclays Bank) (Fund receives Fixed 5.000% and provides default receives default protection on Ladbrokes protection where necessary on Peugeot SA Group Finance Plc 7.625% 5/3/2017 and pays 8.375% 15/7/2014) (20/9/2018) 7,869 Fixed 1.000%) (20/6/2019) (1,337) EUR 10,000 Credit Default Swaps (Bank of America) (Fund EUR 40,000 Credit Default Swaps (Barclays Bank) (Fund receives Fixed 5.000% and provides default receives default protection on LANXESS protection where necessary on Scandinavian Finance BV 7.750% 9/4/2014 and pays Fixed Airlines 9.65% 16/6/2014) (20/12/2018) 31 1.000%) (20/3/2018) (918) EUR 100,000 Credit Default Swaps (Bank of America) (Fund EUR 2,400,000 Credit Default Swaps (Barclays Bank) (Fund receives Fixed 5.000% and provides default receives default protection on Markit iTraxx protection where necessary on TUI AG 2.750% Europe Crossover Series 21 Version 1 24/3/2016) (20/12/2018) 4,433 and pays Fixed 5.000%) (20/6/2019) (29,861) EUR 100,000 Credit Default Swaps (Bank of America) (Fund EUR 2,269 Credit Default Swaps (Barclays Bank) (Fund receives Fixed 5.000% and provides default receives default protection on Markit iTraxx protection where necessary on TUI AG 5.125% Europe Series 20 Version 1 and pays Fixed 10/12/2012) (20/12/2017) 11,163 1.000%) (20/12/2018) (11) EUR 60,000 Credit Default Swaps (Bank of America) (Fund EUR 9,400,000 Credit Default Swaps (Barclays Bank) (Fund receives Fixed 5.000% and provides default receives default protection on Markit iTraxx protection where necessary on TUI AG 5.125% Europe Series 21 Version 1 and pays Fixed 10/12/2012) (20/12/2017) 5,501 1.000%) (20/6/2019) (61,842) EUR 100,000 Credit Default Swaps (Bank of America) (Fund EUR 2,680,000 Credit Default Swaps (Barclays Bank) (Fund receives Fixed 5.000% and provides default receives default protection on Markit iTraxx protection where necessary on Wendel SA Europe Series 21 Version 1 and pays Fixed 4.875% 26/5/2016) (20/12/2017) 6,738 1.000%) (20/6/2019) (5,375) USD 100,000 Credit Default Swaps (Barclays Bank) (Fund EUR 170,000 Credit Default Swaps (Barclays Bank) (Fund receives default protection on BHP Billiton receives default protection on Metro AG Finance USA Ltd 7.250% 1/3/2016 and pays 7.625% 5/3/2015 and pays Fixed 1.000%) Fixed 1.000%) (20/6/2019) (140) (20/3/2019) (2,619)
138 BlackRock Strategic Funds (BSF) BlackRock Global Absolute Return Bond Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
EUR 610,000 Credit Default Swaps (Barclays Bank) (Fund EUR 527,000 Credit Default Swaps (Barclays Bank) (Fund receives default protection on Metro AG receives default protection on Vivendi SA 7.625% 5/3/2015 and pays Fixed 1.000%) 4.875% 2/12/2019 and pays Fixed 1.000%) (20/6/2019) (7,183) (20/6/2019) 786 EUR 260,000 Credit Default Swaps (Barclays Bank) (Fund EUR 140,000 Credit Default Swaps (Barclays Bank) (Fund receives default protection on Metro AG receives default protection on Wolters Kluwer 7.625% 5/3/2015 and pays Fixed 1.000%) NV 1.068% 4/7/2016 and pays Fixed 1.000%) (20/6/2019) (3,061) (20/6/2019) (588) EUR 530,000 Credit Default Swaps (Barclays Bank) (Fund EUR 300,000 Credit Default Swaps (Barclays Bank) (Fund receives default protection on Metro AG receives Fixed 1.000% and provides default 7.625% 5/3/2015 and pays Fixed 1.000%) protection on RWE AG 5.750% 14/2/2033) (20/6/2019) (1,812) (20/9/2018) 7,405 EUR 130,000 Credit Default Swaps (Barclays Bank) (Fund EUR 300,000 Credit Default Swaps (Barclays Bank) (Fund receives default protection on Pearson Plc receives Fixed 1.000% and provides default 7.000% 27/10/2014 and pays Fixed 1.000%) protection on RWE AG 5.750% 14/2/2033) (20/6/2019) (528) (20/9/2018) 5,627 EUR 300,000 Credit Default Swaps (Barclays Bank) (Fund EUR 200,000 Credit Default Swaps (Barclays Bank) (Fund receives default protection on Pernod Ricard receives Fixed 1.000% and provides default SA 4.875% 18/3/2016 and pays Fixed 1.000%) protection on RWE AG 5.750% 14/2/2033) (20/9/2018) (6,053) (20/9/2018) 3,455 EUR 300,000 Credit Default Swaps (Barclays Bank) (Fund EUR 555,000 Credit Default Swaps (Barclays Bank) (Fund receives default protection on Pernod Ricard receives Fixed 1.000% and provides default SA 4.875% 18/3/2016 and pays Fixed 1.000%) protection on Vodafone Group Plc 5.000% (20/9/2018) (5,905) 4/6/2018) (20/6/2019) 1,317 EUR 200,000 Credit Default Swaps (Barclays Bank) (Fund EUR 210,000 Credit Default Swaps (Barclays Bank) (Fund receives default protection on Pernod Ricard receives Fixed 1.000% and provides default SA 4.875% 18/3/2016 and pays Fixed 1.000%) protection where necessary on Anglo (20/9/2018) (3,838) American Capital Plc 5.875% 17/4/2015) EUR 140,000 Credit Default Swaps (Barclays Bank) (Fund (20/6/2019) 1,713 receives default protection on Portugal EUR 272,000 Credit Default Swaps (Barclays Bank) (Fund Telecom International Finance BV 1.068% receives Fixed 1.000% and provides default 4/7/2016 and pays Fixed 5.000%) (20/3/2019) (4,970) protection where necessary on BP Plc 4.200% EUR 130,000 Credit Default Swaps (Barclays Bank) (Fund 15/6/2018) (20/6/2019) 706 receives default protection on Portugal EUR 510,000 Credit Default Swaps (Barclays Bank) (Fund Telecom International Finance BV 1.068% receives Fixed 1.000% and provides default 4/7/2016 and pays Fixed 5.000%) (20/3/2019) (4,615) protection where necessary on Enel SpA EUR 80,000 Credit Default Swaps (Barclays Bank) (Fund 5.250% 20/6/2017) (20/6/2019) 3,037 receives default protection on Portugal EUR 270,000 Credit Default Swaps (Barclays Bank) (Fund Telecom International Finance BV 1.068% receives Fixed 1.000% and provides default 4/7/2016 and pays Fixed 5.000%) (20/3/2019) (2,614) protection where necessary on Enel SpA EUR 250,000 Credit Default Swaps (Barclays Bank) (Fund 5.250% 20/6/2017) (20/6/2019) 1,205 receives default protection on PostNL NV EUR 150,000 Credit Default Swaps (Barclays Bank) (Fund 3.875% 1/6/2015 and pays Fixed 1.000%) receives Fixed 1.000% and provides default (20/6/2019) (2,816) protection where necessary on Enel SpA EUR 230,000 Credit Default Swaps (Barclays Bank) (Fund 5.250% 20/6/2017) (20/6/2019) 144 receives default protection on SABMiller Plc EUR 460,000 Credit Default Swaps (Barclays Bank) (Fund 1.068% 4/7/2016 and pays Fixed 1.000%) receives Fixed 1.000% and provides default (20/3/2019) (542) protection where necessary on Glencore EUR 280,000 Credit Default Swaps (Barclays Bank) (Fund Finance Europe SA 6.500% 27/2/2019) receives default protection on SABMiller Plc (20/6/2019) 6,990 1.068% 4/7/2016 and pays Fixed 1.000%) EUR 60,000 Credit Default Swaps (Barclays Bank) (Fund (20/3/2019) (1,230) receives Fixed 1.000% and provides default EUR 290,000 Credit Default Swaps (Barclays Bank) (Fund protection where necessary on National Grid receives default protection on SABMiller Plc Plc 5.000% 2/7/2018) (20/6/2018) 144 6.625% 15/8/2033 and pays Fixed 1.000%) EUR 200,000 Credit Default Swaps (Barclays Bank) (Fund (20/6/2019) (767) receives Fixed 1.000% and provides default EUR 170,000 Credit Default Swaps (Barclays Bank) (Fund protection where necessary on Next Plc receives default protection on Suedzucker 5.375% 26/10/2021) (20/6/2018) 2,555 International Finance BV 4.125% 29/3/2018 EUR 650,000 Credit Default Swaps (Barclays Bank) (Fund and pays Fixed 1.000%) (20/6/2018) 2,781 receives Fixed 1.000% and provides default EUR 280,000 Credit Default Swaps (Barclays Bank) (Fund protection where necessary on Next Plc receives default protection on Tate & Lyle 5.375% 26/10/2021) (20/6/2017) 28,679 International Finance Plc 1.068% 4/7/2016 and pays Fixed 1.000%) (20/6/2019) 26
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 139 BlackRock Global Absolute Return Bond Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
USD 290,000 Credit Default Swaps (Barclays Bank) (Fund EUR 276,000 Credit Default Swaps (Barclays Bank) (Fund receives Fixed 1.000% and provides receives Fixed 5.000% and provides default default protection where necessary on Rio protection where necessary on Melia Hotels Tinto Finance USA Ltd 6.500% 15/7/2018) International SA 5.000% 18/12/2014) (20/6/2019) (127) (20/6/2019) 2,138 USD 290,000 Credit Default Swaps (Barclays Bank) (Fund EUR 72,000 Credit Default Swaps (Barclays Bank) (Fund receives Fixed 1.000% and provides receives Fixed 5.000% and provides default default protection where necessary on Rio protection where necessary on Metsa Board Tinto Finance USA Ltd 6.500% 15/7/2018) OYJ 4.000% 13/3/2019) (20/6/2019) 933 (20/6/2019) (127) EUR 143,000 Credit Default Swaps (Barclays Bank) (Fund USD 570,000 Credit Default Swaps (Barclays Bank) (Fund receives Fixed 5.000% and provides default receives Fixed 1.000% and provides default protection where necessary on Metsa Board protection where necessary on Rio Tinto OYJ 4.000% 13/3/2019) (20/6/2019) 1,864 Finance USA Ltd 6.500% 15/7/2018) EUR 145,000 Credit Default Swaps (Barclays Bank) (Fund (20/6/2019) (251) receives Fixed 5.000% and provides default EUR 300,000 Credit Default Swaps (Barclays Bank) (Fund protection where necessary on Metsa Board receives Fixed 1.000% and provides OYJ 4.000% 13/3/2019) (20/6/2019) 1,890 default protection where necessary on EUR 290,000 Credit Default Swaps (Barclays Bank) (Fund Telefonaktiebolaget LM Ericsson 1.068% receives Fixed 5.000% and provides default 4/7/2016) (20/3/2019) 1,225 protection where necessary on Metsa Board EUR 150,000 Credit Default Swaps (Barclays Bank) (Fund OYJ 4.000% 13/3/2019) (20/6/2019) 4,108 receives Fixed 1.000% and provides default EUR 145,000 Credit Default Swaps (Barclays Bank) (Fund protection where necessary on Valeo SA receives Fixed 5.000% and provides default 4.875% 11/5/2018) (20/6/2019) 326 protection where necessary on Metsa Board EUR 520,000 Credit Default Swaps (Barclays Bank) (Fund OYJ 4.000% 13/3/2019) (20/6/2019) 2,129 receives Fixed 5.000% and provides default EUR 134,000 Credit Default Swaps (Barclays Bank) (Fund protection where necessary on Altice Finco SA receives Fixed 5.000% and provides default 9.000% 15/6/2023) (20/6/2019) 3,359 protection where necessary on Metsa Board EUR 260,000 Credit Default Swaps (Barclays Bank) (Fund OYJ 4.000% 13/3/2019) (20/6/2019) 2,496 receives Fixed 5.000% and provides default EUR 133,000 Credit Default Swaps (Barclays Bank) (Fund protection where necessary on Altice Finco SA receives Fixed 5.000% and provides default 9.000% 15/6/2023) (20/6/2019) 2,163 protection where necessary on Metsa Board EUR 300,000 Credit Default Swaps (Barclays Bank) (Fund OYJ 4.000% 13/3/2019) (20/6/2019) 1,788 receives Fixed 5.000% and provides default EUR 130,000 Credit Default Swaps (Barclays Bank) (Fund protection where necessary on Ardagh receives Fixed 5.000% and provides default Packaging Finance Plc 9.250% 15/10/2020) protection where necessary on Metsa Board (20/12/2017) 28,797 OYJ 4.000% 13/3/2019) (20/6/2019) 1,345 EUR 70,000 Credit Default Swaps (Barclays Bank) (Fund EUR 134,000 Credit Default Swaps (Barclays Bank) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Brisa protection where necessary on Metsa Board Concessao Rodoviaria SA 1.068% 4/7/2016) OYJ 4.000% 13/3/2019) (20/6/2019) 665 (20/3/2019) 5,265 EUR 192,000 Credit Default Swaps (Barclays Bank) (Fund EUR 90,000 Credit Default Swaps (Barclays Bank) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Metsa Board protection where necessary on Brisa OYJ 4.000% 13/3/2019) (20/6/2019) (41) Concessao Rodoviaria SA 1.068% 4/7/2016) EUR 157,000 Credit Default Swaps (Barclays Bank) (Fund (20/6/2019) 2,951 receives Fixed 5.000% and provides default EUR 100,000 Credit Default Swaps (Barclays Bank) (Fund protection where necessary on Metsa Board receives Fixed 5.000% and provides default OYJ 4.000% 13/3/2019) (20/6/2019) 807 protection where necessary on British Airways EUR 148,000 Credit Default Swaps (Barclays Bank) (Fund PLC 8.75% 23/8/2016) (20/12/2018) 1,571 receives Fixed 5.000% and provides default EUR 190,000 Credit Default Swaps (Barclays Bank) (Fund protection where necessary on New Look receives Fixed 5.000% and provides default Bondco I Plc 8.750% 14/5/2018) (20/6/2019) 1,377 protection where necessary on Conti-Gummi EUR 120,000 Credit Default Swaps (Barclays Bank) (Fund Finance BV 7.500% (15/9/2017)) (20/3/2019) (71) receives Fixed 5.000% and provides default EUR 330,000 Credit Default Swaps (Barclays Bank) (Fund protection where necessary on NXP BV / NXP receives Fixed 5.000% and provides default Funding LLC 5.750% 15/2/2021) (20/12/2018) 1,268 protection where necessary on EDP - Energias EUR 60,000 Credit Default Swaps (Barclays Bank) (Fund de Portugal SA 6.000% 7/12/2014) receives Fixed 5.000% and provides default (20/6/2019) 42 protection where necessary on UCB SA EUR 843,000 Credit Default Swaps (Barclays Bank) (Fund 3.750% 27/3/2020) (20/6/2019) 685 receives Fixed 5.000% and provides default EUR 366,000 Credit Default Swaps (BNP Paribas) (Fund protection where necessary on Markit iTraxx receives default protection on BAT Europe Crossover Series 21 Version 1) International Finance Plc 5.875% 12/3/2015 (20/6/2019) 3,151 and pays Fixed 1.000%) (20/6/2019) 717
140 BlackRock Strategic Funds (BSF) BlackRock Global Absolute Return Bond Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
EUR 470,000 Credit Default Swaps (BNP Paribas) (Fund USD 260,000 Credit Default Swaps (BNP Paribas) (Fund receives default protection on E.ON receives default protection on Qantas Airways International Finance BV 6.375% 29/5/2017 Ltd 6.050% 15/4/2016 and pays Fixed 1.000%) and pays Fixed 1.000%) (20/6/2019) (4,177) (20/6/2019) (1,882) EUR 60,000 Credit Default Swaps (BNP Paribas) (Fund EUR 150,000 Credit Default Swaps (BNP Paribas) (Fund receives default protection on Electrolux AB receives default protection on SABMiller Plc FRN 7/4/2016 and pays Fixed 1.000%) 1.068% 4/7/2016 and pays Fixed 1.000%) (20/12/2018) (17) (20/3/2019) (408) EUR 390,000 Credit Default Swaps (BNP Paribas) (Fund EUR 130,000 Credit Default Swaps (BNP Paribas) (Fund receives default protection on Experian receives default protection on SABMiller Plc Finance Plc 1.068% 4/7/2016 and pays Fixed 1.068% 4/7/2016 and pays Fixed 1.000%) 1.000%) (20/6/2019) 3 (20/3/2019) (356) EUR 200,000 Credit Default Swaps (BNP Paribas) (Fund EUR 130,000 Credit Default Swaps (BNP Paribas) (Fund receives default protection on Experian receives default protection on SABMiller Plc Finance Plc 4.750% 23/11/2018 and pays 1.068% 4/7/2016 and pays Fixed 1.000%) Fixed 1.000%) (20/6/2019) (46) (20/3/2019) (361) EUR 395,000 Credit Default Swaps (BNP Paribas) (Fund EUR 60,000 Credit Default Swaps (BNP Paribas) (Fund receives default protection on Experian receives default protection on Suedzucker Finance Plc 4.750% 23/11/2018 and pays International Finance BV 4.125% 29/3/2018 Fixed 1.000%) (20/6/2019) (96) and pays Fixed 1.000%) (20/6/2018) 1,007 EUR 530,000 Credit Default Swaps (BNP Paribas) (Fund EUR 170,000 Credit Default Swaps (BNP Paribas) (Fund receives default protection on Fiat Finance receives default protection on Tate & Lyle North America Inc 5.625% 12/6/2017 and International Finance Plc 6.750% 25/11/2019 pays Fixed 5.000%) (20/6/2019) (69) and pays Fixed 1.000%) (20/6/2019) (92) EUR 202,000 Credit Default Swaps (BNP Paribas) (Fund EUR 140,000 Credit Default Swaps (BNP Paribas) (Fund receives default protection on Finmeccanica receives default protection on Tate & Lyle Finance SA/Old 5.750% 12/12/2018 and pays International Finance Plc 6.750% 25/11/2019 Fixed 5.000%) (20/6/2019) (1,541) and pays Fixed 1.000%) (20/6/2019) (76) EUR 270,000 Credit Default Swaps (BNP Paribas) EUR 160,000 Credit Default Swaps (BNP Paribas) (Fund (Fund receives default protection on receives default protection on Tate & Lyle HeidelbergCement Finance Luxembourg SA International Finance Plc 6.750% 25/11/2019 1.068% 4/7/2016 and pays Fixed 5.000%) and pays Fixed 1.000%) (20/6/2019) (249) (20/3/2019) (3,081) EUR 790,000 Credit Default Swaps (BNP Paribas) (Fund EUR 200,000 Credit Default Swaps (BNP Paribas) receives default protection on Tesco Plc (Fund receives default protection on 6.000% 14/12/2029 and pays Fixed 1.000%) HeidelbergCement Finance Luxembourg SA (20/6/2019) (9,989) 1.068% 4/7/2016 and pays Fixed 5.000%) EUR 48,000 Credit Default Swaps (BNP Paribas) (Fund (20/3/2019) (5,523) receives default protection on Virgin Media EUR 260,000 Credit Default Swaps (BNP Paribas) (Fund Finance Plc 1.068% 4/7/2016 and pays Fixed receives default protection on Koninklijke 5.000%) (20/3/2019) (1,347) DSM NV 1.068% 4/7/2016 and pays Fixed EUR 280,000 Credit Default Swaps (BNP Paribas) (Fund 1.000%) (20/6/2019) (266) receives Fixed 1.000% and provides default EUR 264,000 Credit Default Swaps (BNP Paribas) (Fund protection where necessary on Enel SpA receives default protection on Ladbrokes 5.250% 20/6/2017) (20/6/2019) 1,248 Group Finance Plc 7.625% 5/3/2017 and pays EUR 170,000 Credit Default Swaps (BNP Paribas) (Fund Fixed 1.000%) (20/6/2019) (4,721) receives Fixed 1.000% and provides default EUR 79,000 Credit Default Swaps (BNP Paribas) (Fund protection where necessary on Rolls-Royce receives default protection on Ladbrokes Plc 7.375% 14/6/2016) (20/12/2018) 474 Group Finance Plc 7.625% 5/3/2017 and pays EUR 550,000 Credit Default Swaps (BNP Paribas) (Fund Fixed 1.000%) (20/6/2019) (596) receives Fixed 5.000% and provides default EUR 78,000 Credit Default Swaps (BNP Paribas) (Fund protection where necessary on Alcatel- receives default protection on Ladbrokes Lucent 8.500% 15/1/2016) (20/6/2019) 14,917 Group Finance Plc 7.625% 5/3/2017 and pays EUR 60,000 Credit Default Swaps (BNP Paribas) (Fund Fixed 1.000%) (20/6/2019) (890) receives Fixed 5.000% and provides default EUR 12,200,000 Credit Default Swaps (BNP Paribas) (Fund protection where necessary on Dixons Retail receives default protection on Markit iTraxx Plc 8.750% 3/8/2015) (20/6/2018) 7,083 Europe Series 21 Version 1 and pays Fixed EUR 80,000 Credit Default Swaps (BNP Paribas) (Fund 1.000%) (20/6/2019) (42,761) receives Fixed 5.000% and provides default EUR 156,322 Credit Default Swaps (BNP Paribas) (Fund protection where necessary on Melia Hotels receives default protection on Metro AG International SA 1.068% 4/7/2016) (20/3/2019) 3,847 7.625% 5/3/2015 and pays Fixed 1.000%) EUR 30,000 Credit Default Swaps (BNP Paribas) (Fund (20/6/2019) (2,309) receives Fixed 5.000% and provides default EUR 200,000 Credit Default Swaps (BNP Paribas) (Fund protection where necessary on Melia Hotels receives default protection on PostNL NV International SA 1.068% 4/7/2016) (20/3/2019) 1,442 1.068% 4/7/2016 and pays Fixed 1.000%) (20/3/2019) (3,550)
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 141 BlackRock Global Absolute Return Bond Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
EUR 50,000 Credit Default Swaps (BNP Paribas) (Fund EUR 520,000 Credit Default Swaps (Citibank) (Fund receives receives Fixed 5.000% and provides default default protection on Experian Finance Plc protection where necessary on Melia Hotels 4.750% 23/11/2018 and pays Fixed 1.000%) International SA 1.068% 4/7/2016) (20/3/2019) 2,519 (20/6/2019) (467) EUR 40,000 Credit Default Swaps (BNP Paribas) (Fund EUR 300,000 Credit Default Swaps (Citibank) (Fund receives receives Fixed 5.000% and provides default default protection on Fiat Finance North protection where necessary on Melia Hotels America Inc 1.068% 4/7/2016 and pays Fixed International SA 1.068% 4/7/2016) (20/3/2019) 2,016 5.000%) (20/6/2019) (1,988) EUR 60,000 Credit Default Swaps (BNP Paribas) (Fund EUR 270,000 Credit Default Swaps (Citibank) (Fund receives receives Fixed 5.000% and provides default default protection on Fiat Finance North protection where necessary on Melia Hotels America Inc 5.625% 12/6/2017 and pays Fixed International SA 1.068% 4/7/2016) (20/3/2019) 3,160 5.000%) (20/6/2019) (1,784) EUR 180,000 Credit Default Swaps (BNP Paribas) (Fund EUR 520,000 Credit Default Swaps (Citibank) (Fund receives receives Fixed 5.000% and provides default default protection on Fiat Finance North protection where necessary on OTE Plc America Inc 5.625% 12/6/2017 and pays Fixed 1.068% 4/7/2016) (20/3/2019) 3,844 5.000%) (20/6/2019) 1,743 EUR 130,000 Credit Default Swaps (BNP Paribas) (Fund EUR 420,000 Credit Default Swaps (Citibank) (Fund receives receives Fixed 5.000% and provides default default protection on Finmeccanica Finance protection where necessary on OTE Plc SA/Old 5.750% 12/12/2018 and pays Fixed 1.068% 4/7/2016) (20/3/2019) 2,648 5.000%) (20/12/2018) (24,361) EUR 71,000 Credit Default Swaps (BNP Paribas) (Fund EUR 180,000 Credit Default Swaps (Citibank) (Fund receives receives Fixed 5.000% and provides default default protection on J Sainsbury Plc 1.068% protection where necessary on OTE Plc 4/7/2016 and pays Fixed 1.000%) (20/6/2019) (676) 1.068% 4/7/2016) (20/3/2019) 2,298 EUR 400,000 Credit Default Swaps (Citibank) (Fund receives EUR 90,000 Credit Default Swaps (BNP Paribas) (Fund default protection on J Sainsbury Plc 4.250% receives Fixed 5.000% and provides default 16/7/2014 and pays Fixed 1.000%) (20/6/2019) (3,357) protection where necessary on OTE Plc EUR 350,000 Credit Default Swaps (Citibank) (Fund receives 1.068% 4/7/2016) (20/3/2019) 55 default protection on Kering 3.750% 8/4/2015 EUR 86,000 Credit Default Swaps (BNP Paribas) (Fund and pays Fixed 1.000%) (20/6/2019) (1,819) receives Fixed 5.000% and provides default EUR 800,000 Credit Default Swaps (Citibank) (Fund receives protection where necessary on OTE Plc default protection on Koninklijke DSM NV 4.625% 20/5/2016) (20/6/2019) (1,146) 4.000% 10/11/2015 and pays Fixed 1.000%) EUR 10,000 Credit Default Swaps (BNP Paribas) (Fund (20/6/2019) (1,610) receives Fixed 5.000% and provides default EUR 750,000 Credit Default Swaps (Citibank) (Fund receives protection where necessary on OTE PLC default protection on Koninklijke KPN NV 4.625% 20/5/2016) (20/3/2018) 2,112 8.375% 1/10/2030 and pays Fixed 1.000%) EUR 20,000 Credit Default Swaps (BNP Paribas) (Fund (20/3/2019) (7,298) receives Fixed 5.000% and provides default EUR 800,000 Credit Default Swaps (Citibank) (Fund receives protection where necessary on OTE PLC default protection on Koninklijke KPN NV 4.625% 20/5/2016) (20/3/2018) 3,973 8.375% 1/10/2030 and pays Fixed 1.000%) EUR 940,000 Credit Default Swaps (Citibank) (Fund receives (20/3/2019) (6,986) default protection on Akzo Nobel NV 8.000% EUR 350,000 Credit Default Swaps (Citibank) (Fund receives 6/4/2016 and pays Fixed 1.000%) (20/6/2019) (4,648) default protection on Koninklijke Philips NV EUR 110,000 Credit Default Swaps (Citibank) (Fund receives 5.750% 11/3/2018 and pays Fixed 1.000%) default protection on Ardagh Packaging (20/6/2019) 1,329 Finance Plc 9.250% 15/10/2020 and pays Fixed EUR 250,000 Credit Default Swaps (Citibank) (Fund receives 5.000%) (20/6/2019) (159) default protection on Koninklijke Philips NV EUR 80,000 Credit Default Swaps (Citibank) (Fund receives 5.750% 11/3/2018 and pays Fixed 1.000%) default protection on Ardagh Packaging (20/6/2019) 124 Finance Plc 9.250% 15/10/2020 and pays Fixed EUR 227,000 Credit Default Swaps (Citibank) (Fund receives 5.000%) (20/6/2019) (116) default protection on Ladbrokes Group EUR 260,000 Credit Default Swaps (Citibank) (Fund receives Finance Plc 7.625% 5/3/2017 and pays Fixed default protection on Carlsberg Breweries 1.000%) (20/6/2019) (1,750) A/S 1.068% 4/7/2016 and pays Fixed 1.000%) EUR 33,990,000 Credit Default Swaps (Citibank) (Fund receives (20/3/2019) (1,602) default protection on Markit iTraxx Europe EUR 260,000 Credit Default Swaps (Citibank) (Fund receives Series 21 Version 1 and pays Fixed 1.000%) default protection on Carlsberg Breweries A/S (20/6/2019) (67,746) 3.375% 13/10/2017 and pays Fixed 1.000%) EUR 530,000 Credit Default Swaps (Citibank) (Fund receives (20/6/2019) (1,760) default protection on Metro AG 1.068% EUR 680,000 Credit Default Swaps (Citibank) (Fund receives 4/7/2016 and pays Fixed 1.000%) (20/3/2019) (2,733) default protection on Deutsche Lufthansa EUR 250,000 Credit Default Swaps (Citibank) (Fund receives AG 6.500% 7/7/2016 and pays Fixed 1.000%) default protection on Metro AG 1.068% (20/6/2019) (1,899) 4/7/2016 and pays Fixed 1.000%) (20/6/2019) (2,510) EUR 465,000 Credit Default Swaps (Citibank) (Fund receives EUR 570,000 Credit Default Swaps (Citibank) (Fund receives default protection on Experian Finance Plc default protection on Metro AG 7.625% 4.750% 23/11/2018 and pays Fixed 1.000%) 5/3/2015 and pays Fixed 1.000%) (20/6/2019) (7,910) (20/6/2019) 126
142 BlackRock Strategic Funds (BSF) BlackRock Global Absolute Return Bond Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
EUR 200,000 Credit Default Swaps (Citibank) (Fund receives EUR 570,000 Credit Default Swaps (Citibank) (Fund default protection on Michelin Luxembourg receives default protection on Volkswagen SCS 2.75% 20/6/2019 and pays Fixed 1.000%) International Finance NV 1.068% 4/7/2016 (20/12/2018) (2,452) and pays Fixed 1.000%) (20/6/2019) (2,905) EUR 100,000 Credit Default Swaps (Citibank) (Fund receives EUR 850,000 Credit Default Swaps (Citibank) (Fund default protection on Orange SA 1.068% receives default protection on Volkswagen 4/7/2016 and pays Fixed 1.000%) (20/3/2019) (1,024) International Finance NV 5.375% 22/5/2018 EUR 350,000 Credit Default Swaps (Citibank) (Fund receives and pays Fixed 1.000%) (20/6/2019) (3,144) default protection on PostNL NV 1.068% EUR 220,000 Credit Default Swaps (Citibank) (Fund receives 4/7/2016 and pays Fixed 1.000%) (20/3/2019) (5,893) default protection on Wolters Kluwer NV EUR 215,000 Credit Default Swaps (Citibank) (Fund receives 1.068% 4/7/2016 and pays Fixed 1.000%) default protection on Rexel SA 5.125% (20/3/2019) (663) 15/6/2020 and pays Fixed 5.000%) (20/6/2019) (2,962) EUR 300,000 Credit Default Swaps (Citibank) (Fund receives EUR 320,000 Credit Default Swaps (Citibank) (Fund Fixed 1.000% and provides default protection receives default protection on RWE AG where necessary on BAE Systems Plc 5.750% 14/2/2033 and pays Fixed 1.000%) 10.750% 24/11/2014) (20/6/2019) 718 (20/12/2018) (5,906) EUR 520,000 Credit Default Swaps (Citibank) (Fund receives EUR 270,000 Credit Default Swaps (Citibank) (Fund receives Fixed 1.000% and provides default protection default protection on SABMiller Plc 1.068% where necessary on BP Plc 4.200% 4/7/2016 and pays Fixed 1.000%) (20/3/2019) (28) 15/6/2018) (20/6/2019) 1,798 EUR 650,000 Credit Default Swaps (Citibank) (Fund receives EUR 268,000 Credit Default Swaps (Citibank) (Fund receives default protection on Securitas AB 6.500% Fixed 1.000% and provides default protection 2/4/2013 and pays Fixed 1.000%) (20/9/2017) (13,048) where necessary on EDP - Energias de EUR 210,000 Credit Default Swaps (Citibank) (Fund receives Portugal SA 6.000% 7/12/2014) (20/6/2019) 226 default protection on SES SA 4.625% EUR 19,990,000 Credit Default Swaps (Citibank) (Fund receives 9/3/2020 and pays Fixed 1.000%) (20/6/2019) (62) Fixed 1.000% and provides default protection EUR 210,000 Credit Default Swaps (Citibank) (Fund receives where necessary on Markit iTraxx Europe default protection on Societe Air France SA Series 21 Version 1) (20/6/2024) 127,481 2.75% 1/4/2020 and pays Fixed 5.000%) EUR 100,000 Credit Default Swaps (Citibank) (Fund receives (20/12/2018) (16,027) Fixed 1.000% and provides default protection EUR 700,000 Credit Default Swaps (Citibank) (Fund receives where necessary on Next Plc 5.375% default protection on St-Gobain Nederland 26/10/2021) (20/12/2017) 2,993 BV 5.000% 25/4/2014 and pays Fixed 1.000%) EUR 290,000 Credit Default Swaps (Citibank) (Fund receives (20/6/2018) (31,390) Fixed 1.000% and provides default protection EUR 170,000 Credit Default Swaps (Citibank) (Fund where necessary on Rentokil Initial Plc receives default protection on Suedzucker 5.750% 31/3/2016) (20/6/2019) 2,754 International Finance BV 4.125% 29/3/2018 USD 1,540,000 Credit Default Swaps (Citibank) (Fund receives and pays Fixed 1.000%) (20/6/2018) 2,771 Fixed 1.000% and provides default protection EUR 170,000 Credit Default Swaps (Citibank) (Fund where necessary on Rio Tinto Finance USA receives default protection on Suedzucker Ltd 6.500% 15/7/2018) (20/6/2019) (3,008) International Finance BV 4.125% 29/3/2018 EUR 1,390,000 Credit Default Swaps (Citibank) (Fund receives and pays Fixed 1.000%) (20/6/2018) 2,766 Fixed 1.000% and provides default protection EUR 240,000 Credit Default Swaps (Citibank) (Fund receives where necessary on Vodafone Group Plc default protection on Tate & Lyle International 5.000% 4/6/2018) (20/6/2019) 3,848 Finance Plc 1.068% 4/7/2016 and pays Fixed EUR 80,000 Credit Default Swaps (Citibank) (Fund receives 1.000%) (20/3/2019) 225 Fixed 5.000% and provides default protection EUR 254,000 Credit Default Swaps (Citibank) (Fund receives where necessary on Abengoa SA 8.500% default protection on Telecom Italia SpA 31/3/2016) (20/6/2019) 3,378 5.375% 29/1/2019 and pays Fixed 1.000%) EUR 80,000 Credit Default Swaps (Citibank) (Fund receives (20/6/2019) (801) Fixed 5.000% and provides default protection EUR 100,000 Credit Default Swaps (Citibank) (Fund receives where necessary on Abengoa SA 8.500% default protection on Telecom Italia SpA 31/3/2016) (20/6/2019) 2,478 5.375% 29/1/2019 and pays Fixed 1.000%) EUR 160,000 Credit Default Swaps (Citibank) (Fund receives (20/3/2018) (6,159) Fixed 5.000% and provides default protection EUR 400,000 Credit Default Swaps (Citibank) (Fund receives where necessary on Abengoa SA 8.500% default protection on TeliaSonera AB 4.125% 31/3/2016) (20/6/2019) (59) 11/5/2015 and pays Fixed 1.000%) (20/6/2019) 85 EUR 90,000 Credit Default Swaps (Citibank) (Fund receives EUR 290,000 Credit Default Swaps (Citibank) (Fund receives Fixed 5.000% and provides default protection default protection on Tesco Plc 6.000% where necessary on Brisa Concessao 14/12/2029 and pays Fixed 1.000%) Rodoviaria SA 1.068% 4/7/2016) (20/3/2019) 4,415 (20/6/2019) (2,961) EUR 230,000 Credit Default Swaps (Citibank) (Fund receives EUR 340,000 Credit Default Swaps (Citibank) (Fund Fixed 5.000% and provides default protection receives default protection on Vattenfall AB where necessary on British Airways PLC 5.375% 29/4/2024 and pays Fixed 1.000%) 8.75% 23/8/2016) (20/12/2018) 4,070 (20/6/2019) (1,634)
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 143 BlackRock Global Absolute Return Bond Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
EUR 40,000 Credit Default Swaps (Citibank) (Fund receives EUR 530,000 Credit Default Swaps (Citibank) (Fund Fixed 5.000% and provides default protection receives Fixed 5.000% and provides default where necessary on British Airways Plc protection where necessary on ITV Plc 8.750% 23/8/2016) (20/12/2017) 4,768 6.125% 5/1/2017) (20/6/2019) (3,249) EUR 60,000 Credit Default Swaps (Citibank) (Fund receives EUR 160,000 Credit Default Swaps (Citibank) (Fund Fixed 5.000% and provides default protection receives Fixed 5.000% and provides default where necessary on British Airways Plc protection where necessary on Louis Dreyfus 8.750% 23/8/2016) (20/12/2017) 6,715 Commodities BV 4.000% 4/12/2020) (20/6/2019) 4,413 EUR 48,077 Credit Default Swaps (Citibank) (Fund receives EUR 143,000 Credit Default Swaps (Citibank) (Fund Fixed 5.000% and provides default protection receives Fixed 5.000% and provides default where necessary on British Airways Plc protection where necessary on Metsa Board 8.750% 23/8/2016) (20/6/2018) 4,661 OYJ 1.068% 4/7/2016) (20/3/2019) 2,779 EUR 50,000 Credit Default Swaps (Citibank) (Fund receives EUR 72,000 Credit Default Swaps (Citibank) (Fund Fixed 5.000% and provides default protection receives Fixed 5.000% and provides default where necessary on British Airways Plc protection where necessary on Metsa Board 8.750% 23/8/2016) (20/6/2018) 3,839 OYJ 4.000% 13/3/2019) (20/3/2019) 1,647 EUR 10,000 Credit Default Swaps (Citibank) (Fund receives EUR 280,000 Credit Default Swaps (Citibank) (Fund Fixed 5.000% and provides default protection receives Fixed 5.000% and provides default where necessary on Dixons Retail Plc 8.750% protection where necessary on NXP BV / NXP 3/8/2015) (20/12/2017) 1,548 Funding LLC 2.961% 15/10/2013) (20/12/2018) 7,399 EUR 80,000 Credit Default Swaps (Citibank) (Fund receives EUR 980,000 Credit Default Swaps (Citibank) (Fund Fixed 5.000% and provides default protection receives Fixed 5.000% and provides default where necessary on EDP - Energias de protection where necessary on NXP BV / NXP Portugal SA 1.068% 4/7/2016) (20/12/2018) 2,923 Funding LLC 5.750% 15/2/2021) (20/6/2019) (14,916) EUR 180,000 Credit Default Swaps (Citibank) (Fund receives EUR 110,000 Credit Default Swaps (Citibank) (Fund Fixed 5.000% and provides default protection receives Fixed 5.000% and provides default where necessary on EDP - Energias de protection where necessary on OTE Plc Portugal SA 1.068% 4/7/2016) (20/12/2018) 6,978 1.068% 4/7/2016) (20/3/2019) 5,197 EUR 80,000 Credit Default Swaps (Citibank) (Fund receives EUR 105,000 Credit Default Swaps (Citibank) (Fund Fixed 5.000% and provides default protection receives Fixed 5.000% and provides default where necessary on EDP - Energias de protection where necessary on OTE Plc Portugal SA 6.000% 7/12/2014) (20/6/2018) 3,626 1.068% 4/7/2016) (20/3/2019) 4,961 EUR 370,000 Credit Default Swaps (Citibank) (Fund receives EUR 200,000 Credit Default Swaps (Citibank) (Fund Fixed 5.000% and provides default protection receives Fixed 5.000% and provides default where necessary on EDP - Energias de protection where necessary on OTE Plc Portugal SA 6.000% 7/12/2014) (20/12/2018) 32,066 1.068% 4/7/2016) (20/3/2019) 6,754 EUR 50,000 Credit Default Swaps (Citibank) (Fund receives EUR 305,000 Credit Default Swaps (Citibank) (Fund Fixed 5.000% and provides default protection receives Fixed 5.000% and provides default where necessary on EDP - Energias de protection where necessary on Peugeot SA Portugal SA 6.000% 7/12/2014) (20/12/2018) 4,767 7.375% 6/3/2018) (20/6/2019) 2,559 EUR 248,000 Credit Default Swaps (Citibank) (Fund receives EUR 210,000 Credit Default Swaps (Citibank) (Fund Fixed 5.000% and provides default protection receives Fixed 5.000% and provides default where necessary on Galp Energia SGPS SA protection where necessary on Schaeffler 4.125% 25/1/2019) (20/6/2019) 1,963 Finance BV 7.75% 15/2/2017) (20/12/2018) 1,388 EUR 77,000 Credit Default Swaps (Citibank) (Fund receives EUR 255,000 Credit Default Swaps (Citibank) (Fund Fixed 5.000% and provides default protection receives Fixed 5.000% and provides default where necessary on Galp Energia SGPS SA protection where necessary on Stora Enso 4.125% 25/1/2019) (20/6/2019) 609 OYJ 5.000% 19/3/2018) (20/6/2019) (1,106) EUR 150,000 Credit Default Swaps (Citibank) (Fund receives EUR 150,000 Credit Default Swaps (Citibank) (Fund Fixed 5.000% and provides default protection receives Fixed 5.000% and provides default where necessary on Galp Energia SGPS SA protection where necessary on UCB SA 4.125% 25/1/2019) (20/6/2019) 392 3.750% 27/3/2020) (20/6/2019) 6,014 EUR 90,000 Credit Default Swaps (Citibank) (Fund receives EUR 9,050,000 Credit Default Swaps (Citigroup Global Markets) Fixed 5.000% and provides default protection (Fund receives default protection on Markit where necessary on ISS Global A/S 4.500% iTraxx Europe Series 21 Version 1 and pays 8/12/2014) (20/12/2018) 5,313 Fixed 1.000%) (20/6/2019) (54,244) EUR 100,000 Credit Default Swaps (Citibank) (Fund receives EUR 6,970,000 Credit Default Swaps (Citigroup Global Markets) Fixed 5.000% and provides default protection (Fund receives default protection on Markit where necessary on ISS Global A/S 4.500% iTraxx Europe Series 21 Version 1 and pays 8/12/2014) (20/12/2018) 5,904 Fixed 1.000%) (20/6/2019) 4,454 EUR 90,000 Credit Default Swaps (Citibank) (Fund receives EUR 13,445,000 Credit Default Swaps (Citigroup Global Markets) Fixed 5.000% and provides default protection (Fund receives default protection on Markit where necessary on ISS Global A/S 4.500% iTraxx Europe Series 21 Version 1 and pays 8/12/2014) (20/12/2018) 5,467 Fixed 1.000%) (20/6/2019) 1,197
144 BlackRock Strategic Funds (BSF) BlackRock Global Absolute Return Bond Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
EUR 4,125,000 Credit Default Swaps (Citigroup Global Markets) EUR 260,000 Credit Default Swaps (Credit Suisse) (Fund (Fund receives default protection on Markit receives default protection on Deutsche iTraxx Europe Series 21 Version 1 and pays Telekom International Finance BV 6.000% Fixed 1.000%) (20/6/2019) (4,792) 20/1/2017 and pays Fixed 1.000%) EUR 7,825,000 Credit Default Swaps (Citigroup Global Markets) (20/6/2019) (878) (Fund receives default protection on Markit EUR 262,000 Credit Default Swaps (Credit Suisse) (Fund iTraxx Europe Series 21 Version 1 and pays receives default protection on Finmeccanica Fixed 1.000%) (20/6/2019) (14,219) Finance SA/Old 5.750% 12/12/2018 and pays EUR 7,815,000 Credit Default Swaps (Citigroup Global Markets) Fixed 5.000%) (20/6/2019) (1,976) (Fund receives default protection on Markit EUR 100,000 Credit Default Swaps (Credit Suisse) (Fund iTraxx Europe Series 21 Version 1 and pays receives default protection on Finmeccanica Fixed 1.000%) (20/6/2019) (12,349) Finance SA/Old 5.750% 12/12/2018 and pays EUR 144,014 Credit Default Swaps (Credit Suisse) (Fund Fixed 5.000%) (20/3/2018) (6,954) receives default protection on ArcelorMittal EUR 300,000 Credit Default Swaps (Credit Suisse) (Fund 1.068% 4/7/2016 and pays Fixed 1.000%) receives default protection on Finmeccanica (20/6/2019) (4,626) Finance SA/Old 5.750% 12/12/2018 and pays EUR 38,962 Credit Default Swaps (Credit Suisse) (Fund Fixed 5.000%) (20/12/2018) (13,457) receives default protection on ArcelorMittal EUR 20,000 Credit Default Swaps (Credit Suisse) (Fund 1.068% 4/7/2016 and pays Fixed 1.000%) receives default protection on Infineon (20/6/2019) (1,203) Technologies Holding BV 7.500% 26/5/2014 EUR 71,925 Credit Default Swaps (Credit Suisse) (Fund and pays Fixed 5.000%) (20/12/2017) (1,164) receives default protection on ArcelorMittal EUR 140,000 Credit Default Swaps (Credit Suisse) (Fund 1.068% 4/7/2016 and pays Fixed 1.000%) receives default protection on Koninklijke (20/6/2019) (2,267) DSM NV 1.068% 4/7/2016 and pays Fixed EUR 74,608 Credit Default Swaps (Credit Suisse) (Fund 1.000%) (20/3/2019) 14 receives default protection on ArcelorMittal EUR 240,000 Credit Default Swaps (Credit Suisse) (Fund 1.068% 4/7/2016 and pays Fixed 1.000%) receives default protection on Koninklijke (20/6/2019) (2,864) KPN NV 7.500% 4/2/2019 and pays Fixed EUR 119,457 Credit Default Swaps (Credit Suisse) (Fund 1.000%) (20/6/2019) (646) receives default protection on ArcelorMittal EUR 555,000 Credit Default Swaps (Credit Suisse) (Fund 1.068% 4/7/2016 and pays Fixed 1.000%) receives default protection on Koninklijke (20/6/2019) (4,586) KPN NV 8.375% 1/10/2030 and pays Fixed EUR 1,400,000 Credit Default Swaps (Credit Suisse) (Fund 1.000%) (20/3/2019) (4,863) receives default protection on AXA SA EUR 240,000 Credit Default Swaps (Credit Suisse) (Fund 4.500% 23/1/2015 and pays Fixed 1.000%) receives default protection on Koninklijke (20/6/2018) (86,874) Philips NV 1.068% 4/7/2016 and pays Fixed EUR 190,000 Credit Default Swaps (Credit Suisse) (Fund 1.000%) (20/6/2019) 1,118 receives default protection on Carlsberg EUR 136,000 Credit Default Swaps (Credit Suisse) (Fund Breweries A/S 3.375% 13/10/2017 and pays receives default protection on Ladbrokes Fixed 1.000%) (20/6/2019) (1,765) Group Finance Plc 7.625% 5/3/2017 and pays EUR 570,000 Credit Default Swaps (Credit Suisse) (Fund Fixed 1.000%) (20/6/2019) (2,039) receives default protection on Carlsberg EUR 136,000 Credit Default Swaps (Credit Suisse) (Fund Breweries A/S 3.375% 13/10/2017 and pays receives default protection on Ladbrokes Fixed 1.000%) (20/6/2019) (5,575) Group Finance Plc 7.625% 5/3/2017 and pays EUR 240,000 Credit Default Swaps (Credit Suisse) (Fund Fixed 1.000%) (20/6/2019) (2,432) receives default protection on Deutsche EUR 100,000 Credit Default Swaps (Credit Suisse) (Fund Telekom International Finance BV 6.000% receives default protection on LANXESS 20/1/2017 and pays Fixed 1.000%) Finance BV 7.750% 9/4/2014 and pays Fixed (20/6/2019) (799) 1.000%) (20/3/2018) (2,668) EUR 240,000 Credit Default Swaps (Credit Suisse) (Fund EUR 290,000 Credit Default Swaps (Credit Suisse) (Fund receives default protection on Deutsche receives default protection on Metro AG Telekom International Finance BV 6.000% 1.068% 4/7/2016 and pays Fixed 1.000%) 20/1/2017 and pays Fixed 1.000%) (20/3/2019) (1,642) (20/6/2019) (555) EUR 140,000 Credit Default Swaps (Credit Suisse) (Fund EUR 240,000 Credit Default Swaps (Credit Suisse) (Fund receives default protection on Metro AG receives default protection on Deutsche 1.068% 4/7/2016 and pays Fixed 1.000%) Telekom International Finance BV 6.000% (20/3/2019) (1,182) 20/1/2017 and pays Fixed 1.000%) EUR 900,000 Credit Default Swaps (Credit Suisse) (Fund (20/6/2019) (555) receives default protection on Orange SA EUR 260,000 Credit Default Swaps (Credit Suisse) (Fund 1.068% 4/7/2016 and pays Fixed 1.000%) receives default protection on Deutsche (20/3/2019) (8,315) Telekom International Finance BV 6.000% 20/1/2017 and pays Fixed 1.000%) (20/6/2019) (737)
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 145 BlackRock Global Absolute Return Bond Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
EUR 430,000 Credit Default Swaps (Credit Suisse) (Fund EUR 200,000 Credit Default Swaps (Credit Suisse) (Fund receives default protection on Pearson Plc receives default protection on Siemens 1.068% 4/7/2016 and pays Fixed 1.000%) Financieringsmaatschappij NV 5.625% (20/3/2019) 540 11/6/2018 and pays Fixed 1.000%) (20/6/2017) (4,738) EUR 140,000 Credit Default Swaps (Credit Suisse) (Fund EUR 300,000 Credit Default Swaps (Credit Suisse) (Fund receives default protection on Pearson Plc receives default protection on Stena AB 1.068% 4/7/2016 and pays Fixed 1.000%) 6.125% 1/2/2017 and pays Fixed 5.000%) (20/3/2019) 166 (20/9/2017) (59,651) EUR 290,000 Credit Default Swaps (Credit Suisse) (Fund EUR 300,000 Credit Default Swaps (Credit Suisse) (Fund receives default protection on Portugal receives default protection on Suedzucker Telecom International Finance BV 1.068% International Finance BV 4.125% 29/3/2018 4/7/2016 and pays Fixed 5.000%) (20/6/2019) (9,169) and pays Fixed 1.000%) (20/6/2019) 3,766 EUR 70,000 Credit Default Swaps (Credit Suisse) (Fund EUR 310,000 Credit Default Swaps (Credit Suisse) (Fund receives default protection on Portugal receives default protection on Tate & Lyle Telecom International Finance BV 1.068% International Finance Plc 6.750% 25/11/2019 4/7/2016 and pays Fixed 5.000%) (20/6/2019) (2,177) and pays Fixed 1.000%) (20/6/2018) (939) EUR 285,000 Credit Default Swaps (Credit Suisse) (Fund EUR 50,000 Credit Default Swaps (Credit Suisse) (Fund receives default protection on Portugal receives default protection on TDC A/S 5.875% Telecom International Finance BV 4.375% 16/12/2015 and pays Fixed 1.000%) (20/3/2018) (570) 24/3/2017 and pays Fixed 5.000%) EUR 30,000 Credit Default Swaps (Credit Suisse) (Fund (20/6/2019) (10,698) receives default protection on TDC A/S EUR 510,000 Credit Default Swaps (Credit Suisse) (Fund 5.875% 16/12/2015 and pays Fixed 1.000%) receives default protection on Portugal (20/3/2018) (282) Telecom International Finance BV 4.375% EUR 60,000 Credit Default Swaps (Credit Suisse) (Fund 24/3/2017 and pays Fixed 5.000%) receives default protection on Technip SA (20/6/2019) (3,300) 5.000% 27/7/2020 and pays Fixed 1.000%) EUR 510,000 Credit Default Swaps (Credit Suisse) (Fund (20/6/2019) (484) receives default protection on Portugal EUR 410,000 Credit Default Swaps (Credit Suisse) (Fund Telecom International Finance BV 4.375% receives default protection on Telecom 24/3/2017 and pays Fixed 5.000%) Italia SpA 5.375% 29/1/2019 and pays Fixed (20/6/2019) (2,569) 1.000%) (20/6/2019) (10,801) EUR 140,000 Credit Default Swaps (Credit Suisse) (Fund EUR 315,000 Credit Default Swaps (Credit Suisse) (Fund receives default protection on PostNL NV receives default protection on Telecom 1.068% 4/7/2016 and pays Fixed 1.000%) Italia SpA 5.375% 29/1/2019 and pays Fixed (20/3/2019) (2,094) 1.000%) (20/6/2019) (7,114) EUR 470,000 Credit Default Swaps (Credit Suisse) (Fund EUR 290,000 Credit Default Swaps (Credit Suisse) (Fund receives default protection on PostNL NV receives default protection on Telecom 1.068% 4/7/2016 and pays Fixed 1.000%) Italia SpA 5.375% 29/1/2019 and pays Fixed (20/3/2019) (8,094) 1.000%) (20/6/2019) (6,549) EUR 940,000 Credit Default Swaps (Credit Suisse) (Fund EUR 895,000 Credit Default Swaps (Credit Suisse) (Fund receives default protection on PostNL NV receives default protection on Telecom 1.068% 4/7/2016 and pays Fixed 1.000%) Italia SpA 5.375% 29/1/2019 and pays Fixed (20/3/2019) (13,773) 1.000%) (20/6/2019) (16,358) EUR 250,000 Credit Default Swaps (Credit Suisse) (Fund EUR 350,000 Credit Default Swaps (Credit Suisse) (Fund receives default protection on PostNL NV receives default protection on Telecom 3.875% 1/6/2015 and pays Fixed 1.000%) Italia SpA 5.375% 29/1/2019 and pays Fixed (20/6/2019) (2,101) 1.000%) (20/6/2019) (4,983) EUR 40,000 Credit Default Swaps (Credit Suisse) (Fund EUR 570,000 Credit Default Swaps (Credit Suisse) (Fund receives default protection on PostNL NV receives default protection on Telefonica 3.875% 1/6/2015 and pays Fixed 1.000%) Emisiones SAU 1.068% 4/7/2016 and pays (20/6/2018) (3,595) Fixed 1.000%) (20/6/2019) (13,541) EUR 150,000 Credit Default Swaps (Credit Suisse) (Fund EUR 290,000 Credit Default Swaps (Credit Suisse) (Fund receives default protection on SABMiller Plc receives default protection on Telefonica 1.068% 4/7/2016 and pays Fixed 1.000%) Emisiones SAU 4.375% 2/2/2016 and pays (20/3/2019) (581) Fixed 1.000%) (20/6/2019) (7,936) EUR 10,000 Credit Default Swaps (Credit Suisse) (Fund EUR 350,000 Credit Default Swaps (Credit Suisse) (Fund receives default protection on Scandinavian receives default protection on Telefonica Airlines 9.650% 15/6/2014 and pays Fixed Emisiones SAU 4.375% 2/2/2016 and pays 5.000%) (20/6/2019) 82 Fixed 1.000%) (20/6/2019) (6,485) EUR 100,000 Credit Default Swaps (Credit Suisse) (Fund EUR 300,000 Credit Default Swaps (Credit Suisse) (Fund receives default protection on Scandinavian receives default protection on Telefonica Airlines 9.650% 15/6/2014 and pays Fixed Emisiones SAU 4.375% 2/2/2016 and pays 5.000%) (20/6/2019) 1,114 Fixed 1.000%) (20/6/2019) (4,528)
146 BlackRock Strategic Funds (BSF) BlackRock Global Absolute Return Bond Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
EUR 1,070,000 Credit Default Swaps (Credit Suisse) (Fund EUR 133,000 Credit Default Swaps (Credit Suisse) (Fund receives default protection on Telefonica receives Fixed 5.000% and provides default Emisiones SAU 4.375% 2/2/2016 and pays protection where necessary on Abengoa SA Fixed 1.000%) (20/6/2019) (17,707) 8.500% 31/3/2016) (20/6/2019) 2,790 EUR 319,251 Credit Default Swaps (Credit Suisse) (Fund EUR 80,000 Credit Default Swaps (Credit Suisse) (Fund receives default protection on Veolia receives Fixed 5.000% and provides default Environnement SA 5.375% 28/5/2018 and protection where necessary on Abengoa SA pays Fixed 1.000%) (20/6/2019) (3,111) 8.500% 31/3/2016) (20/6/2019) 1,478 EUR 155,000 Credit Default Swaps (Credit Suisse) (Fund EUR 29,000 Credit Default Swaps (Credit Suisse) (Fund receives default protection on Virgin Media receives Fixed 5.000% and provides default Finance Plc 1.068% 4/7/2016 and pays Fixed protection where necessary on Abengoa SA 5.000%) (20/3/2019) (5,075) 8.500% 31/3/2016) (20/6/2019) 463 EUR 526,000 Credit Default Swaps (Credit Suisse) (Fund EUR 93,000 Credit Default Swaps (Credit Suisse) (Fund receives default protection on Vivendi SA receives Fixed 5.000% and provides default 4.875% 2/12/2019 and pays Fixed 1.000%) protection where necessary on Abengoa SA (20/6/2019) (521) 8.500% 31/3/2016) (20/6/2019) 1,719 EUR 527,000 Credit Default Swaps (Credit Suisse) (Fund EUR 104,000 Credit Default Swaps (Credit Suisse) (Fund receives default protection on Vivendi SA receives Fixed 5.000% and provides default 4.875% 2/12/2019 and pays Fixed 1.000%) protection where necessary on Abengoa SA (20/6/2019) (785) 8.500% 31/3/2016) (20/6/2019) 2,442 EUR 150,000 Credit Default Swaps (Credit Suisse) (Fund EUR 156,000 Credit Default Swaps (Credit Suisse) (Fund receives default protection on Wolters Kluwer receives Fixed 5.000% and provides default NV 1.068% 4/7/2016 and pays Fixed 1.000%) protection where necessary on Abengoa SA (20/3/2019) (296) 8.500% 31/3/2016) (20/6/2019) 3,078 EUR 290,000 Credit Default Swaps (Credit Suisse) (Fund EUR 365,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 1.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Anglo protection where necessary on Alcatel- American Capital Plc 5.875% 17/4/2015) Lucent 8.500% 15/1/2016) (20/6/2019) 794 (20/6/2019) 1,770 EUR 59,000 Credit Default Swaps (Credit Suisse) (Fund EUR 360,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 1.000% and provides default protection where necessary on Alcatel- protection where necessary on Anheuser- Lucent 8.500% 15/1/2016) (20/6/2019) 128 Busch InBev NV 8.625% 30/1/2017) (20/6/2019) 950 EUR 50,000 Credit Default Swaps (Credit Suisse) (Fund EUR 1,400,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 1.000% and provides default protection where necessary on Anglo protection where necessary on Aviva Plc American Capital Plc 1.068% 4/7/2016) 9.500% 20/6/2016) (20/6/2018) 83,168 (20/12/2018) 1,798 EUR 270,000 Credit Default Swaps (Credit Suisse) (Fund EUR 1,010,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 1.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Cap Gemini protection where necessary on Ardagh SA 5.250% 29/11/2016) (20/6/2019) 88 Packaging Finance Plc 9.250% 15/10/2020) EUR 250,000 Credit Default Swaps (Credit Suisse) (Fund (20/6/2019) (11,397) receives Fixed 1.000% and provides default EUR 80,000 Credit Default Swaps (Credit Suisse) (Fund protection where necessary on Continental receives Fixed 5.000% and provides default AG 1.068% 4/7/2016) (20/3/2019) 1,646 protection where necessary on Brisa EUR 1,110,000 Credit Default Swaps (Credit Suisse) (Fund Concessao Rodoviaria SA 1.068% 4/7/2016) receives Fixed 1.000% and provides default (20/6/2019) 2,662 protection where necessary on Glencore EUR 710,000 Credit Default Swaps (Credit Suisse) (Fund Finance Europe SA 6.500% 27/2/2019) receives Fixed 5.000% and provides default (20/6/2019) 17,391 protection where necessary on Brisa EUR 300,000 Credit Default Swaps (Credit Suisse) (Fund Concessao Rodoviaria SA 4.500% 5/12/2016) receives Fixed 1.000% and provides default (20/6/2019) 22,438 protection where necessary on Havas SA EUR 200,000 Credit Default Swaps (Credit Suisse) (Fund 5.500% 4/11/2014) (20/3/2018) 17,321 receives Fixed 5.000% and provides default EUR 770,000 Credit Default Swaps (Credit Suisse) (Fund protection where necessary on British receives Fixed 1.000% and provides default Airways Plc 1.068% 4/7/2016) (20/3/2019) (87) protection where necessary on Kingfisher Plc EUR 10,000 Credit Default Swaps (Credit Suisse) (Fund 5.625% 15/12/2014) (20/6/2019) 2,719 receives Fixed 5.000% and provides default EUR 650,000 Credit Default Swaps (Credit Suisse) (Fund protection where necessary on British receives Fixed 1.000% and provides default Airways Plc 8.750% 23/8/2016) (20/3/2018) 817 protection where necessary on Rolls-Royce EUR 10,000 Credit Default Swaps (Credit Suisse) (Fund Plc 7.375% 14/6/2016) (20/6/2017) 12,384 receives Fixed 5.000% and provides default EUR 133,000 Credit Default Swaps (Credit Suisse) (Fund protection where necessary on British receives Fixed 5.000% and provides default Airways Plc 8.750% 23/8/2016) (20/6/2018) 770 protection where necessary on Abengoa SA 8.500% 31/3/2016) (20/6/2019) 2,125
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 147 BlackRock Global Absolute Return Bond Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
EUR 100,000 Credit Default Swaps (Credit Suisse) (Fund EUR 88,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on British protection where necessary on INEOS Group Airways Plc 8.750% 23/8/2016) (20/6/2018) 7,254 Holdings SA 6.500% 15/8/2018) (20/6/2019) 936 EUR 430,000 Credit Default Swaps (Credit Suisse) (Fund EUR 270,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Cable & protection where necessary on Infineon Wireless International Finance BV 8.625% Technologies Holding BV 7.500% 26/5/2014) 25/3/2019) (20/6/2019) 7,277 (20/12/2018) 2,321 EUR 580,000 Credit Default Swaps (Credit Suisse) (Fund EUR 130,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Cerved Group protection where necessary on ITV Plc 6.125% SpA 8.000% 15/1/2021) (20/6/2019) 24,724 5/1/2017) (20/6/2019) (418) EUR 635,000 Credit Default Swaps (Credit Suisse) (Fund EUR 390,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on ConvaTec protection where necessary on Jaguar Land Healthcare E SA 10.875% 15/12/2018) Rover Automotive Plc 8.125% 15/5/2018) (20/6/2019) 10,691 (20/6/2019) (2,785) EUR 230,000 Credit Default Swaps (Credit Suisse) (Fund EUR 290,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Dixons Retail protection where necessary on Louis Dreyfus Plc 8.750% 3/8/2015) (20/6/2019) 8,202 Commodities BV 4.000% 4/12/2020) (20/6/2019) 9,258 EUR 1,350,000 Credit Default Swaps (Credit Suisse) (Fund EUR 80,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Dixons Retail protection where necessary on Louis Dreyfus Plc 8.750% 3/8/2015) (20/6/2019) 36,518 Commodities BV 4.000% 4/12/2020) (20/6/2019) 2,719 EUR 200,000 Credit Default Swaps (Credit Suisse) (Fund EUR 260,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on EDP - protection where necessary on Louis Dreyfus Energias de Portugal SA 6.000% 7/12/2014) Commodities BV 4.000% 4/12/2020) (20/6/2019) 5,508 (20/6/2019) 3,012 EUR 145,000 Credit Default Swaps (Credit Suisse) (Fund EUR 375,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Melia Hotels protection where necessary on EDP - International SA 5.000% 18/12/2014) (20/6/2019) 5,707 Energias de Portugal SA 6.000% 7/12/2014) EUR 87,000 Credit Default Swaps (Credit Suisse) (Fund (20/6/2019) 3,960 receives Fixed 5.000% and provides default EUR 187,000 Credit Default Swaps (Credit Suisse) (Fund protection where necessary on Melia Hotels receives Fixed 5.000% and provides default International SA 5.000% 18/12/2014) (20/6/2019) 3,383 protection where necessary on EDP - EUR 550,000 Credit Default Swaps (Credit Suisse) (Fund Energias de Portugal SA 6.000% 7/12/2014) receives Fixed 5.000% and provides default (20/6/2019) 1,912 protection where necessary on Melia Hotels EUR 20,000 Credit Default Swaps (Credit Suisse) (Fund International SA 5.000% 18/12/2014) (20/6/2019) 12,329 receives Fixed 5.000% and provides default EUR 530,000 Credit Default Swaps (Credit Suisse) (Fund protection where necessary on EDP - receives Fixed 5.000% and provides default Energias de Portugal SA 6.000% 7/12/2014) protection where necessary on Melia (20/6/2018) 1,770 Hotels International SA 5.000% 18/12/2014) EUR 20,000 Credit Default Swaps (Credit Suisse) (Fund (20/6/2019) (1,082) receives Fixed 5.000% and provides default EUR 162,000 Credit Default Swaps (Credit Suisse) (Fund protection where necessary on Eileme 2 AB receives Fixed 5.000% and provides default 11.750% 31/1/2020) (20/12/2017) 4,628 protection where necessary on Metsa Board EUR 70,000 Credit Default Swaps (Credit Suisse) (Fund OYJ 4.000% 13/3/2019) (20/6/2019) 166 receives Fixed 5.000% and provides default EUR 523,000 Credit Default Swaps (Credit Suisse) (Fund protection where necessary on Eileme 2 AB receives Fixed 5.000% and provides default 11.750% 31/1/2020) (20/12/2017) 14,775 protection where necessary on Metsa Board EUR 290,000 Credit Default Swaps (Credit Suisse) (Fund OYJ 4.000% 13/3/2019) (20/6/2019) (544) receives Fixed 5.000% and provides default EUR 40,000 Credit Default Swaps (Credit Suisse) (Fund protection where necessary on Galp Energia receives Fixed 5.000% and provides default SGPS SA 4.125% 25/1/2019) (20/6/2019) (446) protection where necessary on New Look EUR 90,000 Credit Default Swaps (Credit Suisse) (Fund Bondco I Plc 8.750% 14/5/2018) (20/12/2018) 5,935 receives Fixed 5.000% and provides default EUR 40,000 Credit Default Swaps (Credit Suisse) (Fund protection where necessary on Galp Energia receives Fixed 5.000% and provides default SGPS SA 4.125% 25/1/2019) (20/6/2019) (204) protection where necessary on New Look EUR 90,000 Credit Default Swaps (Credit Suisse) (Fund Bondco I Plc 8.750% 14/5/2018) (20/12/2018) 5,935 receives Fixed 5.000% and provides default protection where necessary on Galp Energia SGPS SA 4.125% 25/1/2019) (20/6/2019) (204)
148 BlackRock Strategic Funds (BSF) BlackRock Global Absolute Return Bond Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
EUR 40,000 Credit Default Swaps (Credit Suisse) (Fund EUR 500,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on New Look protection where necessary on NXP BV / NXP Bondco I Plc 8.750% 14/5/2018) (20/12/2018) 5,785 Funding LLC 2.961% 15/10/2013) (20/6/2018) 35,244 EUR 90,000 Credit Default Swaps (Credit Suisse) (Fund EUR 41,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on New Look protection where necessary on OTE Plc Bondco I Plc 8.750% 14/5/2018) (20/12/2018) 9,866 1.068% 4/7/2016) (20/3/2019) 1,013 EUR 40,000 Credit Default Swaps (Credit Suisse) (Fund EUR 7,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Nokia OYJ protection where necessary on OTE Plc 1.068% 4/7/2016) (20/12/2018) 29 1.068% 4/7/2016) (20/3/2019) 158 EUR 40,000 Credit Default Swaps (Credit Suisse) (Fund EUR 11,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Nokia OYJ protection where necessary on OTE Plc 1.068% 4/7/2016) (20/12/2018) 29 1.068% 4/7/2016) (20/3/2019) 287 EUR 30,000 Credit Default Swaps (Credit Suisse) (Fund EUR 7,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Nokia OYJ protection where necessary on OTE Plc 1.068% 4/7/2016) (20/12/2018) 106 1.068% 4/7/2016) (20/3/2019) 188 EUR 144,000 Credit Default Swaps (Credit Suisse) (Fund EUR 40,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Nokia OYJ protection where necessary on OTE PLC 6.750% 4/2/2019) (20/6/2019) 1,260 4.625% 20/5/2016) (20/3/2018) 8,146 EUR 144,000 Credit Default Swaps (Credit Suisse) (Fund EUR 54,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Nokia OYJ protection where necessary on Peugeot SA 6.750% 4/2/2019) (20/6/2019) 1,129 1.068% 4/7/2016) (20/3/2019) 805 EUR 215,000 Credit Default Swaps (Credit Suisse) (Fund EUR 107,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Nokia OYJ protection where necessary on Peugeot SA 6.750% 4/2/2019) (20/6/2019) 1,326 1.068% 4/7/2016) (20/3/2019) 939 EUR 530,000 Credit Default Swaps (Credit Suisse) (Fund EUR 58,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Nokia OYJ protection where necessary on Peugeot SA 6.750% 4/2/2019) (20/6/2019) (483) 1.068% 4/7/2016) (20/3/2019) 443 EUR 260,000 Credit Default Swaps (Credit Suisse) (Fund EUR 107,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Nokia OYJ protection where necessary on Peugeot SA 6.750% 4/2/2019) (20/6/2019) (591) 1.068% 4/7/2016) (20/3/2019) 612 EUR 410,000 Credit Default Swaps (Credit Suisse) (Fund EUR 12,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Nokia OYJ protection where necessary on Peugeot SA 6.750% 4/2/2019) (20/6/2019) (455) 1.068% 4/7/2016) (20/3/2019) 98 EUR 790,000 Credit Default Swaps (Credit Suisse) (Fund EUR 13,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Numericable protection where necessary on Peugeot SA Group SA 5.375% 15/5/2022) (20/6/2019) 19,547 1.068% 4/7/2016) (20/3/2019) 93 EUR 520,000 Credit Default Swaps (Credit Suisse) (Fund EUR 2,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Numericable protection where necessary on Peugeot SA Group SA 5.375% 15/5/2022) (20/6/2019) 12,861 7.375% 6/3/2018) (20/6/2019) 17 EUR 265,000 Credit Default Swaps (Credit Suisse) (Fund EUR 1,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Numericable protection where necessary on Peugeot SA Group SA 5.375% 15/5/2022) (20/6/2019) 5,956 7.375% 6/3/2018) (20/6/2019) (4) EUR 265,000 Credit Default Swaps (Credit Suisse) (Fund EUR 1,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Numericable protection where necessary on Peugeot SA Group SA 5.375% 15/5/2022) (20/6/2019) 6,595 7.375% 6/3/2018) (20/6/2019) 0.00 EUR 30,000 Credit Default Swaps (Credit Suisse) (Fund EUR 1,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on NXP BV / NXP protection where necessary on Peugeot SA Funding LLC 1.068% 4/7/2016) (20/12/2018) 379 7.375% 6/3/2018) (20/6/2019) (1)
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 149 BlackRock Global Absolute Return Bond Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
EUR 10,000 Credit Default Swaps (Credit Suisse) (Fund EUR 60,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Schaeffler protection where necessary on UCB SA Finance BV 7.750% 15/2/2017) (20/12/2017) 994 3.750% 27/3/2020) (20/6/2019) 655 EUR 20,000 Credit Default Swaps (Credit Suisse) (Fund EUR 40,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Schaeffler protection where necessary on UCB SA Finance BV 7.750% 15/2/2017) (20/12/2017) 1,822 3.750% 27/3/2020) (20/6/2019) 284 EUR 100,000 Credit Default Swaps (Credit Suisse) (Fund EUR 40,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Schaeffler protection where necessary on UCB SA Finance BV 7.750% 15/2/2017) (20/12/2017) 9,323 3.750% 27/3/2020) (20/6/2019) 284 EUR 10,000 Credit Default Swaps (Credit Suisse) (Fund EUR 70,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Schaeffler protection where necessary on UCB SA Finance BV 7.750% 15/2/2017) (20/12/2017) 869 3.750% 27/3/2020) (20/6/2019) 311 EUR 100,000 Credit Default Swaps (Credit Suisse) (Fund EUR 50,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Schaeffler protection where necessary on UCB SA Finance BV 7.750% 15/2/2017) (20/3/2018) 7,956 3.750% 27/3/2020) (20/6/2019) 239 EUR 600,000 Credit Default Swaps (Credit Suisse) (Fund EUR 255,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Smurfit Kappa protection where necessary on UPM- Acquisitions 3.727% 15/10/2020) (20/9/2018) 26,395 Kymmene OYJ 5.625% 1/12/2014) (20/6/2019) 465 EUR 60,000 Credit Default Swaps (Credit Suisse) (Fund EUR 290,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Smurfit Kappa protection where necessary on Wendel SA Acquisitions 3.727% 15/10/2020) (20/9/2018) (142) 4.875% 26/5/2016) (20/6/2019) 6,019 EUR 190,000 Credit Default Swaps (Credit Suisse) (Fund EUR 437,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Techem GmbH protection where necessary on Wendel SA 6.125% 1/10/2019) (20/12/2018) 6,861 4.875% 26/5/2016) (20/6/2019) 35 EUR 90,000 Credit Default Swaps (Credit Suisse) (Fund EUR 90,000 Credit Default Swaps (Credit Suisse) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Techem GmbH protection where necessary on Wendel SA 6.125% 1/10/2019) (20/12/2018) 2,203 4.875% 26/5/2016) (20/3/2018) 4,836 EUR 60,000 Credit Default Swaps (Credit Suisse) (Fund EUR 540,000 Credit Default Swaps (Deutsche Asset receives Fixed 5.000% and provides default Management Life) (Fund receives default protection where necessary on Techem GmbH protection on Akzo Nobel NV 8.000% 6.125% 1/10/2019) (20/12/2018) 1,324 6/4/2016 and pays Fixed 1.000%) (20/6/2019) (3,075) EUR 260,000 Credit Default Swaps (Credit Suisse) (Fund EUR 100,000 Credit Default Swaps (Deutsche Asset receives Fixed 5.000% and provides default Management Life) (Fund receives default protection where necessary on TUI AG 1.068% protection on Pearson Plc 7.000% 27/10/2014 4/7/2016) (20/3/2019) (279) and pays Fixed 1.000%) (20/6/2018) (817) EUR 136,000 Credit Default Swaps (Credit Suisse) (Fund EUR 200,000 Credit Default Swaps (Deutsche Asset receives Fixed 5.000% and provides default Management Life) (Fund receives default protection where necessary on TVN Finance protection on PostNL NV 1.068% 4/7/2016 Corp III AB 7.375% 15/12/2020) (20/6/2019) 9,672 and pays Fixed 1.000%) (20/3/2019) (3,631) EUR 136,000 Credit Default Swaps (Credit Suisse) (Fund EUR 50,000 Credit Default Swaps (Deutsche Asset receives Fixed 5.000% and provides default Management Life) (Fund receives default protection where necessary on TVN Finance protection on TDC A/S 4.375% 23/2/2018 Corp III AB 7.375% 15/12/2020) (20/6/2019) 9,748 and pays Fixed 1.000%) (20/3/2018) (597) EUR 153,000 Credit Default Swaps (Credit Suisse) (Fund EUR 510,000 Credit Default Swaps (Deutsche Asset receives Fixed 5.000% and provides default Management Life) (Fund receives Fixed protection where necessary on TVN Finance 1.000% and provides default protection Corp III AB 7.375% 15/12/2020) (20/6/2019) 3,537 where necessary on Anglo American Capital EUR 90,000 Credit Default Swaps (Credit Suisse) (Fund Plc 5.875% 17/4/2015) (20/6/2019) 6,166 receives Fixed 5.000% and provides default EUR 60,000 Credit Default Swaps (Deutsche Asset protection where necessary on UCB SA Management Life) (Fund receives Fixed 3.750% 27/3/2020) (20/6/2019) 2,294 1.000% and provides default protection EUR 150,000 Credit Default Swaps (Credit Suisse) (Fund where necessary on National Grid Plc 5.000% receives Fixed 5.000% and provides default 2/7/2018) (20/6/2018) 260 protection where necessary on UCB SA 3.750% 27/3/2020) (20/6/2019) 1,825
150 BlackRock Strategic Funds (BSF) BlackRock Global Absolute Return Bond Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
EUR 20,000 Credit Default Swaps (Deutsche Asset EUR 290,000 Credit Default Swaps (Deutsche Bank) (Fund Management Life) (Fund receives Fixed receives default protection on iTraxx Europe 5.000% and provides default protection Series 21 Version 1 and pays Fixed 1.000%) where necessary on Eileme 2 AB 11.750% (20/6/2019) 46 (31/1/2020)) (20/12/2017) 4,262 EUR 485,000 Credit Default Swaps (Deutsche Bank) (Fund EUR 110,000 Credit Default Swaps (Deutsche Asset receives default protection on iTraxx Europe Management Life) (Fund receives Fixed Series 21 Version 1 and pays Fixed 1.000%) 5.000% and provides default protection (20/6/2019) 74 where necessary on ISS Global A/S 4.500% EUR 270,000 Credit Default Swaps (Deutsche Bank) (Fund 8/12/2014) (20/12/2018) 5,563 receives default protection on Koninklijke EUR 10,000 Credit Default Swaps (Deutsche Asset DSM NV 1.068% 4/7/2016 and pays Fixed Management Life) (Fund receives Fixed 1.000%) (20/3/2019) (284) 5.000% and provides default protection EUR 415,000 Credit Default Swaps (Deutsche Bank) (Fund where necessary on OTE PLC 4.625% receives default protection on Koninklijke 20/5/2016) (20/3/2018) 1,885 KPN NV 8.375% 1/10/2030 and pays Fixed EUR 110,000 Credit Default Swaps (Deutsche Bank 1.000%) (20/3/2019) (3,839) Management Life) (Fund receives default EUR 360,000 Credit Default Swaps (Deutsche Bank) (Fund protection on Societe Air France SA receives default protection on LANXESS 2.75% 1/4/2020 and pays Fixed 5.000%) Finance BV 7.750% 9/4/2014 and pays Fixed (20/12/2018) (9,223) 1.000%) (20/12/2018) (8,451) EUR 1,105,000 Credit Default Swaps (Deutsche Bank) (Fund EUR 5,050,000 Credit Default Swaps (Deutsche Bank) (Fund receives default protection on Banco Bilbao receives default protection on Markit iTraxx Vizcaya Argentaria SA 4.375% 20/10/2019 Europe Crossover Series 20 Version 1 and and pays Fixed 3.000%) (20/3/2019) (28,492) pays Fixed 5.000%) (20/12/2018) (187,667) EUR 95,000 Credit Default Swaps (Deutsche Bank) (Fund EUR 3,190,000 Credit Default Swaps (Deutsche Bank) (Fund receives default protection on Bouygues SA receives default protection on Markit iTraxx 4.750% 24/5/2016 and pays Fixed 1.000%) Europe Crossover Series 21 Version 1 and (20/9/2017) (4,127) pays Fixed 5.000%) (20/6/2019) (35,043) EUR 260,000 Credit Default Swaps (Deutsche Bank) (Fund EUR 5,550,000 Credit Default Swaps (Deutsche Bank) (Fund receives default protection on Deutsche receives default protection on Markit iTraxx Luf thansa AG 6.500% 7/7/2016 and pays Europe Series 21 Version 1 and pays Fixed Fixed 1.000%) (20/6/2019) (1,109) 1.000%) (20/6/2019) (11,816) EUR 80,000 Credit Default Swaps (Deutsche Bank) (Fund EUR 16,150,000 Credit Default Swaps (Deutsche Bank) (Fund receives default protection on Deutsche receives default protection on Markit iTraxx Luf thansa AG 6.500% 7/7/2016 and pays Europe Series 21 Version 1 and pays Fixed Fixed 1.000%) (20/6/2019) (341) 1.000%) (20/6/2019) (358) EUR 170,000 Credit Default Swaps (Deutsche Bank) (Fund EUR 7,650,000 Credit Default Swaps (Deutsche Bank) (Fund receives default protection on Fiat Finance receives default protection on Markit iTraxx North America Inc 5.625% 12/6/2017 and Europe Series 21 Version 1 and pays Fixed pays Fixed 5.000%) (20/12/2018) (10,542) 1.000%) (20/6/2019) (16,065) EUR 20,000 Credit Default Swaps (Deutsche Bank) (Fund EUR 170,000 Credit Default Swaps (Deutsche Bank) (Fund receives default protection on Fiat Finance receives default protection on Metro AG North America Inc 5.625% 12/6/2017 and 1.068% 4/7/2016 and pays Fixed 1.000%) pays Fixed 5.000%) (20/12/2018) (1,374) (20/3/2019) (1,367) EUR 20,000 Credit Default Swaps (Deutsche Bank) (Fund EUR 410,000 Credit Default Swaps (Deutsche Bank) (Fund receives default protection on Fiat Finance receives default protection on Pearson Plc North America Inc 5.625% 12/6/2017 and 1.068% 4/7/2016 and pays Fixed 1.000%) pays Fixed 5.000%) (20/12/2018) (1,331) (20/3/2019) (122) EUR 270,000 Credit Default Swaps (Deutsche Bank) EUR 260,000 Credit Default Swaps (Deutsche Bank) (Fund (Fund receives default protection on receives default protection on PostNL NV HeidelbergCement Finance Luxembourg SA 3.875% 1/6/2015 and pays Fixed 1.000%) 1.068% 4/7/2016 and pays Fixed 1.000%) (20/6/2019) (2,308) (20/3/2019) (35) USD 890,000 Credit Default Swaps (Deutsche Bank) (Fund EUR 130,000 Credit Default Swaps (Deutsche Bank) receives default protection on Qantas (Fund receives default protection on Airways Ltd 6.050% 15/4/2016 and pays HeidelbergCement Finance Luxembourg SA Fixed 1.000%) (20/6/2019) (17,249) 1.068% 4/7/2016 and pays Fixed 5.000%) USD 370,000 Credit Default Swaps (Deutsche Bank) (Fund (20/3/2019) (1,614) receives default protection on Qantas EUR 485,000 Credit Default Swaps (Deutsche Bank) (Fund Airways Ltd 6.050% 15/4/2016 and pays receives default protection on iTraxx Europe Fixed 1.000%) (20/6/2019) (7,171) Series 21 Version 1 and pays Fixed 1.000%) EUR 310,000 Credit Default Swaps (Deutsche Bank) (Fund (20/6/2019) (258) receives default protection on SABMiller Plc EUR 425,000 Credit Default Swaps (Deutsche Bank) (Fund 1.068% 4/7/2016 and pays Fixed 1.000%) receives default protection on iTraxx Europe (20/3/2019) (369) Series 21 Version 1 and pays Fixed 1.000%) (20/6/2019) 17
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 151 BlackRock Global Absolute Return Bond Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
EUR 10,000 Credit Default Swaps (Deutsche Bank) (Fund EUR 1,290,000 Credit Default Swaps (Deutsche Bank) (Fund receives default protection on Societe Air receives Fixed 5.000% and provides default France SA 2.750% 1/4/2020 and pays Fixed protection where necessary on Markit iTraxx 5.000%) (20/9/2018) (1,545) Europe Crossover Series 21 Version 1) EUR 100,000 Credit Default Swaps (Deutsche Bank) (Fund (20/6/2019) 9,668 receives default protection on Solvay SA EUR 40,000 Credit Default Swaps (Deutsche Bank) (Fund 4.625% 27/6/2018 and pays Fixed 1.000%) receives Fixed 5.000% and provides default (20/6/2019) (868) protection where necessary on UCB SA EUR 280,000 Credit Default Swaps (Deutsche Bank) (Fund 3.750% 27/3/2020) (20/6/2019) 261 receives default protection on Tesco Plc EUR 80,000 Credit Default Swaps (Deutsche Bank) (Fund 6.000% 14/12/2029 and pays Fixed 1.000%) receives Fixed 5.000% and provides default (20/6/2019) (908) protection where necessary on Wendel SA EUR 290,000 Credit Default Swaps (Deutsche Bank) (Fund 4.875% 26/5/2016) (20/12/2018) 3,938 receives default protection on Tesco Plc EUR 42,000 Credit Default Swaps (Goldman Sachs) (Fund 6.000% 14/12/2029 and pays Fixed 1.000%) receives default protection on Ardagh (20/6/2019) (1,378) Packaging Finance Plc 9.250% 15/10/2020 EUR 280,000 Credit Default Swaps (Deutsche Bank) (Fund and pays Fixed 5.000%) (20/6/2019) (246) receives Fixed 1.000% and provides default EUR 160,000 Credit Default Swaps (Goldman Sachs) (Fund protection on J Sainsbury Plc 4.250% receives default protection on Ardagh 16/7/2014) (20/6/2019) (329) Packaging Finance Plc 9.250% 15/10/2020 EUR 290,000 Credit Default Swaps (Deutsche Bank) (Fund and pays Fixed 5.000%) (20/6/2019) (14) receives Fixed 1.000% and provides default EUR 765,000 Credit Default Swaps (Goldman Sachs) protection on J Sainsbury Plc 4.250% (Fund receives default protection on BAT 16/7/2014) (20/6/2019) 89 International Finance Plc 5.875% 12/3/2015 EUR 1,030,000 Credit Default Swaps (Deutsche Bank) (Fund and pays Fixed 1.000%) (20/6/2019) 2,664 receives Fixed 1.000% and provides default EUR 400,000 Credit Default Swaps (Goldman Sachs) (Fund protection where necessary on Anglo receives default protection on British American Capital Plc 5.875% 17/4/2015) Telecommunications Plc 5.750% 7/12/2028 (20/6/2019) 10,060 and pays Fixed 1.000%) (20/6/2019) (1,200) EUR 200,000 Credit Default Swaps (Deutsche Bank) (Fund EUR 130,000 Credit Default Swaps (Goldman Sachs) (Fund receives Fixed 1.000% and provides default receives default protection on Clariant protection where necessary on Heathrow Finance Luxembourg SA 4.375% 5/4/2013 Funding Ltd 4.600% 15/2/2018) (20/12/2018) 3,298 and pays Fixed 1.000%) (20/3/2018) (7,650) EUR 750,000 Credit Default Swaps (Deutsche Bank) (Fund EUR 400,000 Credit Default Swaps (Goldman Sachs) (Fund receives Fixed 1.000% and provides default receives default protection on Deutsche protection where necessary on Kingfisher Plc Luf thansa AG 6.500% 7/7/2016 and pays 5.625% 15/12/2014) (20/6/2019) 2,651 Fixed 1.000%) (20/6/2019) (1,312) EUR 110,000 Credit Default Swaps (Deutsche Bank) (Fund EUR 110,000 Credit Default Swaps (Goldman Sachs) (Fund receives Fixed 1.000% and provides default receives default protection on Electrolux AB protection where necessary on Next Plc FRN 1.068% 4/7/2016 and pays Fixed 1.000%) 5.375% 26/10/2021) (20/12/2018) 1,447 (20/12/2018) (93) EUR 445,000 Credit Default Swaps (Deutsche Bank) (Fund EUR 540,000 Credit Default Swaps (Goldman Sachs) (Fund receives Fixed 1.000% and provides default receives default protection on Enbw protection where necessary on Renault SA International Finance BV 4.250% 19/10/2016 1.068% 4/7/2016) (20/3/2019) 8,974 and pays Fixed 1.000%) (20/6/2019) (5,362) EUR 60,000 Credit Default Swaps (Deutsche Bank) (Fund EUR 795,000 Credit Default Swaps (Goldman Sachs) (Fund receives Fixed 1.000% and provides default receives default protection on Fiat Finance protection where necessary on Renault SA North America Inc 5.625% 12/6/2017 and 1.068% 4/7/2016) (20/3/2019) 1,210 pays Fixed 5.000%) (20/6/2019) 2,419 USD 220,000 Credit Default Swaps (Deutsche Bank) (Fund EUR 410,000 Credit Default Swaps (Goldman Sachs) (Fund receives Fixed 1.000% and provides default receives default protection on Fiat Finance protection where necessary on Rio Tinto North America Inc 5.625% 12/6/2017 and Finance USA Ltd 6.500% 15/7/2018) pays Fixed 5.000%) (20/12/2018) (33,420) (20/6/2019) 58 EUR 263,000 Credit Default Swaps (Goldman Sachs) (Fund EUR 1,105,000 Credit Default Swaps (Deutsche Bank) (Fund receives default protection on Finmeccanica receives Fixed 3.000% and provides default Finance SA/Old 5.750% 12/12/2018 and pays protection on Banco Santander SA 5.780% Fixed 5.000%) (20/6/2019) (754) 17/2/2028) (20/3/2019) 29,611 EUR 262,000 Credit Default Swaps (Goldman Sachs) (Fund EUR 200,000 Credit Default Swaps (Deutsche Bank) (Fund receives default protection on Finmeccanica receives Fixed 5.000% and provides default Finance SA/Old 5.750% 12/12/2018 and pays protection where necessary on Infineon Fixed 5.000%) (20/6/2019) (547) Technologies Holding BV 7.500% 26/5/2014) (20/9/2018) 2,708
152 BlackRock Strategic Funds (BSF) BlackRock Global Absolute Return Bond Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
EUR 100,000 Credit Default Swaps (Goldman Sachs) (Fund EUR 355,000 Credit Default Swaps (Goldman Sachs) (Fund receives default protection on Finmeccanica receives default protection on Rexel SA Finance SA/Old 5.750% 12/12/2018 and pays 5.125% 15/6/2020 and pays Fixed 5.000%) Fixed 5.000%) (20/3/2018) (7,964) (20/6/2019) (5,416) EUR 630,000 Credit Default Swaps (Goldman Sachs) (Fund USD 1,500,000 Credit Default Swaps (Goldman Sachs) (Fund receives default protection on J Sainsbury Plc receives default protection on Safeway Inc 4.250% 16/7/2014 and pays Fixed 1.000%) 1.068% 4/7/2016 and pays Fixed 1.000%) (20/6/2019) (3,783) (20/3/2017) (6,431) EUR 440,000 Credit Default Swaps (Goldman Sachs) (Fund EUR 130,000 Credit Default Swaps (Goldman Sachs) (Fund receives default protection on Koninklijke receives default protection on Scandinavian DSM NV 4.000% 10/11/2015 and pays Fixed Airlines 1.068% 4/7/2016 and pays Fixed 1.000%) (20/6/2019) (940) 5.000%) (20/3/2019) 4,301 EUR 650,000 Credit Default Swaps (Goldman Sachs) (Fund EUR 260,000 Credit Default Swaps (Goldman Sachs) (Fund receives default protection on Koninklijke receives default protection on Societe Air DSM NV 4.000% 10/11/2015 and pays Fixed France SA 2.750% 1/4/2020 and pays Fixed 1.000%) (20/6/2019) (742) 5.000%) (20/6/2019) (562) EUR 440,000 Credit Default Swaps (Goldman Sachs) (Fund EUR 340,000 Credit Default Swaps (Goldman Sachs) (Fund receives default protection on Koninklijke receives default protection on Societe Air Philips NV 5.750% 11/3/2018 and pays Fixed France SA 2.750% 1/4/2020 and pays Fixed 1.000%) (20/6/2019) 1,136 5.000%) (20/6/2019) (558) EUR 440,000 Credit Default Swaps (Goldman Sachs) (Fund EUR 800,000 Credit Default Swaps (Goldman Sachs) (Fund receives default protection on Koninklijke receives default protection on St-Gobain Philips NV 5.750% 11/3/2018 and pays Fixed Nederland BV 5.000% 25/4/2014 and pays 1.000%) (20/6/2019) 217 Fixed 1.000%) (20/6/2018) (32,686) EUR 654,655 Credit Default Swaps (Goldman Sachs) (Fund EUR 284,000 Credit Default Swaps (Goldman Sachs) (Fund receives default protection on Lafarge SA receives default protection on Stena AB 6.625% 29/11/2018 and pays Fixed 1.000%) 6.125% 1/2/2017 and pays Fixed 5.000%) (20/6/2019) (32,365) (20/6/2019) (3,974) EUR 50,000 Credit Default Swaps (Goldman Sachs) (Fund EUR 40,000 Credit Default Swaps (Goldman Sachs) (Fund receives default protection on LANXESS receives default protection on Stena AB Finance BV 7.750% 9/4/2014 and pays Fixed 6.125% 1/2/2017 and pays Fixed 5.000%) 1.000%) (20/3/2018) (1,170) (20/12/2017) (4,659) EUR 800,000 Credit Default Swaps (Goldman Sachs) (Fund EUR 220,000 Credit Default Swaps (Goldman Sachs) receives default protection on Metsa OYJ (Fund receives default protection on 3.800% 27/6/2022 and pays Fixed 1.000%) STMicroelectronics NV and pays Fixed (20/3/2019) (13,811) 1.000%) (20/6/2019) (1,058) EUR 287,000 Credit Default Swaps (Goldman Sachs) (Fund EUR 1,330,000 Credit Default Swaps (Goldman Sachs) receives default protection on Michelin (Fund receives default protection on Luxembourg SCS 2.750% 20/6/2019 and pays STMicroelectronics NV and pays Fixed Fixed 1.000%) (20/6/2019) 134 1.000%) (20/6/2019) (6,396) EUR 320,000 Credit Default Swaps (Goldman Sachs) (Fund EUR 290,000 Credit Default Swaps (Goldman Sachs) (Fund receives default protection on Orange SA receives default protection on Swedish Match 1.068% 4/7/2016 and pays Fixed 1.000%) AB 3.125% 3/4/2019 and pays Fixed 1.000%) (20/3/2019) (4,704) (20/6/2019) (1,347) EUR 20,000 Credit Default Swaps (Goldman Sachs) (Fund EUR 254,000 Credit Default Swaps (Goldman Sachs) (Fund receives default protection on Pearson Plc receives default protection on Telecom 7.000% 27/10/2014 and pays Fixed 1.000%) Italia SpA 5.375% 29/1/2019 and pays Fixed (20/6/2018) (252) 1.000%) (20/6/2019) (228) EUR 290,000 Credit Default Swaps (Goldman Sachs) (Fund EUR 50,000 Credit Default Swaps (Goldman Sachs) (Fund receives default protection on PostNL NV receives default protection on Telecom 1.068% 4/7/2016 and pays Fixed 1.000%) Italia SpA 5.375% 29/1/2019 and pays Fixed (20/6/2019) (4,111) 1.000%) (20/3/2018) (2,542) EUR 360,000 Credit Default Swaps (Goldman Sachs) (Fund EUR 390,000 Credit Default Swaps (Goldman Sachs) (Fund receives default protection on PostNL NV receives default protection on Tesco Plc 3.875% 1/6/2015 and pays Fixed 1.000%) 6.000% 14/12/2029 and pays Fixed 1.000%) (20/6/2019) (4,874) (20/3/2019) (1,579) EUR 790,000 Credit Default Swaps (Goldman Sachs) (Fund EUR 1,429,899 Credit Default Swaps (Goldman Sachs) (Fund receives default protection on PostNL NV receives default protection on ThyssenKrupp 3.875% 1/6/2015 and pays Fixed 1.000%) AG 4.375% 18/3/2015 and pays Fixed 1.000%) (20/6/2019) (9,539) (20/6/2019) (33,504) EUR 670,000 Credit Default Swaps (Goldman Sachs) (Fund USD 1,500,000 Credit Default Swaps (Goldman Sachs) (Fund receives default protection on PostNL NV receives default protection on Time Warner 3.875% 1/6/2015 and pays Fixed 1.000%) Cable Inc 1.068% 4/7/2016 and pays Fixed (20/6/2019) (7,452) 1.000%) (20/3/2019) (17,491)
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 153 BlackRock Global Absolute Return Bond Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
EUR 390,000 Credit Default Swaps (Goldman Sachs) (Fund USD 2,400,000 Credit Default Swaps (Goldman Sachs) (Fund receives Fixed 1.000% and provides default receives Fixed 1.000% and provides default protection on J Sainsbury Plc 4.250% protection where necessary on Time Warner 16/7/2014) (20/3/2019) 48 Cable Inc 1.068% 4/7/2016) (20/3/2017) 5,880 EUR 220,000 Credit Default Swaps (Goldman Sachs) (Fund EUR 1,495,000 Credit Default Swaps (Goldman Sachs) (Fund receives Fixed 1.000% and provides default receives Fixed 1.000% and provides default protection where necessary on Anglo protection where necessary on Valeo SA American Capital Plc 5.875% 17/4/2015) 4.875% 11/5/2018) (20/6/2019) 4,011 (20/6/2019) 1,545 EUR 544,500 Credit Default Swaps (Goldman Sachs) (Fund EUR 170,000 Credit Default Swaps (Goldman Sachs) (Fund receives Fixed 5.000% and provides default receives Fixed 1.000% and provides default protection where necessary on Alcatel- protection where necessary on Anheuser- Lucent 8.500% 15/1/2016) (20/6/2019) 13,178 Busch InBev NV 8.625% 30/1/2017) EUR 145,000 Credit Default Swaps (Goldman Sachs) (Fund (20/6/2019) 105 receives Fixed 5.000% and provides default EUR 340,000 Credit Default Swaps (Goldman Sachs) (Fund protection where necessary on Altice Finco receives Fixed 1.000% and provides default SA 9.000% 15/6/2023) (20/3/2019) 12,442 protection where necessary on BP Plc 4.200% EUR 137,000 Credit Default Swaps (Goldman Sachs) (Fund 15/6/2018) (20/6/2019) 48 receives Fixed 5.000% and provides default EUR 250,000 Credit Default Swaps (Goldman Sachs) (Fund protection where necessary on Altice Finco receives Fixed 1.000% and provides default SA 9.000% 15/6/2023) (20/6/2019) 4,064 protection where necessary on Continental EUR 137,000 Credit Default Swaps (Goldman Sachs) (Fund AG 1.068% 4/7/2016) (20/3/2019) 1,883 receives Fixed 5.000% and provides default EUR 150,000 Credit Default Swaps (Goldman Sachs) (Fund protection where necessary on Altice Finco receives Fixed 1.000% and provides default SA 9.000% 15/6/2023) (20/6/2019) 4,064 protection where necessary on Gas Natural EUR 150,000 Credit Default Swaps (Goldman Sachs) (Fund Capital Markets SA 4.500% 27/1/2020) receives Fixed 5.000% and provides default (20/6/2019) 1,237 protection where necessary on Astaldi SpA EUR 350,000 Credit Default Swaps (Goldman Sachs) (Fund 7.125% 1/12/2020) (20/6/2019) 4,155 receives Fixed 1.000% and provides default EUR 120,000 Credit Default Swaps (Goldman Sachs) (Fund protection where necessary on GKN Holdings receives Fixed 5.000% and provides default Plc 6.750% 28/10/2019) (20/6/2019) 1,287 protection where necessary on Brisa EUR 630,000 Credit Default Swaps (Goldman Sachs) (Fund Concessao Rodoviaria SA 1.068% 4/7/2016) receives Fixed 1.000% and provides default (20/3/2019) 8,952 protection where necessary on Glencore EUR 120,000 Credit Default Swaps (Goldman Sachs) (Fund Finance Europe SA 6.500% 27/2/2019) receives Fixed 5.000% and provides default (20/6/2019) 10,163 protection where necessary on Brisa EUR 150,000 Credit Default Swaps (Goldman Sachs) (Fund Concessao Rodoviaria SA 1.068% 4/7/2016) receives Fixed 1.000% and provides default (20/3/2019) 7,030 protection where necessary on Koninklijke EUR 70,000 Credit Default Swaps (Goldman Sachs) (Fund KPN NV 8.375% 1/10/2030) (20/6/2019) 1,008 receives Fixed 5.000% and provides default EUR 410,000 Credit Default Swaps (Goldman Sachs) (Fund protection where necessary on Brisa receives Fixed 1.000% and provides default Concessao Rodoviaria SA 1.068% 4/7/2016) protection where necessary on Koninklijke (20/3/2019) 3,836 KPN NV 8.375% 1/10/2030) (20/6/2019) 2,756 EUR 20,000 Credit Default Swaps (Goldman Sachs) (Fund EUR 10,000 Credit Default Swaps (Goldman Sachs) (Fund receives Fixed 5.000% and provides default receives Fixed 1.000% and provides default protection where necessary on British protection where necessary on Metsa OYJ Airways Plc 8.750% 23/8/2016) (20/3/2018) 2,142 3.800% 27/6/2022) (20/6/2019) 73 EUR 400,000 Credit Default Swaps (Goldman Sachs) (Fund EUR 150,000 Credit Default Swaps (Goldman Sachs) (Fund receives Fixed 5.000% and provides default receives Fixed 1.000% and provides default protection where necessary on Cable & protection where necessary on Renault SA Wireless International Finance BV 8.625% 1.068% 4/7/2016) (20/3/2019) 3,548 25/3/2019) (20/6/2019) 1,998 EUR 26,000 Credit Default Swaps (Goldman Sachs) (Fund EUR 145,000 Credit Default Swaps (Goldman Sachs) (Fund receives Fixed 1.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Renault SA protection where necessary on Dixons Retail 1.068% 4/7/2016) (20/3/2019) 615 Plc 8.750% 3/8/2015) (20/6/2019) 4,514 EUR 220,000 Credit Default Swaps (Goldman Sachs) (Fund EUR 60,000 Credit Default Swaps (Goldman Sachs) (Fund receives Fixed 1.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Rentokil Initial protection where necessary on Eileme 2 AB Plc 1.068% 4/7/2016) (20/3/2019) 2,697 11.75% 31/1/2020) (20/12/2018) 4,442 EUR 680,000 Credit Default Swaps (Goldman Sachs) (Fund EUR 30,000 Credit Default Swaps (Goldman Sachs) (Fund receives Fixed 1.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Rolls-Royce protection where necessary on Eileme 2 AB Plc 7.375% 14/6/2016) (20/12/2018) 1,374 11.750% (31/1/2020)) (20/12/2017) 7,223
154 BlackRock Strategic Funds (BSF) BlackRock Global Absolute Return Bond Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
EUR 20,000 Credit Default Swaps (Goldman Sachs) (Fund EUR 150,000 Credit Default Swaps (Goldman Sachs) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Eileme 2 AB protection where necessary on Nokia OYJ 11.750% (31/1/2020)) (20/12/2017) 4,539 1.068% 4/7/2016) (20/12/2018) (612) EUR 70,000 Credit Default Swaps (Goldman Sachs) (Fund EUR 140,000 Credit Default Swaps (Goldman Sachs) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Imperial protection where necessary on Nokia OYJ Tobacco Finance Plc 6.250% 4/12/2018) 6.750% 4/2/2019) (20/12/2018) 3,311 (20/9/2018) 339 EUR 70,000 Credit Default Swaps (Goldman Sachs) (Fund EUR 60,000 Credit Default Swaps (Goldman Sachs) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on NXP BV / NXP protection where necessary on Infineon Funding LLC 8.625% (15/10/2015)) (20/3/2018) 4,630 Technologies Holding BV 7.500% 26/5/2014) EUR 110,000 Credit Default Swaps (Goldman Sachs) (Fund (20/9/2018) 1,434 receives Fixed 5.000% and provides default EUR 150,000 Credit Default Swaps (Goldman Sachs) (Fund protection where necessary on OTE Plc receives Fixed 5.000% and provides default 4.625% 20/5/2016) (20/6/2019) (40) protection where necessary on Infineon EUR 144,000 Credit Default Swaps (Goldman Sachs) (Fund Technologies Holding) (20/3/2019) (1,393) receives Fixed 5.000% and provides default EUR 130,000 Credit Default Swaps (Goldman Sachs) (Fund protection where necessary on OTE Plc receives Fixed 5.000% and provides default 4.625% 20/5/2016) (20/6/2019) (1,048) protection where necessary on ISS Global A/S EUR 20,000 Credit Default Swaps (Goldman Sachs) (Fund 4.500% 8/12/2014) (20/12/2018) 7,563 receives Fixed 5.000% and provides default EUR 265,000 Credit Default Swaps (Goldman Sachs) (Fund protection where necessary on Scandinavian receives Fixed 5.000% and provides default Airlines 9.65% 16/6/2014) (20/12/2018) 61 protection where necessary on Louis Dreyfus EUR 90,000 Credit Default Swaps (Goldman Sachs) (Fund Commodities BV 4.000% 4/12/2020) receives Fixed 5.000% and provides default (20/6/2019) 2,408 protection where necessary on Scandinavian EUR 340,000 Credit Default Swaps (Goldman Sachs) (Fund Airlines 9.650% 16/6/2014) (20/12/2018) 1,626 receives Fixed 5.000% and provides default EUR 280,000 Credit Default Swaps (Goldman Sachs) (Fund protection where necessary on Melia Hotels receives Fixed 5.000% and provides default International SA 1.068% 4/7/2016) (20/3/2019) 13,956 protection where necessary on Schaeffler EUR 150,000 Credit Default Swaps (Goldman Sachs) (Fund Finance BV 1.068% 4/7/2016) (20/3/2019) 1,746 receives Fixed 5.000% and provides default EUR 300,000 Credit Default Swaps (Goldman Sachs) (Fund protection where necessary on Melia Hotels receives Fixed 5.000% and provides default International SA 1.068% 4/7/2016) (20/3/2019) 10,926 protection where necessary on Schaeffler EUR 370,000 Credit Default Swaps (Goldman Sachs) (Fund Finance BV 1.068% 4/7/2016) (20/3/2019) 1,575 receives Fixed 5.000% and provides default EUR 20,000 Credit Default Swaps (Goldman Sachs) (Fund protection where necessary on Melia Hotels receives Fixed 5.000% and provides default International SA 5.000% 18/12/2014) protection where necessary on Schaeffler (20/6/2019) 13,856 Finance BV 7.750% 15/2/2017) (20/12/2017) 1,865 EUR 20,000 Credit Default Swaps (Goldman Sachs) (Fund EUR 140,000 Credit Default Swaps (Goldman Sachs) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on Melia Hotels protection where necessary on Schaeffler International SA 5.000% 18/12/2014) Finance BV 7.750% 15/2/2017) (20/12/2018) 3,606 (20/3/2018) 3,237 EUR 140,000 Credit Default Swaps (Goldman Sachs) (Fund EUR 50,000 Credit Default Swaps (Goldman Sachs) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on TUI AG 2.75% protection where necessary on Melia Hotels 24/3/2016) (20/12/2018) 4,282 International SA 5.000% 18/12/2014) EUR 80,000 Credit Default Swaps (Goldman Sachs) (Fund (20/6/2018) 7,636 receives Fixed 5.000% and provides default EUR 137,000 Credit Default Swaps (Goldman Sachs) (Fund protection where necessary on TVN Finance receives Fixed 5.000% and provides default Corp III AB 7.375% 15/12/2020) (20/6/2019) 8,439 protection where necessary on Metsa Board EUR 254,000 Credit Default Swaps (Goldman Sachs) (Fund OYJ 4.000% 13/3/2019) (20/6/2019) 1,843 receives Fixed 5.000% and provides default EUR 128,000 Credit Default Swaps (Goldman Sachs) (Fund protection where necessary on TVN Finance receives Fixed 5.000% and provides default Corp III AB 7.375% 15/12/2020) (20/6/2019) 7,155 protection where necessary on Metsa Board EUR 290,000 Credit Default Swaps (Goldman Sachs) (Fund OYJ 4.000% 13/3/2019) (20/6/2019) 194 receives Fixed 5.000% and provides default EUR 148,638 Credit Default Swaps (Goldman Sachs) (Fund protection where necessary on UCB SA receives Fixed 5.000% and provides default 3.750% 27/3/2020) (20/6/2019) 11,862 protection where necessary on New Look EUR 60,000 Credit Default Swaps (Goldman Sachs) (Fund Bondco I Plc 8.750% 14/5/2018) (20/6/2019) 2,070 receives Fixed 5.000% and provides default EUR 150,000 Credit Default Swaps (Goldman Sachs) (Fund protection where necessary on UCB SA receives Fixed 5.000% and provides default 3.750% 27/3/2020) (20/6/2019) 660 protection where necessary on New Look Bondco I Plc 8.750% 14/5/2018) (20/6/2019) 170
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 155 BlackRock Global Absolute Return Bond Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
EUR 150,000 Credit Default Swaps (Goldman Sachs) (Fund EUR 110,000 Credit Default Swaps (JP Morgan Chase Bank) receives Fixed 5.000% and provides default (Fund receives default protection on Michelin protection where necessary on UPC Holding Luxembourg SCS 2.75% 20/6/2019 and pays BV 8.375% 15/8/2020) (20/6/2019) 486 Fixed 1.000%) (20/12/2018) (1,562) EUR 150,000 Credit Default Swaps (Goldman Sachs) (Fund EUR 100,000 Credit Default Swaps (JP Morgan Chase Bank) receives Fixed 5.000% and provides default (Fund receives default protection on Telecom protection where necessary on UPC Holding Italia SpA 5.375% 29/1/2019 and pays Fixed BV 8.375% 15/8/2020) (20/6/2019) 71 1.000%) (20/12/2017) (6,771) EUR 567,200 Credit Default Swaps (Goldman Sachs) (Fund EUR 40,000 Credit Default Swaps (JP Morgan Chase Bank) receives Fixed 5.000% and provides default (Fund receives Fixed 5.000% and provides protection where necessary on UPM- default protection where necessary on NXP Kymmene OYJ 5.625% 1/12/2014) (20/6/2019) 1,145 BV / NXP Funding LLC 2.961% 15/10/2013) EUR 150,000 Credit Default Swaps (HSBC Bank Plc ) (Fund (20/3/2018) 3,271 receives Fixed 1.000% and provides default EUR 50,000 Credit Default Swaps (JP Morgan Chase Bank) protection where necessary on Gas Natural (Fund receives Fixed 5.000% and provides Capital Markets SA 4.500% 27/1/2020) default protection where necessary on NXP (20/6/2019) 1,013 BV / NXP Funding LLC 2.961% 15/10/2013) EUR 1,925,000 Credit Default Swaps (HSBC Bank Plc) (Fund (20/3/2018) 3,989 receives default protection on Banco Bilbao EUR 10,000 Credit Default Swaps (JP Morgan Chase Bank) Vizcaya Argentaria SA 4.375% 20/10/2019 (Fund receives Fixed 5.000% and provides and pays Fixed 3.000%) (20/3/2019) (48,169) default protection where necessary on EUR 770,000 Credit Default Swaps (HSBC Bank Plc) (Fund Schaeffler Finance BV 7.750% 15/2/2017) receives default protection on BBVA Senior (20/12/2017) 932 Finance SAU 3.750% 17/1/2018 and pays EUR 78,700 Credit Default Swaps (JP Morgan) (Fund receives Fixed 3.000%) (20/3/2019) (19,854) default protection on BASF SE 4.500% EUR 1,350,000 Credit Default Swaps (HSBC Bank Plc) (Fund 29/6/2016 and pays Fixed 1.000%) (20/9/2017) (1,770) receives default protection on BBVA Senior EUR 530,000 Credit Default Swaps (JP Morgan) (Fund receives Finance SAU 3.750% 17/1/2018 and pays default protection on Experian Finance Plc Fixed 3.000%) (20/3/2019) (35,509) 4.750% 23/11/2018 and pays Fixed 1.000%) EUR 485,000 Credit Default Swaps (HSBC Bank Plc) (Fund (20/6/2019) (163) receives Fixed 1.000% and provides default EUR 600,000 Credit Default Swaps (JP Morgan) (Fund receives protection on British Telecommunications Plc default protection on Fortum OYJ 5.000% 5.75 7/12/2028) (20/6/2019) 826 19/11/2013 and pays Fixed 1.000%) (20/9/2017) (5,948) EUR 770,000 Credit Default Swaps (HSBC Bank Plc) (Fund EUR 200,000 Credit Default Swaps (JP Morgan) (Fund receives receives Fixed 3.000% and provides default default protection on Koninklijke KPN NV protection on Banco Santander SA 5.780% 7.500% 4/2/2019 and pays Fixed 1.000%) 17/2/2028) (20/3/2019) 20,634 (20/6/2019) (391) EUR 1,925,000 Credit Default Swaps (HSBC Bank Plc) (Fund EUR 270,000 Credit Default Swaps (JP Morgan) (Fund receives receives Fixed 3.000% and provides default default protection on Metro AG 1.068% protection on Banco Santander SA 5.780% 4/7/2016 and pays Fixed 1.000%) (20/3/2019) (1,392) 17/2/2028) (20/3/2019) 51,584 EUR 260,000 Credit Default Swaps (JP Morgan) (Fund receives EUR 1,350,000 Credit Default Swaps (HSBC Bank Plc) (Fund default protection on Metro AG 1.068% receives Fixed 3.000% and provides default 4/7/2016 and pays Fixed 1.000%) (20/6/2019) (2,738) protection on Banco Santander SA 5.780% EUR 170,000 Credit Default Swaps (JP Morgan) (Fund receives 17/2/2028) (20/3/2019) 36,878 default protection on Metro AG 7.625% EUR 200,000 Credit Default Swaps (HSBC) (Fund receives 5/3/2015 and pays Fixed 1.000%) (20/6/2019) (2,361) default protection on Fortum OYJ 5.000% EUR 510,000 Credit Default Swaps (JP Morgan) (Fund receives 19/11/2013 and pays Fixed 1.000%) default protection on Metro AG 7.625% (20/9/2017) (931) 5/3/2015 and pays Fixed 1.000%) (20/6/2019) (6,965) EUR 188,709 Credit Default Swaps (HSBC) (Fund receives EUR 220,000 Credit Default Swaps (JP Morgan) (Fund receives default protection on GDF Suez 5.125% default protection on Metsa OYJ 3.800% 19/2/2018 and pays Fixed 1.000%) 27/6/2022 and pays Fixed 1.000%) (20/12/2018) (8,743) (20/12/2017) (4,376) EUR 270,000 Credit Default Swaps (JP Morgan) (Fund receives EUR 100,000 Credit Default Swaps (HSBC) (Fund receives default protection on Pearson Plc 7.000% default protection on Telecom Italia SpA 27/10/2014 and pays Fixed 1.000%) (20/6/2019) (962) 5.375% 29/1/2019 and pays Fixed 1.000%) EUR 200,000 Credit Default Swaps (JP Morgan) (Fund receives (20/12/2017) (8,833) default protection on Pearson Plc 7.000% EUR 50,000 Credit Default Swaps (JP Morgan Chase Bank) 27/10/2014 and pays Fixed 1.000%) (20/6/2017) (173) (Fund receives default protection on LANXESS EUR 300,000 Credit Default Swaps (JP Morgan) (Fund receives Finance BV 7.750% 9/4/2014 and pays Fixed default protection on Pernod Ricard SA 1.000%) (20/12/2017) (1,475) 4.875% 18/3/2016 and pays Fixed 1.000%) EUR 120,000 Credit Default Swaps (JP Morgan Chase Bank) (20/9/2018) (8,267) (Fund receives default protection on LANXESS EUR 280,000 Credit Default Swaps (JP Morgan) (Fund receives Finance BV 7.750% 9/4/2014 and pays Fixed default protection on PostNL NV 1.068% 1.000%) (20/3/2018) (2,918) 4/7/2016 and pays Fixed 1.000%) (20/6/2019) (3,901)
156 BlackRock Strategic Funds (BSF) BlackRock Global Absolute Return Bond Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
EUR 50,000 Credit Default Swaps (JP Morgan) (Fund receives EUR 290,000 Credit Default Swaps (Morgan Stanley) (Fund default protection on PostNL NV 3.875% receives default protection on Pearson Plc 1/6/2015 and pays Fixed 1.000%) (20/6/2018) (4,540) 1.068% 4/7/2016 and pays Fixed 1.000%) EUR 500,000 Credit Default Swaps (JP Morgan) (Fund receives (20/3/2019) 703 default protection on RWE AG 5.750% EUR 140,000 Credit Default Swaps (Morgan Stanley) (Fund 14/2/2033 and pays Fixed 1.000%) (20/6/2018) (9,533) receives default protection on Pearson Plc EUR 600,000 Credit Default Swaps (JP Morgan) (Fund receives 1.068% 4/7/2016 and pays Fixed 1.000%) default protection on St-Gobain Nederland (20/3/2019) (403) BV 5.000% 25/4/2014 and pays Fixed 1.000%) EUR 269,000 Credit Default Swaps (Morgan Stanley) (Fund (20/6/2018) (26,211) receives default protection on Portugal EUR 6,400,000 Credit Default Swaps (JP Morgan) (Fund receives Telecom International Finance BV 1.068% default protection on Standard Chartered Plc 4/7/2016 and pays Fixed 5.000%) (20/6/2019) (10,362) 5.750% 30/4/2014 and pays Fixed 1.000%) EUR 300,000 Credit Default Swaps (Morgan Stanley) (Fund (20/3/2019) (131,338) receives default protection on SABMiller Plc EUR 330,000 Credit Default Swaps (JP Morgan) (Fund receives 1.068% 4/7/2016 and pays Fixed 1.000%) Fixed 1.000% and provides default protection (20/3/2019) (988) where necessary on BP Plc 4.200% 15/6/2018) EUR 600,000 Credit Default Swaps (Morgan Stanley) (Fund (20/6/2019) 693 receives default protection on Tate & Lyle EUR 4,150,000 Credit Default Swaps (JP Morgan) (Fund receives International Finance Plc 6.750% 25/11/2019 Fixed 1.000% and provides default protection and pays Fixed 1.000%) (20/6/2017) (3,101) where necessary on British Sky Broadcasting EUR 270,000 Credit Default Swaps (Morgan Stanley) (Fund Group Plc 6.000% 21/5/2027) (20/6/2019) (2,651) receives default protection on Wolters Kluwer EUR 290,000 Credit Default Swaps (JP Morgan) (Fund receives NV 1.068% 4/7/2016 and pays Fixed 1.000%) Fixed 1.000% and provides default protection (20/3/2019) (787) where necessary on Enel SpA 5.250% EUR 485,000 Credit Default Swaps (Morgan Stanley) (Fund 20/6/2017) (20/6/2019) 717 receives Fixed 1.000% and provides default EUR 530,000 Credit Default Swaps (JP Morgan) (Fund receives protection on Vodafone Group Plc 5.000% Fixed 1.000% and provides default protection 4/6/2018) (20/6/2019) 666 where necessary on Enel SpA 5.250% EUR 258,000 Credit Default Swaps (Morgan Stanley) (Fund 20/6/2017) (20/6/2019) (1,783) receives Fixed 1.000% and provides default EUR 270,000 Credit Default Swaps (JP Morgan) (Fund receives protection where necessary on BP Plc 4.200% Fixed 1.000% and provides default protection 15/6/2018) (20/6/2019) 268 where necessary on Enel SpA 5.250% EUR 180,000 Credit Default Swaps (Morgan Stanley) (Fund 20/6/2017) (20/6/2019) (908) receives Fixed 1.000% and provides default EUR 6,400,000 Credit Default Swaps (JP Morgan) (Fund receives protection where necessary on Centrica Plc Fixed 1.000% and provides default protection 7.000% 19/9/2018) (20/6/2017) 2,671 where necessary on HSBC Holdings Plc EUR 54,000 Credit Default Swaps (Morgan Stanley) (Fund 1.068% 4/7/2016) (20/3/2019) 99,698 receives Fixed 5.000% and provides default EUR 300,000 Credit Default Swaps (JP Morgan) (Fund receives protection where necessary on Abengoa SA Fixed 1.000% and provides default protection 8.500% 31/3/2016) (20/6/2019) 660 where necessary on Imperial Tobacco EUR 78,000 Credit Default Swaps (Morgan Stanley) (Fund Finance Plc 6.250% 4/12/2018) (20/9/2017) 6,610 receives Fixed 5.000% and provides default EUR 130,000 Credit Default Swaps (JP Morgan) (Fund receives protection where necessary on Brisa Fixed 1.000% and provides default protection Concessao Rodoviaria SA 4.500% 5/12/2016) where necessary on Next Plc 5.375% (20/6/2019) 191 26/10/2021) (20/12/2018) 1,710 EUR 260,000 Credit Default Swaps (Morgan Stanley) (Fund USD 370,000 Credit Default Swaps (JP Morgan) (Fund receives receives Fixed 5.000% and provides default Fixed 1.000% and provides default protection protection where necessary on Louis Dreyfus where necessary on Qantas Airways Ltd Commodities BV 3.875% 30/7/2018) (20/6/2019) 5,626 6.050% 15/4/2016) (20/6/2019) 296 EUR 90,000 Credit Default Swaps (Morgan Stanley) (Fund EUR 143,000 Credit Default Swaps (JP Morgan) (Fund receives receives Fixed 5.000% and provides default Fixed 5.000% and provides default protection protection where necessary on Louis Dreyfus where necessary on Nokia OYJ 6.750% Commodities BV 4.000% 4/12/2020) (20/6/2019) 3,274 4/2/2019) (20/6/2019) 1,046 EUR 415,000 Credit Default Swaps (Morgan Stanley) (Fund EUR 60,000 Credit Default Swaps (JP Morgan) (Fund receives receives Fixed 5.000% and provides default Fixed 5.000% and provides default protection protection where necessary on Louis Dreyfus where necessary on Nokia OYJ 6.750% Commodities BV 4.000% 4/12/2020) (20/6/2019) 3,728 4/2/2019) (20/9/2017) 15,804 EUR 80,000 Credit Default Swaps (Morgan Stanley) (Fund EUR 300,000 Credit Default Swaps (JP Morgan) (Fund receives Fixed 5.000% and provides default receives Fixed 5.000% and provides default protection where necessary on OTE Plc protection where necessary on TUI AG 5.125% 1.068% 4/7/2016) (20/3/2019) 2,263 10/12/2012) (20/9/2017) 60,889
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 157 BlackRock Global Absolute Return Bond Fund continued
Swaps as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ Nominal (depreciation) Nominal (depreciation) Value Description EUR Value Description EUR
EUR 150,000 Credit Default Swaps (Morgan Stanley) (Fund USD 700,000 Interest Rate Swap (Deutsche Bank) (Fund receives Fixed 5.000% and provides default receives Fixed 2.290% and pays Floating protection where necessary on OTE Plc USD 3 Month LIBOR) (22/4/2018) 2,826 1.068% 4/7/2016) (20/3/2019) 7,098 USD 2,700,000 Interest Rate Swap (Deutsche Bank) (Fund EUR 254,000 Credit Default Swaps (Morgan Stanley) (Fund receives Fixed 2.340% and pays Floating receives Fixed 5.000% and provides default USD 3 Month LIBOR) (24/3/2018) 15,428 protection where necessary on TVN Finance USD 2,100,000 Interest Rate Swap (Deutsche Bank) (Fund Corp III AB 7.375% 15/12/2020) (20/6/2019) 8,411 receives Fixed 3.190% and pays Floating EUR 78,800 Credit Default Swaps (UBS) (Fund receives USD 3 Month LIBOR) (22/4/2025) 35,156 default protection on BASF SE 4.500% CAD 3,030,000 Interest Rate Swap (Deutsche Bank) (Fund (29/6/2016) and pays Fixed 1.000%) receives Floating CAD 3 Month LIBOR (20/9/2017) (1,841) and pays Fixed 2.338%) (24/3/2018) (11,730) EUR 150,000 Credit Default Swaps (UBS) (Fund receives CAD 815,000 Interest Rate Swap (Deutsche Bank) (Fund default protection on Clariant Finance receives Floating CAD 6 Month LIBOR Luxembourg SA 4.375% 5/4/2013 and pays and pays Fixed 2.238%) (18/4/2018) (1,801) Fixed 1.000%) (20/9/2017) (15,269) CAD 810,000 Interest Rate Swap (Deutsche Bank) (Fund EUR 20,000 Credit Default Swaps (UBS) (Fund receives receives Floating CAD 6 Month LIBOR default protection on Telecom Italia SpA and pays Fixed 2.240%) (18/4/2018) (1,816) 5.375% 29/1/2019 and pays Fixed 1.000%) THB 260,000,000 Interest Rate Swap (Deutsche Bank) (Fund (20/3/2018) (1,083) receives Floating THB 6 Month LIBOR EUR 1,420,000 Interest Rate Swap (Barclays Bank) (Fund and pays Fixed 2.060%) (29/5/2016) (3,036) receives Fixed 2.465% and pays Floating USD 850,000 Interest Rate Swap (Deutsche Bank) (Fund EUR 6 Month EURIBOR) (8/7/2033) 69,760 receives Floating USD 3 Month LIBOR EUR 800,000 Interest Rate Swap (Barclays Bank) (Fund and pays Fixed 0.560%) (25/6/2015) (1,985) receives Floating EUR 6 Month EURIBOR USD 2,100,000 Interest Rate Swap (Deutsche Bank) (Fund and pays Fixed 2.605%) (8/7/2063) (77,556) receives Floating USD 3 Month LIBOR USD 365,000 Interest Rate Swap (Barclays Bank) (Fund and pays Fixed 0.941%) (10/1/2017) (7,535) receives Floating USD 3 Month LIBOR USD 27,500,000 Interest Rate Swap (Deutsche Bank) (Fund and pays Fixed 0.986%) (4/9/2017) 189 receives Floating USD 3 Month LIBOR USD 300,000 Interest Rate Swap (Barclays Bank) (Fund and pays Fixed 1.585%) (30/11/2018) (11,331) receives Floating USD 3 Month LIBOR USD 1,230,000 Interest Rate Swap (Deutsche Bank) (Fund and pays Fixed 2.600%) (19/5/2024) (297) receives Floating USD 3 Month LIBOR USD 600,000 Interest Rate Swap (Barclays Bank) (Fund and pays Fixed 2.140%) (15/2/2021) (3,436) receives Floating USD 3 Month LIBOR USD 7,240,000 Interest Rate Swap (Deutsche Bank) (Fund and pays Fixed 2.700%) (12/5/2024) (4,917) receives Floating USD 3 Month LIBOR USD 2,000,000 Interest Rate Swap (Barclays Bank) (Fund and pays Fixed 2.380%) (15/2/2021) (100,514) receives Floating USD 3 Month LIBOR USD 600,000 Interest Rate Swap (Deutsche Bank) (Fund and pays Fixed 3.652%) (27/2/2044) (99,887) receives Floating USD 3 Month LIBOR USD 200,000 Interest Rate Swap (BNP Paribas) (Fund and pays Fixed 2.582%) (19/5/2024) 108 receives Floating USD 3 Month LIBOR and USD 1,000,000 Interest Rate Swap (Deutsche Bank) (Fund pays Fixed 2.800%) (25/4/2024) (3,025) receives Floating USD 3 Month LIBOR EUR 2,590,000 Interest Rate Swap (Citibank) (Fund receives and pays Fixed 3.654%) (22/4/2045) (28,446) Fixed 2.495% and pays Floating EUR USD 1,000,000 Interest Rate Swap (Deutsche Bank) (Fund 6 Month EURIBOR) (7/4/2044) 137,365 receives Floating USD 3 Month LIBOR EUR 1,935,000 Interest Rate Swap (Citibank) (Fund receives and pays Floating USD 3 Month SIFMA) Floating EUR 6 Month EURIBOR and pays (19/3/2034) 9,290 Fixed 2.536%) (7/4/2064) (148,177) SGD 1,000,000 Interest Rate Swap (HSBC Bank Plc ) (Fund GBP 245,000 Interest Rate Swap (Citigroup Global Markets) receives Floating SGD 6 Month SIBOR (Fund receives Floating GBP 6 Month LIBOR and pays Fixed 1.815%) (1/6/2019) (7,281) and pays Fixed 3.365%) (9/1/2034) (11,414) EUR 2,950,000 Interest Rate Swap (Royal Bank of Scotland USD 1,100,000 Interest Rate Swap (Deutsche Bank) (Fund Plc) (Fund receives Floating EUR 6 Month receives Fixed 1.650% and pays Floating EURIBOR and pays Fixed 1.626%) (15/2/2023) (59,557) USD 3 Month LIBOR) (27/5/2019) 1,183 USD 55,850,000 Interest Rate Swap (Royal Bank of Scotland Plc) USD 700,000 Interest Rate Swap (Deutsche Bank) (Fund (Fund receives Floating USD 3 Month LIBOR receives Fixed 2.285% and pays Floating and pays Fixed 2.214%) (15/5/2021) (32,525) USD 3 Month LIBOR) (22/4/2018) 2,776 (EUR underlying exposure – EUR 501,006,964 ) (684,284)
Note: The total market value of EUR 417,771 is included in the Statement of Net Assets (see note 2(d)).
158 BlackRock Strategic Funds (BSF) BlackRock Global Absolute Return Bond Fund continued
Open Forward Foreign Exchange Transactions Open Forward Foreign Exchange Transactions as at 31 May 2014 as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ (depreciation) (depreciation) Purchases Sales Value Date EUR Purchases Sales Value Date EUR CAD 182,419 GBP 100,000 2/6/2014 521 USD 748,165 SGD 951,596 9/6/2014 (7,798) GBP 100,000 CAD 182,869 2/6/2014 (825) USD 726,310 SGD 919,981 9/6/2014 (5,336) AUD 350,000 CAD 354,038 3/6/2014 (826) AUD 788,443 USD 732,093 10/6/2014 156 CAD 355,059 AUD 350,000 3/6/2014 1,517 CNY 4,265,795 USD 695,888 10/6/2014 (8,405) CAD 182,602 GBP 100,000 3/6/2014 644 CNY 2,405,466 USD 389,486 10/6/2014 (2,594) CHF 85,488 EUR 70,000 3/6/2014 18 CNY 472,834 USD 76,363 10/6/2014 (366) EUR 70,000 CHF 85,222 3/6/2014 200 EUR 357,547 USD 495,507 10/6/2014 (6,254) EUR 100,000 MXN 1,798,470 3/6/2014 (2,651) EUR 713,409 USD 977,990 10/6/2014 (4,631) EUR 100,000 SEK 902,900 3/6/2014 625 IDR 23,388,740,715 USD 2,032,639 10/6/2014 (24,022) GBP 100,000 CAD 182,930 3/6/2014 (866) IDR 6,727,975,042 USD 583,013 10/6/2014 (5,667) MXN 1,819,650 EUR 100,000 3/6/2014 3,860 IDR 66,752,608 USD 5,669 10/6/2014 29 NOK 900,000 SEK 995,850 3/6/2014 826 INR 45,473,281 USD 730,358 10/6/2014 28,135 SEK 902,138 EUR 100,000 3/6/2014 (709) INR 995,548 USD 15,782 10/6/2014 768 SEK 1,001,951 NOK 900,000 3/6/2014 (155) KRW 818,076,950 USD 790,260 10/6/2014 8,181 USD 25,000 CHF 21,946 3/6/2014 380 MYR 2,379,116 USD 720,901 10/6/2014 14,049 USD 150,000 ZAR 1,564,085 3/6/2014 1,263 MYR 2,385,852 USD 733,319 10/6/2014 6,470 ZAR 1,559,772 USD 150,000 3/6/2014 (1,564) MYR 2,582,699 USD 793,090 10/6/2014 7,541 AUD 160,000 NZD 172,419 4/6/2014 1,805 PHP 33,169,409 USD 744,446 10/6/2014 9,885 CAD 139,298 NZD 150,000 4/6/2014 885 PHP 69,052,275 USD 1,556,634 10/6/2014 15,556 CAD 170,065 NZD 180,000 4/6/2014 3,030 THB 46,487,882 USD 1,428,758 10/6/2014 (9,678) CAD 327,613 USD 300,000 4/6/2014 1,465 THB 1,156,320 USD 35,590 10/6/2014 (279) EUR 100,000 CHF 121,744 4/6/2014 286 TWD 20,968,092 USD 694,193 10/6/2014 3,749 EUR 120,000 GBP 98,124 4/6/2014 (632) TWD 16,913,041 USD 566,127 10/6/2014 (1,518) EUR 120,000 MXN 2,134,716 4/6/2014 (1,833) USD 1,506,071 AUD 1,618,948 10/6/2014 1,758 GBP 219,421 EUR 270,000 4/6/2014 (246) USD 37,411 CNY 231,089 10/6/2014 245 GBP 97,711 EUR 120,000 4/6/2014 125 USD 490,376 CNY 3,030,229 10/6/2014 3,069 MXN 2,128,219 EUR 120,000 4/6/2014 1,462 USD 1,547,173 IDR 17,800,227,605 10/6/2014 18,439 NZD 173,790 AUD 160,000 4/6/2014 (951) USD 1,080,406 IDR 12,440,879,676 10/6/2014 12,198 NZD 180,000 CAD 168,357 4/6/2014 (1,874) USD 387,819 INR 23,637,555 10/6/2014 (8,627) USD 300,000 CAD 326,985 4/6/2014 (1,040) USD 188,575 INR 11,442,871 10/6/2014 (3,565) AUD 160,000 NZD 172,422 5/6/2014 1,806 USD 75,044 INR 4,478,602 10/6/2014 (486) EUR 4,965,823 USD 6,818,000 5/6/2014 (39,888) USD 98,945 INR 6,000,000 10/6/2014 (1,820) EUR 534,950 USD 730,000 5/6/2014 (1,009) USD 74,869 INR 4,492,125 10/6/2014 (783) EUR 49,575,750 USD 68,766,000 5/6/2014 (911,601) USD 155,205 INR 9,254,874 10/6/2014 (910) EUR 629,076 USD 862,000 5/6/2014 (3,797) USD 708,991 KRW 765,639,320 10/6/2014 (30,134) EUR 701,903 USD 957,000 5/6/2014 (717) USD 1,318,254 KRW 1,418,177,299 10/6/2014 (52,141) EUR 85,811 USD 117,000 5/6/2014 (89) USD 2,275,049 KRW 2,446,473,499 10/6/2014 (89,249) EUR 48,830 USD 68,000 5/6/2014 (1,095) USD 36,308 KRW 38,457,253 10/6/2014 (1,003) JPY 15,250,875 USD 150,000 5/6/2014 (142) USD 334,776 MYR 1,090,199 10/6/2014 (3,183) NZD 173,088 AUD 160,000 5/6/2014 (1,391) USD 804,082 MYR 2,606,191 10/6/2014 (4,836) USD 3,806,000 EUR 2,772,942 5/6/2014 21,388 USD 186,178 MYR 599,810 10/6/2014 (291) USD 150,000 JPY 15,248,940 5/6/2014 156 USD 735,093 PHP 33,169,409 10/6/2014 (16,752) EUR 366,501 JPY 51,212,120 9/6/2014 (2,845) USD 1,503,045 PHP 65,773,247 10/6/2014 109 EUR 3,212,919 USD 4,443,365 9/6/2014 (49,390) USD 75,067 PHP 3,284,920 10/6/2014 5 EUR 4,851,561 USD 6,685,227 9/6/2014 (56,718) USD 36,136 THB 1,180,026 10/6/2014 150 EUR 2,307,917 USD 3,191,475 9/6/2014 (35,257) USD 1,410,610 THB 46,019,370 10/6/2014 6,829 EUR 646,229 USD 889,354 9/6/2014 (6,733) USD 655,733 TWD 19,822,769 10/6/2014 (3,941) EUR 1,714,060 USD 2,370,175 9/6/2014 (26,118) USD 597,860 TWD 18,058,364 10/6/2014 (3,228) EUR 4,057,086 USD 5,594,081 9/6/2014 (50,076) AUD 3,991,228 USD 3,627,872 11/6/2014 57,942 EUR 1,107,662 USD 1,527,399 9/6/2014 (13,751) AUD 2,298,763 USD 2,134,438 11/6/2014 369 HKD 2,141,000 EUR 200,260 9/6/2014 2,498 AUD 1,194,000 USD 1,086,138 11/6/2014 16,718 JPY 92,013,673 USD 895,192 9/6/2014 6,362 AUD 417,000 USD 377,850 11/6/2014 6,925 SGD 1,456,497 USD 1,165,021 9/6/2014 (2,668) AUD 1,312,000 USD 1,201,807 11/6/2014 12,255 SGD 45,158 USD 35,650 9/6/2014 263 AUD 750,000 USD 697,104 11/6/2014 (406) SGD 1,792,660 USD 1,416,169 9/6/2014 9,741 AUD 987,000 USD 902,175 11/6/2014 10,635 USD 587,862 EUR 426,599 9/6/2014 5,008 AUD 347,000 USD 319,304 11/6/2014 2,178 USD 7,526,911 EUR 5,435,160 9/6/2014 91,082 AUD 630,000 USD 587,691 11/6/2014 (1,900) USD 3,768,029 EUR 2,732,255 9/6/2014 34,223 AUD 107,000 USD 99,068 11/6/2014 225 USD 2,960,193 EUR 2,146,643 9/6/2014 26,724 AUD 205,000 USD 190,511 11/6/2014 (88) USD 255,291 HKD 1,980,000 9/6/2014 (77) CAD 1,404,000 USD 1,264,601 11/6/2014 21,582 USD 277,379 HKD 2,152,000 9/6/2014 (149) CAD 107,000 USD 95,448 11/6/2014 2,326 USD 353,461 JPY 36,145,054 9/6/2014 (1,171) CAD 541,000 USD 488,573 11/6/2014 7,371 USD 696,454 JPY 71,667,239 9/6/2014 (5,534) CAD 139,000 USD 123,127 11/6/2014 3,658 USD 105,664 JPY 10,750,000 9/6/2014 48 CAD 342,000 USD 313,079 11/6/2014 1,561 USD 368,459 SGD 470,691 9/6/2014 (5,039) CHF 146,407 EUR 120,000 11/6/2014 (75)
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 159 BlackRock Global Absolute Return Bond Fund continued
Open Forward Foreign Exchange Transactions Open Forward Foreign Exchange Transactions as at 31 May 2014 as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ (depreciation) (depreciation) Purchases Sales Value Date EUR Purchases Sales Value Date EUR EUR 120,000 CHF 146,072 11/6/2014 349 USD 288,809 AUD 314,000 11/6/2014 (2,066) EUR 90,000 CHF 109,557 11/6/2014 260 USD 235,128 AUD 256,000 11/6/2014 (1,929) EUR 3,340,268 GBP 2,755,000 11/6/2014 (46,580) USD 57,106 AUD 62,000 11/6/2014 (349) EUR 153,423 GBP 125,000 11/6/2014 (245) USD 1,946,027 CAD 2,142,000 11/6/2014 (20,666) EUR 608,075 GBP 500,000 11/6/2014 (6,598) USD 1,702,654 CAD 1,873,000 11/6/2014 (17,324) EUR 662,267 USD 919,416 11/6/2014 (12,769) USD 128,528 CAD 140,000 11/6/2014 (370) EUR 2,043,000 USD 2,805,052 11/6/2014 (16,473) USD 43,473 CAD 47,596 11/6/2014 (289) EUR 2,329,000 USD 3,210,056 11/6/2014 (27,828) USD 27,080 CAD 30,000 11/6/2014 (418) EUR 104,000 USD 145,006 11/6/2014 (2,463) USD 74,744 CAD 82,000 11/6/2014 (610) EUR 297,000 USD 409,714 11/6/2014 (3,813) USD 2,278,736 EUR 1,655,000 11/6/2014 18,051 EUR 2,514,000 USD 3,455,196 11/6/2014 (22,810) USD 2,683,365 EUR 1,940,000 11/6/2014 30,130 EUR 1,587,900 USD 2,185,000 11/6/2014 (16,330) USD 1,823,489 EUR 1,314,621 11/6/2014 24,187 EUR 946,000 USD 1,311,985 11/6/2014 (17,262) USD 465,506 EUR 337,000 11/6/2014 4,775 EUR 651,000 USD 894,773 11/6/2014 (5,944) USD 814,348 EUR 590,000 11/6/2014 7,895 EUR 2,432,000 USD 3,338,075 11/6/2014 (18,820) USD 2,127,263 EUR 1,548,000 11/6/2014 13,840 EUR 607,000 USD 832,412 11/6/2014 (4,158) USD 1,425,620 EUR 1,032,753 11/6/2014 13,939 GBP 216,000 USD 359,057 11/6/2014 1,919 USD 665,136 EUR 484,000 11/6/2014 4,344 GBP 2,637,000 USD 4,430,518 11/6/2014 (11,106) USD 242,443 EUR 174,000 11/6/2014 4,002 GBP 909,000 USD 1,509,445 11/6/2014 9,239 USD 619,805 EUR 452,000 11/6/2014 3,062 GBP 1,838,000 USD 3,092,405 11/6/2014 (10,910) USD 58,874 EUR 43,000 11/6/2014 226 GBP 489,000 USD 822,269 11/6/2014 (2,561) USD 142,234 EUR 103,000 11/6/2014 1,429 GBP 789,000 USD 1,315,493 11/6/2014 4,117 USD 1,360,980 GBP 814,000 11/6/2014 (1,454) GBP 354,000 USD 586,434 11/6/2014 4,628 USD 82,331 GBP 49,000 11/6/2014 210 GBP 295,000 USD 496,419 11/6/2014 (1,815) USD 863,028 GBP 519,000 11/6/2014 (4,394) JPY 155,050,000 USD 1,520,895 11/6/2014 1,609 USD 3,852,589 GBP 2,300,000 11/6/2014 1,080 JPY 11,100,000 USD 108,672 11/6/2014 268 USD 1,032,875 GBP 612,000 11/6/2014 5,978 JPY 41,600,000 USD 405,245 11/6/2014 2,496 USD 595,626 GBP 354,000 11/6/2014 2,121 JPY 194,740,000 USD 1,909,125 11/6/2014 2,821 USD 1,834,934 GBP 1,091,000 11/6/2014 5,995 JPY 81,300,000 USD 795,947 11/6/2014 1,967 USD 912,448 GBP 540,000 11/6/2014 6,073 JPY 163,350,000 USD 1,600,296 11/6/2014 3,174 USD 319,036 GBP 189,000 11/6/2014 1,890 JPY 41,250,000 USD 401,721 11/6/2014 2,559 USD 2,841,764 JPY 292,300,000 11/6/2014 (21,699) JPY 140,150,000 USD 1,363,145 11/6/2014 9,967 USD 1,151,755 JPY 117,600,000 11/6/2014 (2,535) JPY 87,040,000 USD 855,478 11/6/2014 (343) USD 486,688 JPY 49,700,000 11/6/2014 (1,120) JPY 88,850,000 USD 873,155 11/6/2014 (268) USD 963,244 JPY 98,400,000 11/6/2014 (2,465) NOK 2,347,000 USD 391,302 11/6/2014 602 USD 849,909 JPY 86,950,000 11/6/2014 (3,097) NOK 7,746,000 USD 1,294,303 11/6/2014 (111) USD 3,432,544 JPY 351,360,000 11/6/2014 (13,900) NOK 980,000 USD 163,142 11/6/2014 434 USD 271,381 JPY 27,800,000 11/6/2014 (1,251) NOK 3,437,000 USD 575,691 11/6/2014 (1,071) USD 1,900,559 JPY 193,595,000 11/6/2014 (853) NOK 3,196,000 USD 535,706 11/6/2014 (1,277) USD 776,894 JPY 80,600,000 11/6/2014 (10,906) NOK 339,000 USD 56,928 11/6/2014 (213) USD 308,139 JPY 31,400,000 11/6/2014 (227) NOK 4,578,000 USD 762,921 11/6/2014 1,426 USD 87,978 JPY 9,000,000 11/6/2014 (316) NOK 2,487,000 USD 415,144 11/6/2014 270 USD 1,055,133 NOK 6,267,000 11/6/2014 5,935 NOK 1,132,000 USD 188,052 11/6/2014 789 USD 2,942,966 NOK 17,630,000 11/6/2014 (1,865) NZD 318,000 USD 270,591 11/6/2014 (813) USD 27,494 NOK 165,000 11/6/2014 (54) NZD 2,022,000 USD 1,729,870 11/6/2014 (12,013) USD 851,856 NOK 5,052,000 11/6/2014 5,727 NZD 2,177,000 USD 1,864,979 11/6/2014 (14,772) USD 54,998 NOK 333,000 11/6/2014 (468) NZD 482,000 USD 416,225 11/6/2014 (5,700) USD 307,613 NOK 1,826,000 11/6/2014 1,863 NZD 1,326,000 USD 1,108,645 11/6/2014 11,050 USD 539,434 NOK 3,194,810 11/6/2014 4,160 NZD 432,000 USD 366,714 11/6/2014 (457) USD 310,763 NZD 367,000 11/6/2014 (180) SEK 11,324,000 USD 1,743,522 11/6/2014 (33,913) USD 642,405 NZD 755,000 11/6/2014 1,904 SEK 5,153,000 USD 789,435 11/6/2014 (12,527) USD 2,846,221 NZD 3,348,000 11/6/2014 6,621 SEK 13,718,000 USD 2,125,472 11/6/2014 (50,887) USD 1,555,789 NZD 1,814,000 11/6/2014 13,617 SEK 1,624,000 USD 247,043 11/6/2014 (2,661) USD 453,235 NZD 532,000 11/6/2014 1,763 SEK 3,219,000 USD 491,692 11/6/2014 (6,757) USD 239,240 NZD 280,000 11/6/2014 1,438 SEK 5,424,000 USD 827,601 11/6/2014 (10,726) USD 55,087 NZD 64,000 11/6/2014 625 SEK 741,000 USD 116,539 11/6/2014 (4,017) USD 291,641 NZD 340,000 11/6/2014 2,580 SEK 185,000 USD 28,920 11/6/2014 (874) USD 170,604 NZD 197,000 11/6/2014 2,687 USD 739,319 AUD 810,000 11/6/2014 (9,512) USD 350,572 NZD 403,000 11/6/2014 6,649 USD 233,255 AUD 260,000 11/6/2014 (6,032) USD 487,073 SEK 3,190,000 11/6/2014 6,556 USD 1,436,234 AUD 1,556,000 11/6/2014 (6,517) USD 458,478 SEK 2,959,000 11/6/2014 10,983 USD 698,717 AUD 757,000 11/6/2014 (3,183) USD 1,477,706 SEK 9,568,000 11/6/2014 31,995 USD 544,916 AUD 600,000 11/6/2014 (9,049) USD 945,929 SEK 6,129,000 11/6/2014 20,018 USD 796,696 AUD 864,000 11/6/2014 (4,207) USD 515,602 SEK 3,365,000 11/6/2014 8,244 USD 3,636,303 AUD 4,044,000 11/6/2014 (87,736) USD 221,203 SEK 1,440,000 11/6/2014 3,938 USD 729,886 AUD 781,000 11/6/2014 3,337 USD 116,785 SEK 760,000 11/6/2014 2,107
160 BlackRock Strategic Funds (BSF) BlackRock Global Absolute Return Bond Fund continued
Open Forward Foreign Exchange Transactions Open Forward Foreign Exchange Transactions as at 31 May 2014 as at 31 May 2014
Unrealised Unrealised appreciation/ appreciation/ (depreciation) (depreciation) Purchases Sales Value Date EUR Purchases Sales Value Date EUR EUR 281,953 SEK 2,540,841 13/6/2014 2,348 KRW 808,131,337 USD 783,529 11/9/2014 2,702 SEK 855,657,938 EUR 94,883,384 13/6/2014 (723,053) USD 366,684 IDR 4,204,034,353 11/9/2014 9,512 USD 5,051 EUR 3,672 13/6/2014 37 USD 336,693 INR 20,107,290 11/9/2014 1,329 EUR 619,210 USD 862,337 27/6/2014 (13,944) Net unrealised depreciation USD 29,942 BRL 67,620 27/6/2014 7 (EUR underlying exposure – EUR 556,184,714) (2,916,717) USD 857,920 BRL 1,940,100 27/6/2014 (625)
USD 46,082 EUR 33,090 27/6/2014 745 Note: The net unrealised depreciation attributed to these transactions is included AUD 150,000 NZD 161,792 8/7/2014 1,678 in the Statements of Net Assets (see note 2(d)). CAD 163,170 USD 150,000 8/7/2014 211 Bank of America N.A., Barclays Bank Plc, BNP Paribas S.A., Citibank N.A. London, Credit NZD 162,351 AUD 150,000 8/7/2014 (1,331) Suisse International, Deutsche Bank AG London, Goldman Sachs International, HSBC USD 166,039 AUD 180,000 8/7/2014 (603) Bank Plc, JP Morgan Chase Bank N.A., Morgan Stanley and Co. International Plc, Royal Bank of Canada (UK), Royal Bank of Scotland Plc, Société Générale, Standard Chartered USD 150,000 CAD 162,867 8/7/2014 (6) Bank, State Street Bank and Trust Company, State Street Bank London, UBS AG London, AUD 788,800 USD 718,389 9/7/2014 9,382 Westpac Banking Corp. are the counterparties to these Open Forward Foreign Exchange CAD 137,925 NZD 150,000 9/7/2014 180 Transactions. EUR 1,540,647 USD 2,123,926 9/7/2014 (18,815) EUR 120,000 USD 163,278 9/7/2014 115 SGD 462,201 USD 370,894 9/7/2014 (1,721) USD 727,581 AUD 792,642 9/7/2014 (5,248) Sector Breakdown USD 137,883 AUD 150,000 9/7/2014 (850) as at 31 May 2014 USD 500,000 EUR 365,534 9/7/2014 1,584 % of Net USD 163,066 EUR 120,000 9/7/2014 (271) Assets* USD 354,167 SGD 448,575 9/7/2014 (2,583) USD 1,516,279 SGD 1,908,348 9/7/2014 (3,965) Financial 18.20 EUR 1,521,402 AUD 2,250,000 16/7/2014 (9,172) Government 17.78 EUR 4,743,499 GBP 3,840,000 16/7/2014 23,881 Asset Backed Securities 17.52 EUR 3,750,878 GBP 3,060,000 16/7/2014 (10,067) Mortgage Securities 15.52 EUR 1,824,620 GBP 1,480,000 16/7/2014 5,600 Funds 5.50 EUR 39,147,817 GBP 32,390,000 16/7/2014 (661,667) Consumer, Cyclical 4.89 EUR 1,959,522 GBP 1,610,000 16/7/2014 (19,276) Utilities 2.52 EUR 3,983,750 USD 5,485,000 16/7/2014 (43,501) Consumer, Non-cyclical 2.32 EUR 5,989,576 USD 8,280,000 16/7/2014 (89,848) Communications 1.83 EUR 1,271,520 USD 1,750,000 16/7/2014 (13,382) Energy 1.46 EUR 21,899 USD 30,000 16/7/2014 (128) Industrial 0.70 EUR 40,145 USD 55,000 16/7/2014 (238) Technology 0.35 EUR 1,297,512 USD 1,770,000 16/7/2014 (2,075) Basic Materials 0.29 EUR 103,059 ZAR 1,480,000 16/7/2014 741 Diversified 0.23 EUR 457,783 ZAR 6,555,000 16/7/2014 4,613 Other Net Assets 10.89 EUR 154,923 ZAR 2,225,000 16/7/2014 1,101 100.00 GBP 200,000 EUR 243,019 16/7/2014 2,794 GBP 1,570,000 EUR 1,919,136 16/7/2014 10,499 * Based on the market value of the Portfolio of Investments except GBP 310,000 EUR 377,299 16/7/2014 3,712 for Contract For Difference, which are based on the commitment GBP 3,790,000 EUR 4,645,479 16/7/2014 12,686 (where applicable). GBP 1,610,000 EUR 1,973,329 16/7/2014 5,469 GBP 430,000 EUR 531,233 16/7/2014 (2,734) USD 4,300,000 EUR 3,116,930 16/7/2014 40,258 USD 1,270,000 EUR 929,851 16/7/2014 2,621 USD 1,270,000 EUR 929,922 16/7/2014 2,550 USD 150,000 EUR 109,364 16/7/2014 771 USD 800,000 EUR 585,372 16/7/2014 2,012 EUR 376,311 AUD 560,000 23/7/2014 (4,444) EUR 376,702 GBP 310,000 23/7/2014 (4,285) EUR 306,059 GBP 252,000 23/7/2014 (3,647) EUR 1,653,236 GBP 1,355,000 23/7/2014 (12,047) EUR 6,521,484 GBP 5,390,000 23/7/2014 (102,780) EUR 200,000 USD 274,367 23/7/2014 (1,447) EUR 40,000 USD 55,067 23/7/2014 (432) EUR 100,000 USD 135,948 23/7/2014 184 EUR 2,082,000 USD 2,854,503 22/8/2014 (13,770) GBP 2,085,000 USD 3,507,001 22/8/2014 (13,080) USD 2,448,225 AUD 2,647,000 22/8/2014 1,517 USD 2,859,030 CHF 2,545,000 22/8/2014 12,853 USD 1,880,279 JPY 190,700,000 22/8/2014 4,505 EUR 191,767 USD 262,969 10/9/2014 (1,298) USD 800,000 EUR 583,372 10/9/2014 3,969 INR 11,220,903 USD 191,548 11/9/2014 (3,426)
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 161 BlackRock Global Absolute Return Bond Fund continued
Swaptions as at 31 May 2014 Swaptions as at 31 May 2014
Unrealised Unrealised appreciation/ Market appreciation/ Market Nominal (depreciation) Value Nominal (depreciation) Value Value Issuer EUR EUR Value Issuer EUR EUR 2,000,000 Fund purchases a call option 7,000,000 Fund purchases a call option (expiring on 14/1/2015) to enter (expiring on 9/1/2015) to enter into an Interest Rate Swap into an Interest Rate Swap (JP (Deutsche Bank AG). If exercised Morgan Chase Bank). If exercised Fund receives 1.665% Fixed Fund receives 1.7975% Fixed semi-annual from 16/7/2015; semi-annual from 13/7/2015; and pays USD Libor 3-month- and pays USD Libor 3-month- BBA quarterly from 16/4/2015 BBA quarterly from 13/4/2015 Call Option strike price USD 1.67 Call Option strike price USD 1.80 expiring on 14/1/2015 3,623 18,399 expiring on 9/1/2015 25,231 81,067 3,400,000 Fund purchases a call option 2,000,000 Fund purchases a put option (expiring on 14/11/2014) to (expiring on 14/1/2015) to enter into an Interest Rate Swap enter into an Interest Rate (Deutsche Bank AG). If exercised Swap (Deutsche Bank AG). If Fund receives 1.7% Fixed semi- exercised Fund receives USD annual from 18/5/2015; and Libor 3-month-BBA quarterly pays USD Libor 3-month-BBA from 16/4/2015; and pays quarterly from 18/2/2015 Call 1.665% Fixed semi-annual from Option strike price USD 1.70 16/7/2015 Call Option strike price expiring on 14/11/2014 9 12,464 USD 1.67 expiring on 14/1/2015 (9,665) 5,110 400,000 Fund purchases a call option 3,400,000 Fund purchases a put option (expiring on 15/5/2017) to enter (expiring on 14/7/2014) to enter into an Interest Rate Swap into an Interest Rate Swap (Goldman Sachs International). (Deutsche Bank AG). If exercised If exercised Fund receives Fund receives USD Libor 3.25% Fixed semi-annual from 3-month-BBA quarterly from 17/11/2017; and pays USD Libor 16/10/2014; and pays 2.5% Fixed 3-month-BBA quarterly from semi-annual from 16/1/2015 17/8/2017 Call Option strike price Call Option strike price USD 2.50 USD 3.25 expiring on 15/5/2017 297 16,680 expiring on 14/7/2014 (1,554) 212 10,000,000 Fund purchases a call option 400,000 Fund purchases a put option (expiring on 20/5/2015) to enter (expiring on 15/5/2017) to enter into an Interest Rate Swap into an Interest Rate Swap (Barclays Bank Plc). If exercised (Goldman Sachs International). Fund receives 0.737% Fixed If exercised Fund receives USD semi-annual from 22/11/2015; Libor 3-month-BBA quarterly and pays USD Libor 3-month- from 17/8/2017; and pays BBA quarterly from 22/8/2015 4.25% Fixed semi-annual Call Option strike price USD 0.74 from 17/11/2017 Call Option expiring on 20/5/2015 (1,016) 13,582 strike price USD 4.25 expiring 1,600,000 Fund purchases a call option on 15/5/2017 897 17,085 (expiring on 22/5/2017) to enter 3,700,000 Fund purchases a put option into an Interest Rate Swap (expiring on 15/5/2017) to enter (Deutsche Bank AG). If exercised into an Interest Rate Swap Fund receives 3.3% Fixed semi- (Goldman Sachs International). annual from 24/11/2017; and If exercised Fund receives pays USD Libor 3-month-BBA USD Libor 3-month-BBA quarterly from 24/8/2017 Call quarterly from 17/8/2017; and Option strike price USD 3.30 pays 4.5% Fixed semi-annual expiring on 22/5/2017 6,029 70,624 from 17/11/2017 Call Option 7,000,000 Fund purchases a call option strike price USD 4.50 expiring (expiring on 9/1/2015) to enter on 15/5/2017 277 66,016 into an Interest Rate Swap (BNP 4,950,000 Fund purchases a put option Paribas SA). If exercised Fund (expiring on 2/10/2014) to enter receives 1.795% Fixed semi- into an Interest Rate Swap (Bank annual from 13/7/2015; and of America). If exercised Fund pays USD Libor 3-month-BBA receives Floating USD Libor quarterly from 13/4/2015 Call 3-month-BBA quarterly from Option strike price USD 1.80 6/1/2015; and pays 0.6% Fixed expiring on 9/1/2015 24,913 80,749 semi-annual from 6/4/2015) Call Option strike price USD 0.60 expiring on 2/10/2014 (5,840) 353
162 BlackRock Strategic Funds (BSF) BlackRock Global Absolute Return Bond Fund continued
Swaptions as at 31 May 2014 Swaptions as at 31 May 2014
Unrealised Unrealised appreciation/ Market appreciation/ Market Nominal (depreciation) Value Nominal (depreciation) Value Value Issuer EUR EUR Value Issuer EUR EUR 333,000,000 Fund purchases a put option (3,700,000) Fund writes a call option (expiring (expiring on 21/5/2019) to enter on 10/2/2015) to enter into an into an Interest Rate Swap Interest Rate Swap (Deutsche (Citibank NA). If exercised Fund Bank AG). If exercised Fund receives JPY Libor 6-month-BBA receives USD Libor 3-month-BBA semi-annual from 23/11/2019; quarterly from 12/5/2015; and and pays 1.25% Fixed semi- pays 2.8% Fixed semi-annual annual from 23/11/2019 Call from 12/8/2015 Call Option strike Option strike price JPY 1.25 price USD 2.80 expiring expiring on 21/5/2019 (3,263) 43,599 on 10/2/2015 (15,861) (52,502) 1,600,000 Fund purchases a put option (1,500,000) Fund writes a call option (expiring (expiring on 22/5/2017) to enter on 17/11/2014) to enter into an into an Interest Rate Swap Interest Rate Swap (Deutsche (Deutsche Bank AG). If exercised Bank AG). If exercised Fund Fund receives USD Libor receives USD Libor 3-month-BBA 3-month-BBA quarterly from quarterly from 19/2/2015; and 24/8/2017; and pays 4.3% Fixed pays 2.85% Fixed semi-annual semi-annual from 24/11/2017 from 19/5/2015 Call Option strike Call Option strike price USD 4.30 price USD 2.85 expiring expiring on 22/5/2017 866 65,461 on 17/11/2014 (10,243) (23,652) 3,000,000 Fund purchases a put option (600,000) Fund writes a call option (expiring (expiring on 22/5/2018) to enter on 17/12/2014) to enter into an into an Interest Rate Swap Interest Rate Swap (Deutsche (Deutsche Bank AG). If exercised Bank AG). If exercised Fund Fund receives Floating USD Libor receives USD Libor 3-month-BBA 3-month-BBA quarterly from quarterly from 19/3/2015; and 24/8/2018; and pays 4.5% Fixed pays 2.85% Fixed semi-annual semi-annual from 24/11/2018) from 19/6/2015 Call Option strike Call Option strike price USD 4.50 price USD 2.85 expiring expiring on 22/5/2018 (16,106) 76,576 on 17/12/2014 (3,915) (9,484) 333,000,000 Fund purchases a put option (1,000,000) Fund writes a call option (expiring (expiring on 28/5/2019) to enter on 17/3/2016) to enter into an into an Interest Rate Swap Interest Rate Swap (Deutsche (Citibank NA). If exercised Fund Bank AG). If exercised Fund receives JPY Libor 6-month-BBA receives USD Libor 3-month-BBA semi-annual from 30/11/2019; quarterly from 21/6/2016; and and pays 1.25% Fixed semi- pays 3.15% Fixed semi-annual annual from 30/11/2019 Call from 21/9/2016 Call Option Option strike price JPY 1.25 strike price USD 3.15 expiring expiring on 28/5/2019 (2,101) 43,878 on 17/3/2016 (7,823) (24,515) 7,000,000 Fund purchases a put option (3,900,000) Fund writes a call option (expiring (expiring on 9/1/2015) to enter on 22/5/2015) to enter into an into an Interest Rate Swap (BNP Interest Rate Swap (JP Morgan Paribas SA). If exercised Fund Chase Bank). If exercised Fund receives USD Libor 3-month-BBA receives USD Libor 3-month-BBA quarterly from 13/4/2015; and quarterly from 27/8/2015; and pays 1.795% Fixed semi-annual pays 2.5% Fixed semi-annual from 13/7/2015 Call Option from 27/11/2015 Call Option strike price USD 1.80 expiring strike price USD 2.50 expiring on 9/1/2015 (42,227) 13,609 on 22/5/2015 (4,146) (29,862) 7,000,000 Fund purchases a put option (2,000,000) Fund writes a call option (expiring (expiring on 9/1/2015) to enter on 26/2/2016) to enter into an into an Interest Rate Swap Interest Rate Swap (Deutsche (JP Morgan Chase Bank). If Bank AG). If exercised Fund exercised Fund receives USD receives USD Libor 3-month-BBA Libor 3-month-BBA quarterly quarterly from 1/6/2016; and from 13/4/2015; and pays pays 3.1% Fixed semi-annual 1.7975% Fixed semi-annual from from 1/9/2016 Call Option 13/7/2015 Call Option strike price strike price USD 3.10 expiring USD 1.80 expiring on 9/1/2015 (42,289) 13,547 on 26/2/2016 (16,883) (46,025) (2,200,000) Fund writes a call option (expiring on 3/5/2016) to enter into an Interest Rate Swap (Deutsche Bank AG). If exercised Fund receives USD Libor 3-month-BBA quarterly from 5/8/2016; and pays 3.5% Fixed semi-annual from 5/11/2016 Call Option strike price USD 3.50 expiring on 3/5/2016 (17,450) (80,334)
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 163 BlackRock Global Absolute Return Bond Fund continued
Swaptions as at 31 May 2014 Swaptions as at 31 May 2014
Unrealised Unrealised appreciation/ Market appreciation/ Market Nominal (depreciation) Value Nominal (depreciation) Value Value Issuer EUR EUR Value Issuer EUR EUR (4,000,000) Fund writes a call option (expiring (3,000,000) Fund writes a put option (expiring on 30/1/2015) to enter into an on 15/5/2017) to enter into an Interest Rate Swap (Deutsche Interest Rate Swap (Goldman Bank AG). If exercised Fund Sachs International). If exercised receives USD Libor 3-month-BBA Fund receives 4% Fixed semi- quarterly from 3/5/2015; and annual from 17/11/2017; and pays 3.2775% Fixed semi-annual pays USD Libor 3-month-BBA from 3/8/2015 Call Option strike quarterly from 17/8/2017 Call price USD 3.28 expiring Option strike price USD 4.00 on 30/1/2015 (46,864) (136,253) expiring on 15/5/2017 984 (79,964) (1,000,000) Fund writes a call option (expiring (3,000,000) Fund writes a put option (expiring on 7/5/2015) to enter into an on 17/11/2014) to enter into an Interest Rate Swap (Deutsche Interest Rate Swap (Deutsche Bank AG). If exercised Fund Bank AG). If exercised Fund receives USD Libor 3-month-BBA receives 3.7% Fixed semi-annual quarterly from 11/8/2015; and from 15/5/2015; and pays pays 3.09% Fixed semi-annual Floating USD Libor 3-month- from 11/11/2015 Call Option BBA quarterly from 19/2/2015 strike price USD 3.09 expiring Call Option strike price USD 3.70 on 7/5/2015 4,436 (14,584) expiring on 17/11/2014 37,890 (2,454) (800,000) Fund writes a call option (expiring (600,000) Fund writes a put option (expiring on 9/5/2016) to enter into an on 17/12/2014) to enter into an Interest Rate Swap (Deutsche Interest Rate Swap (Deutsche Bank AG). If exercised Fund Bank AG). If exercised Fund receives USD Libor 3-month-BBA receives 3.85% Fixed semi- quarterly from 11/8/2016; and annual from 19/6/2015; and pays 3.4475% Fixed semi-annual pays USD Libor 3-month-BBA from 11/11/2016 Call Option quarterly from 19/3/2015 Call strike price USD 3.45 expiring Option strike price USD 3.85 on 9/5/2016 (4,700) (27,595) expiring on 17/12/2014 7,272 (503) (3,700,000) Fund writes a put option (expiring (600,000) Fund writes a put option (expiring on 10/2/2015) to enter into an on 18/4/2016) to enter into an Interest Rate Swap (Deutsche Interest Rate Swap (Barclays Bank AG). If exercised Fund Bank Plc). If exercised Fund receives 3.8% Fixed semi-annual receives 4.05% Fixed semi- from 12/8/2015; and pays USD annual from 20/10/2016; and Libor 3-month-BBA quarterly pays USD Libor 3-month-BBA from 12/5/2015 Call Option strike quarterly from 20/7/2016 Call price USD 3.80 expiring on Option strike price USD 4.05 10/2/2015 30,256 (7,335) expiring on 18/4/2016 2,216 (7,962) (700,000) Fund writes a put option (expiring (700,000) Fund writes a put option (expiring on 15/4/2015) to enter into an on 18/4/2016) to enter into an Interest Rate Swap (Barclays Interest Rate Swap (Deutsche Bank Plc). If exercised Fund Bank AG). If exercised Fund receives 3.65% Fixed semi- receives 4.05% Fixed semi- annual from 17/10/2015; and annual from 20/10/2016; and pays USD Libor 3-month-BBA pays USD Libor 3-month-BBA quarterly from 17/7/2015 Call quarterly from 20/7/2016 Call Option strike price USD 3.65 Option strike price USD 4.05 expiring on 15/4/2015 2,168 (3,511) expiring on 18/4/2016 2,566 (9,289) (700,000) Fund writes a put option (expiring (700,000) Fund writes a put option (expiring on 15/4/2015) to enter into an on 18/4/2016) to enter into an Interest Rate Swap (Citibank Interest Rate Swap (Goldman NA). If exercised Fund receives Sachs International). If exercised 3.65% Fixed semi-annual from Fund receives 4.05% Fixed semi- 17/10/2015; and pays USD Libor annual from 20/10/2016; and 3-month-BBA quarterly from pays USD Libor 3-month-BBA 17/7/2015 Call Option strike price quarterly from 20/7/2016 Call USD 3.65 expiring on 15/4/2015 2,143 (3,511) Option strike price USD 4.05 (600,000) Fund writes a put option (expiring expiring on 18/4/2016 2,585 (9,289) on 15/4/2015) to enter into an (333,000,000) Fund writes a put option (expiring Interest Rate Swap (Deutsche on 21/5/2019) to enter into an Bank AG). If exercised Fund Interest Rate Swap (Citibank receives 3.65% Fixed semi- NA). If exercised Fund receives annual from 17/10/2015; and 1.75% Fixed semi-annual from pays USD Libor 3-month-BBA 23/11/2019; and pays JPY Libor quarterly from 17/7/2015 Call 6-month-BBA semi-annual from Option strike price USD 3.65 23/11/2019 Call Option strike expiring on 15/4/2015 1,858 (3,010) price JPY 1.75 expiring on 21/5/2019 1,863 (31,061)
164 BlackRock Strategic Funds (BSF) BlackRock Global Absolute Return Bond Fund continued
Swaptions as at 31 May 2014 Swaptions as at 31 May 2014
Unrealised Unrealised appreciation/ Market appreciation/ Market Nominal (depreciation) Value Nominal (depreciation) Value Value Issuer EUR EUR Value Issuer EUR EUR (3,900,000) Fund writes a put option (expiring (2,200,000) Fund writes a put option (expiring on 22/5/2015) to enter into an on 3/5/2016) to enter into an Interest Rate Swap (JP Morgan Interest Rate Swap (Deutsche Chase Bank). If exercised Fund Bank AG). If exercised Fund receives 3.5% Fixed semi-annual receives 3.5% Fixed semi-annual from 27/11/2015; and pays USD from 5/11/2016; and pays USD Libor 3-month-BBA quarterly Libor 3-month-BBA quarterly from 27/8/2015 Call Option strike from 5/8/2016 Call Option strike price USD 3.50 expiring price USD 3.50 expiring on 22/5/2015 3,017 (33,461) on 3/5/2016 8,872 (54,013) (6,000,000) Fund writes a put option (expiring (4,000,000) Fund writes a put option (expiring on 22/5/2018) to enter into an on 30/1/2015) to enter into an Interest Rate Swap (Deutsche Interest Rate Swap (Deutsche Bank AG). If exercised Fund Bank AG). If exercised Fund receives 6% Fixed semi-annual receives 3.2775% Fixed semi- from 24/11/2018; and pays annual from 3/8/2015; and Floating USD Libor 3-month- pays USD Libor 3-month-BBA BBA quarterly from 24/8/2018 quarterly from 3/5/2015 Call Call Option strike price USD 6.00 Option strike price USD 3.28 expiring on 22/5/2018 27,355 (51,483) expiring on 30/1/2015 63,150 (26,240) (2,000,000) Fund writes a put option (expiring (400,000) Fund writes a put option (expiring on 24/11/2014) to enter into an on 6/4/2015) to enter into an Interest Rate Swap (Barclays Interest Rate Swap (Credit Suisse Bank Plc). If exercised Fund International). If exercised Fund receives 3.15% Fixed semi- receives 3.3475% Fixed semi- annual from 26/5/2015; and annual from 8/10/2015; and pays USD Libor 3-month-BBA pays USD Libor 3-month-BBA quarterly from 26/2/2015 Call quarterly from 8/7/2015 Call Option strike price USD 3.15 Option strike price USD 3.35 expiring on 24/11/2014 4,203 (10,287) expiring on 6/4/2015 4,472 (3,473) (600,000) Fund writes a put option (expiring (1,000,000) Fund writes a put option (expiring on 25/4/2016) to enter into an on 7/5/2015) to enter into an Interest Rate Swap (BNP Paribas Interest Rate Swap (Deutsche SA). If exercised Fund receives Bank AG). If exercised Fund 4.1% Fixed semi-annual from receives 3.09% Fixed semi- 27/10/2016; and pays USD Libor annual from 11/11/2015; and 3-month-BBA quarterly from pays USD Libor 3-month-BBA 27/7/2016 Call Option strike price quarterly from 11/8/2015 Call USD 4.10 expiring on 25/4/2016 2,179 (7,672) Option strike price USD 3.09 (2,000,000) Fund writes a put option (expiring expiring on 7/5/2015 3,051 (15,969) on 26/2/2016) to enter into an (1,000,000) Fund writes a put option (expiring Interest Rate Swap (Deutsche on 7/5/2015) to enter into an Bank AG). If exercised Fund Interest Rate Swap (JP Morgan receives 4.15% Fixed semi- Chase Bank). If exercised Fund annual from 1/9/2016; and receives 3.1% Fixed semi-annual pays USD Libor 3-month-BBA from 11/11/2015; and pays USD quarterly from 1/6/2016 Call Libor 3-month-BBA quarterly Option strike price USD 4.15 from 11/8/2015 Call Option expiring on 26/2/2016 16,307 (20,228) strike price USD 3.10 expiring (333,000,000) Fund writes a put option (expiring on 7/5/2015 3,340 (15,716) on 28/5/2019) to enter into an (800,000) Fund writes a put option (expiring Interest Rate Swap (Citibank on 9/5/2016) to enter into an NA). If exercised Fund receives Interest Rate Swap (Deutsche 1.75% Fixed semi-annual from Bank AG). If exercised Fund 30/11/2019; and pays JPY Libor receives 3.4475% Fixed semi- 6-month-BBA semi-annual from annual from 11/11/2016; and 30/11/2019 Call Option strike pays USD Libor 3-month-BBA price JPY 1.75 expiring on 28/5/2019 345 (31,265) quarterly from 11/8/2016 Call (1,000,000) Fund writes a put option (expiring Option strike price USD 3.45 on 29/2/2016) to enter into an expiring on 9/5/2016 1,982 (20,914) Interest Rate Swap (Citibank (EUR underlying exposure – EUR 36,571,208) 52,279 (264,588) NA). If exercised Fund receives 4.15% Fixed semi-annual from Note: Swaptions are included in the Statement of Net Assets (see Note 2(d)). 2/9/2016; and pays USD Libor 3-month-BBA quarterly from 2/6/2016 Call Option strike price USD 4.15 expiring on 29/2/2016 7,573 (10,183)
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 165 BlackRock Global Absolute Return Bond Fund continued
Written Call Options as at 31 May 2014 Purchased Put Options as at 31 May 2014
Number of Unrealised Number of Unrealised contracts Underlying appreciation/ Market contracts Underlying appreciation/ Market subject exposure (depreciation) Value subject exposure (depreciation) Value to Call Issuer EUR EUR EUR to Put Issuer EUR EUR EUR (54) US Treasury 10 Year Note 2,599,699 CNY/USD Put Option Call Option (Citibank NA) strike price USD 125.50 strike price CNY 6.10 expiring on 20/6/2014 2,520,327 707 (19,823) expiring on 21/7/2014 16 (113,498) 4,358 (207) US Treasury 10 Year Note 67 Eurodollar Futures Put Option Call Option strike price USD 99.50 strike price USD 125.50 expiring on 16/3/2015 12,037,613 (381) 4,612 expiring on 25/7/2014 9,658,824 11,777 (125,856) 40 Eurodollar Mid 1 Year CRV Total Written Call Options 12,179,151 12,484 (145,679) Put Option strike price USD 99.25 expiring on 13/6/2014 1,157,246 (3,783) 184 Note: Written Call Options are included in the Statement of Net Assets (see Note 2(d)). Where no counterparty is shown the Written Call Option is exchange traded. 40 Eurodollar Mid 2 Year CRV Put Option strike price USD 97.50 expiring on 12/9/2014 1,817,596 (4,502) 1,285 Purchased Call Options as at 31 May 2014 40 Eurodollar Mid 2 Year CRV Put Option Number of Unrealised strike price USD 97.75 contracts Underlying appreciation/ Market expiring on 12/9/2014 3,808,378 (7,040) 3,120 subject exposure (depreciation) Value 1,000,000 USD/CNY Put Option to Call Issuer EUR EUR EUR (JP Morgan Chase Bank) strike price USD 6.11 34 3 Month EURIBOR expiring on 22/12/2014 90,165 (1,739) 741 Mid-Curve Call Option 1,100,000 USD/INR Put Option strike price EUR 99.50 (BNP Paribas SA) expiring on 16/3/2015 10,189,247 213 213 strike price USD 61.00 5,199,399 CNY/USD Call Option expiring on 10/6/2014 781,522 15,283 24,816 (Citibank NA) strike price CNY 6.02 Total Purchased Put Options 19,692,536 (115,660) 39,116 expiring on 21/7/2014 248,742 (670) 60 Note: Purchased Put Options are included in the Statement of Net Assets (see Note 2(d)). Total Purchased Call Options 10,437,989 (457) 273 Where no counterparty is shown the Purchased Put Option is exchange traded.
Note: Purchased Call Options are included in the Statement of Net Assets (see Note 2(d)). Where no counterparty is shown the Purchased Call Option is exchange traded. Written Put Options as at 31 May 2014
Number of Unrealised Open Exchange Traded Futures Contracts contracts Underlying appreciation/ Market as at 31 May 2014 subject exposure (depreciation) Value Unrealised to Put Issuer EUR EUR EUR Underlying appreciation/ (2,599,699) CNY/USD Put Option Number of Contract/ Expiration exposure (depreciation) (Citibank NA) Contracts Description date EUR EUR strike price CNY 6.10 expiring on 21/7/2014 16 (2,496) (4,358) 66 Australian 10 Year Bond June 2014 5,382,699 127,038 (54) US Treasury 10 Year Note (42) Australian 10 Year Bond June 2014 3,425,354 (75,306) Put Option (22) Canadian 10 Year Bond September 2014 1,416,147 (12,061) strike price USD 125.50 (37) Euro-OAT June 2014 4,549,557 (12,560) expiring on 20/6/2014 2,455,760 (2,806) (29,735) (140) German Euro BOBL June 2014 16,197,440 (120,570) (207) US Treasury 10 Year Note 30 German Euro Bund June 2014 3,091,890 8,160 Put Option (87) German Euro Bund June 2014 8,966,481 (233,275) strike price USD 125.50 (3) German Euro Schatz June 2014 301,029 (735) expiring on 25/7/2014 9,415,498 (6,990) (144,853) (17) Korea 10 Year Bond June 2014 1,397,985 (27,649) (44) Short Euro BTP June 2014 4,834,104 (40,780) Total Written Put Options 11,871,274 (12,292) (178,946) (160) UK Long Gilt Bond September 2014 23,935,011 (159,772) (32) UK Long Gilt Bond September 2014 4,787,003 (13,548) Note: Written Put Options are included in the Statement of Net Assets (see Note 2(d)). 36 US Long Bond September 2014 3,778,036 8,052 Where no counterparty is shown the Written Put Option is exchange traded. (251) US Treasury 10 Year Note September 2014 19,775,924 (21,582) 490 US Treasury 10 Year Note September 2014 38,606,386 35,154 (48) US Treasury 2 Year Note September 2014 7,207,977 311 219 US Treasury 5 Year Note September 2014 15,987,206 (26,359) (296) US Treasury 5 Year Note September 2014 21,608,280 13,281 5 US Ultra Bond September 2014 458,915 2,499 Total 185,707,424 (549,702)
Note: The net unrealised depreciation of attributed to these transactions is included in the Statement of Net Assets (see Note 2(d)).
166 BlackRock Strategic Funds (BSF) BlackRock Latin American Opportunities Fund
Portfolio of Investments as at 31 May 2014 Transferable Securities and Money Market Instruments Admitted to an Transferable Securities and Money Market Instruments Admitted to an Official Stock Exchange Listing or Dealt in on Another Regulated Market Official Stock Exchange Listing or Dealt in on Another Regulated Market
Market % of Market % of Value Net Value Net Holding Description USD Assets Holding Description USD Assets
COMMON / PREFERRED STOCKS (SHARES) Peru 32,000 Credicorp Ltd 5,000,000 3.97 Brazil 823,000 Grana y Montero SAA 2,780,506 2.21 305,000 Arezzo Industria e Comercio SA 3,875,304 3.08 339,000 Autometal SA 2,838,287 2.25 7,780,506 6.18 525,000 BR Properties SA 4,189,608 3.33 174,000 Cia de Saneamento de Minas Spain Gerais-COPASA 2,998,970 2.38 500,000 Cemex Latam Holdings SA 4,584,286 3.64 184,000 Cosan Ltd 'A' 2,300,000 1.83 4,584,286 3.64 115,000 Cosan SA Industria e Comercio 1,929,783 1.53 Total Common / Preferred Stocks (Shares) 119,852,262 95.19 411,000 Cyrela Brazil Realty SA Empreendimentos e Participacoes 2,422,336 1.92 BONDS 745,000 Even Construtora e Incorporadora SA 2,258,532 1.79 363,000 Hypermarcas SA 2,930,799 2.33 Brazil 450,000 Iguatemi Empresa de Shopping BRL 31,197 Klabin SA (Step-up Coupon) Centers SA 4,437,708 3.53 12.24% 8/1/2019 869,268 0.69 300,000 Klabin SA (Unit) 1,530,059 1.22 BRL 490,000 Lupatech SA 6.50% 15/4/2018 16,657 0.01 225,000 Kroton Educacional SA 5,704,621 4.53 885,925 0.70 194,000 Localiza Rent a Car SA 3,070,373 2.44 Total Bonds 885,925 0.70 97,000 Lojas Renner SA 2,928,098 2.33 775,000 Magazine Luiza SA 2,812,465 2.23 Total Transferable Securities and Money 1,089,000 Marcopolo SA (Pref) 2,107,068 1.67 Market Instruments Admitted to an 360,000 Mills Estruturas e Servicos Official Stock Exchange Listing or de Engenharia SA 4,155,235 3.30 Dealt in on Another Regulated Market 120,738,187 95.89 1,000,000 Minerva SA/Brazil 4,369,051 3.47 300,000 Raia Drogasil SA 2,541,183 2.02 Other Transferable Securities and Money Market Instruments 411,000 Ser Educacional SA 4,168,543 3.31
63,568,023 50.49 COMMON STOCKS (SHARES) & WARRANTS Colombia Brazil 170,000 Banco Davivienda SA (Pref) 2,631,128 2.09 802 Hypermarcas SA (Wts 31/12/2049)* – 0.00 440,000 Grupo Nutresa SA 6,277,949 4.98 14,703 Klabin SA 149,976 0.12 8,909,077 7.07 14,703 Klabin SA (Wts 15/6/2020)* – 0.00 149,976 0.12 Mexico Total Common Stocks (Shares) & Warrants 149,976 0.12 1,025,000 Alfa SAB de CV 'A' 2,873,043 2.28 1,380,000 Alsea SAB de CV 4,701,340 3.74 1,283,000 Bolsa Mexicana de Valores SAB de CV 2,673,976 2.12 BONDS 1,597,000 Concentradora Fibra Hotelera Mexicana SA de CV (Reit) 2,716,582 2.16 Brazil 1,622,000 Corp Inmobiliaria Vesta SAB de CV 3,333,870 2.65 BRL 802 Hypermarcas SA FRN 15/10/2015 459,666 0.36 2,880,000 Credito Real SAB de CV 6,058,328 4.81 BRL 802 Hypermarcas SA 11.30% 15/10/2018 272,232 0.22 146,798 Grupo Aeroportuario del Pacifico SAB 731,898 0.58 de CV 'B' 908,041 0.72 Total Bonds 731,898 0.58 1,452,000 Grupo Sanborns SAB de CV 2,718,163 2.16 500,000 Infraestructura Energetica Nova SAB Total Other Transferable Securities de CV 2,738,470 2.18 and Money Market Instruments 881,874 0.70 950,000 Kimberly-Clark de Mexico SAB Securities portfolio at market value 121,620,061 96.59 de CV 'A' 2,560,943 2.03 1,840,000 TF Administradora Industrial S de RL Other Net Assets 4,287,330 3.41 de CV (Reit) 3,727,614 2.96 Total Net Assets (USD) 125,907,391 100.00 35,010,370 27.81
* Investments which are less than 0.5 USD have been rounded down to zero.
The notes on pages 169 to 179 form an integral part of these financial statements.
Annual Report and Audited Accounts 167 BlackRock Latin American Opportunities Fund continued
Sector Breakdown as at 31 May 2014
% of Net Assets* Consumer, Non-cyclical 30.33 Financial 29.54 Consumer, Cyclical 21.27 Utilities 4.56 Diversified 4.49 Industrial 4.36 Basic Materials 2.03 Energy 0.01 Other Net Assets 3.41 100.00
* Based on the market value of the Portfolio of Investments except for Contract For Difference, which are based on the commitment (where applicable).
168 BlackRock Strategic Funds (BSF) Notes to the Financial Statements
1. Organisation H Class BlackRock Strategic Funds (the “Company”) is a public limited H Class non-distributing share CHF hedged company (société anonyme) established under the laws of H Class non-distributing share EUR the Grand Duchy of Luxembourg as an open-ended variable H Class non-distributing share USD hedged capital investment company (société d’investissement H Class UK reporting non-distributing fund share GBP hedged à capital variable). The Company has been authorised by the I Class Commission de Surveillance du Secteur Financier (the “CSSF”) I Class non-distributing share EUR2 as an undertaking for collective investment in transferable I Class non-distributing share USD2 securities (“UCITS”) pursuant to the provisions of Part I I Class non-distributing share EUR hedged2 of the law of 17 December 2010 relating to undertakings I Class non-distributing share SEK hedged2 for collective investments, as amended and is regulated I Class UK reporting distributing fund share GBP2 pursuant to such law. The Company is an “umbrella” structure I Class UK reporting distributing fund share GBP hedged2 comprising a number of different Funds, each having a I Class UK reporting non-distributing fund share EUR1, 2 separate portfolio of investments. I Class UK reporting non-distributing fund share GBP hedged2 I Class UK reporting non-distributing fund share USD hedged1, 2 The Company has appointed BlackRock (Luxembourg) S.A. as its Management Company. K Class K Class non-distributing share EUR
As at 31 May 2014, the Company offered shares in 17 Funds L Class (“Funds”). Each Fund is a separate pool of assets and is L Class non-distributing share EUR represented by separate shares of each Fund which are M Class divided into share classes as follows: M Class non-distributing share EUR
A Class T Class A Class distributing share CHF hedged T Class non-distributing share EUR2 A Class distributing share EUR U Class A Class distributing share USD hedged A Class non-distributing share AUD U Class non-distributing share EUR A Class non-distributing share CHF hedged U Class UK reporting non-distributing fund share GBP 1 A Class non-distributing share EUR U Class UK reporting non-distributing fund share USD hedged A Class non-distributing share EUR hedged X Class A Class non-distributing share SEK hedged X Class non-distributing share EUR2 A Class non-distributing share USD X Class non-distributing share USD2 A Class non-distributing share USD hedged
A Class UK reporting distributing fund share GBP 1 class name changed, see Note 1, for further details. A Class UK reporting distributing fund share GBP hedged 2 available to institutional investors. A Class UK reporting non-distributing fund share GBP A Class UK reporting non-distributing fund share GBP hedged J share Class has not yet been issued. C Class The classes of shares have equivalent rights in the Company C Class non-distributing share USD but carry different features and charging structures which are D Class more fully described in the Company’s Prospectus. D Class distributing share EUR D Class non-distributing share CHF hedged Fund Launch and Liquidation D Class non-distributing share EUR Effective 12 June 2013, the BlackRock Emerging Markets Flexi D Class non-distributing share EUR hedged Dynamic Bond Fund, denominated in USD was launched. D Class non-distributing share USD D Class non-distributing share USD hedged Effective 17 July 2013, the BlackRock European Opportunities D Class UK reporting distributing fund share GBP Absolute Return Fund, denominated in EUR was liquidated. D Class UK reporting distributing fund share GBP hedged D Class UK reporting non-distributing fund share EUR Effective 15 November 2013, the BlackRock Emerging Markets D Class UK reporting non-distributing fund share EUR hedged1 Allocation Fund, denominated in USD was launched. D Class UK reporting non-distributing fund share GBP D Class UK reporting non-distributing fund share GBP hedged Effective 18 March 2014, the BlackRock Mining Opportunities E Class Fund, denominated in USD was liquidated. E Class non-distributing share EUR E Class non-distributing share USD E Class non-distributing share EUR hedged
Annual Report and Audited Accounts 169 Notes to the Financial Statements continued
Significant events during the year ended 31 May 2014 BlackRock European Credit Strategies Fund I Class non- A new Prospectus was issued on 28 May 2014. distributing share in EUR changed its name to BlackRock European Credit Strategies Fund I Class UK reporting non- Effective 20 November 2013, Bruno Rovelli was appointed as distributing fund share in EUR; a Director of the Board. BlackRock European Credit Strategies Fund I Class non- Effective 25 November 2013, the following class name distributing share USD hedged changed its name to changes occurred: BlackRock European Credit Strategies Fund I Class UK reporting non-distributing fund share USD hedged; BlackRock Americas Diversified Equity Absolute Return Fund D Class non-distributing share EUR hedged changed BlackRock European Credit Strategies Fund U Class its name to BlackRock Americas Diversified Equity Absolute non-distributing share USD hedged changed its name to Return Fund D Class UK reporting non-distributing fund BlackRock European Credit Strategies Fund U Class UK share EUR hedged; reporting non-distributing fund share USD hedged.
Share Classes Launched
Effective date Type Fund 12 June 2013 A Class non-distributing share USD BlackRock Emerging Markets Flexi Dynamic Bond Fund 19 June 2013 A Class non-distributing share USD BlackRock Emerging Markets Absolute Return Fund 26 June 2013 X Class non-distributing share USD BlackRock Emerging Markets Flexi Dynamic Bond Fund 3 July 2013 D Class non-distributing share USD BlackRock Emerging Markets Flexi Dynamic Bond Fund 3 July 2013 E Class non-distributing share USD BlackRock Emerging Markets Flexi Dynamic Bond Fund 17 July 2013 D Class non-distributing share EUR hedged BlackRock Emerging Markets Flexi Dynamic Bond Fund 17 July 2013 E Class non-distributing share EUR hedged BlackRock Emerging Markets Flexi Dynamic Bond Fund 11 September 2013 D Class UK reporting distributing fund share GBP hedged BlackRock Emerging Markets Absolute Return Fund 2 October 2013 A Class non-distributing share in USD hedged BlackRock Global Absolute Return Bond Fund 13 November 2013 X Class non-distributing share USD BlackRock Asia Extension Fund 15 November 2013 A Class non-distributing share USD BlackRock Emerging Markets Allocation Fund 15 November 2013 C Class non-distributing share USD BlackRock Emerging Markets Allocation Fund 15 November 2013 D Class non-distributing share USD BlackRock Emerging Markets Allocation Fund 15 November 2013 E Class non-distributing share USD BlackRock Emerging Markets Allocation Fund 15 November 2013 I Class non-distributing share USD BlackRock Emerging Markets Allocation Fund 15 November 2013 X Class non-distributing share USD BlackRock Emerging Markets Allocation Fund 27 November 2013 A Class non-distributing share EUR hedged BlackRock Emerging Markets Absolute Return Fund 27 November 2013 D Class UK reporting distributing fund share GBP BlackRock Emerging Markets Flexi Dynamic Bond Fund 4 December 2013 A Class UK reporting distributing fund share GBP hedged BlackRock Emerging Markets Absolute Return Fund 19 February 2014 I Class UK reporting distributing fund share GBP BlackRock Emerging Markets Absolute Return Fund 19 February 2014 I Class non-distributing share EUR BlackRock Emerging Markets Absolute Return Fund 19 February 2014 I Class non-distributing share USD BlackRock Emerging Markets Absolute Return Fund 5 March 2014 A Class distributing share EUR BlackRock Fixed Income Strategies Fund 2 April 2014 A Class distributing share CHF hedged BlackRock Fixed Income Strategies Fund 2 April 2014 A Class distributing share USD hedged BlackRock Fixed Income Strategies Fund 2 April 2014 A Class non-distributing share CHF hedged BlackRock Fixed Income Strategies Fund 2 April 2014 A Class non-distributing share USD hedged BlackRock Fixed Income Strategies Fund 2 April 2014 I Class non-distributing share SEK hedged BlackRock European Credit Strategies Fund 9 April 2014 I Class non-distributing share EUR BlackRock European Opportunities Extension Fund 23 April 2014 I Class UK reporting distributing fund share GBP hedged BlackRock Emerging Markets Absolute Return Fund 7 May 2014 E Class non-distributing share EUR hedged BlackRock Emerging Markets Absolute Return Fund 28 May 2014 A Class non-distributing share EUR hedged BlackRock Emerging Markets Flexi Dynamic Bond Fund
170 BlackRock Strategic Funds (BSF) Notes to the Financial Statements continued
Share Classes Closed
Effective date Type Fund 12 June 2013 I Class non-distributing share EUR BlackRock European Opportunities Absolute Return Fund 8 July 2013 D Class UK reporting non-distributing fund share GBP hedged BlackRock European Opportunities Absolute Return Fund 17 July 2013 A Class non-distributing share EUR BlackRock European Opportunities Absolute Return Fund 17 July 2013 D Class non-distributing share EUR BlackRock European Opportunities Absolute Return Fund 17 July 2013 E Class non-distributing share EUR BlackRock European Opportunities Absolute Return Fund 18 March 2014 D Class UK reporting non-distributing fund share GBP BlackRock Mining Opportunities Fund 18 March 2014 D Class UK reporting non-distributing fund share USD BlackRock Mining Opportunities Fund
2. Summary of Significant Accounting Policies: liquid assets such as time deposits and money market The financial statements have been prepared in accordance instruments are valued at amortised cost basis; with the legal and regulatory requirements relating to the preparation of the financial statements as prescribed by the cash and prepaid expenses are valued at their nominal Luxembourg authorities for Luxembourg investment companies amount; and generally accepted accounting principles and include the following significant accounting policies: assets which include, in particular, interest and dividends receivable, receivable for investments sold and receivable (a) Valuation of Investments and Other Assets for Fund shares subscribed are valued at nominal value;
The Company’s investments and other assets are valued liabilities which include, in particular, interest and as follows: dividends payable, income distribution payable, payable for investments purchased and payable for Fund shares the value of all securities and other assets forming any redeemed are valued at nominal value. particular Fund’s portfolio is determined by last known prices upon close of the exchange on which those Funds that invest in fixed income transferable securities may securities or assets are traded or admitted for trading. purchase “To Be Announced” securities (“TBAs”). This refers For securities traded on markets closing after the time to the common trading practice in the mortgage-backed of the valuation, last known prices as of this time or such securities market in which a security is to be bought from a other time may be used. If net transactions in Shares of mortgage pool for a fixed price at a future date. At the time the Company on any Dealing Day exceed the threshold set of purchase the exact security is not known, but the main by the Board of Directors of the Company, then additional characteristics of it are specified. Although the price has been procedures apply (see Note 2(h)). The value of any established at the time of purchase, the principal value has not securities or assets traded on any other regulated market been finalised. As a TBA is not settled at the time of purchase, is determined in the same way. this may lead to leveraged positions within a Fund. Purchasing a TBA involves a risk of loss if the value of the security to be Where such securities or other assets are quoted or purchased declines prior to the settlement date. Risks may dealt in on more than one stock exchange or regulated also arise upon entering into these contracts from the potential market the Board of Directors of the Company may in their inability of counterparties to meet the terms of their contracts. discretion select one of such stock exchanges or regulated markets for such purposes; The Funds may dispose of a commitment prior to settlement if it is deemed appropriate to do so. Proceeds of TBA sales for non-quoted securities or securities not traded or are not received until the contractual settlement date. During dealt in on any stock exchange or other regulated market the time a TBA sale commitment is outstanding, equivalent (including securities of closed-ended investment funds), deliverable securities, or an offsetting TBA purchase as well as quoted or non quoted securities on such other commitment (deliverable on or before the sale commitment markets for which no valuation price is available, or date), are held as cover for the transaction. securities for which the quoted prices are, in the opinion of the Board of Directors of the Company, not representative If the TBA sale commitment is closed through the acquisition of the fair market value, the value shall be determined of an offsetting purchase commitment, the Fund realises prudently and in good faith by the Board of Directors of a gain or loss on the commitment without regard to any the Company on the basis of their expected disposal or unrealised gain or loss on the underlying security. If the acquisition price; Fund delivers securities under the commitment, the Fund
Annual Report and Audited Accounts 171 Notes to the Financial Statements continued realises a gain or loss from the sale of the securities upon bank interest, time deposit and money market deposit the unit price established at the date the commitment was income are recognised on an accrual basis or at amortised entered into. cost basis;
The Funds had TBAs outstanding as of 31 May 2014, which are dividend income is accrued on the ex-dividend date; included within receivable for investments sold and payable for investments purchased in the Statement of Net Assets. (d) Financial Derivative Instruments
The market value of the Contracts for Difference (“CFDs”) is During the year, the Funds have entered into a number of determined by the traded price on the exchange on which forward foreign exchange transactions and futures contracts. the underlying securities or assets are traded or admitted Open forward foreign exchange transactions and futures for trading. For underlying securities traded on markets contracts are valued at the fair market value to close the closing after the time of the valuation, last known prices as contracts on the valuation date. Surpluses/deficits arising of this time or such other time may be used. The change in from these and closed unsettled contracts are taken to market value, if any, is recorded as unrealised appreciation unrealised appreciation/depreciation and are included under or depreciation in the Statement of Operations and Changes assets or liabilities (as appropriate) in the Statement of in Net Assets. Realised gains or losses on maturity or Net Assets. termination of the CFDs are presented in the Statement of Operations and Changes in Net Assets. During the year, the Funds have entered into CFDs. CFDs allow investors to take synthetic long or synthetic short positions The liquidating value of futures, forward or options contracts with a variable margin. Unlike shares, with CFDs the buyer is not traded on exchanges or on regulated markets and/or potentially liable for far more than the amount they paid on other regulated markets shall be their net liquidating value margin. This will result in the Funds holding cash received determined, pursuant to the policies established by the Board from shareholders on deposit with various institutions as of Directors of the Company, on a basis consistently applied described in the Prospectus. CFD positions are entered into for each different variety of contract. The liquidating value of subject to a daily financing charge, applied at a previously futures, forward and options contracts traded on exchanges agreed rate above or below the applicable benchmark. or on regulated markets and/or other regulated markets is The related interest income or expense is disclosed net of based upon the last available settlement prices of these withholding tax in the Statement of Operations and Changes contracts on exchanges and regulated markets and/or other in Net Assets. regulated markets on which the particular futures, forward or options contracts are traded by the Company; provided that if The Funds can write covered call and put options and a futures, forward or options contract could not be liquidated purchase call and put options. When the Funds write and/or on the day with respect to which net assets are being purchase an option, an amount equal to the premium received determined, the basis for determining the liquidating value of or paid by the Funds is reflected as a liability or an asset. such contract shall be such value as the Board of Directors of The liability for a written option and the asset for a purchased the Company may deem fair and reasonable. option is subsequently marked to market to reflect the current value of the option. When a security is sold or bought through For the valuation of swaps and swaptions, refer to Note 2(d) an exercise of an option, the premium received (or paid) is for further information. deducted from (or added to) the basis of the security sold or bought. When an option expires (or the Funds enter into a (b) Cost of Sales of Investments closing transaction), the Funds realise a gain or loss on the option to the extent of the premiums received or paid (or gain Gains and losses on sales of investments have been or loss to the extent the cost of the closing transactions determined on the basis of the average cost method. exceeds premium paid or received).
Gains and losses on sales of CFDs have been determined The Funds have entered into swap agreements to exchange on cost basis using the First In First Out (“FIFO”) method. the return generated by one instrument for the return generated by another investment. The Funds can write credit (c) Income from Investments default swaps (“CDS”) and purchase CDS. When the Funds write and/or purchase a CDS, a series of premiums is paid to The Company takes credit for income from its investments or received by the Funds, in return for a payment contingent on the following basis: on a credit event (predefined in the agreement). The premiums are included in the cost of CDS. Where possible, swaps are interest income is accrued daily and includes the marked to market based upon daily prices obtained from third amortisation of premiums and accretion of discounts on party pricing agents and verified against the actual market a straight line basis; maker. Where such quotations are not available swaps are
172 BlackRock Strategic Funds (BSF) Notes to the Financial Statements continued
priced based upon daily quotations from the market maker. In All Funds BlackRock BlackRock both cases changes in quotations are recorded as net change (except the BlackRock Euro Euro Latin Dynamic Diversified Growth Dynamic American in unrealised appreciation or depreciation in the Statement Fund and BlackRock Latin Diversified Opportunities of Operations and Changes in Net Assets. Realised gains American Opportunities Fund) Growth Fund Fund or losses on maturity or termination of the swaps and the CCY EUR USD EUR USD interest earned in relation to the swaps are presented in the PLN 0.2416 0.3291 0.2418 0.3296 Statement of Operations and Changes in Net Assets. RON 0.2271 0.3093 0.2272 0.3111 RUB 0.0211 0.0287 0.0210 0.0287 (e) Foreign Exchange SEK 0.1101 0.1499 0.1097 0.1494 SGD 0.5854 0.7974 0.5846 0.7973 The cost of investments in currencies other than the currency of denomination of the respective Fund has been translated THB 0.0224 0.0305 0.0223 0.0305 at the rates of exchange ruling at the time of purchase. TRY 0.3504 0.4772 0.3499 0.4768 Investments and other assets in currencies other than the TWD 0.0245 0.0333 0.0244 0.0333 currency of denomination of the respective Funds has been USD 0.7342 1.0000 0.7328 1.0000 translated at the exchange rate prevailing at the Fund’s UYU 0.0319 0.0434 0.0318 0.0434 valuation point in Luxembourg on 31 May 2014. ZAR 0.0696 0.0948 0.0692 0.0945
Income and expenses in currencies other than the currency of (f) Total Combined Figures denomination of the respective Fund have been translated at the rates of exchange prevailing on record date. The combined figures of the Company are expressed in USD and include the total of the financial statements of the The following exchange rates were used to translate different Funds. For the translation of the Statement of Net the investments and other assets and other liabilities Assets, the exchange rate prevailing at 16:00 in Luxembourg denominated in currencies for all Funds other than the base as at 31 May 2014 for all Funds expressed in Euros excluding currency of the Fund at 31 May 2014: BlackRock Euro Dynamic Diversified Growth Fund is:
All Funds BlackRock BlackRock EUR (except the BlackRock Euro Euro Latin USD 0.7342 Dynamic Diversified Growth Dynamic American Fund and BlackRock Latin Diversified Opportunities American Opportunities Fund) Growth Fund Fund For the BlackRock Euro Dynamic Diversified Growth Fund, the exchange rate prevailing at 17:00 in Luxembourg as at CCY EUR USD EUR USD 31 May 2014 is: ARS 0.0909 0.1238 0.0907 0.1238 AUD 0.6822 0.9292 0.6821 0.9306 EUR BRL 0.3272 0.4456 0.3267 0.4464 USD 0.7328 CAD 0.6768 0.9218 0.6749 0.9223 CHF 0.8190 1.1156 0.8198 1.1167 For the Statement of Operations and Changes in Net Assets, CLP 0.0013 0.0018 0.0013 0.0018 the following exchange rate is the average rate calculated over CNY 0.1175 0.1601 0.1173 0.1601 the year for all Funds expressed in Euros excluding BlackRock COP 0.0004 0.0005 0.0004 0.0005 Euro Dynamic Diversified Growth Fund: CZK 0.0364 0.0496 0.0364 0.0496 DKK 0.1340 0.1825 0.1340 0.1826 EUR EUR 1.0000 1.3621 1.0000 1.3631 USD 0.7392 GBP 1.2294 1.6745 1.2292 1.6762 HKD 0.0947 0.1290 0.0945 0.1290 For the BlackRock Euro Dynamic Diversified Growth Fund, HUF 0.0033 0.0045 0.0033 0.0045 the following exchange rate is the average rate calculated over IDR 0.0001 0.0001 0.0001 0.0001 the year: INR 0.0124 0.0169 0.0124 0.0169 EUR JPY 0.0072 0.0098 0.0072 0.0098 USD 0.7391 KRW 0.0007 0.0010 0.0007 0.0010 MXN 0.0571 0.0777 0.0569 0.0778 (g) Income Equalisation MYR 0.2285 0.3112 0.2281 0.3112 NOK 0.1227 0.1671 0.1227 0.1673 The Company operates Income Equalisation arrangements NZD 0.6226 0.8480 0.6223 0.8492 with a view to ensure that the level of net income accrued PEN 0.2654 0.3615 0.2648 0.3616 within a Fund is not affected by the issue, conversion or PHP 0.0168 0.0229 0.0167 0.0229 redemption of Fund shares during an accounting period.
Annual Report and Audited Accounts 173 Notes to the Financial Statements continued
The Income Equalisation is netted in the Movements in share Transaction costs excluding custodian transaction fees on capital in the Statement of Operations and Changes in Net purchases or sales of securities are included within net Assets. realised gain/(loss) or net change in unrealised appreciation/ (depreciation) within the Statement of Operations and (h) Swing Adjustment Changes in Net Assets of each Fund. Custodian transaction fees are presented in the Statement of Operations and If on any dealing day the aggregate transactions in shares Changes in Net Assets of the Fund. Refer to Note 6 for further of all classes of a Fund result in a net increase or decrease information. of shares which exceeds a threshold set by the Board of Directors of the Company, the net asset value (“NAV”) of the 3. Management Company relevant Fund may be adjusted by an amount which reflects BlackRock (Luxembourg) S.A. has been appointed by the the dealing costs that may be incurred by the Fund and the Company to act as its Management Company. The Management estimated bid/offer spread of the assets in which the Fund Company is authorised to act as a Fund Management invests. In addition, the Board of Directors of the Company Company in accordance with Chapter 15 of the amended may agree to include anticipated fiscal charges in the amount 17 December 2010 Law relating to undertakings for collective of the adjustment. In accordance with the prospectus such a investments. swing was applied as at 31 May 2014 to the BlackRock Global Absolute Return Bond Fund. The Company has signed a management company agreement with the Management Company. Under this agreement, the The Management Company may, at its discretion, decide to Management Company is entrusted with the day-to-day subsidise the swing adjustment. management of the Company, with responsibility for performing directly or by way of delegation all operational The published/dealing NAV per share is disclosed in the Three functions relating to the Company’s investment management, Year Summary of Net Asset Values and may include a swing administration, and marketing of the Funds. pricing adjustment. This adjustment is not recognised in the Statement of Net Assets or the Statement of Operations and In agreement with the Company, the Management Company Changes in Net Assets. has decided to delegate several of its functions as is further described in the Prospectus. (i) Fair valuation BlackRock (Luxembourg) S.A. is a wholly owned subsidiary If in any case a particular value is not ascertainable by the within the BlackRock Group. It is regulated by the CSSF. methods outlined above, or if the Board of Directors of the Company considers that some other method of valuation 4. Management and Distribution Fees more accurately reflects the fair value of the relevant security During the year the Company paid management fees to the or other asset for the purpose concerned, the method of Management Company. valuation of the security or asset will be such as the Board of Directors of the Company in its absolute discretion The Company pays management fees at an annual rate decides. Discrepancies in the value of securities may result, as shown in Appendix F of the Prospectus. The level of for example, where the underlying markets are closed for management fee varies from 0.50% to 2.00% of the NAV, business at the time of calculating the NAV of certain Funds. with the exception of Class X shares, which do not pay a The Board of Directors of the Company may set specific management fee but rather a fee to the Investment Adviser or thresholds, that, where exceeded, result in an adjustment to affiliates under an agreement. The level of management fee the value of these securities to their fair value by applying a varies according to which Fund and share class the investor specific index adjustment. buys. These fees accrue daily, are based on the NAV of the relevant Fund and are paid monthly. Certain costs and fees For BlackRock Asia Extension Fund and BlackRock Emerging are paid out of the management fee, including the fees of the Markets Absolute Return Fund in case of price variation, the Investment Advisers. Board of Directors of the Company may decide to apply a fair valuation factor on the market value of the Fund. Where a Fund invests a substantial proportion of its net assets in other UCITS and other Undertaking for Collective (j) Transaction costs Investments (“UCIs”), the Investment Adviser will ensure that the total management fee (excluding any performance fee, if Transaction costs are incremental costs that are directly any) charged to such Fund (including management fees from attributable to the acquisition, issue or disposal of securities. other UCITS and UCIs in which it invests) shall not exceed An incremental cost is one that would not have been incurred 3.75% of the NAV of the Fund. if the entity had not acquired, issued or disposed of the security. When a security is recognised initially, it is measured During the year, the following active Funds were subject to at its market value, plus transaction costs that are directly management fee rebate as detailed in the Prospectus: attributable to the acquisition or issue of the security. Refer to Note 13 for further information.
174 BlackRock Strategic Funds (BSF) Notes to the Financial Statements continued
BlackRock Emerging Markets Allocation Fund, BlackRock The Board of Directors of the Company and the Management Euro Dynamic Diversified Growth Fund, BlackRock Fund of Company set the level of the administration fee at a rate iShares – Conservative, BlackRock Fund of iShares – Dynamic, which aims to ensure that the total expense ratio of each BlackRock Fund of iShares – Growth, BlackRock Fund of Fund remains competitive when compared across a broad iShares – Moderate and BlackRock Global Absolute Return market of similar investment products available to investors Bond Fund. in the Funds, taking into account a number of criteria such as the market sector of each Fund and the Fund’s performance During the year, the following active Funds were subject to fee relative to its peer group. reimbursement from the Management Company: The administration fee is used by the Management Company BlackRock Emerging Markets Absolute Return Fund, to meet all fixed and variable operating and administrative BlackRock European Opportunities Absolute Return costs and expenses incurred by the Company, with the Fund, BlackRock European Opportunities Extension Fund, exception of the custodian fees and distribution fees, BlackRock Fund of iShares – Conservative, BlackRock Fund of plus any taxes thereon and any taxes at an investment or iShares – Dynamic, BlackRock Fund of iShares – Growth and Company level. These operating and administrative expenses BlackRock Fund of iShares – Moderate. include all third party expenses and other recoverable costs incurred by or on behalf of the Company from time to time, During the year, the Company paid distribution fees to including but not limited to, fund accounting fees, transfer BlackRock (Channel Islands) Limited who acted as Principal agency fees (including sub-transfer agency and associated Distributor. platform dealing charges), all professional costs, such as consultancy, legal, tax advisory and audit fees, Directors’ The Company pays annual distribution fees of 1.00% of the fees, travel expenses, reasonable out-of-pocket expenses, NAV for Class C Shares, 0.50% of the NAV for Class E Shares, printing, publication, translation and all other costs relating 0.50% of the NAV for Class L Shares and 0.75% of the NAV to shareholder reporting, regulatory filing and licence fees, for Class M Shares. These fees accrue daily, are based on correspondent and other banking charges, software support the NAV of the relevant Fund reflecting, when applicable, any and maintenance, operational costs and expenses attributed adjustment to the NAV of the relevant Fund, and are paid to the Investor Servicing teams and other global administration monthly. services provided by various BlackRock Group companies.
The management and distribution fees per share class per The Management Company bears the financial risk of ensuring Fund are disclosed in detail in the Prospectus and KIID of the that the Fund’s total expense ratio remains competitive. Company. Accordingly the Management Company is entitled to retain any amount of the administration fee paid to it which is in excess of The Principal Distributor may rebate all or part of the fees it the actual expenses incurred by the Company during any year receives under the terms described in the current Prospectus. whereas any costs and expenses incurred by the Company in any year which exceed the amount of administration fee that 5. Administration Fees is paid to the Management Company, shall be borne by the The Company pays an administration fee to the Management Management Company or another BlackRock Group company. Company. From 1 January 2014, the fees paid to Directors who are The level of administration fee may vary at the Board of not employees of the BlackRock Group in return for their Directors of the Company’s discretion, as agreed with the duties performed, increased from EUR 25,000 per annum to Management Company, and will apply at different rates EUR 30,000 per annum, gross of taxation. From 1 January 2014, across the various Funds and Share Classes issued by the the Chairman’s fee increased from EUR 27,500 per annum to Company. However, it has been agreed between the Board EUR 33,500 per annum, gross of taxation. For the year ended of Directors of the Company and the Management Company 31 May 2014, EUR 57,083 was paid to Directors who are not that the administration fee currently paid shall not exceed employees of the BlackRock Group. Directors who are employees 0.30% per annum. It is accrued daily, based on the NAV of the of the BlackRock Group are not entitled to receive a Directors fee. relevant Share Class and paid monthly. As previously disclosed the Administration Fee includes The rates charged per annum are as follows: amounts paid to Deloitte Audit Société à responsabilité limitée relating to audit and audit related services. Share Equity Bond Mixed Fund of Detailed below are the fees paid to Deloitte Audit Société à Class Funds Funds Funds Funds responsabilité limitée for the year ended 31 May 2014. A, C, D, E, H,U 0.30% 0.20% 0.25% – I, T, X 0.05% 0.05% 0.05% – 31-May-14 K, L, M – – – 0.10% EUR Audit and audit related services 226,250 Investment in I, T and X Shares is restricted to institutional investors within the meaning of Article 174 of the amended law of 17 December 2010. Non-audit services –
Annual Report and Audited Accounts 175 Notes to the Financial Statements continued
There were no fees other than those disclosed above paid to or capital gains tax is at present payable by the Company. Deloitte Audit. However, it is subject to an annual “taxe d’abonnement” calculated at an annual rate of 0.05%, and in the case of all 6. Custodian and Depository Fees Class I, Class T and Class X Shares, of 0.01% of the NAV of The Custodian receives a fee in respect of each Fund. These each Fund at the end of each quarter. For the year ended fees are to remunerate the Custodian for safekeeping and 31 May 2014, USD 1,995,764 was charged in relation to transaction costs applicable to each Fund. These fees will Luxembourg tax. vary in respect of each Fund depending on the value of assets under management and the volume of trading in that Fund. Belgium The Company is registered with the Banking and Finance For Funds which have low volume trading the safekeeping Commission in Belgium in accordance with Article 154 of the fee which accrues daily, will range from 0.005% to 0.20% per Law of 3 August 2012 relating to financial transactions and annum and the transaction fees will range from USD 7 to the financial markets. Funds registered for public distribution USD 50 per transaction. in Belgium are subject to an annual tax of 0.10% on the net assets value of units distributed in Belgium via Belgian For Funds which engage in higher trading volumes, the intermediaries as at 31 December of the previous year. Custodian does not charge separate safekeeping and Effective 1 January 2014, this rate was reduced to 0.09%. For transaction fees. The Custodian receives a fee which is the year ended 31 May 2014, there was no charge in relation charged on a sliding scale, based on the value of assets to Belgian tax. under management and the volume of trading within each Fund. These fees range from 1 basis point to 15 basis points United Kingdom of assets under management of each Fund, depending on Reporting Funds whether a particular Fund is considered to be a ‘medium The UK Reporting Funds regime applies to the Company. volume trading Fund’ or ‘high volume trading Fund’. Under this regime, investors in UK Reporting Funds are subject to tax on the share of the UK Reporting Funds Each of the Funds is also subject to a minimum annual fee income attributable to their holdings in the Fund, whether or which will be set at either, USD 30,000 for a low volume not distributed, but any gains on disposal of their holdings trading Fund, USD 100,000 for a medium volume trading Fund are subject to capital gains tax. A list of the Funds which or USD 150,000 for a high volume trading Fund. currently have UK Reporting Fund status is available at: www.blackrock.co.uk/reportingfundstatus. Trading volumes for each Fund vary according to the investment strategy of each Fund. The combined custody 9. Brazilian Transaction Tax cost to each Fund depends on its asset allocation and trading Brazilian transaction tax became effective from activity at any time. 20 October 2009. Effective 5 October 2010 the transaction tax rate was increased to 4% from the previous 2% rate. 7. Performance Fees The rates were changed again effective 19 October 2010 A performance fee may be payable out of each Share Class and 1 December 2011. Currently the following rates apply of each Fund with the exception of Class X shares which to foreign currency exchange transactions by non-residents do not pay a performance fee, in addition to other fees and making investments in the Brazilian financial and capital expenses mentioned in the Prospectus. The performance fee markets. accrues on each Valuation Day and is equal to 10% or 20% (as applicable to the relevant Fund, as stated in Appendix F A 0% rate applies to transactions related to investments in of the Prospectus) of the amount by which the NAV per share listed shares or shares issued in an Initial Public offering; return exceeds the appropriate benchmark return described in further detail in Appendix E of the Prospectus. Two methods A 6% rate applies to transactions related to fixed income of calculation are used and are referred to as Type A and investments or investment in investment funds. Effective Type B – the method applicable to each Fund is indicated in 4 June 2013, this rate was reduced to 0%. Appendix E of the Prospectus. For the year ended 31 May 2014, there was no charge in Crystallisation of the performance fee occurs on the last relation to Brazilian tax. day of each Performance Period or where a shareholder redeems or converts all or part of his shares before the 10. Investment Advice end of a Performance Period. The Management Company has delegated some management and investment advice to the Investment Advisers: BlackRock 8. Tax Financial Management, Inc., BlackRock Institutional Trust Company N.A., BlackRock Investment Management LLC, Luxembourg BIM UK and BlackRock (Singapore) Limited as described The Company is registered under Luxembourg law as an in the Prospectus. The Investment Advisers provide advice investment company. Accordingly, no Luxembourg income and management in the areas of stock and sector selection
176 BlackRock Strategic Funds (BSF) Notes to the Financial Statements continued and strategic allocation. BIM UK has sub-delegated some BIM UK has sub-delegated some of these functions to of these functions to BlackRock Asset Management North BlackRock Japan Co., Ltd.for the following Funds: Asia Limited, BlackRock Investment Management (Australia) Limited and BlackRock Japan Co., Ltd. Notwithstanding the BlackRock Global Absolute Return Bond Fund appointment of the Investment Advisers, the Management Company accepts full responsibility to the Company for all BIM UK has sub-delegated some of these functions to investment transactions. BlackRock Investment Management (Australia) Limited for the following Funds: BlackRock Institutional Trust Company N.A. provides investment advice on the following Funds: BlackRock Global Absolute Return Bond Fund
BlackRock Americas Diversified Equity Absolute Return Fund 11. Transactions with Connected Persons BlackRock Asia Extension Fund The ultimate holding company of the Management Company, BlackRock Emerging Markets Allocation Fund the Principal Distributor and the Investment Advisers is BlackRock Global Absolute Return Bond Fund BlackRock, Inc., a company incorporated in Delaware, USA. PNC Financial Services Group Inc., is a substantial shareholder in BIM UK provides investment advice on the following Funds: BlackRock Inc. When arranging transactions in securities for the Company, companies in the PNC Group may have provided BlackRock Emerging Markets Absolute Return Fund securities, brokerage, foreign exchange banking and other BlackRock Emerging Markets Allocation Fund services or may have acted as principal on their usual terms BlackRock Emerging Markets Flexi Dynamic Bond Fund and may benefit therefrom. Commission has been paid to BlackRock Euro Dynamic Diversified Growth Fund brokers and agents in accordance with the relevant market BlackRock European Absolute Return Fund practice and the benefit of any bulk or other commission BlackRock European Credit Strategies Fund discounts or cash commission rebates provided by brokers or BlackRock European Diversified Equity Absolute Return Fund agents have been passed on to the Company. The services of BlackRock European Opportunities Absolute Return Fund PNC Group companies could have been used by the Investment BlackRock European Opportunities Extension Fund Advisers where it was considered appropriate to do so provided BlackRock Fixed Income Strategies Fund that their commissions and other terms of business are BlackRock Fund of iShares – Conservative generally comparable with those available from unassociated BlackRock Fund of iShares – Dynamic brokers and agents in the markets concerned, and that this is BlackRock Fund of iShares – Growth consistent with the above policy of obtaining best results. BlackRock Fund of iShares – Moderate BlackRock Global Absolute Return Bond Fund During the year, there have been no transactions which were BlackRock Mining Opportunities Fund outside the ordinary course of business or which were not on normal commercial terms. Investments in funds managed by BlackRock Financial Management, Inc. provides investment BlackRock have been disclosed as a footnote in the relevant advice on the following Funds: Portfolio of Investments. There were no transactions of the Company effected through BlackRock companies. BlackRock European Credit Strategies Fund BlackRock Global Absolute Return Bond Fund 12. Dividends The Board of Directors of the Company’s current policy is BlackRock (Singapore) Limited provides investment advice on to retain and reinvest all net income except for income the following Fund: attributable to distributing share classes.
BlackRock Emerging Markets Allocation Fund For the distributing share classes the policy is to distribute BlackRock Global Absolute Return Bond Fund substantially all the investment income for the year after deduction of expenses. The Board of Directors of the BlackRock Investment Management, LLC provides investment Company may also determine if and to what extent dividends advice on the following Fund: may include distributions, from both net realised and net unrealised capital gains. BlackRock Latin American Opportunities Fund 13. Transaction costs BIM UK has sub-delegated some of these functions to In order to achieve its investment objective, a Fund will BlackRock Asset Management North Asia Limited for the incur transactions costs in relation to trading activity on following Funds: its portfolio. Disclosed in the table below are separately identifiable transaction costs incurred by each Fund for the BlackRock Emerging Markets Allocation Fund year ended 31 May 2014. These include commission costs, BlackRock Global Absolute Return Bond Fund settlement fees and broker fees.
Annual Report and Audited Accounts 177 Notes to the Financial Statements continued
Transaction Fund Holdings Description Value (USD) Fund CCY Cost BlackRock European 1,816,000 Netherlands BlackRock Americas Diversified Equity Absolute Credit Strategies Fund Government Bond Return Fund USD – 0.000% 15/4/16 2,467,746 BlackRock Asia Extension Fund USD – TOTAL 16,493,414 BlackRock Emerging Markets Absolute Return Fund USD 177,838 BlackRock Emerging Markets Allocation Fund USD – 15. Cash collateral BlackRock Emerging Markets Flexi Dynamic The Fund trades derivatives with a range of counterparties. Bond Fund USD 11,669 The counterparties to the swap contracts, forward BlackRock Euro Dynamic Diversified Growth Fund EUR 119,228 transactions, futures contracts, options written (put and call), BlackRock European Absolute Return Fund EUR 96,329 options purchased (put and call) and swaptions are shown BlackRock European Credit Strategies Fund EUR 214,288 below the portfolio of investments. BlackRock European Diversified Equity Absolute Return Fund EUR – The swap contracts, forward transactions, futures contracts, BlackRock European Opportunities Absolute Return Fund EUR – options written (put and call), options purchased (put and call) BlackRock European Opportunities Extension Fund EUR 229,658 and swaptions are traded with the following counterparties: BlackRock Fixed Income Strategies Fund EUR 120 Bank of America N.A., Barclays Bank Plc, BNP Paribas BlackRock Fund of iShares – Conservative EUR 2,802 S.A., Citibank N.A. London, Credit Suisse International, BlackRock Fund of iShares – Dynamic EUR 1,087 Deutsche Bank AG London, Goldman Sachs International, BlackRock Fund of iShares – Growth EUR 3,237 HSBC Bank Plc, JP Morgan Chase Bank N.A., Merrill Lynch BlackRock Fund of iShares – Moderate EUR 5,781 International, Morgan Stanley and Co. International Plc, Royal Bank of Canada (UK), Royal Bank of Scotland Plc, Société BlackRock Global Absolute Return Bond Fund EUR 6,986 Générale, Standard Chartered Bank, UBS AG London and BlackRock Latin American Opportunities Fund USD 413,780 Westpac Banking Corp. BlackRock Mining Opportunities Fund USD 55,079
Margin cash is paid or received on swap contracts, futures Not all transaction costs are separately identifiable. For contracts, options written (put and call), options purchased fixed income investments, forward currency contracts and (put and call) and swaptions to cover any exposure by the other derivative contracts, transaction costs will be included counterparty to the Company or by the Company to the in the purchase and sales price of the investment. Whilst counterparty. “Due to brokers” on the Statement of Net Assets not separately identifiable these transaction costs will be consists primarily of cash and margin received from Fund’s captured within the performance of each Fund. clearing brokers and various counterparties. “Due from brokers” on the Statement of Net Assets consists primarily 14. Securities Pledged or Given in Guarantee of cash and margin paid to the Fund’s clearing brokers and Securities which are pledged as collateral or given in various counterparties. guarantee for OTC derivatives traded under International Swaps and Derivatives Association (“ISDA”), are evidenced As at 31 May 2014, the Company had received margin of by “‡” in the Portfolio of Investments of the Funds. As at USD 13,087,601 from counterparties and had pledged 31 May 2014 the value of these securities amounts to margin of USD 64,435,216 relating to swap contracts, futures USD 75,831,071. contracts, options written (put and call), options purchased (put and call) and swaptions. Securities which have been received in guarantee are detailed in table below. As at 31 May 2014 the value of these securities 16. Efficient Portfolio Management Techniques amounts to USD 16,493,414. The Funds may engage in derivative transactions for the purpose of efficient portfolio management. Please see further Fund Holdings Description Value (USD) disclosures in Note 17 Financial Derivative Instruments and BlackRock European 1,879,000 Netherlands each Portfolio of Investments of the Funds. Credit Strategies Fund Government Bond 3.75% 15/1/23 3,057,639 17. Financial Derivative Instruments BlackRock European 2,534,000 Deutsche The Funds may buy and sell financial derivative instruments. Credit Strategies Fund Bundesrepublik See further details in the specific Fund’s Portfolio of Inflation Linked Bond Investments. 1.5% 15/4/16 3,570,787 BlackRock European 2,972,000 Netherlands Underlying exposure, as disclosed in the respective portfolio Credit Strategies Fund Government Bond 3.5% of Investments, has been calculated according to the 15/7/20 4,685,699 guidelines issued by the European Securities and Market BlackRock European 1,882,000 Bundesrepublik Credit Strategies Fund Deutschland 2.5% Authority (“ESMA”) and represents the market value of an 4/7/44 2,711,543 equivalent position in the assets underlying each financial
178 BlackRock Strategic Funds (BSF) Notes to the Financial Statements continued derivative instrument. The underlying exposure on the bond futures is calculated off the market value of the bonds rather than the cheapest to deliver security.
18. Subsequent Events Effective 2 June 2014, the BlackRock Global Long/Short Equity Fund, denominated in USD was launched.
Effective 25 June 2014, the BlackRock Multi-Strategy Absolute Return Fund, denominated in EUR was launched.
In a letter to shareholders dated 27 June 2014, the Board of Directors of the Company advised shareholders of its decision to liquidate the assets held in the underlying investment portfolio for each of the following Funds, with the intention of distributing redemption proceeds to shareholders on 1 September 2014:
BlackRock Fund of iShares – Conservative BlackRock Fund of iShares – Dynamic BlackRock Fund of iShares – Growth BlackRock Fund of iShares – Moderate
In a subsequent letter to shareholders dated 21 July 2014, in order to facilitate an orderly exit from the Funds for all shareholders, the Board of Directors of the Company decided to postpone the effective date of the closure until 31 December 2014 (the “New Effective Date”). The Funds were reopened to subscriptions from 8 July 2014. The Board of Directors of the Company will write to shareholders closer to the New Effective Date but shareholders may redeem their investment at any time before this.
On 22 July 2014, the Board of Directors of the Company communicated in a letter to shareholders that a capacity limit was introduced on the BlackRock European Opportunities Extension Fund, in order to ensure that the Fund can be optimally managed and for the interests of shareholders to be protected. Effective 22 July 2014, the BlackRock European Opportunities Extension Fund reached this capacity limit and is closed to new subscriptions.
On 27 May 2014, the Board of Directors of the Company communicated in a letter to shareholders that a capacity limit was introduced on the BlackRock European Credit Strategies Fund, in order to ensure that the Fund can be optimally managed and for the interests of shareholders to be protected. Effective 23 July 2014, the BlackRock European Credit Strategies Fund reached this capacity limit and is closed to new subscriptions.
Annual Report and Audited Accounts 179 Deloitte Audit Société à responsabilité limitée 560, rue de Neudorf L-2220 Luxembourg B.P. 1173 L-1011 Luxembourg
Tel: +352 451 451 Fax: +352 451 452 992 www.deloitte.lu
To the Shareholders of BlackRock Strategic Funds SICAV
REPORT OF THE REVISEUR D’ENTREPRISES AGREE
Following our appointment by the annual general meeting of the Shareholders of the Company, we have audited the accompanying financial statements of BlackRock Strategic Funds SICAV and of each of its Sub-funds, which comprise the statement of net assets and the portfolio of investments as at 31 May 2014 and the statement of operations and changes in net assets for the year then ended, and a summary of significant accounting policies and other explanatory information.
Responsibility of the Board of Directors of the Company for the financial statements
The Board of Directors of the Company is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements and for such internal control as the Board of Directors of the Company determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.
Responsibility of the réviseur d’entreprises agréé
Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted for Luxembourg by the Commission de Surveillance du Secteur Financier. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance whether the financial statements are free from material misstatement.
An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the réviseur d’entreprises agréé’s judgement, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the réviseur d’entreprises agréé considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the Company, as well as evaluating the overall presentation of the financial statements.
We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.
Opinion
In our opinion, the financial statements give a true and fair view of the financial position of BlackRock Strategic Funds SICAV and of each of its Sub-funds as of 31 May 2014, and of the results of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements.
Société à responsabilité limitée au capital de 35.000 EUR RCS Luxembourg B 67.895 N° d’autorisation d’établissement 10022179
180 BlackRock Strategic Funds (BSF) Deloitte.
Other matter
Supplementary information included in the annual report has been reviewed in the context of our mandate but has not been subject to specific audit procedures carried out in accordance with the standards described above. Consequently, we express no opinion on such information. However, we have no observation to make concerning such information in the context of the financial statements taken as a whole.
For Deloitte Audit, Cabinet de révision agréé
Justin Griffiths, Réviseur d’entreprises agréé Partner
Luxembourg, 23 September 2014
Annual Report and Audited Accounts 181
General Information
Current Prospectus The Company’s Prospectus dated 28 May 2014, and the latest KIIDs along with copies of the Application Form may be obtained from the local Investor Servicing Centre, the Manager or any of the Representatives or Distributors. Copies of the Company’s Articles of Association and the Audited Annual and Unaudited Interim Report and Accounts may also be obtained free of charge from any of these offices and from the Paying Agents. All these documents are also available from www.blackrockinternational.com.
Representatives The representative in Poland is Dubinski Fabrycki Jelenski, ul. Zielna 37, 00-108 Warsaw, Poland.
The representative in Sweden is BlackRock Investment Management (UK) Limited, Filial Stockholm, Master Samuelsgatan 1, 11411 Stockholm, Sweden.
The representative in Switzerland is BlackRock Asset Management Switzerland Limited, Bahnhofstrasse 39, 8001 Zürich, Switzerland.
Purchases and Sales A detailed list of investments purchased and sold for any Fund during the period is available upon request, free of charge, from the Registered office, or the offices of the Representatives as mentioned above.
Authorised Status The Company is an undertaking for Collective Investment in Transferable securities (“UCITS”) under the Luxembourg Law of 17 December 2010, as amended. Regulatory consents have been obtained or appropriate notifications have been made for the distribution of shares of the Company’s Funds in the umbrella in the following countries: Austria, Belgium, Finland, France, Germany, Greece, Hungary, Ireland, Italy, Jersey, Luxembourg, Netherlands, Norway, Poland, Spain, Sweden, Switzerland and the United Kingdom.
Shares of certain of the Company’s Funds may also be offered in Singapore by private placement.
Paying Agents Austria Banca Monte dei Paschi di Siena S.p.A Raiffeisen Bank International AG Registered Office Am Stadtpark 9 Piazza Salimbeni 3 1030 Vienna 53100 Siena
Belgium State Street Bank S.p.A J.P. Morgan Chase Bank, Registered Office Brussels Branch Via Ferrante Aporti 10 1 Boulevard du Roi Albert II 20125 Milan Brussels B-1210 Belgium Luxembourg (Central Paying Agent) J.P. Morgan Bank Luxembourg S.A. Italy 6C, route de Trèves Allfunds Bank, S.A., L-2633, Senningerberg Milan branch Via Santa Margherita 7 Switzerland 20121 Milan J.P. Morgan Chase Bank, National Association, Banca Sella Holding S.p.A., Columbus, Piazza Gaudenzio Sella 1, Zurich Branch 13900 Biella Dreikönigstrasse 21 CH-8002 Zurich BNP Paribas Securities Services Succursale di Milano United Kingdom Via Ansperto 5 J.P. Morgan Trustee and Depositary Company Limited 20123 Milan Hampshire Building, 1st Floor Société Générale Securities Services S.p.A Chaseside Registered Office Bournemouth Via Benigno Crespi BH7 7DA 19/A, MAC II 20159 Milan
182 BlackRock Strategic Funds (BSF) Appendix I – Global Exposure and Leverage (Unaudited)
Global Exposure In accordance with current BlackRock policy, global exposure is measured using the Value at Risk (“VaR”) approach which considers the full constituents of the portfolio.
VaR is a statistical risk measure that estimates the potential loss from adverse market movements in an ordinary market environment.
A VaR number is defined at a specified probability and a specified time horizon. The VaR calculations are based on a confidence level of 99% with a holding period of not greater than 1 month (20 days) and a historical observation of not less than 1 year (250 days). The model used for the Funds is a parametric factor model.
For Funds which use a relative VaR approach BlackRock Risk & Quantitative Analysis (“RQA”) determines a reference portfolio as the basis for the relative VaR calculation. The reference portfolio is typically the index benchmark also established as the reference point for performance data in respect of the relevant Fund. This is an index (or composite of indices) constructed by a recognised index provider(s) from relevant securities which are eligible for investment by the Funds. This process gives appropriate consideration to the availability of indices with construction rules which are themselves compliant with diversification rules.
Where a Fund is monitored using VaR, the Investment Manager will observe the regulatory limit and any internal risk limits which may be appropriate for the portfolio.
The table below details the highest, lowest and average utilisation of the VaR limit, expressed as a percentage of the respective absolute or relative VaR regulatory limit. For relative VaR, the VaR of the respective Fund’s portfolio will not exceed twice the VaR of the reference portfolio. Utilisation refers to the level of risk taken in this context.
Highest Lowest Average utilisation utilisation utilisation Market Risk Reference of the VaR of the VaR of the VaR Fund Approach Portfolio limit % limit % limit % BlackRock Americas Diversified Equity Absolute Return Fund Absolute VaR N/A 30.73% 12.11% 13.79% BlackRock Asia Extension Fund Relative VaR MSCI All Country Asia ex Japan Index 61.41% 48.15% 51.34% BlackRock Emerging Markets Absolute Return Fund Absolute VaR N/A 55.00% 19.47% 38.35% BlackRock Emerging Markets Allocation Fund Relative VaR 60% MSCI Emerging Markets Index/40% JPMorgan Emerging Markets Bond Index Plus 49.66% 32.57% 42.87% BlackRock Emerging Markets Flexi Dynamic Bond Fund Absolute VaR N/A 52.12% 13.19% 27.21% BlackRock Euro Dynamic Diversified Growth Fund Absolute VaR N/A 21.46% 13.04% 16.54% BlackRock European Absolute Return Fund Absolute VaR N/A 14.60% 6.03% 9.99% BlackRock European Credit Strategies Fund Absolute VaR N/A 10.63% 4.84% 6.82% BlackRock European Diversified Equity Absolute Return Fund Absolute VaR N/A 24.29% 15.33% 20.48% BlackRock European Opportunities Absolute Return Fund1 Absolute VaR N/A N/A N/A N/A BlackRock European Opportunities Extension Fund Relative VaR S&P Europe BMI Index 52.84% 44.06% 47.76% BlackRock Fixed Income Strategies Fund Absolute VaR N/A 6.31% 1.86% 3.65% BlackRock Fund of iShares – Conservative Absolute VaR N/A 20.71% 8.40% 12.24% BlackRock Fund of iShares – Dynamic Absolute VaR N/A 43.56% 28.53% 34.47% BlackRock Fund of iShares – Growth Absolute VaR N/A 36.35% 22.06% 27.18% BlackRock Fund of iShares – Moderate Absolute VaR N/A 29.16% 15.27% 19.91% BlackRock Global Absolute Return Bond Fund Absolute VaR N/A 3.92% 2.22% 2.87% BlackRock Latin American Opportunities Fund Relative VaR MSCI Emerging Market Latin America Index 52.89% 48.18% 50.03% BlackRock Mining Opportunities Fund1 Relative VaR HSBC Global Mining Index N/A N/A N/A
1 As the BlackRock European Opportunities Absolute Return Fund and the BlackRock Mining Opportunities Fund were liquidated on 17 July 2013 and 18 March 2014 respectively, no statistical data has been calculated.
Annual Report and Audited Accounts 183 Appendix I – Global Exposure and Leverage (Unaudited) continued
Leverage The use of derivatives may expose Funds to a higher degree of risk. In particular, derivative contracts can be highly volatile, and the amount of initial margin is generally small relative to the size of the contract so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard bonds or equities. Leveraged derivative positions can therefore increase Funds’ volatility.
The leverage is calculated on a gross exposure basis, by taking the sum of the notional values of the derivatives used by a Fund, without netting, and is expressed as a percentage of the NAV.
Disclosed in the table below is the level of leverage employed during the year.
Average leverage Fund employed during the year BlackRock Americas Diversified Equity Absolute Return Fund 532.67% BlackRock Asia Extension Fund 151.32% BlackRock Emerging Markets Absolute Return Fund 105.37% BlackRock Emerging Markets Allocation Fund 124.19% BlackRock Emerging Markets Flexi Dynamic Bond Fund 327.66% BlackRock Euro Dynamic Diversified Growth Fund 84.15% BlackRock European Absolute Return Fund 68.58% BlackRock European Credit Strategies Fund 264.89% BlackRock European Diversified Equity Absolute Return Fund 594.39% BlackRock European Opportunities Absolute Return Fund1 N/A BlackRock European Opportunities Extension Fund 121.65% BlackRock Fixed Income Strategies Fund 292.42% BlackRock Fund of iShares – Conservative 0.00% BlackRock Fund of iShares – Dynamic 0.00% BlackRock Fund of iShares – Growth 0.00% BlackRock Fund of iShares – Moderate 0.00% BlackRock Global Absolute Return Bond Fund 513.67% BlackRock Latin American Opportunities Fund 0.00% BlackRock Mining Opportunities Fund1 N/A
1 As the BlackRock European Opportunities Absolute Return Fund and the BlackRock Mining Opportunities Fund were liquidated on 17 July 2013 and 18 March 2014 respectively, no statistical data has been calculated.
184 BlackRock Strategic Funds (BSF) Appendix II – Total Expense Ratio (Unaudited)
Total Expense Ratio (TER) is calculated as the total of all expenses (excluding bank interest and including expense reimbursements), divided by the average net assets of the Fund, expressed as a percentage.
The Management Fee may be used in part to pay remuneration for distribution activities concerning the Fund. Reimbursement may be made to institutional investors which from a commercial perspective hold shares of the Fund for third parties.
The Total Expense Ratios for the period from 1 June 2013 to 31 May 2014 are as follows:
Fund Name TER Performance-related Fee (including Performance (as a percentage of the Fee) average net assets) BlackRock Americas Diversified Equity Absolute Return Fund Class A 2.790% 0.934% Class D 2.101% 0.757% Class X 0.063% – BlackRock Asia Extension Fund Class A 1.975% 0.123% Class D 1.361% – Class E 2.349% – Class X 0.065% – BlackRock Emerging Markets Absolute Return Fund Class A 2.782% 0.838% Class D 2.489% 1.049% Class E 2.962% 0.476% Class I 2.522% 1.407% Class X 0.130% – BlackRock Emerging Markets Allocation Fund* Class A 1.803% – Class C 2.799% – Class D 1.049% – Class E 2.318% – Class I 0.805% – Class X 0.052% – BlackRock Emerging Markets Flexi Dynamic Bond Fund** Class A 1.803% – Class D 1.091% – Class E 2.268% – Class X 0.089% – BlackRock Euro Dynamic Diversified Growth Fund Class A 1.696% – Class D 1.095% – Class E 2.202% – Class I 0.852% – Class X 0.204% – BlackRock European Absolute Return Fund Class A 2.349% 0.486% Class D 1.963% 0.600% Class E 2.731% 0.370% Class I 1.667% 0.593% BlackRock European Credit Strategies Fund Class H 3.454% 1.686% Class I 2.768% 1.701% Class T 2.727% 1.710% Class U 3.216% 1.944% Class X 0.070% – BlackRock European Diversified Equity Absolute Return Fund Class A 2.202% 0.345% Class D 2.555% 1.205% Class E 3.360% 1.015% Class I 2.034% 0.974% Class X 0.057% – BlackRock European Opportunities Absolute Return Fund*** Class A 2.431% – Class D 2.167% – Class E 2.845% –
Annual Report and Audited Accounts 185 Appendix II – Total Expense Ratio (Unaudited) continued
Fund Name TER Performance-related Fee (including Performance (as a percentage of the Fee) average net assets) BlackRock European Opportunities Extension Fund Class A 2.397% 0.528% Class D 1.620% 0.240% Class E 2.765% 0.399% Class I 1.059% – BlackRock Fixed Income Strategies Fund Class A 1.266% – Class D 0.869% – Class E 1.774% – Class I 0.671% – Class X 0.071% – BlackRock Fund of iShares – Conservative Class K 0.783% – Class L 1.282% – Class M 1.532% – BlackRock Fund of iShares – Dynamic Class K 0.785% – Class L 1.281% – Class M 1.529% – BlackRock Fund of iShares – Growth Class K 0.780% – Class L 1.275% – Class M 1.524% – BlackRock Fund of iShares – Moderate Class K 0.780% – Class L 1.279% – Class M 1.524% – BlackRock Global Absolute Return Bond Fund Class A 1.375% 0.113% Class D 0.848% 0.105% Class E 1.787% 0.032% Class X 0.062% – BlackRock Latin American Opportunities Fund Class A 2.546% 0.043% Class C 3.551% 0.057% Class D 1.851% 0.092% BlackRock Mining Opportunities Fund**** Class D 1.300% –
* The Fund was launched on 15 November 2013. ** The Fund was launched on 12 June 2013. *** The Fund was liquidated on 17 July 2013. **** The Fund was liquidated on 18 March 2014.
186 BlackRock Strategic Funds (BSF) Appendix III – Portfolio Turnover Rates (Unaudited)
The Portfolio Turnover Rate (PTR), expressed as a percentage, reflects the volume of dealing in the Fund. It is equal to the total of purchases and sales of securities netted against the value of the subscriptions and redemptions, over the average net assets of the Fund for the period.
The Portfolio Turnover Rates for the period from 1 June 2013 to 31 May 2014 are as follows:
Fund Name Portfolio turnover
BlackRock Americas Diversified Equity Absolute Return Fund (11.87)%
BlackRock Asia Extension Fund (74.25)%
BlackRock Emerging Markets Absolute Return Fund 235.72%
BlackRock Emerging Markets Allocation Fund* 73.14%
BlackRock Emerging Markets Flexi Dynamic Bond Fund** 627.71%
BlackRock Euro Dynamic Diversified Growth Fund 14.18%
BlackRock European Absolute Return Fund 79.90%
BlackRock European Credit Strategies Fund 183.66%
BlackRock European Diversified Equity Absolute Return Fund 1.38%
BlackRock European Opportunities Absolute Return Fund*** 30.26%
BlackRock European Opportunities Extension Fund (102.72)%
BlackRock Fixed Income Strategies Fund 1419.51%
BlackRock Fund of iShares – Conservative 75.07%
BlackRock Fund of iShares – Dynamic (24.26)%
BlackRock Fund of iShares – Growth 4.68%
BlackRock Fund of iShares – Moderate 4.22%
BlackRock Global Absolute Return Bond Fund 1290.27%
BlackRock Latin American Opportunities Fund 111.62%
BlackRock Mining Opportunities Fund**** 355.21%
* The Fund was launched on 15 November 2013. ** The Fund was launched on 12 June 2013. *** The Fund was liquidated on 17 July 2013. **** The Fund was liquidated on 18 March 2014.
Annual Report and Audited Accounts 187
© 2014 BlackRock, Inc. All Rights reserved. BLACKROCK, BLACKROCK SOLUTIONS, iSHARES, SO WHAT DO I DO WITH MY MONEY, INVESTING FOR A NEW WORLD, and BUILT FOR THESE TIMES are registered and unregistered trademarks of BlackRock, Inc. or its subsidiaries in the United States and elsewhere. All other trademarks are those of their respective owners. PRISMA 15/1337 BSF AR SWI/ENG 0514
FOR MORE INFORMATION +44 (0)20 7743 3300 blackrockinternational.com 31 MAY 2014