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MARCH 31, 20222022 Annual ReportBlackRock FundsSM BlackRock Global Equity Absolute Return FundNot FDIC Insured May Lose Value No Bank GuaranteeNM0522U-2221295-1/48
The Markets in ReviewDear Shareholder,The 12-month reporting period as of March 31, 2022 saw a continuation of the resurgent growth that followedthe initial coronavirus (or “COVID-19”) pandemic reopening, albeit at a slower pace. The global economyweathered the emergence of several variant strains and the resulting peaks and troughs in infections amidoptimism that increasing vaccinations and economic adaptation could help contain the pandemic’s disruptions.However, rapid changes in consumer spending led to supply constraints and elevated inflation. Moreover,while the foremost effect of Russia’s invasion of Ukraine has been a severe humanitarian crisis, the invasionhas presented challenges for both investors and policymakers.Rob KapitoPresident, BlackRock Advisors, LLCEquity prices were mixed, as persistently high inflation drove investors’ expectations for higher interest rates,which particularly weighed on relatively high valuation growth stocks and economically sensitive smallcapitalization stocks. Overall, small-capitalization U.S. stocks declined, while large-capitalization U.S. stocksposted a strong advance. International equities from developed markets gained slightly, although emergingmarket stocks declined, pressured by rising interest rates and a strengthening U.S. dollar.Total Returns as of March 31, 2022The 10-year U.S. Treasury yield (which is inversely related to bond prices) rose during the reporting period asthe economy expanded rapidly and inflation reached its highest annualized reading in decades. The corporatebond market also faced inflationary headwinds, although the improving economy assuaged credit concernsand high-yield corporate bonds consequently declined less than investment-grade corporate bonds.The U.S. Federal Reserve (the “Fed”), acknowledging that inflation is growing faster than expected, raisedinterest rates in March 2022, the first increase of this business cycle. Furthermore, the Fed wound down itsbond-buying programs and raised the prospect of reversing the flow and reducing its balance sheet. Continuedhigh inflation and the Fed’s new tone led many analysts to anticipate that the Fed will continue to raise interestrates multiple times throughout the year.Looking ahead, however, the horrific war in Ukraine has significantly clouded the outlook for the globaleconomy, leading to major volatility in energy and metal markets. Sanctions on Russia, Europe’s top energysupplier, and general wartime disruption are likely to drive already-high commodity prices even higher. Sharpincreases in energy prices will exacerbate inflationary pressure while also constraining economic growth.Combating inflation without stifling a recovery, while buffering against ongoing supply and price shocks amidthe ebb and flow of the pandemic, will be an especially challenging environment for setting effective monetarypolicy. Despite the likelihood of more rate increases on the horizon, we believe the Fed will err on the side ofprotecting employment, even at the expense of higher inflation.In this environment, we favor an overweight to equities, as valuations have become more attractive andinflation-adjusted interest rates remain low. Sectors that are better poised to manage the transition to a lowercarbon world, such as technology and health care, are particularly attractive in the long term. We favorU.S. equities due to strong earnings momentum, while Japanese equities should benefit from supportivemonetary and fiscal policy. We are underweight credit overall, but inflation-protected U.S. Treasuries, Asianfixed income, and emerging market local-currency bonds offer potential opportunities for additional yield. Webelieve that international diversification and a focus on sustainability and quality can help provide portfolioresilience.6-Month12-MonthU.S. large cap equities(S&P 500 Index)5.92%15.65%U.S. small cap equities(Russell 2000 Index)(5.55)(5.79)International equities(MSCI Europe, Australasia,Far East Index)(3.38)1.16Emerging marketequities (MSCI EmergingMarkets Index)(8.20)(11.37)3-month Treasury bills(ICE BofA 3-Month U.S.Treasury Bill Index)0.050.07U.S. Treasury securities(ICE BofA 10-Year U.S.Treasury Index)(6.04)(3.31)U.S. investment gradebonds (BloombergU.S. Aggregate Bond Index)(5.92)(4.15)Tax-exempt municipalbonds (Bloomberg MunicipalBond Index)(5.55)(4.47)U.S. high yield bonds(Bloomberg U.S.Corporate High Yield 2%Issuer Capped Index)(4.16)(0.66)Past performance is not an indication of future results. Indexperformance is shown for illustrative purposes only. Youcannot invest directly in an index.Overall, our view is that investors need to think globally, extend their scope across a broad array of assetclasses, and be nimble as market conditions change. We encourage you to talk with your financial advisor andvisit blackrock.com for further insight about investing in today’s markets.Sincerely,Rob KapitoPresident, BlackRock Advisors, LLC2TH I SPAG EI SNOT PART OF YOUR FNM0522U-2221295-2/48U N DREP O R T
Table of ContentsPageThe Markets in Review .Annual Report:Fund Summary .About Fund Performance .Disclosure of Expenses .Derivative Financial Instruments .Financial Statements:Schedule of Investments .Statement of Assets and Liabilities .Statement of Operations .Statement of Changes in Net Assets .Financial Highlights .Notes to Financial Statements .Report of Independent Registered Public Accounting Firm .Disclosure of Investment Advisory Agreement .Disclosure of Investment Sub-Advisory Agreement .Statement Regarding Liquidity Risk Management Program .Trustee and Officer Information .Additional Information .Glossary of Terms Used in this Report 53
Fund Summary as of March 31, 2022BlackRock Global Equity Absolute Return FundInvestment ObjectiveBlackRock Global Equity Absolute Return Fund’s (the “Fund”) investment objective is to seek total return over the long-term.The Fund commenced operations on December 21, 2021.Expense ExampleInstitutional . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Investor A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Class K . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .(a)(b)ActualBeginningEndingAccount Value Account Value(12/21/21)(a)(03/31/22) 1,000.00 918.001,000.00918.001,000.00918.00Hypothetical 5% ReturnExpensesBeginningEndingExpenses AnnualizedPaid During Account Value Account Value Paid DuringExpensethe Period(b)(12/21/21)(a)(03/31/22)the Period(b)Ratio 5.14 1,000.00 1,015.19 1,015.449.571.90Commencement of operations.For each class of the Fund, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 100/365 for actualexpenses and 182/365 for hypothetical expenses (to reflect the one-half year period shown).See “Disclosure of Expenses” for further information on how expenses were calculated.42022 BL A C KROC KANREPORT TO SHAREHOLDERSNM0522U-2221295-4/48N U A L
Fund Summary as of March 31, 2022 (continued)BlackRock Global Equity Absolute Return FundPortfolio InformationTEN LARGEST HOLDINGSSecurity(a)Sony Group Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Novo Nordisk A/S, Class B . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Comcast Corp., Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Amazon.com, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .GXO Logistics, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Koninklijke DSM NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Recruit Holdings Co. Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Roche Holding AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Tencent Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .ASML Holding NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .(a)FGEOGRAPHIC ALLOCATIONPercent ofNet Assets5%554443333Percent ofNet AssetsCountryUnited States. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Japan . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Denmark . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Netherlands . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .China . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Germany . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Sweden . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Switzerland . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Iceland . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Italy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Singapore . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Other Assets Less Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .50%1176543332213Excludes short-term securities.U N DSUM M A R YNM0522U-2221295-5/485
About Fund PerformanceInstitutional and Class K Shares are not subject to any sales charge. These shares bear no ongoing distribution or service fees and are available only to certain eligibleinvestors.Investor A Shares are subject to a maximum initial sales charge (front-end load) of 5.25% and a service fee of 0.25% per year (but no distribution fee). Certain redemptionsof these shares may be subject to a contingent deferred sales charge (“CDSC”) where no initial sales charge was paid at the time of purchase. These shares are generallyavailable through financial intermediaries.Past performance is not an indication of future results. Financial markets have experienced extreme volatility and trading in many instruments has been disrupted. Thesecircumstances may continue for an extended period of time and may continue to affect adversely the value and liquidity of the Fund’s investments. As a result, currentperformance may be lower or higher than the performance data quoted. Refer to blackrock.com to obtain performance data current to the most recent month-end.Performance results do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Investment return and principalvalue of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Distributions paid to each class of shares will vary becauseof the different levels of service, distribution and transfer agency fees applicable to each class, which are deducted from the income available to be paid to shareholders.BlackRock Advisors, LLC (the “Manager”), the Fund’s investment adviser, has contractually and/or voluntarily agreed to waive and/or reimburse a portion of the Fund’sexpenses. Without such waiver(s) and/or reimbursement(s), the Fund’s performance would have been lower. With respect to the Fund’s voluntary waiver(s), if any, theManager is under no obligation to waive and/or reimburse or to continue waiving and/or reimbursing its fees and such voluntary waiver(s) may be reduced or discontinued atany time. With respect to the Fund’s contractual waiver(s), if any, the Manager is under no obligation to continue waiving and/or reimbursing its fees after the applicabletermination date of such agreement. See the Notes to Financial Statements for additional information on waivers and/or reimbursements.Disclosure of ExpensesShareholders of the Fund may incur the following charges: (a) transactional expenses, such as sales charges; and (b) operating expenses, including investment advisory fees,administration fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other fund expenses. The expense example shown (which isbased on a hypothetical investment of 1,000 invested at the beginning of the period (or from the commencement of operations if less than 6 months) and held through the endof the period) is intended to assist shareholders both in calculating expenses based on an investment in the Fund and in comparing these expenses with similar costs ofinvesting in other mutual funds.The expense example provides information about actual account values and actual expenses. Annualized expense ratios reflect contractual and voluntary fee waivers, if any.In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by 1,000 and then multiply theresult by the number corresponding to their share class under the heading entitled “Expenses Paid During the Period.”The expense example also provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rateof return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in the Fund and other funds, compare the 5%hypothetical example with the 5% hypothetical examples that appear in shareholder reports of other funds.The expenses shown in the expense example are intended to highlight shareholders’ ongoing costs only and do not reflect transactional expenses, such as sales charges, ifany. Therefore, the hypothetical example is useful in comparing ongoing expenses only and will not help shareholders determine the relative total expenses of owning differentfunds. If these transactional expenses were included, shareholder expenses would have been higher.Derivative Financial InstrumentsThe Fund may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assetswithout owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currencyexchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfectcorrelation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument.The Fund’s successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot beassured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Fund can realize on an investmentand/or may result in lower distributions paid to shareholders. The Fund’s investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.62022 BL A C KROC KANREPORT TO SHAREHOLDERSNM0522U-2221295-6/48N U A L
Schedule of InvestmentsBlackRock Global Equity Absolute Return Fund(Percentages shown are based on Net Assets)March 31, 2022SecuritySharesValueCommon StocksCanada — 3.4%Canadian National Railway Co. . . . . . . . . . . . . . . . . . . . . . . . . . .Docebo, Inc.(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .1,853 1,212248,56962,648311,217China — 4.7%Tencent Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Wuxi Biologics Cayman, Inc.(a)(b) . . . . . . . . . . . . . . . . . . . . . . . . .6,10019,500281,175154,842436,017Denmark — 7.1%Ascendis Pharma A/S, ADR(a). . . . . . . . . . . . . . . . . . . . . . . . . . . .Novo Nordisk A/S, Class B . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .1,4674,290172,167475,830647,997Germany — 3.7%Infineon Technologies AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .MTU Aero Engines AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .5,585638188,941147,556336,497Iceland — 1.6%Marel HF(b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .25,600149,262Italy — 1.6%Intesa Sanpaolo SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .64,428147,461Japan — 10.5%Japan Steel Works Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Recruit Holdings Co. Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Sony Group Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . lands — 6.4%ASML Holding NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Koninklijke DSM NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .3781,864252,588333,458586,046Singapore — 0.8%Sea Ltd., ADR(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .60372,233Sweden — 3.4%Byggfakta Group Nordic Holdco AB(a) . . . . . . . . . . . . . . . . . . . .Epiroc AB, Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .19,6049,94997,995212,798SC H E D U L EO FIN V E S T M E N T S1,089 152,0202,992,556Total Long-Term Investments — 79.0%(Cost: 7,767,600) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .7,252,247Short-Term Securities(d)(e)Money Market Funds — 17.6%BlackRock Liquidity Funds, T-Fund, Institutional Class,0.21% . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .SL Liquidity Series, LLC, Money Market Series, 0.42%(f) . .1,502,087120,2861,502,087120,250Total Short-Term Securities — 17.6%(Cost: 1,622,337) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .1,622,337Total Investments — 96.6%(Cost: 9,389,937) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Other Assets Less Liabilities — 3.4% . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .8,874,584307,992Net Assets — 100.0% . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,182,576(a)(c)744SharesUnited States — 32.6%Airbnb, Inc., Class A(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Amazon.com, Inc.(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Axon Enterprise, Inc.(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Baker Hughes Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Chart Industries, Inc.(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Comcast Corp., Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Equinix, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .GXO Logistics, Inc.(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Live Nation Entertainment, Inc.(a)(c). . . . . . . . . . . . . . . . . . . . . . .Mastercard, Inc., Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .ROBLOX Corp., Class A(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .SVB Financial Group(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Thermo Fisher Scientific, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . .WillScot Mobile Mini Holdings Corp.(a) . . . . . . . . . . . . . . . . . . . .(b)310,793Switzerland — 3.2%Roche Holding AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Security(d)(e)(f)Non-income producing security.Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933,as amended. These securities may be resold in transactions exempt from registration toqualified institutional investors.All or a portion of this security is on loan.Affiliate of the Fund.Annualized 7-day yield as of period end.All or a portion of this security was purchased with the cash collateral from loanedsecurities.294,373NM0522U-2221295-7/487
Schedule of InvestmentsBlackRock Global Equity Absolute Return Fund(continued)March 31, 2022AffiliatesInvestments in issuers considered to be affiliate(s) of the Fund during the period ended March 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940,as amended, were as follows:Value at03/31/21Affiliated IssuerBlackRock Liquidity Funds, T-Fund,Institutional Class . . . . . . . . . . . . . . . . . . . . . .SL Liquidity Series, LLC, Money MarketSeries . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .(a)(b)Purchasesat CostProceedsfrom SaleNetRealizedGain (Loss)Change inUnrealizedAppreciation(Depreciation)Value at03/31/22SharesHeld at03/31/22IncomeCapitalGainDistributionsfrom UnderlyingFunds 159 — — 1,502,087(a) — — — 86 4 — 1,622,3371(b)— 160 —Represents net amount purchased (sold).All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and otherpayments to and from borrowers of securities.Derivative Financial Instruments Outstanding as of Period EndFutures ContractsDescriptionNumber 04/14/2206/09/2206/17/2206/17/22 4423681,1331,442Short ContractsCAC 40 Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Mini-TOPIX Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .S&P 500 E-Mini Index. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .STOXX Europe 600 Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .Value/UnrealizedAppreciation(Depreciation) (17,673)(31,296)(84,451)(82,573) (215,993)Forward Foreign Currency Exchange ContractsCurrency PurchasedUSDUSDUSD152,774151,414861,158Currency SoldEUR137,680JPY 18,329,756JPY 101,474,792SettlementDateCounterpartyBank of America N.A.Citibank N.A.State Street Bank and Trust Depreciation) 36778527,261 35UBS AGUBS AGHSBC Bank PLCMorgan Stanley & Co. International PLCUBS AGGoldman Sachs InternationalHSBC Bank )(3,048)(33,330) (4,917)82022BL A C KROC KANREPORT TO SHAREHOLDERSNM0522U-2221295-8/48N U A L
Schedule of InvestmentsBlackRock Global Equity Absolute Return Fund(continued)March 31, 2022OTC Total Return SwapsReference EntityEquity SecuritiesLong/Short . . . . . hlyMonthlyCitibank N.A.(a)Goldman Sachs Bank USA(c)HSBC Bank PLC(e)Morgan Stanley & Co. International /10/23–02/13/2312/26/23–04/01/24 lizedAppreciation(Depreciation)Gross NotionalAmountNet AssetPercentageNet Value ofReferenceEntity 54,204 (b)(20,054) (d)(50,475) (f)3,063 (h) (663,511)(599,663)(230,176)(1,085,363) (13,262) (2,578,713)14.9%15.315.812.0(b)Amount includes (5,308) of net dividends and financing fees.Amount includes (2,860) of net dividends and financing fees.(f)Amount includes (3,319) of net dividends and financing fees.(h)Amount includes (9,375) of net dividends and financing fees.(i)The Fund receives the total return on a portfolio of long positions underlying the total return swap. The Fund pays the total return on a portfolio of short positions underlying the totalreturn swap. In addition, the Fund pays or receives a variable rate of interest, based on a specified benchmark. The benchmark and spread are determined based upon the countryand/or currency of the individual underlying positions.The following are the specified benchmarks (plus or minus a range) used in determining the variable rate of interest:(d)(a)18-27 basis pointsEuro Short-Term Rate:EUR 1 DaySterling Overnight Index Average:GBP 1 DayTokyo Overnight Average Rate:JPY 1 DayOvernight Bank Funding RateUSD 1 DayRange:Benchmarks:(c)15-26 basis pointsEuro Short-Term Rate:EUR 1 DaySterling Overnight Index Average:GBP 1 DayOvernight Bank Funding RateUSD 1 Day(e)15-30 basis pointsEuro Short-Term Rate:EUR 1 DaySterling Overnight Index Average:GBP 1 DayTokyo Overnight Average Rate:JPY 1 DayOvernight Bank Funding RateUSD 1 Day(g)15-288 basis pointsEuro Short-Term Rate:EUR 1 DayTokyo Overnight Average Rate:JPY 1 DayOvernight Bank Funding RateUSD 1 DayRange:Benchmarks:The following table represents the individual long and short positions and relatedvalues of equity securities underlying the total return swap with Citibank N.A. as ofperiod end, termination date February 24, 2023:SharesValueSharesValue1,980 (112,980)JapanSeven Bank Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67,600(131,937)19.9(14.7)%NetherlandsRandstad NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .2,200(132,341)19.9(36.5)United KingdomBunz
Equity prices were mixed, as persistently high inflation drove investors' expectations for higher interest rates, which particularly weighed on relatively high valuation growth stocks and economically sensitive small-capitalization stocks. Overall, small-capitalization U.S. stocks declined, while large-capitalization U.S. stocks
