Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the period ended August 31, 2024 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| Affiliated Issuer | Value at
05/31/24 | Purchases
at Cost | Proceeds
from Sales | Net
Realized
Gain (Loss) | | Change in
Unrealized
Appreciation
(Depreciation) | | Value at
08/31/24 | Shares
Held at
08/31/24 | Income | | Capital
Gain
Distributions
from Underlying
Funds |
BlackRock Cash Funds: Institutional, SL Agency Shares
| $ 3,324,253 | $ 738,394(a) | $ — | $ 540 | | $ (366) | | $ 4,062,821 | 4,060,385 | $ 789(b) | | $ — |
BlackRock Liquidity Funds, T-Fund, Institutional Shares
| 5,735,335 | — | (206,168)(a) | — | | — | | 5,529,167 | 5,529,167 | 75,945 | | — |
| | | | | $ 540 | | $ (366) | | $ 9,591,988 | | $ 76,734 | | $ — |
| (a) | Represents net amount purchased (sold). |
| (b) | 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 other payments to and from borrowers of securities. |
For purposes of this report, industry and sector sub-classifications may differ from those utilized by the Fund for compliance purposes.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
| Description | Number of
Contracts | Expiration
Date | Notional
Amount
(000) | Value/
Unrealized
Appreciation
(Depreciation) |
| Long Contracts | | | | |
S&P 500 E-Mini Index
| 24 | 09/20/24 | $ 6,793 | $ 265,943 |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
• Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access;
• Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs); and
• Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Valuation Committee’s assumptions used in determining the fair value of financial instruments).
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of financial instruments, refer to its most recent financial statements.
