September 30, 1999
Equity
Portfolios
Annual Report to Shareholders
Not FDIC Insured
May Lose Value
No Bank Guarantee
BLACKROCK FUNDS (LOGO)
PURE INVESTMENT STYLE(REGISTRATION MARK)
[GRAPHIC OMITTED]
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BLACKROCK FUNDS
EQUITY PORTFOLIOS
* Large Cap Value Equity
* Large Cap Growth Equity
* Mid-Cap Value Equity
* Mid-Cap Growth Equity
* Small Cap Value Equity
* Small Cap Growth Equity
* Micro-Cap Equity
* International Equity
* International Small Cap Equity
* International Emerging Markets
* Select Equity
* Index Equity
* Balanced
TABLE OF CONTENTS
SHAREHOLDER LETTER.............................................................1
PORTFOLIO SUMMARIES
Large Cap Value Equity...................................................3
Large Cap Growth Equity..................................................4
Mid-Cap Value Equity.....................................................5
Mid-Cap Growth Equity....................................................6
Small Cap Value Equity...................................................7
Small Cap Growth Equity..................................................8
Micro-Cap Equity.........................................................9
International Equity....................................................10
International Small Cap Equity..........................................11
International Emerging Markets..........................................12
Select Equity...........................................................13
Index Equity............................................................14
Balanced................................................................15
Note on Performance Information.........................................16
STATEMENTS OF NET ASSETS/SCHEDULES OF INVESTMENTS..........................17-54
Large Cap Value Equity Statement of Assets & Liabilities................19
Large Cap Growth Equity Statement of Assets & Liabilities...............22
Mid-Cap Value Equity Statement of Assets & Liabilities..................25
Mid-Cap Growth Equity Statement of Assets & Liabilities.................28
Small Cap Growth Equity Statement of Assets & Liabilities...............34
International Emerging Markets Statement of Assets & Liabilities........45
Select Equity Statement of Assets & Liabilities.........................48
Balanced Statement of Assets & Liabilities..............................55
PORTFOLIO FINANCIAL STATEMENTS
Statements of Operations.............................................56-57
Statements of Changes in Net Assets..................................58-61
Financial Highlights.................................................62-73
NOTES TO FINANCIAL STATEMENTS..............................................74-88
REPORT OF INDEPENDENT ACCOUNTANTS.............................................89
DFA INVESTMENT TRUST COMPANY ANNUAL REPORT................................90-108
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BLACKROCK FUNDS
October 14, 1999
Dear Shareholder:
We are pleased to present the Annual Report for the BlackRock Funds for
the fiscal year ended September 30, 1999, our last annual report of the
millenium.
As we look ahead to the new millenium the future looks promising. While
the Fed has indicated a bias to tightening, interest rates remain low and
stable. Inflation still seems to be in check, despite a general consensus that
world economies are strengthening. Over the past twelve months the S&P 500 moved
ahead by 27.8%, and the Dow did even better, returning 34.0%. Broadly, stocks
performed better than bonds over the same period, as the total return of the
Lehman Aggregate Index was -0.38%.
However, these numbers tell only part of the story. A closer look reveals
that much of the equity market's performance was generated in the last quarter
of 1998. As an example, the performance of the S&P 500 for the first nine months
of 1999 is only 5.87%. Additionally, performance has been narrow, with the
largest growth stocks (and, to some degree, the Internet sector) leading the
way. In other words, it looks like the great bull market of recent years may
have slowed its charge. It is still moving forward, but with less energy.
What should investors do?
We believe that the symbolism of the new millenium is appropriate for
investors. The idea that we are marking the passing of 1,000 years of human
history is a wonderful reminder of the virtue of patience.
While we will be hearing much exaggeration and cosmic rhetoric about the
"new age" of investing, we believe that this is a good time to call to mind a
concept that has proven its worth over many years of investment history. This is
the idea of "regression to the mean," which basically means that, over time,
markets tend to perform as they have always performed.
According to Ibbotson, from 1926 to 1998, the market for large company
stocks as measured by the S&P 500 Index has returned 11.22% annually. This is a
respectable return but significantly less generous than the S&P has been
returning in recent years. Therefore, if you believe that markets will revert to
their historical performance, this figure is a more realistic long-term planning
tool. On the other hand, if you are mesmerized by the recent dazzling
performance of internet stocks, 11.22% may look paltry.
Will the concept of "regression to the mean" impact markets in the new
millenium as it has in the past? Or have we really entered a new age in which
valuations are based on new and non-traditional measures and that markets can
continue to climb higher indefinitely. This is what some observers think. For
example, consider that the total market capitalization of AOL is approximately
$136 billion, which is nearly equal to the COMBINED market capitalizations of
Dow Industrial components J.P. Morgan, Alcoa, General Motors and Philip Morris.
There is even a best-selling book titled "Dow 36,000" whose authors believe that
the DJIA should be three times as high because they believe that "old" methods
of valuation are out of date and do not reflect the realities of the new
information economy. Of course we cannot predict the future, but we believe that
while certain factors may change, markets will continue to fluctuate in the
future as they have in the past.
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BLACKROCK FUNDS
BlackRock was founded on the belief that adhering to a disciplined
investment approach that seeks to manage risk rather than attempt to time the
markets will add value to client portfolios. That's why we continue to believe
that the best course of action in the new millenium is the same as it was in the
old: 1) work with your financial adviser to set your goals; 2) plan and
implement a sensible asset allocation that meets your goals and fits with your
personal ability to tolerate risk; and 3) consult with your financial advisor to
make ongoing adjustments.
We also believe that mutual funds, which provide a diversified investment
portfolio and professional management, may be the most appropriate investment
vehicle for individual investors.
BlackRock Funds takes pride in the completeness of its mutual fund
offerings. We currently offer 36 different portfolios which can meet the needs
of virtually any investor regardless of investment goal and risk tolerance. In
addition to the traditional asset classes, we also offer funds such as
International Small Cap Equity, Micro-Cap Equity and High Yield Bond for
investors that are interested in more specialized markets.
Continued thanks for your confidence in BlackRock Funds. We appreciate the
opportunity to help you achieve your long-term investment goals.
Sincerely,
/S/ KAREN H. SABATH
Karen H. Sabath
MANAGING DIRECTOR
BLACKROCK ADVISORS, INC.
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BLACKROCK FUNDS
LARGE CAP VALUE EQUITY PORTFOLIO
TOTAL NET ASSETS (9/30/99):
$2.4 BILLION
PERFORMANCE BENCHMARK:
RUSSELL 1000 VALUE INDEX
INVESTMENT APPROACH:
PURSUES LONG-TERM CAPITAL APPRECIATION BY INVESTING IN STOCKS OF COMPANIES
BELIEVED BY THE MANAGER TO BE UNDERVALUED. TYPICALLY, THE MANAGER WILL FOCUS ON
STOCKS WITH LOWER THAN AVERAGE PRICE-TO-EARNINGS AND PRICE-TO-BOOK RATIOS AND
MARKET CAPITALIZATIONS IN EXCESS OF $10 BILLION. A COMPANY'S EARNINGS TREND AND
ITS STOCK'S DIVIDEND GROWTH RATE WILL ALSO BE FACTORS CONSIDERED IN SECURITY
SELECTION.
RECENT PORTFOLIO MANAGEMENT ACTIVITY:
(BULLET)THE PORTFOLIO WAS REWARDED FOR ITS OVERWEIGHT IN THE ENERGY SECTOR
DURING THE PERIOD, AS ONGOING INDUSTRY CONSOLIDATION AND HIGHER OIL PRICES
SPARKED INVESTOR INTEREST. ADDITIONALLY, CONSOLIDATION IN THE TELECOMMUNICATIONS
INDUSTRY LED TO HIGHER VALUATIONS IN THAT SECTOR.
(BULLET)VALUE STOCKS CAME BACK INTO FAVOR IN THE SECOND QUARTER OF 1999,
WITH MOST OF THE INVESTOR ATTENTION DIRECTED AT THE LARGEST CAPITALIZATION VALUE
STOCKS. TRADITIONALLY, VALUE STOCKS HAVE PERFORMED BETTER IN A RISING INTEREST
RATE ENVIRONMENT, HOWEVER MOST OF THE MARKET'S ENTHUSIASM FOR VALUE STOCKS WAS
SHRUGGED OFF EVEN AS INTEREST RATES ROSE IN THE THIRD QUARTER OF 1999.
(BULLET)AFTER ADDING SOME NAMES IN TRADITIONAL GROWTH SECTORS, SUCH AS
TECHNOLOGY, TO THE PORTFOLIO DURING THE MARKET'S WEAKNESS DURING THE SUMMER AND
FALL OF 1998, THE MANAGER SCALED BACK THOSE POSITIONS AS VALUATIONS IN THOSE
SECTORS SOARED.
Although the portfolio holdings and sectors listed above were current as of the
end of the annual period ended September 30, 1999, the Portfolio is actively
managed and the composition will vary.
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE LARGE CAP VALUE
EQUITY PORTFOLIO AND RUSSELL 1000 VALUE INDEX FROM INCEPTION AND AT EACH
FISCAL YEAR END.
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
Institutional Service Investor A Investor B Investor C Russell 1000
Class Class Class Class Class Value Index
4/20/92 $10,000 $10,000 $9,550 $10,000 $10,000 $10,000
Jun-92 9,831 9,831 9,388 9,831 9,831 9,842
Sep-92 9,882 9,882 9,437 9,882 9,882 9,899
Dec-92 10,457 10,457 9,986 10,457 10,457 10,476
Mar-93 11,342 11,342 10,832 11,342 11,342 11,333
Jun-93 11,414 11,414 10,901 11,414 11,414 11,575
Sep-93 12,048 12,042 11,508 12,050 12,050 12,044
Dec-93 12,338 12,327 11,768 12,322 12,322 11,919
Mar-94 11,871 11,853 11,313 11,846 11,846 11,410
Jun-94 12,045 12,021 11,459 11,999 11,999 11,385
Sep-94 12,501 12,466 11,891 12,452 12,452 11,568
Dec-94 12,474 12,432 11,854 12,413 12,413 11,265
Mar-95 13,546 13,494 12,862 13,468 13,468 12,224
Jun-95 14,616 14,549 13,863 14,516 14,516 13,197
Sep-95 15,716 15,633 14,890 15,591 15,591 14,232
Dec-95 16,823 16,722 15,921 16,672 16,672 15,060
Mar-96 17,778 17,659 16,807 17,581 17,581 15,794
Jun-96 18,388 18,253 17,372 18,132 18,132 15,945
Sep-96 19,018 18,864 17,947 18,705 18,705 16,285
Dec-96 20,894 20,698 19,712 20,485 20,485 17,770
Mar-97 21,243 21,044 20,007 20,363 20,363 18,119
Jun-97 24,155 23,900 22,716 23,671 23,671 20,649
Sep-97 26,177 25,883 24,592 25,579 25,579 22,561
Dec-97 26,876 26,554 25,236 26,195 26,195 23,445
Mar-98 30,252 29,905 28,361 29,375 29,375 26,068
Jun-98 29,798 29,417 27,907 28,852 28,852 26,185
Sep-98 25,581 25,237 23,947 24,698 24,698 23,153
Dec-98 29,692 29,273 27,752 28,560 28,560 26,996
Mar-99 30,031 29,583 28,041 28,795 28,795 27,385
Jun-99. 33,457 32,917 31,195 31,982 31,982 30,472
Sep-99. 29,516 29,033 27,502 27,294 28,138 27,488
For period ending September 30, 1999
AVERAGE ANNUAL TOTAL RETUR
1 YEAR 3 YEAR 5 YEAR FROM INCEPTION
------ ------ ------ --------------
Institutional Class 15.38% 15.79% 18.75% 15.65%
Service Class 15.03% 15.46% 18.42% 15.38%
Investor A Class (Load Adjusted) 9.69% 13.54% 17.17% 14.55%
Investor A Class (NAV) 14.85% 15.28% 18.25% 15.26%
Investor B Class (Load Adjusted) 8.80% 13.02% 17.11% 14.82%
Investor B Class (NAV) 13.93% 14.37% 17.58% 14.82%
Investor C Class (Load Adjusted) 12.79% 14.37% 17.58% 14.82%
Investor C Class (NAV) 13.93% 14.37% 17.58% 14.82%
The performance information above includes information relating to each class of
the Portfolio since the commencement of operations of the Portfolio, rather than
the date such class was introduced. The inception dates of the Portfolio's share
classes were as follows: Institutional Shares, 4/20/92; Investor A Shares,
5/2/92; Service Shares, 7/29/93; Investor B Shares, 1/18/96; and Investor C
Shares, 8/16/96. See "Note on Performance Information" on page 16 for further
information on how performance data was calculated.
Past performance is not predictive of future results.
3
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BLACKROCK FUNDS
LARGE CAP GROWTH EQUITY PORTFOLIO
TOTAL NET ASSETS (9/30/99)
$1.5 BILLION
PERFORMANCE BENCHMARK:
RUSSELL 1000 GROWTH INDEX
INVESTMENT APPROACH:
PURSUES LONG-TERM CAPITAL APPRECIATION BY INVESTING IN STOCKS OF COMPANIES
BELIEVED BY THE MANAGER TO HAVE ABOVE-AVERAGE EARNINGS GROWTH PROSPECTS AND
MARKET CAPITALIZATIONS IN EXCESS OF $10 BILLION.
RECENT PORTFOLIO MANAGEMENT ACTIVITY:
(BULLET)DURING THE PERIOD, GROWTH STOCKS OUTPERFORMED VALUE STOCKS IN THE
LARGE CAP ARENA, AS INVESTORS CONTINUED TO FAVOR LARGE CAP STOCKS AND TECHNOLOGY
COMPANIES. THE PORTFOLIO'S OVERWEIGHT TO THE TECHNOLOGY SECTOR CONTRIBUTED TO
THE PORTFOLIO'S OUTPERFORMANCE VERSUS THE RUSSELL 1000 GROWTH INDEX.
(BULLET)THE PORTFOLIO'S LARGEST SECTOR ALLOCATIONS OVER THE PERIOD WERE
TECHNOLOGY AND HEALTHCARE. THE MANAGER MAINTAINED A FAVORABLE VIEW OF TECHNOLOGY
STOCKS BECAUSE OF UPSIDE EARNINGS SURPRISES, WHICH HELPED DRIVE TECHNOLOGY
COMPANY STOCK PRICES HIGHER.
(BULLET)ADDITIONALLY, STOCK SELECTION AIDED PERFORMANCE AS SEVERAL OF THE
MANAGER'S SIGNIFICANT POSITIONS OUTPERFORMED. STRONG PERFORMERS INCLUDED GENERAL
ELECTRIC CO., MICROSOFT CORP. AND CISCO SYSTEMS, INC.
Although the portfolio holdings and sectors listed above were current as of the
end of the annual period ended Septermber 30, 1999, the Portfolio is actively
managed and the composition will vary.
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE LARGE CAP GROWTH
EQUITY PORTFOLIO AND RUSSELL 1000 GROWTH INDEX FROM INCEPTION AND AT EACH
FISCAL YEAR END.
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
Institutional Service Investor A Investor B Investor C Russell 1000
Class Class Class Class Class Growth Index
11/1/89 $10,000 $10,000 $ 9,550 $10,000 $10,000 $10,000
Dec-89 10,825 10,825 10,338 10,825 10,825 10,396
Mar-90 10,493 10,493 10,021 10,493 10,493 10,053
Jun-90 10,987 10,987 10,493 10,987 10,987 10,651
Sep-90 10,040 10,040 9,589 10,040 10,040 9,096
Dec-90 10,603 10,603 10,126 10,603 10,603 9,963
Mar-91 11,397 11,397 10,884 11,397 11,397 11,510
Jun-91 11,304 11,304 10,795 11,304 11,304 11,459
Sep-91 11,993 11,993 11,454 11,993 11,993 12,167
Dec-91 13,361 13,361 12,760 13,361 13,361 13,254
Mar-92 12,389 12,389 11,831 12,389 12,389 12,967
Jun-92 12,455 12,455 11,894 12,455 12,455 13,148
Sep-92 12,581 12,581 12,014 12,581 12,581 13,579
Dec-92 13,228 13,228 12,631 13,228 13,228 14,451
Mar-93 13,473 13,473 12,865 13,473 13,473 15,053
Jun-93 13,912 13,912 13,271 13,912 13,912 15,157
Sep-93 15,371 15,371 14,651 15,371 15,371 15,646
Dec-93 15,039 15,039 14,338 15,039 15,039 15,919
Mar-94 13,859 13,859 13,200 13,859 13,859 15,290
Jun-94 13,001 13,001 12,370 13,001 13,001 15,260
Sep-94 136,57 13,657 12,983 13,657 13,657 16,041
Dec-94 13,525 13,525 12,841 13,525 13,525 15,979
Mar-95 14,755 14,755 13,997 14,755 14,755 17,499
Jun-95 16,075 16,075 15,237 16,075 16,075 19,147
Sep-95 17,737 17,737 16,781 17,737 17,737 20,853
Dec-95 18,183 18,183 17,192 18,183 18,183 22,012
Mar-96 19,333 19,333 18,267 19,333 19,333 23,226
Jun-96 20,471 20,471 19,315 20,447 20,447 24,171
Sep-96 21,048 21,048 19,833 20,954 20,954 24,958
Dec-96 21,884 21,884 20,591 21,727 21,727 26,948
Mar-97 21,746 21,746 20,451 21,521 21,521 27,365
Jun-97 25,867 25,858 24,304 25,534 25,534 32,540
Sep-97 28,140 28,115 26,412 27,697 27,697 34,987
Dec-97 28,104 28,051 26,335 27,567 27,567 36,040
Mar-98 32,837 32,752 30,725 32,162 32,096 40,859
Jun-98 34,918 34,793 32,642 34,169 34,032 42,710
Sep-98 31,451 31,303 29,358 30,732 30,557 38,827
Dec-98 39,716 39,523 37,039 38,771 38,480 49,210
Mar-99 42,850 42,590 39,905 41,774 41,367 52,339
Jun-99 43,643 43,361 40,612 42,442 42,028 54,354
Sep-99 42,604 42,290 39,605 40,062 40,898 52,360
FOR PERIOD ENDING SEPTEMBER 30, 1999
AVERAGE ANNUAL TOTAL RETURN
1 YEAR 3 YEAR 5 YEAR FROM INCEPTION
------ ------ ------ --------------
Institutional Class 35.46% 26.49% 25.55% 15.73%
Service Class 35.10% 26.12% 25.17% 15.54%
Investor A Class (Load Adjusted) 28.84% 24.03% 23.85% 14.88%
Investor A Class (NAV) 34.91% 25.94% 24.99% 15.41%
Investor B Class (Load Adjusted) 27.81% 23.49% 23.77% 15.08%
Investor B Class (NAV) 33.83% 24.97% 24.27% 15.08%
Investor C Class (Load Adjusted) 32.49% 24.97% 24.27% 15.08%
Investor C Class (NAV) 33.83% 24.97% 24.27% 15.08%
The performance information above includes information relating to each class of
the Portfolio since the commencement of operations of the Portfolio, rather than
the date such class was introduced. The inception dates of the Portfolio's share
classes were as follows: Institutional Shares, 11/1/89; Investor A Shares,
3/14/92; Service Shares, 7/29/93; Investor B Shares, 1/24/96; and Investor C
Shares, 1/24/97. See "Note on Performance Information" on page 16 for further
information on how performance data was calculated.
Past performance is not predictive of future results.
4
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BLACKROCK FUNDS
MID-CAP VALUE EQUITY PORTFOLIO
TOTAL NET ASSETS (9/30/99):
$284.6 MILLION
PERFORMANCE BENCHMARK:
RUSSELL MID CAP VALUE INDEX
INVESTMENT APPROACH:
PURSUES LONG-TERM CAPITAL APPRECIATION BY INVESTING IN STOCKS OF COMPANIES
BELIEVED BY THE MANAGER TO BE UNDERVALUED. TYPICALLY, THE MANAGER WILL FOCUS ON
STOCKS WITH LOWER THAN AVERAGE PRICE-TO-EARNINGS AND PRICE-TO-BOOK RATIOS AND
MARKET CAPITALIZATIONS GENERALLY BETWEEN $2 BILLION AND $10 BILLION. A COMPANY'S
EARNINGS TREND AND ITS STOCK'S DIVIDEND GROWTH RATE WILL ALSO BE FACTORS
CONSIDERED IN SECURITY SELECTION.
RECENT PORTFOLIO MANAGEMENT ACTIVITY:
(BULLET)INVESTORS EMPHASIZED LARGER CAPITALIZATION STOCKS DURING THE ANNUAL
PERIOD, HAMPERING THE RELATIVE PERFORMANCE OF SMALL AND MID-CAPITALIZATION
STOCKS.
(BULLET)DESPITE THE MANAGER'S DECISION TO OVERWEIGHT STRONG PERFORMING
TECHNOLOGY AND ENERGY STOCKS RELATIVE TO THE RUSSELL MID CAP VALUE INDEX, THE
PORTFOLIO'S POSITIONS IN THE BANKING AND HEALTHCARE SECTORS UNDERMINED OVERALL
PERFORMANCE AS THOSE SECTORS LAGGED.
Although the portfolio holdings and sectors listed above were current as of the
end of the annual period ended September 30, 1999, the Portfolio is actively
managed and the composition will vary.
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE MID-CAP VALUE
EQUITY PORTFOLIO AND THE RUSSELL MID CAP VALUE INDEX FROM INCEPTION AND AT EACH
QUARTER-END.
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
Russell
Institutional Service Investor A Investor B Investor C Mid Cap
Class Class Class Class Class Value Index
Dec-96 $10,000 $10,000 $ 9,550 $10,000 $10,000 $10,000
Mar-97 10,084 10,071 9,617 10,065 10,065 10,170
Jun-97 11,383 11,363 10,838 11,328 11,328 11,450
Sep-97 12,910 12,881 12,273 12,823 12,823 12,910
Dec-97 12,856 12,819 12,218 12,741 12,741 13,436
Mar-98 14,288 14,240 13,558 14,126 14,126 14,778
Jun-98 13,475 13,418 12,765 13,269 13,269 14,398
Sep-98 11,144 11,086 10,548 10,944 10,944 12,433
Dec-98 12,670 12,588 11,971 12,401 12,401 14,119
Mar-99 11,997 11,908 11,328 11,709 11,709 13,680
Jun-99 13,480 13,372 12,717 13,114 13,114 15,209
Sep-99 12,001 11,893 11,300 11,229 11,636 13,591
FOR PERIOD ENDING SEPTEMBER 30, 1999
AVERAGE ANNUAL TOTAL RETURN
1 YEAR FROM INCEPTION
------ --------------
Institutional Class 7.68% 6.83%
Service Class 7.29% 6.48%
Investor A Class (Load Adjusted) 2.32% 4.53%
Investor A Class (NAV) 7.14% 6.29%
Investor B Class (Load Adjusted) 1.51% 4.29%
Investor B Class (NAV) 6.33% 5.64%
Investor C Class (Load Adjusted) 5.27% 5.64%
Investor C Class (NAV) 6.33% 5.64%
The inception date of the Portfolio's Institutional, Service, Investor A,
Investor B and Investor C Shares was 12/27/96. See "Note on Performance
Information" on page 16 for further information on how performance data was
calculated.
Past performance is not predictive of future results.
5
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BLACKROCK FUNDS
MID-CAP GROWTH EQUITY PORTFOLIO
TOTAL NET ASSETS (9/30/99):
$435.8 MILLION
PERFORMANCE BENCHMARK:
RUSSELL MID CAP GROWTH INDEX
INVESTMENT APPROACH:
PURSUES LONG-TERM CAPITAL APPRECIATION BY INVESTING IN STOCKS OF COMPANIES
BELIEVED BY THE MANAGER TO HAVE ABOVE-AVERAGE EARNINGS GROWTH PROSPECTS AND
MARKET CAPITALIZATIONS GENERALLY BETWEEN $2 BILLION AND $10 BILLION.
RECENT PORTFOLIO MANAGEMENT ACTIVITY:
(BULLET)DURING THE PERIOD, GROWTH STOCKS OUTPERFORMED VALUE STOCKS IN THE
MID-CAP ARENA. ALTHOUGH INVESTORS GENERALLY FAVORED LARGER CAPITALIZATION
STOCKS, THE RUSSELL MID CAP GROWTH INDEX OUTPERFORMED THE RUSSELL 1000 GROWTH
INDEX.
(BULLET)THE PORTFOLIO'S OVERWEIGHTS IN THE TECHNOLOGY, CONSUMER SERVICES
AND COMMERCIAL SERVICES SECTORS AND AN UNDERWEIGHT POSITION IN THE HEALTHCARE
SECTOR ALL CONTRIBUTED TO POSITIVE PERFORMANCE.
(BULLET)ADDITIONALLY, STRONG STOCK SELECTION IN ELECTRONIC SERVICES ADDED
TO OVERALL RETURN, AS STOCKS SUCH AS LEGATO AND BROADVISION HAD A POSITIVE
IMPACT ON THE PORTFOLIO'S TOTAL RETURN.
Although the portfolio holdings and sectors listed above were current as of the
end of the annual period ended September 30, 1999, the Portfolio is actively
managed and the composition will vary.
COMPARISON OF THE CHANGE IN VALUE OS A $10,000 INVESTMENT IN THE MID-CAP GROWTH
EQUITY PORTFOLIO AND THE RUSSELL MID CAP GROWTH INDEX FROM INCEPTION AND AT
EACH QUARTER-END.
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
Russell
Institutional Service Investor A Investor B Investor C Mid Cap
Class Class Class Class Class Growth Index
12/27/96 $10,000 $10,000 $9,550 $10,000 $10,000 $10,000
Mar-97 8,894 8,930 8,519 8,920 8,920 9,635
Jun-97 10,528 10,550 10,066 10,530 10,530 11,053
Sep-97 12,151 12,170 11,594 12,110 12,110 12,600
Dec-97 11,474 11,480 10,944 11,400 11,400 12,253
Mar-98 12,911 12,913 12,293 12,782 12,782 13,741
Jun-98 13,081 13,074 12,446 12,913 12,913 13,732
Sep-98 11,173 11,158 10,615 10,997 10,997 11,439
Dec-98 14,036 14,003 13,313 13,771 13,771 14,468
Mar-99 15,986 15,940 15,153 15,649 15,649 14,963
Jun-99 17,986 17,927 17,021 17,556 17,556 16,522
Sep-99 19,213 19,128 18,158 18,033 18,687 15,694
FOR PERIOD ENDING SEPTEMBER 30, 1999
AVERAGE ANNUAL TOTAL RETURN
1 YEAR FROM INCEPTION
------ --------------
Institutional Class 71.94% 26.87%
Service Class 71.43% 26.49%
Investor A Class (Load Adjusted) 63.34% 24.14%
Investor A Class (NAV) 71.05% 26.22%
Investor B Class (Load Adjusted) 62.29% 23.81%
Investor B Class (NAV) 69.91% 25.42%
Investor C Class (Load Adjusted) 68.21% 25.42%
Investor C Class (NAV) 69.91% 25.42%
The inception date of the Portfolio's Institutional, Service, Investor A,
Investor B and Investor C Shares was 12/27/96. See "Note on Performance
Information" on page 16 for further information on how performance data was
calculated.
Past performance is not predictive of future results.
6
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BLACKROCK FUNDS
SMALL CAP VALUE EQUITY PORTFOLIO
TOTAL NET ASSETS (9/30/99):
$646.1 MILLION
PERFORMANCE BENCHMARK:
RUSSELL 2000 VALUE INDEX
INVESTMENT APPROACH:
PURSUES LONG-TERM CAPITAL APPRECIATION BY INVESTING IN STOCKS OF COMPANIES
BELIEVED BY THE MANAGER TO BE UNDERVALUED. TYPICALLY, THE MANAGER WILL FOCUS ON
STOCKS WITH LOWER THAN AVERAGE PRICE-TO-EARNINGS AND PRICE-TO-BOOK RATIOS AND
MARKET CAPITALIZATIONS LESS THAN $2 BILLION. A COMPANY'S EARNINGS TREND AND ITS
STOCK'S DIVIDEND GROWTH RATE WILL ALSO BE FACTORS CONSIDERED IN SECURITY
SELECTION.
RECENT PORTFOLIO MANAGEMENT ACTIVITY:
(BULLET)AFTER A SHORT REPRIEVE IN THE FIRST HALF OF 1999, SMALL CAP VALUE
STOCK VALUATIONS VERSUS LARGE CAP VALUE STOCKS FELL TO RECORD LEVELS DURING THE
PERIOD. INVESTORS PLACED A PREMIUM ON STOCK CHARACTERISTICS OUTSIDE THE
PORTFOLIO'S AREAS OF EMPHASIS, AS INVESTORS PAID FOR LARGE CAPITALIZATION
STOCKS, LIQUIDITY AND, ABOVE ALL, TECHNOLOGY COMPANIES. TRUE TO THE PORTFOLIO'S
STATED INVESTMENT APPROACH, THE MANAGER CONTINUED TO PURSUE THE STRONGEST VALUE
COMPANIES IN THE SMALL CAP ARENA.
(BULLET)THE MANAGER REDUCED THE PORTFOLIO'S EXPOSURE TO FINANCIAL STOCKS
AND HEALTHCARE, WHICH HAVE BEEN AMONG THE WEAKER SECTORS, AND REDEPLOYED ASSETS
INTO THE TECHNOLOGY AND ENERGY SECTORS, WHICH THE MANAGER BELIEVED OFFERED
ATTRACTIVE VALUATIONS.
Although the portfolio holdings and sectors listed above were current as of the
end of the annual period ended September 30, 1999, the Portfolio is actively
managed and the composition will vary.
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE SMALL CAP VALUE
EQUITY PORTFOLIO AND THE RUSSELL 2000 VALUE INDEX FROM INCEPTION AND AT EACH
FISCAL YEAR END.
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
Institutional Service Investor A Investor B Investor C Russell 2000
Class Class Class Class Class Value Index
4/13/92 $10,000 $10,000 $ 9,550 $10,000 $10,000 $10,000
Jun-92 9,680 9,680 9,244 9,680 9,680 9,657
Sep-92 10,151 10,151 9,694 10,151 10,151 9,933
Dec-92 11,686 11,686 11,160 11,686 11,686 11,416
Mar-93 12,412 12,412 11,854 12,412 12,412 11,903
Jun-93 12,251 12,251 11,699 12,251 12,251 12,162
Sep-93 13,233 13,232 12,637 13,232 13,232 13,225
Dec-93 13,866 13,856 13,228 13,851 13,851 13,596
Mar-94 13,608 13,599 12,973 13,584 13,584 13,236
Jun-94 13,349 13,322 12,707 13,306 13,306 12,720
Sep-94 14,061 14,022 13,378 14,009 14,009 13,603
Dec-94 13,800 13,768 13,125 13,733 13,733 13,350
Mar-95 14,256 14,212 13,548 14,154 14,154 13,965
Jun-95 15,085 15,028 14,311 14,933 14,933 15,274
Sep-95 16,513 16,428 15,644 16,297 16,297 16,783
Dec-95 16,994 16,898 16,091 16,732 16,732 17,147
Mar-96 17,903 17,797 16,923 17,583 17,583 18,023
Jun-96 18,519 18,383 17,474 18,123 18,123 18,925
Sep-96 18,599 18,449 17,530 18,146 18,146 18,991
Dec-96 20,369 20,203 19,203 19,829 19,829 19,979
Mar-97 20,206 20,015 19,016 19,210 19,210 18,946
Jun-97 24,603 24,362 23,139 23,325 23,325 21,805
Sep-97 30,016 29,686 28,184 28,370 28,370 24,616
Dec-97 30,280 29,911 28,392 28,534 28,534 25,030
Mar-98 32,657 32,241 30,578 30,677 30,677 27,120
Jun-98 30,942 30,507 28,939 28,966 28,966 26,141
Sep-98 24,902 24,540 23,270 23,239 23,239 21,467
Dec-98 28,396 27,965 26,512 26,425 26,425 23,414
Mar-99 24,225 23,835 22,572 22,483 22,483 21,145
Jun-99 28,416 27,939 26,445 26,280 26,280 24,644
Sep-99 26,202 25,738 24,369 23,671 24,154 22,715
For period ending September 30, 1999
AVERAGE ANNUAL TOTAL RETURN
1 YEAR 3 YEAR 5 YEAR FROM INCEPTION
------ ------ ------ --------------
Institutional Class 5.22% 8.76% 11.22% 12.39%
Service Class 4.88% 8.41% 10.89% 12.12%
Investor A Class (Load Adjusted) 0.01% 6.64% 9.71% 11.30%
Investor A Class (NAV) 4.71% 8.28% 10.72% 11.99%
Investor B Class (Load Adjusted) (0.72)% 6.17% 9.50% 11.47%
Investor B Class (NAV) 3.93% 7.44% 9.94% 11.47%
Investor C Class (Load Adjusted) 2.89% 7.44% 9.94% 11.47%
Investor C Class (NAV) 3.93% 7.44% 9.94% 11.47%
The performance information above includes information relating to each class of
the Portfolio since the commencement of operations of the Portfolio, rather than
the date such class was introduced. The inception dates of the Portfolio's share
classes were as follows: Institutional Shares, 4/13/92; Investor A Shares,
6/2/92; Service Shares, 7/29/93; Investor B Shares, 10/3/94; and Investor C
Shares, 10/1/96. See "Note on Performance Information" on page 16 for further
information on how performance data was calculated.
Past performance is not predictive of future results.
7
<PAGE>
BLACKROCK FUNDS
SMALL CAP GROWTH EQUITY PORTFOLIO
TOTAL NET ASSETS (9/30/99):
$1.7 BILLION
PERFORMANCE BENCHMARK:
RUSSELL 2000 GROWTH INDEX
INVESTMENT APPROACH:
PURSUES LONG-TERM CAPITAL APPRECIATION BY INVESTING IN STOCKS OF COMPANIES
BELIEVED BY THE MANAGER TO HAVE ABOVE-AVERAGE EARNINGS GROWTH PROSPECTS AND
MARKET CAPITALIZATIONS LESS THAN $2 BILLION.
RECENT PORTFOLIO MANAGEMENT ACTIVITY:
(BULLET)DURING THE PERIOD, GROWTH STOCKS CONTINUED TO OUTPERFORM THEIR
VALUE COUNTERPARTS. THE PORTFOLIO HAS OUTPERFORMED ITS BENCHMARK FOR THE 1-YEAR,
3-YEAR AND 5-YEAR PERIODS.
(BULLET)THE PORTFOLIO'S LARGEST SECTOR ALLOCATIONS WERE TECHNOLOGY,
HEALTHCARE AND CONSUMER SERVICES DUE TO STRONG FUNDAMENTALS. THE PORTFOLIO'S
SIGNIFICANT OVERWEIGHT TO THE TECHNOLOGY SECTOR AND MODEST OVERWEIGHT TO THE
HEALTHCARE SECTOR ENHANCED PERFORMANCE DURING THE PERIOD. TECHNOLOGY, WHICH IS A
TRADITIONAL GROWTH SECTOR, CONTINUED TO BE THE LARGEST SECTOR ALLOCATION AND THE
MANAGER EXPECTS THIS TO REMAIN TRUE GOING FORWARD.
Although the portfolio holdings and sectors listed above were current as of the
end of the annual period ended September 30, 1999, the Portfolio is actively
managed and the composition will vary.
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE SMALL CAP GROWTH
EQUITY PORTFOLIO AND THE RUSSELL 2000 GROWTH INDEX FROM INCEPTION AND AT EACH
FISCAL YEAR END.
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
Institutional Service Investor A Investor B Investor C Russell 2000
Class Class Class Class Class Growth Index
9/14/93 $10,000 $10,000 $ 9,550 $10,000 $10,000 $10,000
Sep-93 10,470 10,470 9,956 10,470 10,470 10,141
Dec-93 10,379 10,374 9,904 10,371 10,371 10,407
Mar-94 9,858 9,854 9,398 9,841 9,841 9,984
Jun-94 9,169 9,143 8,729 9,141 9,141 9,357
Sep-94 10,170 10,144 9,666 10,121 10,121 10,231
Dec-94 10,990 10,955 10,439 10,931 10,931 10,155
Mar-95 11,672 11,635 11,079 11,601 11,601 10,711
Jun-95 13,195 13,146 12,512 13,101 13,101 11,773
Sep-95 15,100 15,026 14,307 14,981 14,981 13,111
Dec-95 16,213 16,066 15,282 16,002 16,002 13,304
Mar-96 18,291 18,107 17,221 17,993 17,993 14,069
Jun-96 20,941 20,719 19,695 20,534 20,534 14,891
Sep-96 22,025 21,809 20,717 21,535 21,535 14,763
Dec-96 21,332 21,110 20,040 20,784 20,784 14,803
Mar-97 17,182 16,989 16,114 16,190 16,190 13,240
Jun-97 20,921 20,678 19,608 20,267 20,267 15,564
Sep-97 25,524 25,197 23,883 24,650 24,650 18,197
Dec-97 23,293 22,964 21,772 22,449 22,449 16,705
Mar-98 25,534 25,153 23,829 24,528 24,528 18,689
Jun-98 24,566 24,177 22,909 23,517 23,517 17,615
Sep-98 19,923 19,552 18,554 19,006 19,006 13,676
Dec-98 25,009 24,516 23,256 23,788 23,788 16,909
Mar-99 25,692 25,173 23,884 24,369 24,369 16,625
Mar-99 26,841 26,273 24,923 25,380 25,380 19,077
Mar-99 28,878 28,257 26,787 26,416 27,233 18,139
FOR PERIOD ENDING SEPTEMBER 30, 1999
AVERAGE ANNUAL TOTAL RETURN
1 YEAR 3 YEAR 5 YEAR FROM INCEPTION
------ ------ ------ --------------
Institutional Class 44.95% 9.45% 23.22% 19.18%
Service Class 44.52% 9.02% 22.74% 18.75%
Investor A Class (Load Adjusted) 37.85% 7.29% 21.49% 17.70%
Investor A Class (NAV) 44.37% 8.94% 22.61% 18.60%
Investor B Class (Load Adjusted) 36.82% 6.86% 21.40% 18.02%
Investor B Class (NAV) 43.28% 8.14% 21.89% 18.02%
Investor C Class (Load Adjusted) 41.85% 8.14% 21.89% 18.02%
Investor C Class (NAV) 43.28% 8.14% 21.89% 18.02%
The performance information above includes information relating to each class of
the Portfolio since the commencement of operations of the Portfolio, rather than
the date such class was introduced. The inception dates of the Portfolio's share
classes were as follows: Institutional Shares, 9/14/93; Service and Investor A
Shares, 9/15/93; Investor B Shares, 1/18/96; and Investor C Shares, 9/6/96. See
"Note on Performance Information" on page 16 for further information on how
performance data was calculated.
Past performance is not predictive of future results.
8
<PAGE>
BLACKROCK FUNDS
MICRO-CAP EQUITY PORTFOLIO
TOTAL NET ASSETS (9/30/99):
$147.7 MILLION
PERFORMANCE BENCHMARK:
WILSHIRE MICRO CAP INDEX
INVESTMENT APPROACH:
PURSUES LONG-TERM CAPITAL APPRECIATION BY INVESTING IN STOCKS OF COMPANIES
BELIEVED BY THE MANAGER TO HAVE FAVORABLE AND ABOVE-AVERAGE EARNINGS GROWTH
PROSPECTS AND MARKET CAPITALIZATIONS BETWEEN $25 MILLION AND $300 MILLION.
RECENT PORTFOLIO MANAGEMENT ACTIVITY:
(BULLET)THE PORTFOLIO HAS SIGNIFICANTLY OUTPERFORMED ITS BENCHMARK SINCE
ITS MAY 1998 INCEPTION. TECHNOLOGY CONTINUES TO BE THE PORTFOLIO'S LARGEST
SECTOR ALLOCATION, COMPRISING APPROXIMATELY 40% OF THE PORTFOLIO AT THE END OF
THE PERIOD.
(BULLET)THE OVERWEIGHT TO THE TECHNOLOGY SECTOR, IN ADDITION TO UNDERWEIGHT
POSITIONS IN CONSUMER NON-DURABLES, TRANSPORTATION AND MANUFACTURING CONTRIBUTED
TO THE PORTFOLIO'S OUTPERFORMANCE. ADDITIONALLY, THE MANAGER'S PARTICIPATION IN
INTERNET STOCKS AND IPOS DURING THE PERIOD ALSO HELPED DRIVE PERFORMANCE.
(BULLET)THE STRONG PERFORMERS IN THE PORTFOLIO DURING THE PERIOD INCLUDED
UNITED THERAPUTICS CORPORATION AND EMULEX CORPORATION.
Although the portfolio holdings and sectors listed above were current as of the
end of the annual period ended Septermber 30, 1999, the Portfolio is actively
managed and the composition will vary.
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE MICRO-CAP EQUITY
PORTFOLIO AND THE WILSHIRE MICRO CAP INDEX FROM INCEPTION AND AT EACH
QUARTER-END.
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
Institutional Service Investor A Investor B Investor C Whilshire
Class Class Class Class Class Micro Cap
5/1/98 $10,000 $10,000 $ 9,550 $10,000 $10,000 $10,000
5/31/98 10,570 10,570 10,042 10,570 10,570 9,506
6/30/98 10,951 10,951 10,403 10,951 10,951 9,461
7/31/98 10,861 10,861 10,318 10,861 10,861 8,860
8/31/98 8,710 8,710 8,275 8,701 8,701 6,995
9/30/98 9,391 9,391 8,911 9,370 9,370 7,251
10/31/98 9,051 9,051 8,589 9,020 9,020 7,404
11/30/98 10,960 10,950 10,394 10,910 10,910 7,974
12/31/98 13,031 13,010 12,351 12,960 12,960 9,017
1/31/99 13,880 13,860 13,159 13,789 13,789 9,431
2/28/99 13,131 13,110 12,446 13,039 13,039 8,785
3/31/99 15,880 15,850 15,039 15,739 15,582 8,308
4/30/99 16,700 16,660 15,809 16,539 16,373 8,573
5/31/99 17,061 17,020 16,151 16,889 16,721 8,783
6/30/99 20,950 20,811 19,819 20,710 20,503 9,495
7/31/99 21,520 21,379 20,350 21,261 21,048 9,588
8/31/99 23,799 23,630 22,497 23,480 23,246 9,298
9/30/99 24,730 24,547 23,372 23,404 24,136 9,178
For period ending September 30, 1999
AVERAGE ANNUAL TOTAL RETURN
1 YEAR FROM INCEPTION
------ --------------
Institutional Class 163.37% 89.35%
Service Class 162.41% 88.87%
Investor A Class (Load Adjusted) 149.24% 81.90%
Investor A Class (NAV) 162.26% 88.65%
Investor B Class (Load Adjusted) 148.48% 82.14%
Investor B Class (NAV) 160.19% 87.46%
Investor C Class (Load Adjusted) 157.59% 87.46%
Investor C Class (NAV) 160.19% 87.46%
The inception dates of the Portfolio's share classes were as follows:
Institutional, Service, Investor A, Investor B, and Investor C Shares was
5/1/98. See "Note on Performance Information" on page 16 for further information
on how performance data was calculated.
Past performance is not predictive of future results.
9
<PAGE>
BLACKROCK FUNDS
INTERNATIONAL EQUITY PORTFOLIO
TOTAL NET ASSETS (9/30/99):
1.3 BILLION
PERFORMANCE BENCHMARK:
MORGAN STANLEY CAPITAL INTERNATIONAL EUROPE, AUSTRALIA AND FAR EAST INDEX
("EAFE").
INVESTMENT APPROACH:
PURSUES LONG-TERM CAPITAL APPRECIATION BY INVESTING IN NON-DOLLAR
DENOMINATED STOCKS OF ISSUERS IN COUNTRIES INCLUDED IN THE EAFE INDEX. WITHIN
THIS UNIVERSE, A VALUE STYLE OF INVESTING IS EMPLOYED TO SELECT STOCKS WHICH THE
MANAGER BELIEVES ARE UNDERVALUED.
RECENT PORTFOLIO MANAGEMENT ACTIVITY:
(BULLET)ALTHOUGH OVERALL RETURNS FROM THE INTERNATIONAL MARKETS WERE STRONG
FOR THE PERIOD, THIS STRONG PERFORMANCE WAS CONCENTRATED IN THE JAPANESE STOCK
MARKET. HOWEVER, THE COMBINATION OF DECLINING INTEREST RATES THROUGHOUT THE
WORLD AND ROBUST ECONOMIC FORECASTS HAS HELPED RENEW INVESTOR CONFIDENCE IN THE
GLOBAL CAPITAL MARKETS.
(BULLET)THE PORTFOLIO'S OVERWEIGHT POSITIONS TO JAPAN AND SINGAPORE
RELATIVE TO THE INDEX AIDED PERFORMANCE DURING THE PERIOD. THE RECENT SURGE IN
THE YEN HAS PUT THE JAPANESE RECOVERY AT RISK AND THE MANAGER HAS RECENTLY
NEUTRALIZED ITS EARLIER POSITIVE BET ON JAPANESE STOCKS.
(BULLET)THE PORTFOLIO REDUCED A LARGE OVERWEIGHT IN THE UK AND IS CURRENTLY
SLIGHTLY UNDERWEIGHT RELATIVE TO THE INDEX. CORPORATE ACTIVITY IN THE BANKING
AND TELECOMMUNICATION SECTORS BUOYED PORTFOLIO HOLDINGS IN FRANCE AND ITALY
DURING THE PERIOD.
Although the portfolio holdings and sectors listed above were current as of the
end of the annual period ended September 30, 1999, the Portfolio is actively
managed and the composition will vary.
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE INTERNATIONAL
EQUITY PORTFOLIO AND THE EAFE INDEX FROM INCEPTION AND AT EACH FISCAL YEAR END.
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
Institutional Service Investor A Investor B Investor C MSCI
Class Class Class Class Class EAFE Index
4/27/92 $10,000 $10,000 $ 9,500 $10,000 $10,000 $10,000
Jun-92 10,429 10,429 9,908 10,430 10,430 9,529
Sep-92 9,938 9,938 9,442 9,939 9,939 9,682
Dec-92 9,816 9,816 9,327 9,817 9,817 9,317
Mar-93 10,962 10,962 10,415 10,963 10,963 10,443
Jun-93 11,602 11,602 11,024 11,604 11,604 11,502
Sep-93 12,692 12,692 12,058 12,693 12,693 12,273
Dec-93 13,435 13,423 12,747 13,418 13,418 12,386
Mar-94 13,591 13,569 12,886 13,564 13,564 12,827
Jun-94 13,643 13,621 12,916 13,596 13,596 13,492
Sep-94 14,050 14,007 13,293 13,992 13,992 13,513
Dec-94 13,468 13,428 12,732 13,392 13,392 13,385
Mar-95 13,371 13,332 12,630 13,263 13,263 13,644
Jun-95 13,854 13,796 13,069 13,692 13,692 13,753
Sep-95 14,394 14,318 13,560 14,185 14,185 14,337
Dec-95 14,807 14,730 13,954 14,580 14,580 14,929
Mar-96 15,165 15,076 14,271 14,877 14,877 15,371
Jun-96 15,849 15,733 14,893 15,496 15,496 15,625
Sep-96 15,548 15,422 14,587 15,152 15,152 15,616
Dec-96 16,070 15,929 15,068 15,626 15,626 15,876
Mar-97 15,960 15,795 14,942 15,470 15,470 15,638
Jun-97 17,699 17,501 16,530 17,095 17,095 17,679
Sep-97 17,869 17,658 16,679 17,215 17,215 17,566
Dec-97 16,914 16,698 15,758 16,245 16,245 16,201
Mar-98 19,350 19,085 18,010 18,530 18,530 18,596
Jun-98 19,487 19,198 18,093 18,591 18,591 18,806
Sep-98 16,611 16,363 15,419 15,806 15,806 16,145
Dec-98 19,525 19,219 18,124 18,521 18,521 19,495
Mar-99 19,819 19,498 18,361 18,740 18,740 19,779
Jun-99 20,668 20,333 19,110 18,816 19,501 20,296
Sep-99 21,337 20,969 19,710 18,976 20,068 21,201
FOR PERIOD ENDING SEPTEMBER 30, 1999
AVERAGE ANNUAL TOTAL RETURN
1 YEAR 3 YEAR 5 YEAR FROM INCEPTION
------ ------ ------ --------------
Institutional Class 28.59% 11.16% 8.74% 10.75%
Service Class 28.14% 10.79% 8.40% 10.48%
Investor A Class (Load Adjusted) 21.45% 8.69% 7.09% 9.56%
Investor A Class (NAV) 27.82% 10.56% 8.20% 10.32%
Investor B Class (Load Adjusted) 21.26% 8.53% 7.05% 9.83%
Investor B Class (NAV) 26.98% 9.83% 7.49% 9.83%
Investor C Class (Load Adjusted) 25.71% 9.83% 7.49% 9.83%
Investor C Class (NAV) 26.98% 9.83% 7.49% 9.83%
The performance information above includes information relating to each class of
the Portfolio since the commencement of operations of the Portfolio, rather than
the date such class was introduced. The inception dates of the Portfolio's share
classes were as follows: Institutional Shares, 4/27/92; Investor A Shares,
6/2/92; Service Shares, 7/29/93; Investor B Shares, 10/3/94; and Investor C
Shares, 12/5/96. See "Note on Performance Information" on page 16 for further
information on how performance data was calculated.
Past performance is not predictive of future results.
10
<PAGE>
BLACKROCK FUNDS
INTERNATIONAL SMALL CAP EQUITY PORTFOLIO
TOTAL NET ASSETS (9/30/99):
$28.1 MILLION
PERFORMANCE BENCHMARK:
SALOMON BROTHERS EXTENDED MARKETS WORLD EX-U.S. INDEX (EMW INDEX)
INVESTMENT APPROACH:
PURSUES LONG-TERM CAPITAL APPRECIATION BY INVESTING IN NON-DOLLAR
DENOMINATED STOCKS OF SMALL CAP COMPANIES IN COUNTRIES INCLUDED IN THE EMW
INDEX, WHICH THE MANAGER BELIEVES WILL APPRECIATE. THE PORTFOLIO MAY ALSO INVEST
UP TO 20% OF ITS ASSETS IN STOCKS FROM EMERGING MARKET COUNTRIES. THE STOCKS IN
THE PORTFOLIO WILL GENERALLY HAVE A MARKET CAPITALIZATION BELOW $2 BILLION.
RECENT PORTFOLIO MANAGEMENT ACTIVITY:
(BULLET)A NEW PORTFOLIO MANAGEMENT TEAM ASSUMED CONTROL OF THE PORTFOLIO'S
MANAGEMENT IN MARCH, AND THE SUBSEQUENT RESTRUCTURING INTO MORE OF A GROWTH
PORTFOLIO HAS HAD A POSITIVE IMPACT ON PERFORMANCE.
(BULLET)GLOBAL ECONOMIC GROWTH DURING THE PERIOD AND A STRONG JAPANESE
STOCK MARKET HAS AIDED THE PORTFOLIO'S PERFORMANCE. THE PORTFOLIO ENDED THE
PERIOD OVERWEIGHT RELATIVE TO THE INDEX IN JAPAN, HONG KONG AND CANADA AND
UNDERWEIGHT IN THE UNITED KINGDOM, SWITZERLAND AND TAIWAN. FOR THE PERIOD, THE
OVERWEIGHT POSITION IN TECHNOLOGY HELPED PERFORMANCE WHILE THE OVERWEIGHT IN
CONSUMER SERVICES DETRACTED FROM PERFORMANCE.
(BULLET)THE MANAGER BELIEVES THAT JAPAN'S RECOVERY IS WANING AND MAY LOOK
TO UNDERWEIGHT POSITIONS IN THAT MARKET. THE PORTFOLIO HAS ALSO REDUCED ITS
LARGE OVERWEIGHT IN THE UNITED KINGDOM.
Although the portfolio holdings and sectors listed above were current as of the
end of the annual period ended September 30, 1999, the Portfolio is actively
managed and the composition will vary.
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE INTERNATIONAL SMALL
CAP EQUITY PORTFOLIO AND THE SALOMON EMW EXUS FROM INCEPTION AND AT
EACH PERIOD END.
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
Institutional Service Investor A Investor B Investor C Salomon
Class Class Class Class Class EMW EXUS
2/26/97 $10,000 $10,000 $ 9,500 $10,000 $10,000 $10,000
Dec-97 9,458 9,447 8,996 9,458 9,458 8,943
Mar-98 11,354 11,343 10,786 11,324 11,324 10,431
Jun-98 11,966 11,954 11,348 11,896 11,896 10,393
Sep-98 9,588 9,587 9,090 9,508 9,508 8,821
Dec-98 10,510 10,506 9,934 10,367 10,367 9,982
Mar-99 10,736 10,709 10,125 10,568 10,568 10,123
Jun-99 12,689 12,649 11,960 12,452 12,452 10,746
Sep-99 14,563 14,488 13,699 13,748 14,247 11,292
For period ending September 30, 1999
AVERAGE ANNUAL TOTAL RETURN
1 YEAR FROM INCEPTION
------ --------------
Institutional Class 51.88% 20.69%
Service Class 51.14% 20.37%
Investor A Class (Load Adjusted) 43.21% 16.94%
Investor A Class (NAV) 50.71% 19.99%
Investor B Class (Load Adjusted) 43.03% 17.08%
Investor B Class (NAV) 49.83% 19.17%
Investor C Class (Load Adjusted) 48.33% 19.17%
Investor C Class (NAV) 49.83% 19.17%
The inception dates of the Portfolio's share classes were as follows:
Institutional, Service, Investor A, Investor B, and Investor C Shares was
9/26/97. See "Note on Performance Information" on page 16 for further
information on how performance data was calculated.
Past performance is not predictive of future results.
11
<PAGE>
BLACKROCK FUNDS
INTERNATIONAL EMERGING MARKETS PORTFOLIO
TOTAL NET ASSETS (9/30/99):
$84.1 MILLION
PERFORMANCE BENCHMARK:
MORGAN STANLEY CAPITAL INTERNATIONAL EMERGING MARKETS FREE INDEX ("EMF")
INVESTMENT APPROACH:
PURSUES LONG-TERM CAPITAL APPRECIATION BY INVESTING IN NON-DOLLAR
DENOMINATED STOCKS OF ISSUERS IN EMERGING MARKETS (GENERALLY ANY COUNTRY
CONSIDERED TO BE "EMERGING" OR "DEVELOPING" BY THE WORLD BANK, THE INTERNATIONAL
FINANCE CORPORATION OR THE UNITED NATIONS). WITHIN THIS UNIVERSE, A VALUE STYLE
OF INVESTING IS EMPLOYED TO SELECT STOCKS WHICH THE MANAGER BELIEVES ARE
UNDERVALUED.
RECENT PORTFOLIO MANAGEMENT ACTIVITY:
(BULLET)A NEW PORTFOLIO MANAGER ASSUMED CONTROL OF THE PORTFOLIO'S
MANAGEMENT IN APRIL PER THE PROSPECTUS STICKER.
(BULLET)EMERGING MARKETS SUBSTANTIALLY BENEFITED FROM ENHANCED LIQUIDITY
ACROSS THE GLOBAL MARKETS OVER THE PERIOD. DESPITE BRAZIL'S DEVALUATION OF ITS
CURRENCY, WORLDWIDE EMERGING MARKETS AS A GROUP POSTED STRONG RETURNS. IN THE
WAKE OF THE LIQUIDITY CRUNCH DURING THE SUMMER AND FALL OF 1998, THE PORTFOLIO
HAS BEEN STRUCTURED TO FOCUS ON STOCKS THAT OFFER MORE LIQUIDITY.
(BULLET)WHILE THE PORTFOLIO WAS REWARDED FOR ITS POSITIONS IN RECOVERING
ASIAN MARKETS, PARTICULARLY KOREA, TAIWAN AND MALAYSIA, THE MANAGER GENERALLY
MAINTAINED NEUTRAL WEIGHTINGS TO THE INDEX.
(BULLET)THE PORTFOLIO'S ABSOLUTE PERFORMANCE WAS WEAKENED BY NEUTRAL
WEIGHTINGS TO LATIN AMERICA, WHICH HAS NOT PARTICIPATED IN THE WORLD ECONOMIC
RECOVERY TO THE SAME DEGREE AS ASIA.
Although the portfolio holdings and sectors listed above were current as of the
end of the annual period ended September 30, 1999, the Portfolio is actively
managed and the composition will vary.
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE EMERGING MARKETS
PORTFOLIO AND THE MSCI EMERGING MARKETS FREE INDEX FROM INCEPTION AND AT EACH
FISCAL YEAR END.
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
MSCI
Institutional Service Investor A Investor B Investor C Emerging
Class Class Class Class Class Free Index
6/17/94 $10,000 $10,000 $ 9,500 $10,000 $10,000 $10,000
Jun-94 9,960 9,960 9,462 9,960 9,960 10,058
Sep-94 10,560 10,550 10,013 10,540 10,540 12,076
Dec-94 9,142 9,131 8,665 9,121 9,121 10,340
Mar-95 8,071 8,060 7,637 8,039 8,039 9,060
Jun-95 8,758 8,736 8,272 8,707 8,707 10,001
Sep-95 8,478 8,450 7,997 8,418 8,418 9,937
Dec-95 7,992 7,955 7,529 7,925 7,925 9,803
Mar-96 8,810 8,760 8,291 8,727 8,727 10,413
Jun-96 9,327 9,267 8,770 9,221 9,221 10,848
Sep-96 9,069 9,008 8,515 8,943 8,943 10,456
Dec-96 8,973 8,905 8,418 8,820 8,820 10,394
Mar-97 10,197 10,114 9,552 9,743 9,743 11,274
Jun-97 10,954 10,856 10,244 10,436 10,436 12,276
Sep-97 10,080 9,976 9,411 9,573 9,573 11,175
Dec-97 8,160 8,073 7,611 7,730 7,730 9,217
Mar-98 8,117 8,021 7,561 7,659 7,659 9,788
Jun-98 6,286 6,218 5,845 5,913 5,913 7,478
Sep-98 4,677 4,627 4,349 4,391 4,391 5,832
Dec-98 5,171 5,101 4,798 4,841 4,841 6,881
Mar-99 5,406 5,334 5,007 5,045 5,045 7,737
Jun-99 7,084 6,978 6,564 6,597 6,597 9,625
Sep-99 6,507 6,409 6,025 5,864 6,046 9,129
FOR PERIOD ENDING SEPTEMBER 30, 1999
AVERAGE ANNUAL TOTAL RETURN
1 YEAR 3 YEAR 5 YEAR FROM INCEPTION
------ -------- -------- --------------
Institutional Class 39.10% (10.48)% (9.23)% (7.80)%
Service Class 38.50% (10.73)% (9.49)% (8.07)%
Investor A Class (Load Adjusted) 31.59% (12.41)% (10.57)% (9.14)%
Investor A Class (NAV) 38.53% (10.89)% (9.66)% (8.25)%
Investor B Class (Load Adjusted) 31.40% (12.69)% (10.44)% (8.81)%
Investor B Class (NAV) 37.67% (11.49)% (10.07)% (8.64)%
Investor C Class (Load Adjusted) 36.29% (11.49)% (10.07)% (8.64)%
Investor C Class (NAV) 37.67% (11.49)% (10.07)% (8.64)%
The performance information above includes information relating to each class of
the Portfolio since the commencement of operations of the Portfolio, rather than
the date such class was introduced. The inception dates of the Portfolio's share
classes were as follows: Institutional Shares, Service Shares and Investor A
Shares, 6/17/94; Investor B Shares, 4/25/96; and Investor C Shares, 3/21/97. See
"Note on Performance Information" on page 16 for further information on how
performance data was calculated.
Past performance is not predictive of future results.
12
<PAGE>
BLACKROCK FUNDS
SELECT EQUITY PORTFOLIO
TOTAL NET ASSETS (9/30/99):
$1.8 BILLION
PERFORMANCE BENCHMARK:
S&P 500 INDEX
INVESTMENT APPROACH:
SEEKS LONG-TERM CAPITAL APPRECIATION BY MAINTAINING COMPARABLE SECTOR
WEIGHTINGS TO THE BENCHMARK WHILE OVERWEIGHTING OR UNDERWEIGHTING SPECIFIC
SECURITIES WITHIN THOSE SECTORS AS THE MANAGER IDENTIFIES MARKET OPPORTUNITIES.
RECENT PORTFOLIO MANAGEMENT ACTIVITY:
(BULLET)THE PORTFOLIO CONTINUED TO REMAIN NEUTRAL TO THE S&P 500 INDEX
WHILE EMPHASIZING UNDERVALUED SECURITIES THAT THE MANAGER BELIEVES CAN PROVIDE
GOOD LONG-TERM GROWTH OPPORTUNITIES.
(BULLET)OVER THE PERIOD, THE MANAGER RESTRUCTURED THE PORTFOLIO'S ENERGY
SECTOR HOLDINGS, INCREASING EXPOSURE TO COMPANIES WHOSE STOCK PRICES ARE
SENSITIVE TO RISING OIL PRICES. THE PORTFOLIO'S EXPOSURE TO FINANCIAL AND RETAIL
STOCKS HAVE TAKEN AWAY FROM RECENT PERFORMANCE.
(BULLET)DESPITE THE STRONG SHOWING OF VALUE STOCKS IN THE SECOND QUARTER OF
1999, THE BEST PERFORMING COMPANIES OVER THE ANNUAL PERIOD HAVE BEEN TECHNOLOGY
ISSUES. SOME OF THE PORTFOLIO'S BIGGEST WINNERS OVER THE PAST TWELVE MONTHS WERE
SUN MICROSYSTEMS, TEXAS INSTRUMENTS, AND APPLIED MATERIALS.
Although the portfolio holdings and sectors listed above were current as of the
end of the annual period ended September 30, 1999, the Portfolio is actively
managed and the composition will vary.
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE SELECT EQUITY
PORTFOLIO AND THE S&P 500 INDEX FROM INCEPTION AND AT EACH FISCAL YEAR END.
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
Institutional Service Investor A Investor B Investor C S&P 500
Class Class Class Class Class Index
9/13/93 $10,000 $10,000 $ 9,550 $10,000 $10,000 $10,000
Sep-93 9,970 9,970 9,521 9,970 9,970 10,058
Dec-93 10,114 10,108 9,653 10,108 10,108 10,232
Mar-94 9,730 9,718 9,278 9,715 9,715 9,844
Jun-94 9,784 9,766 9,331 9,770 9,770 9,886
Sep-94 10,148 10,124 9,659 10,114 10,114 10,369
Dec-94 9,987 9,958 9,498 9,945 9,945 10,367
Mar-95 10,911 10,872 10,366 10,855 10,855 11,377
Jun-95 11,704 11,643 11,098 11,621 11,621 12,463
Sep-95 12,561 12,497 11,908 12,470 12,470 13,454
Dec-95 13,312 13,223 12,595 13,189 13,189 14,264
Mar-96 13,989 13,898 13,221 13,844 13,844 15,030
Jun-96 14,630 14,513 13,812 14,443 14,443 15,705
Sep-96 15,054 14,924 14,197 14,821 14,821 16,190
Dec-96 16,469 16,316 15,528 16,160 16,160 17,539
Mar-97 16,904 16,735 15,922 16,084 16,084 18,009
Jun-97 19,856 19,649 18,674 19,367 19,367 21,152
Sep-97 21,448 21,210 20,152 20,852 20,852 22,761
Dec-97 21,648 21,392 20,317 20,986 20,986 23,407
Mar-98 24,633 24,329 23,098 23,812 23,812 26,675
Jun-98 25,175 24,847 23,583 24,272 24,272 27,561
Sep-98 22,320 22,010 20,883 21,456 21,456 24,843
Dec-98 26,974 26,583 25,204 25,849 25,849 30,137
Mar-99 28,177 27,748 26,315 26,913 26,913 31,632
Jun-99 30,341 29,859 28,299 27,936 28,900 33,821
Sep-99 28,339 27,865 26,403 25,223 26,900 31,734
FOR PERIOD ENDING SEPTEMBER 30, 1999
AVERAGE ANNUAL TOTAL RETURN
1 YEAR 3 YEAR 5 YEAR FROM INCEPTION
------ ------ ------ --------------
Institutional Class 26.96% 23.48% 22.80% 18.80%
Service Class 26.61% 23.14% 22.45% 18.48%
Investor A Class (Load Adjusted) 20.76% 21.10% 21.15% 17.42%
Investor A Class (NAV) 26.44% 22.98% 22.28% 18.32%
Investor B Class (Load Adjusted) 19.74% 20.54% 21.12% 17.78%
Investor B Class (NAV) 25.38% 21.98% 21.61% 17.78%
Investor C Class (Load Adjusted) 24.13% 21.98% 21.61% 17.78%
Investor C Class (NAV) 25.38% 21.98% 21.61% 17.78%
The performance information above includes information relating to each class of
the Portfolio since the commencement of operations of the Portfolio, rather than
the date such class was introduced. The inception dates of the Portfolio's share
classes were as follows: Institutional Shares, 9/13/93; Service Shares, 9/15/93;
Investor A Shares, 10/13/93; Investor B Shares, 3/27/96; and Investor C Shares,
9/27/96. See "Note on Performance Information" on page 16 for further
information on how performance data was calculated.
Past performance is not predictive of future results.
13
<PAGE>
BLACKROCK FUNDS
INDEX EQUITY PORTFOLIO
ADVISOR TO THE INDEX MASTER PORTFOLIO:
DIMENSIONAL FUND ADVISORS INC.
TOTAL NET ASSETS (9/30/99):
$1.6 BILLION
PERFORMANCE BENCHMARK:
S&P 500 INDEX
INVESTMENT APPROACH:
UTILIZES A PASSIVE INVESTMENT STYLE THAT PURSUES THE REPLICATION OF THE
RETURNS OF THE S&P 500 INDEX.
RECENT PORTFOLIO MANAGEMENT ACTIVITY:
(BULLET)THE PORTFOLIO HOLDS SUBSTANTIALLY ALL OF THE STOCKS CONTAINED IN
THE S&P 500 INDEX IN APPROXIMATELY THE SAME PROPORTION AS THEY ARE REPRESENTED
IN THE INDEX BY INVESTING ALL OF ITS ASSETS IN THE U.S. LARGE COMPANY SERIES OF
THE DFA INVESTMENT TRUST COMPANY.
(BULLET)ACCORDINGLY, THE PORTFOLIO POSTED A TOTAL RETURN SUBSTANTIALLY
SIMILAR TO THAT OF THE S&P 500 INDEX.
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE INDEX EQUITY
PORTFOLIO AND THE S&P 500 INDEX FROM INCEPTION AND AT EACH FISCAL YEAR END.
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
Institutional Service Investor A Investor B Investor C S&P 500
Class Class Class Class Class Index
4/20/92 $10,000 $10,000 $ 9,700 $10,000 $10,000 $10,000
Jun-92 9,870 9,870 9,574 9,870 9,870 9,899
Sep-92 10,161 10,161 9,857 10,161 10,161 10,212
Dec-92 10,659 10,659 10,339 10,659 10,659 10,726
Mar-93 11,118 11,118 10,784 11,118 11,118 11,194
Jun-93 11,139 11,139 10,805 11,139 11,139 11,249
Sep-93 11,423 11,417 11,073 11,415 11,415 11,539
Dec-93 11,676 11,664 11,308 11,657 11,657 11,806
Mar-94 11,197 11,181 10,824 11,159 11,159 11,359
Jun-94 11,254 11,231 10,878 11,214 11,214 11,406
Sep-94 11,771 11,739 11,366 11,718 11,718 11,964
Dec-94 11,770 11,731 11,357 11,708 11,708 11,962
Mar-95 12,900 12,850 12,415 12,799 12,799 13,127
Jun-95 14,134 14,070 13,613 14,034 14,034 14,379
Sep-95 15,221 15,143 14,636 15,088 15,088 15,522
Dec-95 16,130 16,036 15,505 15,985 15,985 16,457
Mar-96 16,959 16,836 16,276 16,763 16,763 17,339
Jun-96 17,702 17,562 16,974 17,466 17,466 18,117
Sep-96 18,237 18,089 17,462 17,946 17,946 18,677
Dec-96 19,737 19,563 18,891 19,371 19,371 20,235
Mar-97 20,250 20,055 19,359 19,422 19,422 20,776
Jun-97 23,757 23,512 22,689 22,722 22,722 24,401
Sep-97 25,529 25,248 24,359 24,324 24,324 26,258
Dec-97 26,234 25,924 24,987 24,927 24,927 27,004
Mar-98 29,880 29,497 28,421 28,305 28,305 30,773
Jun-98 30,848 30,429 29,336 29,137 29,137 31,795
Sep-98 27,804 27,404 26,396 26,182 26,182 28,660
Dec-98 33,723 33,219 31,987 31,657 31,657 34,768
Mar-99 35,342 34,791 33,490 33,078 33,078 36,492
Jun-99 37,766 37,153 35,734 35,248 35,248 39,017
Sep-99 35,409 34,790 35,454 31,944 32,932 36,610
FOR PERIOD ENDING SEPTEMBER 30, 1999
AVERAGE ANNUAL TOTAL RETURN
1 YEAR 3 YEAR 5 YEAR FROM INCEPTION
------- ------ ------ --------------
Institutional Class 27.36% 24.76% 24.64% 18.49%
Service Class 26.96% 24.36% 24.27% 18.21%
Investor A Class (Load Adjusted) 22.94% 22.95% 23.35% 17.59%
Investor A Class (NAV) 26.74% 24.20% 24.10% 18.07%
Investor B Class (Load Adjusted) 20.12% 21.80% 22.96% 17.66%
Investor B Class (NAV) 25.78% 23.25% 23.46% 17.66%
Investor C Class (Load Adjusted) 24.52% 23.25% 23.46% 17.66%
Investor C Class (NAV) 25.78% 23.25% 23.46% 17.66%
The performance information above includes information relating to each class of
the Portfolio since the commencement of operations of the Portfolio, rather than
the date such class was introduced. The inception dates of the Portfolio's share
classes were as follows: Institutional Shares, 4/20/92; Investor A Shares,
6/2/92; Service Shares, 7/29/93; Investor B Shares, 2/7/96; and Investor C
Shares, 8/14/96. See "Note on Performance Information" on page 16 for further
information on how performance data was calculated.
Past performance is not predictive of future results.
14
<PAGE>
BLACKROCK FUNDS
BALANCED PORTFOLIO
TOTAL NET ASSETS (9/30/99):
$872.3 MILLION
PERFORMANCE BENCHMARK:
Equity Portion: S&P 500 INDEX
Fixed Income Portion: SALOMON BROAD INVESTMENT GRADE INDEX
INVESTMENT APPROACH:
PURSUES A BLEND OF EQUITY AND FIXED INCOME SECURITIES TO DELIVER TOTAL
RETURN THROUGH CAPITAL APPRECIATION AND CURRENT INCOME. THE PORTFOLIO NORMALLY
WILL MAINTAIN AT MINIMUM A 25% ALLOCATION TO FIXED INCOME SECURITIES.
RECENT PORTFOLIO MANAGEMENT ACTIVITY:
(BULLET)ON AUGUST 1, 1999, THE MANAGER RETURNED THE ALLOCATION OF THE
PORTFOLIO TO A 65% EQUITY WEIGHTING AND A 35% WEIGHTING IN FIXED INCOME. THIS
CHANGE IS CONSISTENT WITH THE MANAGER'S BELIEF THAT OVER TIME STOCKS WILL
OUTPERFORM EQUITIES. THE SECTOR WEIGHTS IN THE EQUITY PORTION HAVE BEEN
RELATIVELY NEUTRAL VERSUS THE INDEX AND EQUAL EMPHASIS HAS BEEN PLACED ON GROWTH
AND VALUE STOCKS WITHIN THE PORTFOLIO. THE PORTFOLIO HAS BENEFITED FROM A SLIGHT
OVERWEIGHT IN TELECOMMUNICATIONS AS COMPANIES LIKE VODAPHONE AIRTOUCH, GTE, BELL
ATLANTIC AND SBC COMMUNICATIONS POSTED STRONG PERFORMANCE. HOWEVER, INDUSTRY
SELECTION WITHIN THE SECTORS HAS LED TO A SLIGHT UNDERPERFORMANCE OF THE
BENCHMARK OVER THE PERIOD.
(BULLET)WITHIN THE FIXED INCOME PORTION, THE MANAGER MAINTAINED OVERWEIGHT
POSITIONS VERSUS THE INDEX IN SPREAD SECTORS DUE TO THE PORTFOLIO'S INCOME BIAS.
THE PORTFOLIO INCREASED ITS OVERALL MORTGAGE SECURITY EXPOSURE, FOCUSING ON
MORTGAGE PASS-THROUGHS, AS YIELD SPREADS WIDENED DURING THE BEGINNING OF THE
PERIOD. THE PORTFOLIO'S AGGREGATE CORPORATE BOND AND ASSET-BACKED SECURITY
EXPOSURE REMAINS OVERWEIGHT RELATIVE TO THE INDEX AFTER BEING MODESTLY REDUCED
DURING THE FIRST SIX MONTHS OF THE PERIOD AND SLIGHTLY INCREASED DURING THE LAST
SIX MONTHS. WITHIN THE PORTFOLIO'S CORPORATE WEIGHTING, THE MANAGER EMPHASIZED
LOWER-RATED INVESTMENT GRADE SECURITIES IN THE BEGINNING OF THE PERIOD, BUT HAS
SINCE EMPHASIZED HIGH QUALITY, LIQUID NAMES AS LOWER RATED SECURITIES PROVIDED
LITTLE INCREMENTAL RETURN.
Although the portfolio holdings and sectors listed above were current as of the
end of the annual period ended September 30, 1999, the Portfolio is actively
managed and the composition will vary.
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE BALANCED PORTFOLIO
AND 65% S&P 500 /35% SALOMON BIG INDEX FROM INCEPTION AND AT EACH
FISCAL YEAR END.
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Institutional Service Investor A Investor B Investor C 65% S&P 500,
Class Class Class Class Class 35% Salomon Big Index
<S> <C> <C> <C> <C> <C> <C>
5/14/90 $10,000 $10,000 $ 9,550 $10,000 $10,000 $10,000
Jun-90 10,240 10,240 9,779 10,240 10,240 9,726
Sep-90 9,236 9,236 8,821 9,236 9,236 10,185
Dec-90 9,998 9,998 9,548 9,998 9,998 9,258
Mar-91 10,827 10,827 10,340 10,827 10,827 9,898
Jun-91 10,796 10,796 10,310 10,796 10,796 10,866
Sep-91 11,459 11,459 10,943 11,459 11,459 10,858
Dec-91 12,243 12,243 11,692 12,243 12,243 11,392
Mar-92 12,165 12,165 11,618 12,165 12,165 12,151
Jun-92 12,469 12,469 11,908 12,469 12,469 11,848
Sep-92 13,197 13,197 12,603 13,197 13,197 12,102
Dec-92 13,690 13,690 13,074 13,690 13,690 12,471
Mar-93 14,160 14,160 13,523 14,160 14,160 12,830
Jun-93 14,481 14,481 13,829 14,481 14,481 13,322
Sep-93 14,894 14,888 14,215 14,885 14,885 13,430
Dec-93 15,309 15,294 14,600 15,288 15,288 13,716
Mar-94 14,821 14,797 14,109 14,774 14,774 13,864
Jun-94 14,647 14,615 13,941 14,598 14,598 13,328
Sep-94 14,876 14,833 14,144 14,810 14,810 13,254
Dec-94 14,827 14,776 14,082 14,725 14,725 13,636
Mar-95 15,802 15,741 14,996 15,666 15,666 13,590
Jun-95 16,989 16,910 16,105 16,788 16,788 14,627
Sep-95 17,900 17,789 16,950 17,640 17,640 15,778
Dec-95 18,937 18,805 17,914 18,613 18,613 16,629
Mar-96 19,418 19,285 18,351 19,033 19,033 17,464
Jun-96 20,002 19,837 18,884 19,547 19,547 17,902
Sep-96 20,484 20,301 19,320 19,956 19,956 18,385
Dec-96 21,872 21,661 20,609 21,245 21,245 18,803
Mar-97 22,143 21,913 20,844 21,452 21,452 19,951
Jun-97 25,000 24,728 23,517 24,272 24,272 20,202
Sep-97 26,306 25,999 24,721 25,462 25,462 22,677
Dec-97 27,079 26,743 25,423 26,126 26,126 23,976
Mar-98 29,565 29,163 27,717 28,433 28,433 26,287
Jun-98 30,591 30,169 28,645 29,326 29,326 27,076
Sep-98 29,153 28,712 27,242 27,889 27,854 25,771
Dec-98 33,033 32,517 30,862 31,597 31,475 29,293
Mar-99 33,968 33,414 31,692 32,449 32,271 30,184
Jun-99 35,014 34,420 32,621 33,345 33,162 31,325
Sep-99 33,467 32,874 31,163 31,145 31,607 30,241
</TABLE>
FOR PERIOD ENDING SEPTEMBER 30, 1999
AVERAGE ANNUAL TOTAL RETURN
1 YEAR 3 YEAR 5 YEAR FROM INCEPTION
------- ------ ------ --------------
Institutional Class 14.81% 17.78% 17.60% 13.73%
Service Class 14.49% 17.43% 17.25% 13.51%
Investor A Class (Load Adjusted) 9.27% 15.49% 16.05% 12.87%
Investor A Class (NAV) 14.40% 17.27% 17.11% 13.42%
Investor B Class (Load Adjusted) 8.37% 14.99% 15.79% 12.98%
Investor B Class (NAV) 13.46% 16.37% 16.26% 12.98%
Investor C Class (Load Adjusted) 12.33% 16.37% 16.26% 12.98%
Investor C Class (NAV) 13.46% 16.37% 16.26% 12.98%
The performance information above includes information relating to each class of
the Portfolio since the commencement of operations of the Portfolio, rather than
the date such class was introduced. The inception dates of the Portfolio's share
classes were as follows: Investor A Shares, 5/14/90; Institutional Shares,
5/1/92; Service Shares, 7/29/93; Investor B Shares, 10/3/94; and Investor C
Shares, 12/20/96. See "Note on Performance Information" on page 16 for further
information on how performance data was calculated.
Past performance is not predictive of future results.
15
<PAGE>
BLACKROCK FUNDS
NOTE ON PERFORMANCE INFORMATION
The performance information above includes information for each class of
each Portfolio since the commencement of operations of the Portfolio, rather
than the date such class was introduced. Performance information for each class
introduced after the commencement of operations of a Portfolio is therefore
based on the performance history of a predecessor class or predecessor classes.
If a class of shares in a Portfolio (the "Subsequent Class") has more than one
predecessor class, the performance data predating the introduction of the
Subsequent Class is based initially on the performance of the Portfolio's first
operational predecessor class (the "Initial Class"); thereafter, the performance
of the Subsequent Class is based upon the performance of any other predecessor
class or classes which were introduced after the Initial Class and which had
total operating expenses more similar to those of the Subsequent Class. In the
case of Investor A, Investor B, Investor C and Service Shares, the performance
information for periods prior to their introduction dates has not been restated
to reflect the shareholder servicing and processing and/or distribution fees and
certain other expenses borne by these share classes which, if reflected, would
reduce the performance quoted. Accordingly, the performance information may be
used in assessing each Portfolio's performance history but does not reflect how
the distinct classes would have performed on a relative basis prior to the
introduction of these classes, which would require an adjustment to the ongoing
expenses.
Performance information is restated to reflect the current maximum
front-end sales charge (in the case of Investor A Shares) or the maximum
contingent deferred sales charge (in the case of Investor B and Investor C
Shares), and assumes the reinvestment of dividends and distributions. The
maximum front-end sales charges for Investor A Shares are as follows: Large Cap
Value Equity, Large Cap Growth Equity, Mid-Cap Value Equity, Mid-Cap Growth
Equity, Small Cap Value Equity, Small Cap Growth Equity, Micro-Cap Equity,
Select Equity and Balanced Portfolios -- 4.50%; International Equity,
International Emerging Markets and International Small Cap Equity Portfolios --
5.00%; and Index Equity Portfolio -- 3.00%. The maximum contingent deferred
sales charge for Investor B Shares and Investor C Shares of all of the
Portfolios is 4.50% and 1.00%, respectively.
The performance information also reflects fee waivers that subsidize and
reduce the total operating expenses of each Portfolio. The Portfolios' returns
would have been lower if there were not such waivers. BlackRock Advisors Inc.
and the Portfolio's Administrators are under no obligation to waive or continue
waiving their fees. Investment return and principal value of an investment will
fluctuate so that an investor's shares, when redeemed, may be worth more or less
than their original cost.
- --------------------------------------------------------------------------------
IMPORTANT TAX INFORMATION FOR SHAREHOLDERS OF THE BLACKROCK EQUITY PORTFOLIOS
(UNAUDITED)
During the fiscal year ended September 30, 1999, the following Portfolios
of the BlackRock Funds declared the following dividends from net realized
capital gains:
SHORT-TERM LONG-TERM
CAPITAL GAIN CAPITAL GAIN
PER SHARE PER SHARE
------------ ------------
Large Cap Value Equity Portfolio ............... $0.1007 $0.7860
Large Cap Growth Equity Portfolio .............. 0.0796 1.5510
Small Cap Value Equity Portfolio ............... -- 0.6732
International Equity Portfolio ................. -- 0.6660
International Small Cap Equity Portfolio ....... 0.8955 --
Select Equity Portfolio ........................ 0.0634 0.5501
Index Equity Portfolio ......................... 0.0187 0.0595
Balanced Portfolio ............................. 0.1145 0.6723
Because each Portfolio's fiscal year is not the calendar year, another
notification will be sent with respect to calendar year 1999. The second
notification, which reflects the amounts to be used by calendar year taxpayers
on their U.S. federal income tax returns, has been made in conjunction with Form
1099-DIV and will be mailed in January 2000.
FOR CORPORATE SHAREHOLDERS ONLY:
The percentage of dividends from net investment income declared in the
fiscal year ended September 30, 1999 which qualify for the corporate dividends
received deduction is as follows:
Large Cap Value Equity Portfolio ................................ 100.0%
Mid-Cap Value Equity Portfolio .................................. 100.0
Small Cap Value Equity Portfolio ................................ 88.8
Select Equity Portfolio ......................................... 100.0
Balanced Portfolio .............................................. 35.6
IMPORTANT TAX INFORMATION FOR SHAREHOLDERS OF THE INTERNATIONAL EQUITY,
INTERNATIONAL SMALL CAP EQUITY AND INTERNATIONAL EMERGING MARKETS PORTFOLIOS.
During the fiscal year ended September 30, 1999, the International Equity
Portfolio distributed $25,009,048 of foreign source income on which the
Portfolio paid foreign taxes of $2,356,937; International Small Cap Equity
Portfolio distributed $479,162 of foreign source income on which the Portfolio
paid foreign taxes of $30,424 and International Emerging Markets Portfolio
distributed $751,345 of foreign source income on which the Portfolio paid
foreign taxes of $191,332. This information is being furnished to you pursuant
to notice requirements of Sections 853(a) and 855(d) of the Internal Revenue
Code, as amended, and the Treasury Regulations thereunder.
16
<PAGE>
BLACKROCK FUNDS
SCHEDULE OF INVESTMENTS
LARGE CAP Value Equity Portfolio
Number
AS OF SEPTEMBER 30, 1999 of Shares Value
--------- --------------
COMMON STOCKS -- 97.6%
AEROSPACE -- 3.7%
Allied-Signal, Inc. 1,136,300 $ 68,106,982
Boeing Co. 224,800 9,582,100
Lockheed Martin Corp. 367,700 12,019,194
--------------
89,708,276
--------------
AIR TRANSPORTATION -- 1.4%
AMR Corp.** 188,300 10,262,350
Continental Airlines, Class B** 369,200 12,091,300
Delta Air Lines, Inc. 273,500 13,264,750
--------------
35,618,400
--------------
AUTOMOTIVE -- 1.4%
Dana Corp. 543,800 20,188,575
Lear Corp.** 356,100 12,530,269
--------------
32,718,844
--------------
BANKS -- 11.1%
Bank One Corp. 539,613 18,785,278
BankAmerica Corp. 1,031,908 57,464,377
BankBoston Corp. 541,440 23,484,960
Chase Manhattan Corp. 644,100 48,549,037
Comerica, Inc. 311,200 15,754,500
Mellon Bank Corp. 380,200 12,831,750
Suntrust Banks, Inc. 378,700 24,899,525
U.S. Bancorp 837,800 25,291,087
Wells Fargo Co. 983,300 38,963,262
--------------
266,023,776
--------------
CABLE & OTHER PAY TELEVISION SERVICES -- 0.6%
MediaOne Group, Inc.** 222,700 15,213,194
--------------
CHEMICALS -- 3.1%
Air Products & Chemicals, Inc. 468,200 13,607,062
Dow Chemical Co. 106,100 12,055,612
E.I. du Pont de Nemours & Co. 483,950 29,460,456
PPG Industries, Inc. 320,900 19,254,000
--------------
74,377,130
--------------
COMPUTER & OFFICE EQUIPMENT -- 5.1%
Compaq Computer Corp. 492,300 11,292,131
International Business
Machines Corp. 616,000 74,767,000
Xerox Corp. 862,800 36,183,675
--------------
122,242,806
--------------
DURABLE GOODS -- 0.5%
Black & Decker Corp. 239,400 10,937,587
--------------
ELECTRONICS -- 1.9%
Emerson Electric Co. 210,700 13,313,606
General Electric Co. 265,440 31,471,230
--------------
44,784,836
--------------
ENERGY & UTILITIES -- 7.3%
Cinergy Corp. 364,600 10,322,737
Columbia Gas Systems, Inc. 443,350 24,550,506
Duke Power Co. 305,800 16,857,225
Edison International 366,900 8,920,256
Entergy Corp. 487,000 14,092,562
FPL Group, Inc. 773,200 38,949,950
NiSource, Inc. 422,000 9,336,750
Number
of Shares Value
--------- --------------
ENERGY & UTILITIES -- (CONTINUED)
PECO Energy Co. 603,900 $ 22,646,250
Southern Co. 474,400 12,215,800
Unicom Corp. 440,230 16,260,996
--------------
174,153,032
--------------
ENTERTAINMENT & LEISURE -- 1.3%
Walt Disney Co. 1,172,400 30,335,850
--------------
FINANCE -- 10.0%
CIT Group, Inc., Class A 656,000 13,489,000
Citigroup, Inc. 1,709,500 75,218,000
Federal National Mortgage
Association 414,800 26,002,775
Fleet Financial Group, Inc. 706,000 25,857,250
Household International, Inc. 588,440 23,611,155
Lehman Brothers Holdings, Inc. 194,700 11,353,444
Morgan Stanley, Dean Witter & Co. 523,272 46,669,322
Washington Mutual, Inc. 639,150 18,695,138
--------------
240,896,084
--------------
FOOD & AGRICULTURE -- 1.0%
Conagra, Inc. 521,800 11,773,113
H.J. Heinz Co. 281,500 12,104,500
--------------
23,877,613
--------------
INSURANCE -- 5.0%
Allstate Corp. 165,680 4,131,645
American General Corp. 183,600 11,601,225
American International Group, Inc. 300,750 26,146,453
Cigna Corp. 393,100 30,563,525
Conseco, Inc. 557,100 10,758,994
MBIA, Inc. 323,000 15,059,875
Nationwide Financial Services, Inc. 310,900 10,998,088
XL Capital Ltd., Class A 223,200 10,044,000
--------------
119,303,805
--------------
MACHINERY & HEAVY EQUIPMENT -- 1.9%
Deere & Co. 711,300 27,518,419
Dover Corp. 444,000 18,148,500
--------------
45,666,919
--------------
MEASURING & CONTROLLING DEVICES -- 0.8%
Honeywell, Inc. 172,700 19,223,669
--------------
MEDICAL & MEDICAL SERVICES -- 0.8%
Columbia Healthcare Corp. 459,200 9,729,300
United Healthcare Corp. 214,600 10,448,338
--------------
20,177,638
--------------
METAL & MINING -- 1.0%
Alcoa, Inc. 382,100 23,714,081
--------------
MOTOR VEHICLES -- 2.7%
Delphi Automotive Systems Corp. 264,133 4,242,636
Ford Motor Co. 635,300 31,884,119
General Motors Corp. 436,304 27,459,883
--------------
63,586,638
--------------
See accompanying notes to financial statements.
17
<PAGE>
BLACKROCK FUNDS
SCHEDULE OF INVESTMENTS
LARGE CAP VALUE EQUITY PORTFOLIO (CONCLUDED)
Number
AS OF SEPTEMBER 30, 1999 of Shares Value
--------- --------------
COMMON STOCKS -- (CONTINUED)
OIL & GAS -- 12.4%
Atlantic Richfield Co. 367,500 $ 32,569,688
BP Amoco PLC - ADR 213,700 23,680,631
Chevron Corp. 538,200 47,765,250
Exxon Corp. 842,500 63,977,344
Mobil Corp. 535,900 53,991,925
Royal Dutch Petroleum Co. -ADR 774,500 45,743,906
Ultramar Diamond Shamrock Corp. 345,388 8,807,394
Unocal Corp. 588,900 21,826,106
--------------
298,362,244
--------------
PAPER & FOREST PRODUCTS -- 1.6%
Bowater, Inc. 225,200 11,823,000
Fort James Corp. 398,700 10,640,306
Kimberly-Clark Corp. 312,900 16,427,250
--------------
38,890,556
--------------
PHARMACEUTICALS -- 2.1%
American Home Products Corp. 253,500 10,520,250
Bristol-Myers Squibb Co. 224,800 15,174,000
Merck & Co., Inc. 163,300 10,583,881
Pharmacia & Upjohn, Inc. 266,100 13,205,213
--------------
49,483,344
--------------
REAL ESTATE -- 0.4%
Starwood Hotels & Resorts
Worldwide, Inc. 479,645 10,702,079
--------------
RETAIL MERCHANDISING -- 4.5%
Albertson's, Inc. 463,300 18,329,306
Federated Department Stores, Inc.** 679,900 29,703,131
J.C. Penney Co., Inc. 326,300 11,216,563
Kmart Corp.** 263,200 3,076,150
Kroger Co.** 524,300 11,567,369
May Department Stores Co. 649,300 23,658,869
Sears, Roebuck & Co. 304,100 9,541,138
--------------
107,092,526
--------------
TELECOMMUNICATIONS -- 14.0%
AT&T Corp. 1,617,750 70,372,125
Bell Atlantic Corp. 956,684 64,396,792
Bellsouth Corp. 371,000 16,695,000
GTE Corp. 540,700 41,566,313
MCI Worldcom, Inc.** 372,200 26,751,875
Motorola, Inc. 132,400 11,651,200
SBC Communications, Inc. 952,068 48,614,972
Sprint Corp. (FON Group) 404,790 21,959,858
US West, Inc. 612,100 34,927,956
--------------
336,936,091
--------------
Number
of Shares Value
--------- --------------
TOBACCO -- 1.0%
Philip Morris Cos., Inc. 672,450 $ 22,989,384
--------------
TRANSPORTATION -- 0.7%
Burlington Northern Santa Fe Corp. 430,100 11,827,750
FDX Corp.** 133,800 5,184,750
--------------
17,012,500
--------------
WASTE MANAGEMENT -- 0.3%
Republic Services, Inc., Class A** 658,200 7,157,925
--------------
TOTAL COMMON STOCKS (Cost $1,954,894,918) 2,341,186,827
--------------
Par/Shares
Maturity (000)
---------- ----------
SHORT TERM INVESTMENTS -- 2.4%
Federal Home Loan
Bank Discount
Notes
5.17% 10/01/99 $55,000 55,000,000
Galileo Money Market Fund 2,110 2,110,334
--------------
TOTAL SHORT TERM INVESTMENTS
(Cost $57,110,334) 57,110,334
--------------
TOTAL INVESTMENTS IN SECURITIES-- 100.0%
(Cost $2,012,005,252*) $2,398,297,161
==============
- ------------------------
* Cost for Federal income tax purposes is $2,012,231,918. The gross unrealized
appreciation (depreciation) on a tax basis is as follows:
Gross unrealized appreciation $ 500,163,626
Gross unrealized depreciation (114,098,383)
-------------
$ 386,065,243
=============
** Non-income producing security.
See accompanying notes to financial statements.
18
<PAGE>
BLACKROCK FUNDS
STATEMENT OF ASSETS AND LIABILITIES
LARGE CAP VALUE EQUITY PORTFOLIO
SEPTEMBER 30, 1999
ASSETS
Investments at value (Cost $2,012,005,252) ................ $2,398,297,161
Collateral received for securities loaned ................. 574,947,208
Dividends receivable ...................................... 4,058,014
Interest receivable ....................................... 41,683
Investments sold receivable ............................... 17,470,908
Capital shares sold receivable ............................ 1,038,228
Prepaid expenses .......................................... 16,702
--------------
TOTAL ASSETS ....................................... 2,995,869,904
--------------
LIABILITIES
Payable upon return of securities loaned .................. 574,947,208
Investments purchased payable ............................. 31,877,108
Capital shares redeemed payable ........................... 3,552,592
Advisory fees payable ..................................... 703,950
Administrative fees payable ............................... 468,197
Transfer agent fees payable ............................... 251,003
Other accrued expenses payable ............................ 683,159
--------------
TOTAL LIABILITIES .................................. 612,483,217
--------------
NET ASSETS (Applicable to 121,200,237 Institutional shares,
23,797,912 Service shares, 3,915,999 Investor A shares,
2,126,612 Investor B shares and 267,177 Investor C
shares outstanding) ........................................ $2,383,386,687
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
INSTITUTIONAL SHARE ($1,909,444,840 (DIVIDE) 121,200,237) .. $15.75
======
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SERVICE SHARE ($374,906,930 (DIVIDE) 23,797,912) .......... $15.75
======
NET ASSET VALUE AND REDEMPTION PRICE
PER INVESTOR A SHARE ($61,656,692 (DIVIDE) 3,915,999) ..... $15.74
======
MAXIMUM OFFERING PRICE PER INVESTOR A SHARE
($15.74 (DIVIDE) 0.955) ................................... $16.48
======
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE (subject
to a maximum contingent deferred sales charge of 4.5%)
PER INVESTOR B SHARE ($33,206,289 (DIVIDE) 2,126,612) ...... $15.61
======
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE (subject
to a maximum contingent deferred sales charge of 1.0%)PER
INVESTOR C SHARE ($4,171,936 (DIVIDE) 267,177) ............. $15.61
======
See accompanying notes to financial statements.
19
<PAGE>
BLACKROCK FUNDS
SCHEDULE OF INVESTMENTS
LARGE CAP GROWTH EQUITY PORTFOLIO
Number
AS OF SEPTEMBER 30, 1999 of Shares Value
--------- --------------
COMMON STOCKS -- 94.7%
ADVERTISING -- 0.9%
Omnicom Group, Inc. 161,000 $ 12,749,187
--------------
AEROSPACE -- 1.4%
General Dynamics Corp. 145,000 9,053,437
United Technologies Corp. 193,000 11,447,312
--------------
20,500,749
--------------
BEVERAGES -- 2.6%
Coca-Cola Co. 593,000 28,501,062
PepsiCo, Inc. 302,000 9,135,500
--------------
37,636,562
--------------
BROADCASTING -- 3.6%
AT&T Corp. - Liberty Media Group,
Class A** 327,500 12,158,437
CBS Corp.** 326,600 15,105,250
Clear Channel Communications,
Inc.** 182,100 14,545,237
Comcast Corp., Class A 262,700 10,475,162
--------------
52,284,086
--------------
COMPUTER & OFFICE EQUIPMENT -- 8.7%
Cisco Systems, Inc.** 1,040,900 71,366,706
Dell Computer Corp.** 513,400 21,466,537
International Business Machines
Corp. 222,000 26,945,250
Solectron Corp.** 120,800 8,674,950
--------------
128,453,443
--------------
COMPUTER SOFTWARE & SERVICES -- 15.5%
America Online, Inc.** 274,700 28,568,800
Automatic Data Processing, Inc. 286,600 12,789,525
BMC Software, Inc.** 58,400 4,179,250
Computer Associates
International, Inc. 220,000 13,475,000
Electronic Data Systems Corp. 194,600 10,301,637
EMC Corp.** 426,800 30,489,525
Microsoft Corp.** 913,500 82,728,844
Siebel Systems, Inc.** 138,300 9,214,238
Sun Microsystems, Inc.** 286,300 26,625,900
VERITAS Software Corp.** 125,300 9,514,969
Yahoo!, Inc.** 8,000 1,436,000
--------------
229,323,688
--------------
ELECTRONICS -- 15.4%
Exodus Communications, Inc.** 20,000 1,441,250
General Electric Co. 811,000 96,154,188
Intel Corp. 823,000 61,159,188
Linear Technology Corp. 109,000 6,407,156
Motorola, Inc. 144,500 12,716,000
Nokia Corp. - ADR 86,500 7,768,781
Teradyne, Inc.** 341,600 12,041,400
Texas Instruments, Inc. 324,500 26,690,125
Xilinx, Inc.** 45,600 2,988,225
--------------
227,366,313
--------------
ENTERTAINMENT & LEISURE -- 1.4%
Time Warner, Inc. 333,900 20,284,425
--------------
Number
of Shares Value
--------- --------------
FINANCE -- 4.1%
American Express Co. 156,400 $ 21,055,350
Capital One Financial Corp. 133,000 5,187,000
Charles Schwab Corp. 304,000 10,241,000
Citigroup, Inc. 205,800 9,055,200
Federal Home Loan Mortgage Corp. 111,600 5,803,200
Halliburton Co. 232,700 9,540,700
--------------
60,882,450
--------------
INSURANCE -- 0.7%
American International Group, Inc. 116,500 10,128,219
--------------
MACHINERY & HEAVY EQUIPMENT -- 0.7%
Illinois Tool Works, Inc. 137,000 10,215,063
--------------
MANUFACTURING -- 1.0%
Tyco International Ltd. 145,900 15,064,175
--------------
MEDICAL INSTRUMENTS & SUPPLIES -- 1.9%
Boston Scientific Corp.** 76,400 1,886,125
Guidant Corp. 124,700 6,687,038
Medtronic, Inc. 325,600 11,558,800
PE Corp. - PE Biosystems Group 115,900 8,373,775
--------------
28,505,738
--------------
PAPER & FOREST PRODUCTS -- 0.2%
Georgia-Pacific Group 83,100 3,365,550
--------------
PHARMACEUTICALS -- 13.1%
Amgen, Inc.** 191,900 15,639,850
Bristol-Myers Squibb Co. 507,900 34,283,250
Eli Lilly & Co. 224,000 14,336,000
Johnson & Johnson 368,700 33,874,313
Merck & Co., Inc. 494,600 32,056,263
Pfizer, Inc. 843,200 30,302,500
Schering-Plough Corp. 354,800 15,478,150
Warner-Lambert Co. 253,600 16,832,700
--------------
192,803,026
--------------
RESTAURANTS -- 0.5%
McDonald's Corp. 172,000 7,396,000
--------------
RETAIL MERCHANDISING -- 8.5%
Best Buy Co., Inc.** 171,300 10,631,306
Dayton Hudson Corp. 166,600 10,006,413
Dollar General Corp. 63,000 1,945,125
Gap, Inc. 337,425 10,797,600
Home Depot, Inc. 482,700 33,125,288
Kohl's Corp.** 146,800 9,707,150
Kroger Co.** 194,900 4,299,981
Lowe's Cos., Inc. 296,000 14,430,000
Staples, Inc.** 249,000 5,431,313
Wal-Mart Stores, Inc. 530,800 25,246,175
--------------
125,620,351
--------------
SOAPS & COSMETICS -- 3.0%
Estee Lauder Cos., Inc. 120,000 4,687,500
Gillette Co. 286,700 9,729,881
Procter & Gamble Co. 319,000 29,906,250
--------------
44,323,631
--------------
See accompanying notes to financial statements.
20
<PAGE>
BLACKROCK FUNDS
SCHEDULE OF INVESTMENTS
LARGE CAP GROWTH EQUITY PORTFOLIO (CONCLUDED)
Number
AS OF SEPTEMBER 30, 1999 of Shares Value
--------- --------------
COMMON STOCKS -- (CONTINUED)
TELECOMMUNICATIONS -- 10.4%
Corning, Inc. 132,100 $ 9,057,106
General Instrument Corp.** 30,000 1,443,750
JDS Uniphase Corp.** 84,400 9,605,775
Lucent Technologies, Inc. 911,200 59,114,100
MCI Worldcom, Inc.** 433,000 31,121,875
Nextel Communications, Inc.,
Class A** 38,300 2,597,219
Oracle Corp.** 357,800 16,279,900
SBC Communications, Inc. 137,200 7,005,775
Scientific-Atlanta, Inc. 16,200 802,913
Vodafone AirTouch PLC - ADR** 70,500 16,761,375
--------------
153,789,788
--------------
TEXTILES -- 0.5%
Nike, Inc. 141,400 8,042,125
--------------
TOBACCO -- 0.6%
Philip Morris Cos., Inc. 243,500 8,324,656
--------------
TOTAL COMMON STOCKS (Cost $848,714,480) 1,397,059,225
--------------
Par/Shares
Maturity (000)
---------- ----------
SHORT TERM INVESTMENTS -- 5.3%
Federal Home Loan
Bank Discount Notes
5.17% 10/01/99 $73,000 73,000,000
Federal Home Loan
Mortgage Corp.
Discount Notes
5.21%*** 10/05/99 1,000 999,421
5.18%*** 10/07/99 700 699,396
Federal National
Mortgage Association
Discount Notes
5.21%*** 10/15/99 950 948,075
Galileo Money Market Fund 2,581 2,580,996
--------------
TOTAL SHORT TERM INVESTMENTS
(Cost $78,227,888) 78,227,888
--------------
TOTAL INVESTMENTS IN SECURITIES-- 100.0%
(Cost $926,942,368*) $1,475,287,113
==============
- ---------------------------
* Cost for Federal income tax purposes is $928,497,193. The gross unrealized
appreciation (depreciation) on a tax basis is as follows:
Gross unrealized appreciation $568,955,709
Gross unrealized depreciation (22,165,789)
------------
$546,789,920
============
**Non-income producing security.
***Principal amount of securities pledged as initial margin requirement of
$2,650,000 on 100 Standard & Poor's 500 Stock Index futures contracts
expiring December 1999. The value of such contracts on September 30, 1999
was $32,455,000, thereby resulting in an unrealized loss of $1,085,875.
See accompanying notes to financial statements.
21
<PAGE>
BLACKROCK FUNDS
STATEMENT OF ASSETS AND LIABILITIES
LARGE CAP GROWTH EQUITY PORTFOLIO
SEPTEMBER 30, 1999
ASSETS
Investments at value (Cost $926,942,368) .................. $1,475,287,113
Collateral received for securities loaned ................. 349,314,866
Dividends receivable ...................................... 970,166
Interest receivable ....................................... 28,961
Investments sold receivable ............................... 5,550,476
Capital shares sold receivable ............................ 3,272,073
Futures margin receivable ................................. 457,500
Prepaid expenses .......................................... 10,806
--------------
TOTAL ASSETS ....................................... 1,834,891,961
--------------
LIABILITIES
Payable upon return of securities loaned .................. 349,314,866
Investments purchased payable ............................. 16,770,976
Capital shares redeemed payable ........................... 618,076
Advisory fees payable ..................................... 667,406
Administrative fees payable ............................... 280,101
Transfer agent fees payable ............................... 146,333
Other accrued expenses payable ............................ 401,185
--------------
TOTAL LIABILITIES .................................. 368,198,943
--------------
NET ASSETS (Applicable to 49,419,398 Institutional shares,
11,075,225 Service shares, 2,736,046 Investor A shares,
1,708,163 Investor B shares and 192,861 Investor C shares
outstanding) .............................................. $1,466,693,018
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
INSTITUTIONAL SHARE ($1,115,368,419 (DIVIDE) 49,419,398) ... $22.57
======
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SERVICE
SHARE ($248,900,515 (DIVIDE) 11,075,225) ................... $22.47
======
NET ASSET VALUE AND REDEMPTION PRICE PER INVESTOR A SHARE
($61,211,164 (DIVIDE) 2,736,046) ........................... $22.37
======
MAXIMUM OFFERING PRICE PER INVESTOR A SHARE
($22.37 (DIVIDE) 0.955) .................................... $23.42
======
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE (subject to
a maximum contingent deferred sales charge of 4.5%)PER
INVESTOR B SHARE ($37,031,861 (DIVIDE) 1,708,163) .......... $21.68
======
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE (subject
to a maximum contingent deferred sales charge of 1.0%)PER
INVESTOR C SHARE ($4,181,059 (DIVIDE) 192,861) ............. $21.68
======
See accompanying notes to financial statements.
22
<PAGE>
BLACKROCK FUNDS
SCHEDULE OF INVESTMENTS
MID-CAP VALUE EQUITY PORTFOLIO
Number
AS OF SEPTEMBER 30, 1999 of Shares Value
--------- --------------
COMMON STOCKS -- 96.9%
AEROSPACE -- 0.7%
General Dynamics Corp. 32,600 $ 2,035,461
--------------
AIR TRANSPORTATION -- 1.4%
Delta Air Lines, Inc. 44,500 2,158,250
Southwest Airlines 119,600 1,816,425
--------------
3,974,675
--------------
AUTOMOTIVE -- 2.6%
Dana Corp. 77,900 2,892,037
Lear Corp.** 64,500 2,269,594
Navistar International** 44,600 2,073,900
--------------
7,235,531
--------------
BANKS -- 8.9%
Banc-West Corp. 60,500 2,457,812
Charter One Financial, Inc. 115,408 2,668,825
Comerica, Inc. 47,700 2,414,812
Compass Bancshares, Inc. 135,600 3,390,000
First American Corp. 75,700 3,245,637
First Security Corp. 85,800 2,040,431
First Tennessee National Corp. 59,800 1,681,875
Huntington Bancshares, Inc. 63,723 1,692,642
Regions Financial Corp. 73,900 2,217,000
Sovereign Bancorp, Inc. 24,780 225,343
UnionBanCal Corp. 93,400 3,385,750
--------------
25,420,127
--------------
BEVERAGES -- 0.8%
Pepsi Bottling Group, Inc. 131,400 2,242,012
--------------
BUSINESS SERVICES -- 1.4%
Equifax, Inc. 63,700 1,791,562
Modis Professional Services, Inc.** 172,300 2,282,975
--------------
4,074,537
--------------
CHEMICALS -- 3.5%
Air Products & Chemicals, Inc. 87,300 2,537,156
PPG Industries, Inc. 57,000 3,420,000
Rohm & Haas Co. 69,700 2,517,912
Sherwin-Williams Co. 70,000 1,465,625
--------------
9,940,693
--------------
COMPUTER & OFFICE EQUIPMENT -- 0.8%
Gateway, Inc.** 52,200 2,319,637
--------------
COMPUTER COMMUNICATIONS EQUIPMENT -- 0.9%
3Com Corp.** 87,900 2,527,125
--------------
COMPUTER SOFTWARE & SERVICES -- 2.5%
Keane, Inc.** 53,100 1,211,344
Quantum Corp. - DLT & Storage
Systems** 64,900 912,656
Safeguard Scientifics, Inc.** 29,600 2,012,800
Unisys Corp.** 69,600 3,140,700
--------------
7,277,500
--------------
CONSTRUCTION -- 1.3%
Southdown, Inc. 70,600 3,777,100
--------------
CONTAINERS -- 0.6%
Owens-Illinois, Inc.** 86,400 1,711,800
--------------
DURABLE GOODS -- 1.0%
Whirlpool Corp. 43,900 2,867,219
--------------
Number
of Shares Value
--------- --------------
ELECTRONICS -- 4.8%
Arrow Electronics, Inc.** 163,000 $ 2,872,875
C-Cube Microsystems, Inc.** 33,200 1,444,200
KLA - Tencor Corp.** 55,800 3,627,000
Micron Technology, Inc.** 29,700 1,976,906
Vishay Intertechnology, Inc.** 161,856 3,844,080
--------------
13,765,061
--------------
ENERGY & UTILITIES -- 10.2%
Ameren Corp. 69,988 2,646,421
Cinergy Corp. 116,000 3,284,250
Columbia Gas Systems, Inc. 25,800 1,428,675
DPL, Inc. 171,650 3,025,331
Edison International 125,200 3,043,925
El Paso Energy Corp. 78,300 3,117,319
New Century Energies, Inc. 66,800 2,233,625
PECO Energy Co. 120,797 4,529,887
Reliant Energy, Inc. 135,000 3,653,437
Unicom Corp. 60,130 2,221,052
--------------
29,183,922
--------------
ENTERTAINMENT & LEISURE -- 1.3%
Park Place Entertainment Corp.** 285,600 3,570,000
--------------
FINANCE -- 3.5%
CIT Group, Inc., Class A 103,500 2,128,219
Dun & Bradstreet Corp. 113,200 3,381,850
Finova Group, Inc. 35,900 1,310,350
Goldman Sachs Group, Inc. 13,900 847,900
Lehman Brothers Holdings, Inc. 38,600 2,250,862
--------------
9,919,181
--------------
FOOD & AGRICULTURE -- 5.7%
Food Lion, Inc., Class B 101,161 2,288,768
International Home Foods, Inc.** 206,700 3,617,250
Keebler Foods Co.** 112,300 3,354,962
Nabisco Group Holdings Corp. 106,000 1,590,000
Ralston Purina Group 109,931 3,057,456
Supervalu, Inc. 108,800 2,373,200
--------------
16,281,636
--------------
INSURANCE -- 4.9%
Ace Ltd. 133,300 2,257,769
Allmerica Financial Corp. 45,500 2,166,938
Conseco, Inc. 100,900 1,948,631
Lincoln National Corp. 45,000 1,690,313
Nationwide Financial Services, Inc. 72,800 2,575,300
PartnerRe Ltd. 50,200 1,744,450
UNUM Corp. 52,132 1,534,636
--------------
13,918,037
--------------
LEASING -- 0.6%
Hertz Corp. 38,700 1,702,800
--------------
MACHINERY & HEAVY EQUIPMENT -- 4.7%
Black & Decker Corp. 48,200 2,202,138
Cooper Industries, Inc. 69,200 3,235,100
Deere & Co. 75,600 2,924,775
Ingersoll-Rand Co. 41,500 2,279,906
W.W. Grainger, Inc. 58,600 2,816,463
--------------
13,458,382
--------------
MANUFACTURING -- 1.1%
ITT Industries, Inc. 97,700 3,108,081
--------------
See accompanying notes to financial statements.
23
<PAGE>
BLACKROCK FUNDS
SCHEDULE OF INVESTMENTS
MID-CAP VALUE EQUITY PORTFOLIO (CONCLUDED)
Number
AS OF SEPTEMBER 30, 1999 of Shares Value
--------- --------------
COMMON STOCKS -- (CONTINUED)
MEASURING & CONTROLLING DEVICES -- 1.2%
Honeywell, Inc. 31,600 $ 3,517,475
--------------
MEDICAL & MEDICAL SERVICES -- 1.2%
Tenet Healthcare Corp.** 129,900 2,281,369
Wellpoint Health Networks, Inc.** 22,100 1,259,700
--------------
3,541,069
--------------
MEDICAL INSTRUMENTS & SUPPLIES -- 1.4%
Beckman Coulter, Inc. 56,700 2,558,588
C.R. Bard, Inc. 32,300 1,520,119
--------------
4,078,707
--------------
METAL & MINING -- 1.6%
Barrick Gold Corp. 45,700 993,975
Nucor Corp. 72,200 3,438,525
--------------
4,432,500
--------------
MOTOR VEHICLES -- 0.9%
TRW, Inc. 54,100 2,691,475
--------------
OIL & GAS -- 7.7%
Burlington Resources, Inc. 41,900 1,539,825
Coastal Corp. 74,400 3,045,750
Consolidated Natural Gas Co. 70,400 4,391,200
Diamond Offshore Drilling, Inc. 123,000 4,105,125
Santa Fe Snyder Corp.** 176,500 1,588,500
Unocal Corp. 90,400 3,350,450
USX-Marathon Group 131,600 3,849,300
--------------
21,870,150
--------------
PAPER & FOREST PRODUCTS -- 2.6%
Bowater, Inc. 64,000 3,360,000
Fort James Corp. 79,400 2,118,988
Georgia-Pacific Group 45,100 1,826,550
--------------
7,305,538
--------------
PHARMACEUTICALS -- 0.7%
Watson Pharmaceuticals, Inc.** 62,200 1,900,988
--------------
PLASTIC PRODUCTS -- 0.7%
Premark International, Inc. 39,800 2,009,900
--------------
PUBLISHING & PRINTING -- 1.1%
New York Times Co., Class A 86,800 3,255,000
--------------
REAL ESTATE -- 3.5%
Arden Realty, Inc. 92,475 2,011,331
Duke Realty Investments, Inc. 124,300 2,423,850
Equity Residential Properties Trust 69,000 2,923,875
Simon Property Group, Inc. 25,800 578,888
Starwood Hotels & Resorts
Worldwide, Inc. 88,600 1,976,888
--------------
9,914,832
--------------
RESTAURANTS -- 2.8%
Darden Restaurants, Inc. 124,900 2,443,356
Tricon Global Restaurants, Inc.** 75,000 3,070,313
Wendys International, Inc. 93,000 2,452,875
--------------
7,966,544
--------------
Number
of Shares Value
--------- --------------
RETAIL MERCHANDISING -- 3.7%
Federated Department Stores, Inc.** 70,000 $ 3,058,125
Payless ShoeSource, Inc.** 56,100 2,833,050
Rite Aid Corp. 85,000 1,174,063
Ross Stores, Inc. 75,500 1,519,438
Saks, Inc.** 129,700 1,969,819
--------------
10,554,495
--------------
SEMI-CONDUCTORS & RELATED DEVICES -- 0.5%
ST Microelectronics NV - New York,
Registered Shares 18,800 1,391,200
--------------
TELECOMMUNICATIONS -- 2.5%
Alltel Corp. 32,700 2,301,263
General Instrument Corp.** 38,900 1,872,063
McLeod USA, Inc., Class A** 37,800 1,608,863
Voicestream Wireless Corp.** 23,200 1,431,875
--------------
7,214,064
--------------
TOBACCO -- 0.0%
R.J. Reynolds Tobacco Holdings, Inc. 1 27
--------------
TRANSPORTATION -- 0.5%
Kansas City Southern
Industries, Inc. 30,000 1,393,125
--------------
WASTE MANAGEMENT -- 1.1%
Allied Waste Industries, Inc.** 152,000 1,776,500
Republic Services, Inc., Class A** 129,000 1,402,875
--------------
3,179,375
--------------
TOTAL COMMON STOCKS (Cost $282,799,423) 276,526,981
--------------
Par/Shares
Maturity (000)
-------- ----------
SHORT TERM INVESTMENTS -- 3.1%
Federal Home Loan
Bank Discount Notes
5.17% 10/01/99 $8,000 8,000,000
Galileo Money Market Fund 904 904,034
--------------
TOTAL SHORT TERM INVESTMENTS
(Cost $8,904,034) 8,904,034
--------------
TOTAL INVESTMENTS IN SECURITIES-- 100.0%
(Cost $291,703,457*) $ 285,431,015
==============
- --------------------------
* Cost for Federal income tax purposes is $292,488,953. The gross unrealized
appreciation (depreciation) on a tax basis is as follows:
Gross unrealized appreciation $ 20,023,483
Gross unrealized depreciation (27,081,421)
------------
$ (7,057,938)
============
** Non-income producing security.
See accompanying notes to financial statements.
24
<PAGE>
BLACKROCK FUNDS
STATEMENT OF ASSETS AND LIABILITIES
MID-CAP VALUE EQUITY PORTFOLIO
SEPTEMBER 30, 1999
ASSETS
Investments at value (Cost $291,703,457) .................... $285,431,015
Collateral received for securities loaned ................... 49,138,279
Dividends receivable ........................................ 457,906
Interest receivable ......................................... 6,990
Investments sold receivable ................................. 9,912,363
Capital shares sold receivable .............................. 401,550
Prepaid expenses ............................................ 10,271
------------
TOTAL ASSETS ......................................... 345,358,374
------------
LIABILITIES
Payable upon return of securities loaned .................... 49,138,279
Investments purchased payable ............................... 10,739,835
Capital shares redeemed payable ............................. 469,204
Advisory fees payable ....................................... 220,058
Administrative fees payable ................................. 42,666
Transfer agent fees payable ................................. 51,775
Other accrued expenses payable .............................. 58,953
------------
TOTAL LIABILITIES .................................... 60,720,770
------------
NET ASSETS (Applicable to 20,607,777 Institutional shares,
3,603,922 Service shares, 381,909 Investor A shares,
457,004 Investor B shares and 37,309 Investor C shares
outstanding) ................................................ $284,637,604
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
INSTITUTIONAL SHARE ($233,890,513 (DIVIDE) 20,607,777) ...... $11.35
======
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SERVICE SHARE ($40,852,087 (DIVIDE) 3,603,922) .............. $11.34
======
NET ASSET VALUE AND REDEMPTION PRICE PER INVESTOR A
SHARE ($4,327,730 (DIVIDE) 381,909) ............................ $11.33
======
MAXIMUM OFFERING PRICE PER INVESTOR A SHARE
($11.33 (DIVIDE) 0.955) ..................................... $11.86
======
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE (subject to
a maximum contingent deferred sales charge of 4.5%)PER
INVESTOR B SHARE ($5,147,127 (DIVIDE) 457,004) .............. $11.26
======
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE (subject to
a maximum contingent deferred sales charge of 1.0%) PER
INVESTOR C SHARE ($420,147 (DIVIDE) 37,309) ................. $11.26
======
See accompanying notes to financial statements.
25
<PAGE>
BLACKROCK FUNDS
SCHEDULE OF INVESTMENTS
MID-CAP GROWTH EQUITY PORTFOLIO
Number
AS OF SEPTEMBER 30, 1999 of Shares Value
--------- --------------
COMMON STOCKS -- 88.5%
ADVERTISING -- 2.6%
Lamar Advertising Co.** 93,200 $ 4,613,400
Outdoor Systems, Inc.** 110,000 3,932,500
True North Communications, Inc. 70,000 2,546,250
------------
11,092,150
------------
BROADCASTING -- 4.8%
Clear Channel Communications,
Inc.** 61,278 4,894,580
Hispanic Broadcasting Corp.** 26,000 1,979,250
Univision Communications, Inc.,
Class A** 75,500 6,143,812
Westwood One, Inc.** 160,000 7,220,000
------------
20,237,642
------------
COMPUTER & OFFICE EQUIPMENT -- 8.4%
Adobe Systems, Inc. 64,500 7,320,750
ASM Lithography Holding N.V.** 73,600 4,935,800
Brocade Communications
Systems, Inc.** 29,600 6,216,000
Comverse Technology, Inc.** 109,700 10,346,081
Foundry Networks, Inc.** 9,000 1,134,000
Network Appliance, Inc.** 87,600 6,274,350
------------
36,226,981
------------
COMPUTER SOFTWARE & SERVICES -- 20.9%
BroadVision, Inc.** 53,300 7,092,231
CMGI, Inc.** 20,000 2,050,000
Doubleclick, Inc.** 37,600 4,479,100
Electronic Arts, Inc.** 119,800 8,670,525
Inktomi Corp.** 45,200 5,425,412
Internet Capital Group, Inc.** 50,000 4,393,750
Juniper Networks, Inc.** 5,600 1,024,800
Legato Systems, Inc.** 270,000 11,770,312
Lycos, Inc.** 25,000 1,253,125
Microstrategy, Inc.** 37,500 2,102,343
RealNetworks, Inc.** 47,700 4,987,631
Redback Networks, Inc.** 51,000 5,508,000
Sapient Corp.** 34,000 3,204,500
Scient Corp.** 20,000 1,280,000
Siebel Systems, Inc.** 96,200 6,409,325
USWeb Corp.** 65,000 2,230,312
Verisign, Inc.** 41,300 4,398,450
VERITAS Software Corp.** 146,000 11,086,875
Vignette Corp.** 25,800 2,334,900
------------
89,701,591
------------
DURABLE GOODS -- 0.9%
Waters Corp.** 65,600 3,972,900
------------
ELECTRONICS -- 11.7%
Altera Corp.** 110,300 4,784,262
Atmel Corp.** 61,200 2,069,325
Celestica, Inc. - ADR** 136,700 6,749,562
Conexant Systems, Inc.** 128,600 9,343,594
LSI Logic Corp.** 77,000 3,965,500
Maxim Integrated Products, Inc.** 32,800 2,069,475
Sawtek, Inc.** 67,200 2,352,000
Tandy Corp. 108,900 5,628,769
Teradyne, Inc.** 132,400 4,667,100
Vitesse Semiconductor Corp.** 102,500 8,750,937
------------
50,380,524
------------
Number
of Shares Value
--------- ------------
ENERGY & UTILITIES -- 1.1%
AES Corp.** 81,000 $ 4,779,000
------------
ENTERTAINMENT & LEISURE -- 3.2%
International Speedway Corp.,
Class A 128,000 6,728,000
MGM Grand, Inc.** 138,900 7,109,944
------------
13,837,944
------------
JEWELRY -- 2.0%
Tiffany & Co. 143,100 8,577,056
------------
MEDICAL & MEDICAL SERVICES -- 1.1%
Human Genome Sciences, Inc.** 39,000 2,876,250
Medimmune, Inc.** 20,000 1,993,125
------------
4,869,375
------------
MEDICAL INSTRUMENTS & SUPPLIES -- 1.7%
Biogen, Inc.** 22,000 1,733,875
PE Corp. - PE Biosystems Group 74,900 5,411,525
------------
7,145,400
------------
OIL & GAS -- 5.5%
BJ Services Co.** 39,500 1,256,594
Cooper Cameron Corp.** 128,800 4,862,200
Kerr-McGee Corp. 108,700 5,985,294
Millipore Corp. 78,200 2,937,387
Nabors Industries, Inc.** 76,800 1,920,000
Noble Drilling Corp.** 299,700 6,555,938
------------
23,517,413
------------
PHARMACEUTICALS -- 1.0%
QLT PhotoTherapeutics, Inc.** 55,000 4,204,063
------------
PUBLISHING & PRINTING -- 0.5%
Central Newspapers, Inc. 49,668 2,210,226
------------
RETAIL MERCHANDISING -- 4.3%
Bed, Bath and Beyond, Inc.** 109,400 3,822,163
Dollar General Corp. 191,425 5,910,247
eToys, Inc.** 20,000 1,331,250
Gucci Group N.V. 41,800 3,490,300
Kohl's Corp.** 28,700 1,897,788
Williams Sonoma, Inc.** 40,000 1,942,500
------------
18,394,248
------------
TELECOMMUNICATIONS -- 16.3%
CommScope, Inc.** 213,500 6,938,750
General Instrument Corp.** 129,300 6,222,563
JDS Uniphase Corp.** 109,800 12,496,613
NEXTLINK Communications, Inc.,
Class A** 151,600 7,859,513
Scientific-Atlanta, Inc. 45,000 2,230,313
Time Warner Telecom, Inc.,
Class A** 155,000 3,235,625
United States Cellular Corp.** 170,000 11,560,000
Voicestream Wireless Corp.** 127,600 7,875,313
Western Wireless Corp., Class A** 258,900 11,610,047
------------
70,028,737
------------
TRAVEL & RECREATION -- 2.5%
Royal Caribbean Cruises Ltd. 239,000 10,755,000
------------
TOTAL COMMON STOCKS
(Cost $321,318,918) 379,930,250
------------
See accompanying notes to financial statements.
26
<PAGE>
BLACKROCK FUNDS
SCHEDULE OF INVESTMENTS
MID-CAP GROWTH EQUITY PORTFOLIO (CONCLUDED)
Par/Shares
AS OF SEPTEMBER 30, 1999 Maturity (000) Value
-------- ---------- ------------
SHORT TERM INVESTMENTS -- 11.5%
Federal Home Loan Bank
Discount Notes
5.17% 10/01/99 $45,000 $ 45,000,000
Federal Home Loan Mortgage
Corp. Discount Notes
5.21%*** 10/05/99 2,000 1,998,842
Galileo Money Market Fund 2,350 2,349,621
------------
TOTAL SHORT TERM INVESTMENTS
(Cost $49,348,463) 49,348,463
------------
TOTAL INVESTMENTS IN SECURITIES-- 100.0%
(Cost $370,667,381*) $429,278,713
============
- --------------------------
* Cost for Federal income tax purposes is $372,500,984. The gross unrealized
appreciation (depreciation) on a tax basis is as follows:
Gross unrealized appreciation $64,995,122
Gross unrealized depreciation (8,217,393)
-----------
$56,777,729
===========
** Non-income producing security.
***Principal amount of securities pledged as initial margin requirement of
$2,000,000 on 75 Standard & Poor's 500 Stock Index futures contracts expiring
December 1999. The value of such contracts on September 30, 1999 was
$24,341,250, thereby resulting in an unrealized loss of $1,031,250.
See accompanying notes to financial statements.
27
<PAGE>
BLACKROCK FUNDS
STATEMENT OF ASSETS AND LIABILITIES
MID-CAP GROWTH EQUITY PORTFOLIO
SEPTEMBER 30, 1999
ASSETS
Investments at value (Cost $370,667,381) .................... $429,278,713
Collateral received for securities loaned ................... 106,140,740
Dividends receivable ........................................ 56,565
Interest receivable ......................................... 27,971
Investments sold receivable ................................. 24,594,021
Capital shares sold receivable .............................. 2,216,259
Futures margin receivable ................................... 343,125
Prepaid expenses ............................................ 11,926
------------
TOTAL ASSETS ......................................... 562,669,320
------------
LIABILITIES
Payable upon return of securities loaned .................... 106,140,740
Investments purchased payable ............................... 19,659,043
Capital shares redeemed payable ............................. 562,878
Advisory fees payable ....................................... 317,662
Administrative fees payable ................................. 62,354
Transfer agent fees payable ................................. 42,464
Other accrued expenses payable .............................. 80,066
------------
TOTAL LIABILITIES .................................... 126,865,207
------------
NET ASSETS (Applicable to 18,931,538 Institutional shares,
2,460,352 Service shares, 678,912 Investor A shares,
685,681 Investor B shares and 95,575 Investor C shares
outstanding) ................................................ $435,804,113
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
INSTITUTIONAL SHARE ($361,901,129 (DIVIDE) 18,931,538) ...... $19.12
======
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SERVICE SHARE ($46,639,204 (DIVIDE) 2,460,352) .............. $18.96
======
NET ASSET VALUE AND REDEMPTION PRICE PER INVESTOR A SHARE
($12,795,354 (DIVIDE) 678,912) .............................. $18.85
======
MAXIMUM OFFERING PRICE PER INVESTOR A SHARE
($18.85 (DIVIDE) 0.955) ..................................... $19.74
======
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE (subject
to a maximum contingent deferred sales charge of 4.5%) PER
INVESTOR B SHARE ($12,698,377 (DIVIDE) 685,681) .............. $18.52
======
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE (subject
to a maximum contingent deferred sales charge of 1.0%) PER
INVESTOR C SHARE ($1,770,049 (DIVIDE) 95,575) ................ $18.52
======
See accompanying notes to financial statements.
28
<PAGE>
BLACKROCK FUNDS
STATEMENT OF NET ASSETS
SMALL CAP VALUE EQUITY PORTFOLIO
Number
AS OF SEPTEMBER 30, 1999 of Shares Value
--------- --------------
COMMON STOCKS -- 98.3%
AIR TRANSPORTATION -- 1.7%
Airborne Freight Corp. 224,300 $ 4,724,319
Alaska Air Group, Inc.** 80,600 3,279,412
Atlantic Coast Airlines, Inc.** 80,100 1,421,775
Skywest, Inc. 74,700 1,638,731
------------
11,064,237
------------
BANKS -- 6.9%
Bank United Corp., Class A 163,800 5,303,025
BankAtlantic Bancorp, Inc., Class A 515,757 2,868,898
BankAtlantic Bancorp, Inc., Class B 176,524 1,119,824
Banknorth Group, Inc. 180,600 5,395,425
Commerce Bancorp, Inc. 166,919 6,927,138
Cullen/Frost Bankers 276,800 6,920,000
Provident Bankshares Corp. 145,500 3,096,422
Roslyn Bancorp, Inc. 305,680 5,464,030
Sun Bancorp, Inc.** 172,400 2,758,400
Susquehanna Bancshares, Inc. 265,475 4,579,444
------------
44,432,606
------------
BEVERAGES -- 1.6%
Adolph Coors Co., Class B 112,400 6,083,650
Canandaigua Brands, Inc.** 75,200 4,493,200
------------
10,576,850
------------
CHEMICALS -- 2.4%
Bush Boake Allen, Inc.** 197,300 5,203,787
CK Witco Corp. 374,900 5,459,481
Lyondell Petrochemical Co. 339,800 4,544,825
------------
15,208,093
------------
COMPUTER & OFFICE EQUIPMENT -- 3.5%
Bell and Howell Co.** 197,900 7,260,456
Bell Micro Products, Inc.** 317,700 2,690,522
Integrated Device
Technology, Inc.** 197,900 3,661,150
Saga Systems, Inc.** 223,700 3,229,669
United Stationers, Inc.** 265,600 5,660,600
------------
22,502,397
------------
COMPUTER SOFTWARE & SERVICES -- 1.2%
Cambridge Technology
Partners, Inc.** 210,600 3,053,700
Complete Business
Solutions, Inc.** 335,600 4,593,525
------------
7,647,225
------------
CONSTRUCTION -- 1.9%
Dal-Tile International, Inc.** 699,200 5,549,900
Lone Star Industries, Inc. 135,800 6,773,025
------------
12,322,925
------------
CONTAINERS -- 1.6%
Silgan Holdings, Inc.** 256,400 5,128,000
US Can Corp.** 264,700 5,409,806
------------
10,537,806
------------
DURABLE GOODS -- 2.0%
Kellwood Co. 290,000 6,380,000
Wellman, Inc. 370,700 6,695,769
------------
13,075,769
------------
Number
of Shares Value
--------- --------------
ELECTRONICS -- 9.5%
Audiovox Corp., Class A** 77,100 $ 1,339,613
Belden, Inc. 292,940 6,005,270
Cable Design Technologies, Inc.** 144,500 3,296,406
Dallas Semiconductor Corp. 154,100 8,234,719
DII Group, Inc.** 183,100 6,442,831
Electro Scientific
Industries, Inc.** 108,100 5,759,703
Lam Research Corp.** 79,900 4,873,900
Marshall Industries** 133,100 4,858,150
Oak Industries, Inc.** 178,200 6,058,800
Park Electrochemical Corp. 267,100 8,780,912
Tektronix, Inc. 168,700 5,651,450
------------
61,301,754
------------
ENERGY & UTILITIES -- 10.5%
Alliant Energy Corp. 253,692 7,024,097
C & D Technology, Inc. 234,900 8,529,806
Cilcorp, Inc. 78,500 5,087,781
Cleco Corp. 177,300 5,751,169
Eastern Enterprises, Inc. 78,400 3,640,700
Illinova Corp. 93,800 2,632,262
Mitchell Energy & Development
Corp. 260,900 6,131,150
Piedmont Natural Gas, Inc. 120,700 3,658,719
Sierra Pacific Resources Corp. 231,062 5,141,129
Tesoro Petroleum Corp.** 331,700 5,473,050
TNP Enterprises, Inc. 160,400 6,245,575
USEC, Inc. 333,100 3,414,275
Washington Gas Light Corp. 199,000 5,397,875
------------
68,127,588
------------
FINANCE -- 2.6%
Metris Companies, Inc. 152,448 4,487,688
Peoples Heritage Financial
Group, Inc. 403,100 6,701,537
Webster Financial Corp. 218,600 5,574,300
------------
16,763,525
------------
FOOD & AGRICULTURE -- 3.4%
Del Monte Foods Co.** 483,800 6,833,675
Earthgrains Co. 309,400 6,845,475
Suiza Foods Corp.** 219,700 8,238,750
------------
21,917,900
------------
GLASS -- 0.6%
Libbey, Inc. 123,000 3,636,187
------------
INSURANCE -- 2.5%
Enhance Financial Services
Group, Inc. 235,000 4,156,562
FPIC Insurance Group, Inc.** 224,200 3,377,012
HCC Insurance Holdings, Inc. 174,000 2,925,375
Penn Treaty American Corp.** 280,200 5,849,175
------------
16,308,124
------------
JEWELRY -- 1.7%
Finlay Enterprises, Inc.** 294,700 4,052,125
Movado Group, Inc. 314,012 7,222,276
------------
11,274,401
------------
See accompanying notes to financial statements.
29
<PAGE>
BLACKROCK FUNDS
STATEMENT OF NET ASSETS
SMALL CAP VALUE EQUITY PORTFOLIO (CONTINUED)
Number
AS OF SEPTEMBER 30, 1999 of Shares Value
--------- --------------
COMMON STOCKS -- (CONTINUED)
MACHINERY & HEAVY EQUIPMENT -- 4.3%
Alamo Group, Inc. 230,360 $ 2,130,830
JLG Industries, Inc. 166,300 2,525,681
Pentair, Inc. 129,400 5,192,175
Plantronics, Inc.** 80,820 4,020,795
Stewart & Stevenson Services, Inc. 434,500 5,702,812
Terex Corp.** 251,600 7,925,400
------------
27,497,693
------------
MEDIA -- 1.3%
Valassis Communication, Inc.** 196,450 8,631,522
------------
MEDICAL & MEDICAL SERVICES -- 0.9%
Quorum Health Group, Inc.** 359,200 2,525,625
Sierra Health Services, Inc.** 349,700 3,540,712
------------
6,066,337
------------
MEDICAL INSTRUMENTS & SUPPLIES -- 2.4%
Hologic, Inc.** 308,800 1,244,850
Maxxim Medical, Inc.** 242,400 5,802,450
Mentor Corp. 192,500 5,486,250
PSS World Medical, Inc.** 341,300 3,050,369
------------
15,583,919
------------
METAL & MINING -- 4.5%
Gibraltar Steel Corp. 296,200 6,238,712
LTV Corp. 539,500 2,933,531
Mueller Industries, Inc.** 248,600 7,380,313
RTI International Metals, Inc.** 465,300 4,653,000
Steel Dynamics, Inc.** 309,600 4,856,850
Wolverine Tube, Inc.** 176,100 2,729,550
------------
28,791,956
------------
MISCELLANEOUS SERVICES -- 1.3%
CDI Corp.** 194,200 5,304,088
Interim Services, Inc.** 192,330 3,149,404
------------
8,453,492
------------
MOTOR VEHICLES -- 1.8%
Borge-Warner Automotive, Inc. 131,000 5,633,000
Tower Automotive, Inc.** 318,600 6,312,263
------------
11,945,263
------------
OIL & GAS -- 5.0%
Cross Timbers Oil Co. 361,500 4,880,250
Oneok, Inc. 165,000 5,001,563
Pride International, Inc.** 689,542 9,782,877
Santa Fe Snyder Corp.** 921,000 8,289,000
Valero Energy Corp. 230,400 4,435,200
------------
32,388,890
------------
PAPER & FOREST PRODUCTS -- 3.4%
Caraustar Industries, Inc. 289,100 7,372,050
Chesapeake Corp. 125,000 3,781,250
Mail-Well, Inc.** 454,300 6,303,413
Rayonier, Inc. 100,800 4,233,600
------------
21,690,313
------------
PHARMACEUTICALS -- 1.9%
Amerisource Health Corp., Class A** 296,400 7,020,975
Barr Labs, Inc.** 103,600 3,289,300
ICN Pharmaceuticals, Inc. 123,700 2,126,094
------------
12,436,369
------------
Number
of Shares Value
--------- --------------
REAL ESTATE -- 7.5%
Alexandria Real Estate
Equities, Inc. 162,100 $ 4,771,819
Bedford Property Investors, Inc. 268,900 4,537,688
Brandywine Realty Trust 263,300 4,278,625
BRE Properties, Inc. 193,282 4,626,688
Burnham Pacific Properties, Inc. 291,000 3,073,688
Camden Property Trust 233,700 6,280,688
General Growth Properties, Inc. 91,400 2,879,100
Glenborough Realty Trust, Inc. 307,800 5,078,700
Lennar Corp. 320,665 5,110,598
Prentiss Properties Trust 338,200 7,503,813
------------
48,141,407
------------
RESTAURANTS -- 1.0%
Ruby Tuesday, Inc. 326,900 6,374,550
------------
RETAIL MERCHANDISING -- 4.0%
Bon Ton Stores, Inc.** 359,800 1,427,956
Brown Shoe Co., Inc. 282,700 5,176,944
Charming Shoppes, Inc.** 620,000 3,177,500
Duane Reade, Inc.** 145,000 4,368,125
Enesco Group, Inc. 232,300 3,571,613
Hollywood Entertainment Corp.** 187,500 2,812,500
Venator Group, Inc.** 591,100 5,061,294
------------
25,595,932
------------
TELECOMMUNICATIONS -- 2.4%
CommScope, Inc.** 156,100 5,073,250
CT Communications, Inc. 74,700 3,688,313
Innotrac Corp.** 203,500 3,637,563
MRV Communications, Inc.** 121,700 2,882,769
------------
15,281,895
------------
TEXTILES -- 0.7%
Tropical Sportswear International
Corp.** 253,000 4,712,125
------------
TOBACCO -- 0.5%
UST, Inc. 116,100 3,570,075
------------
TRANSPORTATION -- 1.8%
Midwest Express Holdings, Inc. ** 129,215 3,383,818
Newport News Shipbuilding, Inc. 146,600 4,737,013
Teekay Shipping Corp. 215,300 3,364,063
------------
11,484,894
------------
TOTAL COMMON STOCKS
(Cost $595,886,952) 635,344,019
------------
Par/Shares
Maturity (000)
---------- --------
SHORT TERM INVESTMENTS -- 2.3%
Federal Home Loan Bank
Discount Notes
5.17% 10/01/99 $14,000 14,000,000
Galileo Money Market Fund 805 804,746
----------
TOTAL SHORT TERM INVESTMENTS
(Cost $14,804,746) 14,804,746
----------
See accompanying notes to financial statements.
30
<PAGE>
BLACKROCK FUNDS
STATEMENT OF NET ASSETS
SMALL CAP VALUE EQUITY PORTFOLIO (CONCLUDED)
AS OF SEPTEMBER 30, 1999 Value
----------
TOTAL INVESTMENTS IN SECURITIES
(Cost $610,691,698*) 100.6% $650,148,765
LIABILITIES IN EXCESS OF OTHER ASSETS (0.6%) (4,027,628)
------ ------------
NET ASSETS (Applicable to 35,263,819
Institutional shares, 4,536,139
Service shares, 2,165,110 Investor
A shares, 1,327,400 Investor B
shares and 640,078 Investor C
shares outstanding) 100.0% $646,121,137
====== ============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER INSTITUTIONAL
SHARE ($519,388,482 (DIVIDE) 35,263,819) $14.73
======
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SERVICE
SHARE ($66,728,345 (DIVIDE) 4,536,139) $14.71
======
NET ASSET VALUE AND REDEMPTION
PRICE PER INVESTOR A SHARE
($31,842,898 (DIVIDE) 2,165,110) $14.71
======
MAXIMUM OFFERING PRICE PER INVESTOR
A SHARE ($14.71 (DIVIDE) 0.955) $15.40
======
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE (SUBJECT TO A
MAXIMUM CONTINGENT DEFERRED SALES
CHARGE OF 4.5%) PER INVESTOR B
SHARE ($18,999,680 (DIVIDE) 1,327,400) $14.31
======
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE (SUBJECT TO A
MAXIMUM CONTINGENT DEFERRED SALES
CHARGE OF 1.0%) PER INVESTOR C SHARE
($9,161,732 (DIVIDE) 640,078) $14.31
======
- ----------------------
* Cost for Federal income tax purposes is $610,768,233. The gross unrealized
appreciation (depreciation) on a tax basis is as follows:
Gross unrealized appreciation $108,676,897
Gross unrealized depreciation (69,296,365)
------------
$ 39,380,532
============
** Non-income producing security.
See accompanying notes to financial statements.
31
<PAGE>
BLACKROCK FUNDS
SCHEDULE OF INVESTMENTS
SMALL CAP GROWTH EQUITY PORTFOLIO
Number
AS OF SEPTEMBER 30, 1999 of Shares Value
--------- --------------
COMMON STOCKS -- 87.0%
BANKS -- 0.9%
Investors Financial Service Co. 467,700 $ 16,077,187
--------------
BROADCASTING -- 1.9%
Cumulus Media, Inc., Class A** 317,700 10,384,819
Emmis Communications Corp.,
Class A** 229,500 15,161,344
Insight Communications, Inc.** 201,200 5,759,350
Tivo, Inc.** 27,000 808,312
--------------
32,113,825
--------------
CHEMICALS -- 0.7%
Chemdex Corp.** 402,285 12,395,407
--------------
COMMUNICATIONS -- 0.1%
Acme Communications, Inc.** 41,800 1,295,800
--------------
COMPUTER & OFFICE EQUIPMENT -- 5.9%
Business Objects, S.A. - ADR** 171,000 10,089,000
Clarify, Inc.** 369,566 18,593,789
Emulex Corp.** 264,000 22,671,000
Factset Research Systems, Inc. 144,000 8,190,000
Foundry Networks, Inc.** 35,600 4,485,600
Inktomi Corp.** 29,700 3,564,928
Pinnacle Systems, Inc.** 317,200 13,441,350
SanDisk Corp.** 174,300 11,362,181
Tenfold Corp.** 90,400 2,395,600
Visual Networks, Inc.** 133,600 5,669,650
--------------
100,463,098
--------------
COMPUTER SOFTWARE & SERVICES -- 9.6%
Advanced Digital Information
Corp.** 469,700 13,063,531
Bluestone Software, Inc.** 68,000 1,572,500
China.com Corp. - ADR** 111,400 7,241,000
Cybersource Corp.** 59,200 3,278,200
E.Piphany, Inc.** 13,700 667,875
Engage Technologies, Inc.** 53,700 2,023,819
Kana Communication, Inc.** 10,200 508,725
Keynote Systems, Inc.** 28,300 707,500
Liquid Audio, Inc.** 100,300 3,711,100
Luminant Worldwide Corp.** 66,600 2,047,950
Macromedia, Inc.** 168,100 6,871,087
Mercury Interactive Corp.** 599,300 38,692,306
Netzero, Inc.** 88,100 2,290,600
Peregrine Systems, Inc.** 653,900 26,646,425
Proxicom, Inc.** 104,600 6,119,100
Sanchez Computer Associates,
Inc.** 225,200 7,910,150
VERITAS Software Corp.** 500,350 37,995,328
--------------
161,347,196
--------------
CONSTRUCTION -- 0.0%
Morrison Knudsen Corp.** 162 506
--------------
ELECTRONICS -- 17.8%
Alpha Industries, Inc.** 308,900 17,423,891
Applied Micro Circuits Corp.** 744,600 42,442,200
CTS Corp. 106,500 6,123,750
Cypress Semiconductor Corp.** 756,900 16,273,350
Dendrite International, Inc.** 357,300 16,882,425
DII Group, Inc.** 340,300 11,974,306
Electro Scientific Industries,
Inc.** 61,857 3,295,818
Flextronics International Ltd.** 322,100 18,742,194
Kemet Corp.** 506,000 16,176,187
Micrel, Inc.** 457,800 19,857,075
MIPS Technologies, Inc.** 164,600 5,236,337
Number
of Shares Value
---------- --------------
ELECTRONICS -- (CONTINUED)
Optical Coating Laboratory, Inc. 100,200 $ 9,224,662
PMC-Sierra, Inc.** 189,700 17,547,250
QLogic Corp.** 299,800 20,929,787
SDL, Inc.** 299,500 22,855,594
Semtech Corp.** 539,000 19,740,875
TranSwitch Corp.** 327,100 18,644,700
Vitesse Semiconductor Corp.** 236,037 20,151,659
--------------
303,522,060
--------------
ENERGY & UTILITIES -- 2.7%
Calpine Corp.** 419,300 35,666,706
Catalytica, Inc.** 667,000 10,005,000
--------------
45,671,706
--------------
ENTERTAINMENT & LEISURE -- 4.1%
Championship Auto Racing Teams,
Inc.** 526,100 13,678,600
Cinar Films, Inc., Class B** 868,900 26,284,225
Speedway Motorsports, Inc.** 679,200 29,417,850
--------------
69,380,675
--------------
FINANCE -- 1.4%
NCO Group, Inc.** 492,450 23,145,150
--------------
MACHINERY & HEAVY EQUIPMENT -- 0.9%
Advanced Energy Industries,
Inc.** 162,000 5,001,750
Brooks Automation, Inc.** 1,168 20,513
Helix Technology Corp. 324,556 10,791,487
--------------
15,813,750
--------------
MEDICAL & MEDICAL SERVICES -- 2.5%
Affymetrix, Inc.** 162,000 15,946,875
MedQuist, Inc.** 546,500 18,273,594
Protein Design Labs** 175,193 6,328,847
Trankaryotic Therapies, Inc.** 40,297 2,070,258
--------------
42,619,574
--------------
MEDICAL INSTRUMENTS & SUPPLIES -- 2.7%
Arthrocare Corp.** 88,400 4,828,850
Cytyc Corp.** 232,700 9,002,581
Minimed, Inc.** 325,300 31,960,725
--------------
45,792,156
--------------
OIL & GAS -- 4.9%
Atwood Oceanics, Inc.** 419,300 12,814,856
Cal Dive International, Inc.** 150,000 5,137,500
Forest Oil Corp.** 567,400 9,681,262
Louis Dreyfus Natural Gas Co.** 205,500 4,405,406
Marine Drilling Cos., Inc.** 401,700 6,351,881
Oceaneering International, Inc.** 369,400 6,210,537
Rowan Cos., Inc.** 825,300 13,411,125
Spinnaker Exploration Co.** 56,300 731,900
Stone Energy Corp.** 448,000 22,792,000
Superior Energy Services, Inc.** 211,900 1,337,619
--------------
82,874,086
--------------
See accompanying notes to financial statements.
32
<PAGE>
BLACKROCK FUNDS
SCHEDULE OF INVESTMENTS
SMALL CAP GROWTH EQUITY PORTFOLIO (CONCLUDED)
Number
AS OF SEPTEMBER 30, 1999 of Shares Value
---------- --------------
COMMON STOCKS -- (CONTINUED)
PHARMACEUTICALS -- 6.9%
Alkermes, Inc.** 504,200 $ 14,527,262
ChiRex, Inc.** 370,200 9,555,788
King Pharmaceuticals, Inc.** 265,800 9,303,000
Millennium Pharmaceuticals,
Inc.** 472,800 30,732,000
Pharmacyclics, Inc.** 183,900 7,516,913
QLT PhotoTherapeutics, Inc.** 316,300 24,177,181
Shire Pharmaceuticals Group
PLC - ADR** 769,200 22,162,575
--------------
117,974,719
--------------
RESTAURANTS -- 0.6%
Papa John's International, Inc.** 228,110 9,409,538
--------------
RETAIL MERCHANDISING -- 4.1%
Cost Plus, Inc.** 389,800 18,905,300
Electronics Boutique Holdings
Corp.** 178,235 4,589,551
Lands' End, Inc.** 100,000 6,600,000
Linens 'n Things, Inc.** 358,819 12,110,141
Pacific Sunwear of California,
Inc.** 1,003,200 28,120,950
--------------
70,325,942
--------------
TELECOMMUNICATIONS -- 18.4%
Aerial Communications, Inc.** 377,700 10,245,113
Allegiance Telecom, Inc.** 407,300 21,434,163
American Mobile Satellite Corp.** 170,500 2,983,750
ANTEC Corp.** 565,300 30,031,563
Ditech Communications Corp.** 134,100 7,040,250
Entercom Communications Corp.** 493,600 17,769,600
Focal Communications Corp.** 154,200 3,951,375
Harmonic Lightwaves, Inc.** 281,300 36,797,556
ITC Deltacom, Inc.** 801,400 22,038,500
Mastec, Inc.** 203,000 5,975,813
MRV Communications, Inc.** 198,700 4,706,706
Nielson Media Research, Inc.** 819,800 30,486,313
Paxson Communications Corp.** 415,700 5,092,325
Pegasus Communications Corp.** 395,500 17,846,938
Pinnacle Holdings, Inc.** 1,100,100 28,740,113
Polycom, Inc.** 298,900 14,244,453
Powertel, Inc.** 423,300 23,307,956
Price Communications Corp.** 199,710 5,005,232
Radio One, Inc.** 57,000 2,365,500
RF Micro Devices, Inc.** 317,600 14,530,200
Time Warner Telecom, Inc.,
Class A** 157,500 3,287,813
WinStar Communications, Inc.** 151,500 5,917,969
--------------
313,799,201
--------------
TRANSPORTATION -- 0.9%
Circle International Group, Inc. 277,300 5,667,319
Eagle USA Airfreight, Inc.** 344,550 10,314,966
--------------
15,982,285
--------------
TOTAL COMMON STOCKS
(Cost $1,049,863,749) 1,480,003,861
--------------
Par/Shares
Maturity (000) Value
-------- ---------- --------------
CORPORATE BONDS -- 0.6%
Speedway Motorsports, Inc.
5.75% 09/30/03 $7,000 $ 10,517,500
--------------
(Cost $7,000,000)
SHORT TERM INVESTMENTS -- 12.4%
Federal Home Loan Bank
Discount Notes
5.17% 10/01/99 32,250 32,250,000
5.20% 10/01/99 86,750 86,750,000
5.16% 10/13/99 76,660 76,528,145
5.19%*** 10/15/99 2,200 2,195,560
5.11%*** 10/22/99 550 548,361
Federal National Mortgage
Association Discount Notes
5.21%*** 10/15/99 4,000 3,991,896
Galileo Money Market Fund 8,364 8,363,701
--------------
TOTAL SHORT TERM INVESTMENTS
(Cost $210,627,663) 210,627,663
--------------
TOTAL INVESTMENTS IN SECURITIES-- 100.0%
(Cost $1,267,491,412*) $1,701,149,024
==============
- -----------------------
* Cost for Federal income tax purposes is $1,271,170,052. The gross unrealized
appreciation (depreciation) on a tax basis is as follows:
Gross unrealized appreciation $455,749,725
Gross unrealized depreciation (25,770,753)
------------
$429,978,972
============
** Non-income producing security.
***Principal amount of securities pledged as initial margin requirement of
$6,750,000 on 288 Standard & Poor's 500 Stock Index futures contracts
expiring December 1999. The value of such contracts on September 30, 1999 was
$93,470,400, thereby resulting in an unrealized loss of $3,960,000.
See accompanying notes to financial statements.
33
<PAGE>
BLACKROCK FUNDS
STATEMENT OF ASSETS AND LIABILITIES
SMALL CAP GROWTH EQUITY PORTFOLIO
SEPTEMBER 30, 1999
ASSETS
Investments at value (Cost $1,267,491,412) ................ $1,701,149,024
Collateral received for securities loaned ................. 150,857,483
Dividends receivable ...................................... 3,196
Interest receivable ....................................... 85,652
Investments sold receivable ............................... 30,287,575
Capital shares sold receivable ............................ 14,138,853
Futures margin receivable ................................. 1,317,600
Prepaid expenses .......................................... 19,630
--------------
TOTAL ASSETS ....................................... 1,897,859,013
--------------
LIABILITIES
Payable upon return of securities loaned .................. 150,857,483
Investments purchased payable ............................. 9,197,924
Capital shares redeemed payable ........................... 2,037,951
Advisory fees payable ..................................... 758,908
Administrative fees payable ............................... 310,772
Transfer agent fees payable ............................... 184,771
Other accrued expenses payable ............................ 359,449
------------
TOTAL LIABILITIES .................................. 163,707,258
------------
NET ASSETS (Applicable to 56,183,524 Institutional shares,
6,855,751 Service shares, 3,214,351 Investor A shares
1,840,041 Investor B shares and 565,006 Investor C
shares outstanding) ....................................... $1,734,151,755
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
INSTITUTIONAL SHARE ($1,426,125,901 (DIVIDE) 56,183,524) .. $25.38
======
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SERVICE SHARE ($170,899,923 (DIVIDE) 6,855,751) .............. $24.93
======
NET ASSET VALUE AND REDEMPTION PRICE PER INVESTOR A SHARE
($79,478,338 (DIVIDE) 3,214,351) ........................... $24.73
======
MAXIMUM OFFERING PRICE PER INVESTOR A SHARE
($24.73 (DIVIDE) 0.955) .................................... $25.90
======
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE (subject
to a maximum contingent deferred sales charge of 4.5%) PER
INVESTOR B SHARE ($44,108,737 (DIVIDE) 1,840,041) ......... $23.97
======
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE (subject to a
maximum contingent deferred sales charge of 1.0%) PER
INVESTOR C SHARE ($13,538,856 (DIVIDE) 565,006) ........... $23.97
======
See accompanying notes to financial statements.
34
<PAGE>
BLACKROCK FUNDS
STATEMENT OF NET ASSETS
MICRO-CAP EQUITY PORTFOLIO
Number
AS OF SEPTEMBER 30, 1999 of Shares Value
---------- --------------
COMMON STOCKS -- 87.5%
BUSINESS SERVICES -- 3.1%
Diamond Technology Partners,
Inc.** 67,000 $ 3,006,625
Macrovision Corp.** 35,000 1,553,125
------------
4,559,750
------------
COMPUTER & OFFICE EQUIPMENT -- 3.2%
Braun Consulting, Inc.** 150,000 2,493,750
SonoSight, Inc.** 83,000 2,168,375
------------
4,662,125
------------
COMPUTER SOFTWARE & SERVICES -- 25.4%
Broadbase Software, Inc.** 61,500 980,156
Cidco, Inc.** 30,000 391,875
Cybex Computer Products Corp.** 76,000 2,536,500
Digital Insight Corp.** 5,000 75,000
Documentum, Inc.** 33,000 713,625
Emulex Corp.** 46,000 3,950,250
Exchange Applications, Inc.** 1,900 55,219
Interactive Intelligence, Inc.** 76,000 1,748,000
Interleaf, Inc.** 208,000 3,536,000
Lightbridge, Inc.** 105,000 2,067,188
Loislaw.Com, Inc.** 22,000 319,000
Netiq Corp.** 60,000 1,777,500
Netopia, Inc.** 88,000 3,509,000
Netsolve, Inc.** 11,000 195,250
Radware Ltd** 11,000 302,500
Silverstream Software, Inc.** 60,000 1,867,500
U.S.Interactive, Inc.** 90,000 1,985,625
Unify Corp.** 125,000 2,812,500
Verity, Inc.** 60,000 4,128,750
Viant Corp.** 60,000 2,902,500
Zoran Corp.** 60,000 1,627,500
------------
37,481,438
------------
CONSTRUCTION -- 1.2%
Shaw Group, Inc.** 80,000 1,795,000
------------
CONTAINERS -- 0.7%
US Can Corp.** 50,000 1,021,875
------------
ELECTRONICS -- 10.1%
ACT Manufacturing, Inc.** 100,000 2,506,250
C-Cor Electronics, Inc.** 50,000 1,518,750
hi/fn, Inc.** 13,000 1,433,250
Interlink Electronics, Inc.** 15,000 120,938
Rex Stores Corp.** 70,000 2,170,000
Semtech Corp.** 90,000 3,296,250
TranSwitch Corp.** 51,100 2,912,700
Ultimate Electronics, Inc.** 65,000 1,015,625
------------
14,973,763
------------
ENTERTAINMENT & LEISURE -- 3.8%
4Kids Entertainment, Inc.** 40,000 1,250,000
JAKKS Pacific, Inc.** 93,000 3,487,500
LodgeNet Entertainment Corp.** 70,000 910,000
------------
5,647,500
------------
FOOD & AGRICULTURE -- 0.7%
Curagen Corp.** 75,000 993,750
------------
Number
of Shares Value
---------- --------------
JEWELRY -- 1.0%
Whitehall Jewelers, Inc.** 51,000 $ 1,466,250
------------
MEDICAL & MEDICAL SERVICES -- 8.9%
Arthrocare Corp.** 50,000 2,731,250
Aurora Biosciences Corp.** 160,000 2,180,000
Polymedica Corp.** 115,000 2,673,750
Strategic Diagnotstics, Inc.** 110,000 996,875
United Therapeutics Corp.** 160,000 4,620,000
------------
13,201,875
------------
MEDICAL INSTRUMENTS & SUPPLIES -- 0.3%
Staar Surgical Co.** 40,000 475,000
------------
OIL & GAS -- 3.9%
Basin Exploration, Inc.** 140,000 3,360,000
UTI Energy Corp.** 120,000 2,332,500
------------
5,692,500
------------
PHARMACEUTICALS -- 5.1%
Biomarin Pharmaceutical, Inc.** 130,000 2,258,750
Collagenex Pharmaceuticals, Inc.** 100,000 1,750,000
Genzyme Transgenics Corp.** 100,000 675,000
Progenics Pharmaceuticals, Inc.** 65,000 1,267,500
Trimeris, Inc.** 98,000 1,635,375
------------
7,586,625
------------
PLASTIC PRODUCTS -- 0.8%
U.S. Plastic Lumber Corp.** 92,500 1,144,688
------------
RETAIL MERCHANDISING -- 1.2%
Factory 2-U Stores, Inc.** 60,000 1,792,500
------------
TELECOMMUNICATIONS -- 18.1%
AirGate PCS, Inc.** 70,000 1,741,250
Airnet Wireless Communications,
Inc.** 95,000 1,995,000
Audiovox Corp.** 160,000 2,800,000
CTC Communications Corp.** 120,000 1,972,500
Globespan, Inc.** 5,500 347,188
Harmonic Lightwaves, Inc.** 15,000 1,962,188
Metro One Telecommunications,
Inc.** 100,000 1,918,750
NorthEast Optic Network, Inc.** 70,000 2,642,500
Performance Technologies, Inc.** 100,000 2,256,250
Price Communications Corp.** 178,000 4,461,125
Rural Cellular Corp.** 100,000 4,587,499
------------
26,684,250
------------
TOTAL COMMON STOCKS
(Cost $102,344,791) 129,178,889
------------
See accompanying notes to financial statements.
35
<PAGE>
BLACKROCK FUNDS
STATEMENT OF NET ASSETS
MICRO-CAP EQUITY PORTFOLIO (CONCLUDED)
Par/Shares
AS OF SEPTEMBER 30, 1999 Maturity (000) Value
-------- ---------- ---------------
SHORT TERM INVESTMENTS -- 17.9%
Federal Home Loan Bank
Discount Notes
5.20% 10/01/99 $25,000 $ 25,000,000
Galileo Money Market Fund 1,512 1,511,604
------------
TOTAL SHORT TERM INVESTMENTS
(Cost $26,511,604) 26,511,604
-------------
TOTAL INVESTMENTS IN SECURITIES
(Cost $128,856,395*) 105.4% 155,690,493
LIABILITIES IN EXCESS OF OTHER ASSETS
(Including $14,072,186 of
investment purchases payable) (5.4%) (7,996,703)
------ ------------
NET ASSETS (Applicable to 1,136,620
Institutional shares, 28,005 Service
shares, 1,846,942 Investor A shares,
2,193,635 Investor B shares and
820,116 Investor C shares
outstanding) 100.0% $147,693,790
====== ============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER INSTITUTIONAL SHARE
($28,106,395 (DIVIDE) 1,136,620) $24.73
======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SERVICE SHARE
($690,097 (DIVIDE) 28,005) $24.64
======
NET ASSET VALUE AND REDEMPTION PRICE
PER INVESTOR A SHARE
($45,428,594 (DIVIDE) 1,846,942) $24.60
======
MAXIMUM OFFERING PRICE PER INVESTOR
A SHARE($24.60 (DIVIDE) 0.950) $25.89
======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE (SUBJECT TO A MAXIMUM CONTINGENT
DEFERRED SALES CHARGE OF 4.5%) PER
INVESTOR B SHARE
($53,476,051 (DIVIDE) 2,193,635) $24.38
======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE (SUBJECT TO A MAXIMUM CONTINGENT
DEFERRED SALES CHARGE OF 1.0%) PER INVESTOR
C SHARE($19,992,653 (DIVIDE) 820,116) $24.38
======
- --------------------------
* Cost for Federal income tax purposes is $129,537,804. The gross unrealized
appreciation (depreciation) on a tax basis is as follows:
Gross unrealized appreciation $30,265,735
Gross unrealized depreciation (4,113,046)
-----------
$26,152,689
===========
** Non-income producing security.
See accompanying notes to financial statements.
36
<PAGE>
BLACKROCK FUNDS
STATEMENT OF NET ASSETS
INTERNATIONAL EQUITY PORTFOLIO
Number
AS OF SEPTEMBER 30, 1999 of Shares Value
---------- --------------
COMMON STOCKS -- 97.2%
AUSTRALIA -- 1.4%
Goodman Fielder Ltd. 4,000,000 $ 3,706,938
John Fairfax Holdings Ltd. 778,000 2,002,043
National Australia Bank Ltd. 463,000 6,777,923
North Ltd. 1,470,000 3,117,940
Telstra Corporation Ltd. 330,000 1,710,452
--------------
17,315,296
--------------
BELGIUM -- 0.3%
Agfa Gevaert NV** 202,000 4,046,540
--------------
DENMARK -- 0.8%
Teledanmark, Series B 180,000 10,727,763
--------------
FINLAND -- 1.0%
Nokia AB, Class A 143,500 12,852,617
--------------
FRANCE -- 13.2%
Alcatel Alsthom 103,700 14,290,805
Axa SA 103,500 13,094,848
Banque Nationale de Paris SA 145,900 11,645,834
Carrefour Supermarche SA 63,500 10,164,274
Credit Lyonnais** 185,000 5,439,786
Dexia France 77,200 11,510,362
Elf Aquitaine SA 67,500 11,789,388
France Telecommunications SA 128,800 11,302,818
Groupe Danone 47,000 11,437,411
Peugeot Citroen SA 28,250 5,662,155
Renault SA 159,500 8,816,002
Rhone-Poulenc SA 114,600 5,919,295
Suez Lyonnaise des Eaux 70,000 11,331,445
Total Fina SA 114,000 14,326,184
Valeo SA 93,400 6,758,962
Vivendi Generale Des Eaux 219,090 15,387,959
--------------
168,877,528
--------------
GERMANY -- 8.8%
Allianz AG 35,110 10,110,699
BASF AG 130,950 5,606,286
Bayerische Hypo-Und
Vereinsbank AG 75,000 4,365,109
DaimlerChrysler AG 76,000 5,269,122
Deutsche Bank AG 141,760 9,511,257
Deutsche Telekom AG 117,500 4,736,389
Hoechst AG 225,800 9,828,160
MAN AG 354,000 10,782,338
Mannesmann AG 115,000 18,495,921
Siemens AG 177,000 14,590,087
Thyssen AG** 391,000 7,786,854
Veba AG 195,125 10,650,020
--------------
111,732,242
--------------
HONG KONG -- 2.8%
Cheung Kong Ltd. 580,000 4,834,852
China Telecommunications Ltd.** 2,000,000 6,166,673
Dao Heng Bank Group Ltd. 1,220,400 5,577,582
Henderson Land Development
Co. Ltd. 1,600,000 7,394,858
Hutchinson Whampoa Ltd. 760,000 7,069,144
New World China Land Ltd.** 4,033,592 2,362,755
South China Morning Post
Holdings Ltd. 3,700,000 2,476,968
--------------
35,882,832
--------------
Number
of Shares Value
---------- --------------
ITALY -- 4.1%
Banca Nazionale del Lovoro SpA** 1,345,000 $ 4,812,882
ENI SpA 1,984,000 12,445,164
Istituto Nazionale delle
Assicurazioni SpA 4,000,000 13,035,421
Tecnost SpA 1,548,000 3,247,737
Telecom Italia Mobile SpA 1,100,000 6,841,466
Unicredito Italiano SpA 2,500,000 12,220,708
--------------
52,603,378
--------------
JAPAN -- 28.5%
Asahi Glass Co. Ltd. 1,100,000 7,614,583
Bridgestone Corp. 280,000 7,837,188
Daiwa Securities Co. Ltd. 1,398,000 12,736,933
Hitachi Ltd. 1,093,000 12,114,016
Industrial Bank of Japan Ltd. 1,100,000 13,524,409
Kawasaki Steel Corp. 3,600,000 8,351,903
Kuraray Co. Ltd. 905,000 10,608,381
Kyocera Corp. 123,000 9,357,850
Mabuchi Motors Co. Ltd. 112,000 14,580,325
Matsushita Electric
Industrial Co. 655,000 13,934,631
Mauri Co. Ltd. 359,000 6,703,426
Minebea Co. Ltd. 300,000 3,818,093
Mitsubishi Corp. 1,570,000 12,976,820
Mitsubishi Heavy Industries Ltd. 1,517,000 5,841,917
Mitsui Fudosan Co. Ltd. 1,551,000 12,441,010
Nintendo Co. Ltd. 44,000 7,017,401
Nippon Seiko Ltd. 1,242,000 9,005,853
Nippon Telegraph & Telephone
Corp. 1,269 15,614,169
Nishimatsu Construction Co. Ltd. 1,985,000 10,720,482
NTT Mobile Communication
Network, Inc. 350 6,903,563
Ricoh Co. 1,008,000 17,515,326
Sanwa Bank Ltd. 1,178,000 15,766,893
Sekisui Chemical Co. 1,688,000 9,528,683
Sharp Corp. 1,355,000 21,712,223
Shin-Etsu Chemical Co. 401,000 16,722,966
Sumitomo Bank Ltd. 970,000 14,577,320
Sumitomo Marine & Fire
Insurance Co. 1,946,000 12,429,044
Suzuki Motor Co. Ltd. 452,000 7,340,394
Teijin Ltd. 2,550,000 12,286,933
Toshiba Corp. 1,345,000 10,018,009
Toyota Motor Corp. 296,000 9,424,913
Trans Cosmos, Inc. 65,000 8,119,905
Tsubaki Nakashima Co. Ltd. 530,000 7,208,259
--------------
364,353,821
--------------
NETHERLANDS -- 7.4%
Equant NV** 87,000 7,078,745
Fortis NV 226,000 7,304,841
Getronics NV 87,000 4,692,911
Internationale Nederlanden
Groep NV 230,597 12,524,704
Konin Philips 170,200 17,129,119
Koninklijke Ahold NV 270,000 8,885,173
Laurus NV 234,920 5,404,026
Royal Dutch Petroleum Co. 213,250 12,377,394
Vendex Non-Food NV 235,600 6,774,585
Verenigde Nederlandse
Uitgeversbedrijven Verenigd
Bezit 349,000 12,116,765
--------------
94,288,263
--------------
See accompanying notes to financial statements.
37
<PAGE>
BLACKROCK FUNDS
STATEMENT OF NET ASSETS
INTERNATIONAL EQUITY PORTFOLIO (CONTINUED)
Number
AS OF SEPTEMBER 30, 1999 of Shares Value
---------- --------------
COMMON STOCKS -- (CONTINUED)
NORWAY -- 0.3%
Petroleum Geo Services ASA** 192,100 $ 3,605,471
--------------
PORTUGAL -- 0.3%
Portugal Telecom SA 101,775 4,235,838
--------------
SINGAPORE -- 1.8%
DBS Group Holdings Ltd. 594,875 6,646,765
Parkway Holdings Ltd. 2,100,000 3,828,353
Sembcorp Industries Ltd. 1,900,000 2,189,983
Singapore Airlines Ltd 228,000 2,225,738
Singapore Press Holdings Ltd. 165,000 2,600,458
Singapore Telecommunications Ltd. 906,000 1,651,661
United Overseas Bank Ltd. 464,000 3,519,968
--------------
22,662,926
--------------
SPAIN -- 3.4%
Argentaria Caja Postal Y Banco
Hipotecario de Espana SA 493,000 10,847,281
Banco Santander Central
Hispano SA 795,000 8,221,102
Endesa SA 175,000 3,324,884
Repsol SA 272,250 5,332,038
Telefonica de Espana SA 990,000 15,846,663
--------------
43,571,968
--------------
SWEDEN -- 1.1%
Telefonaktiebolaget LM
Ericsson - AB, Class B 441,500 13,679,452
--------------
SWITZERLAND -- 4.7%
Clariant AG 12,276 5,562,969
Credit Suisse Group 30,970 5,675,639
Holderbank Financiere Glarus AG 4,118 5,348,587
Nestle SA 5,750 10,805,822
Novartis Ltd. 6,836 10,140,703
Roche Holding AG 1,030 11,919,358
UBS-AG Registered 35,500 10,007,131
--------------
59,460,209
--------------
UNITED KINGDOM -- 17.3%
Abbey National PLC 300,000 5,326,075
Allied Zurich PLC 350,000 4,109,839
AstraZeneca Group PLC 185,000 7,760,110
Bank of Ireland PLC 715,000 5,832,819
Barclays PLC 285,000 8,368,805
BG PLC 1,420,000 8,161,707
BP Amoco PLC 1,490,000 27,213,540
British Telecommunications PLC 680,000 10,297,407
Bryant Group PLC 2,395,000 4,950,129
Cable & Wireless PLC 165,000 1,796,191
Cadbury Schweppes PLC 910,000 6,320,679
Diageo PLC 200,000 2,043,803
General Electric Co. PLC 810,000 7,777,156
Glaxo Wellcome PLC 480,000 12,521,710
Granada Group PLC 760,000 6,508,549
Hanson PLC 330,000 2,543,472
Hong Kong Shangai Bank
Holdings PLC 810,000 9,284,563
Jarvis Hotels PLC 1,655,000 3,379,768
Kingfisher PLC 610,000 6,540,005
Land Securities PLC 380,000 5,119,224
Legal & General Group PLC 925,000 2,624,026
Limelight Group PLC 2,350,000 2,167,320
Lloyds TSB Group PLC 670,000 8,330,844
Number
of Shares Value
---------- --------------
UNITED KINGDOM -- (CONTINUED)
Norwich Union PLC 720,000 $ 5,208,486
Peninsular & Oriental Steam PLC 400,000 6,034,242
Rolls-Royce PLC 795,000 2,759,319
Royal & Sun Alliance Insurance
Group PLC 720,000 5,679,829
Siebe PLC 1,340,000 6,532,264
Smithkline Beecham PLC 730,000 8,397,625
Soco International PLC** 376,000 402,502
Unilever PLC 450,000 4,235,415
Vodafone AirTouch PLC 820,000 19,419,586
Whitbread PLC 295,000 3,719,071
--------------
221,366,080
--------------
TOTAL COMMON STOCKS
(Cost $1,063,596,994) 1,241,262,224
--------------
PREFERRED STOCK -- 1.1%
GERMANY -- 1.1%
GEA AG Non Voting 476,500 14,183,662
--------------
(Cost $14,475,327)
Par
Maturity (000)
---------- --------
SHORT TERM INVESTMENTS -- 0.8%
Federal Home Loan Mortgage
Corp. Discount Notes
5.20% 10/01/99 $10,000 10,000,000
--------------
(Cost $10,000,000)
TOTAL INVESTMENTS IN SECURITIES
(Cost $1,088,072,321*) 99.1% 1,265,445,886
OTHER ASSETS IN EXCESS OF LIABILITIES 0.9% 11,589,037
------ --------------
NET ASSETS (Applicable to 70,070,707
Institutional shares, 7,469,338 Service
shares, 2,097,056 Investor A shares,
502,987 Investor B shares and 65,493
Investor C shares outstanding) 100.0% $1,277,034,923
====== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER INSTITUTIONAL SHARE
($1,116,765,554 (DIVIDE) 70,070,707) $15.94
======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SERVICE SHARE
($118,322,746 (DIVIDE) 7,469,338) $15.84
======
NET ASSET VALUE AND REDEMPTION PRICE PER
INVESTOR A SHARE ($33,105,855 (DIVIDE) 2,097,056) $15.79
======
MAXIMUM OFFERING PRICE PER INVESTOR A SHARE
($15.79 (DIVIDE) 0.950) $16.62
======
See accompanying notes to financial statements.
38
<PAGE>
BLACKROCK FUNDS
STATEMENT OF NET ASSETS
INTERNATIONAL EQUITY PORTFOLIO (CONCLUDED)
AS OF SEPTEMBER 30, 1999 Value
---------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
(SUBJECT TO A MAXIMUM CONTINGENT DEFERRED
SALES CHARGE OF 4.5%) PER INVESTOR B SHARE
($7,822,271 (DIVIDE) 502,987) $15.55
======
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
(SUBJECT TO A MAXIMUM CONTINGENT DEFERRED
SALES CHARGE OF 1.0%)PER INVESTOR C SHARE
($1,018,497 (DIVIDE) 65,493) $15.55
======
- -------------------------
* Cost for Federal income tax purposes is $1,088,155,612. The gross unrealized
appreciation (depreciation) on a tax basis is as follows:
Gross unrealized appreciation $228,050,634
Gross unrealized depreciation (50,760,360)
------------
$177,290,274
============
** Non-income producing security.
See accompanying notes to financial statements.
39
<PAGE>
BLACKROCK FUNDS
STATEMENT OF NET ASSETS
INTERNATIONAL SMALL CAP EQUITY PORTFOLIO
Number
AS OF SEPTEMBER 30, 1999 of Shares Value
---------- --------------
COMMON STOCKS -- 80.8%
CANADA -- 6.4%
Clearnet Communications, Inc.** 15,000 $ 270,938
Microcell Telecommunications,
Inc.** 48,500 630,500
Penn West Petroleum Ltd.** 25,000 530,796
Rio Alto Exploration Ltd.** 25,000 356,416
-----------
1,788,650
-----------
FINLAND -- 1.2%
Perlos OYJ** 25,000 336,802
-----------
FRANCE -- 6.3%
Atos SA** 4,000 512,897
GFI Informatique SA 5,000 404,694
Silicon-On-Insulator Technologies
(S.O.I.T.E.C.)** 7,000 313,106
Unilog SA 9,000 555,443
-----------
1,786,140
-----------
GERMANY -- 8.2%
Aixtron AG 5,000 481,906
Business Objects SA - ADR** 10,000 590,000
EM. TV & Merchandising AG 4,800 200,899
GFK AG** 15,000 377,804
Trintech Group PLC - ADR** 50,000 656,250
-----------
2,306,859
-----------
HONG KONG -- 8.5%
China.com Corp., Class A** 10,000 650,000
Dah Sing Financial Group 100,000 400,383
Esprit Holdings Ltd. 500,000 460,247
Giordano International Ltd. 500,000 395,877
Legend Holdings Ltd. 500,000 476,340
-----------
2,382,847
-----------
IRELAND -- 2.0%
CBT Group PLC - ADR** 10,000 246,250
Ryanair Holdings PLC - ADR** 7,000 321,125
-----------
567,375
-----------
ISRAEL -- 4.2%
Check Point Software
Technologies Ltd.** 8,000 675,500
Elbit Ltd.** 40,000 515,000
-----------
1,190,500
-----------
JAPAN -- 26.4%
Don Quijote Co. Ltd. 2,000 358,985
Fast Retailing Co. Ltd. 2,000 396,368
Internet Intitiative Japan,
Inc. - ADR** 10,500 672,000
Kojima Co. Ltd. 5,000 270,507
Konami Co. Ltd. 7,000 677,207
Matsuya Foods Co. Ltd. 3,000 177,520
Nihon Unisys Ltd. 15,000 556,512
Nitori Co. 15,000 563,556
Otsuka Kagu Ltd. 2,000 582,341
Sundrug Co. Ltd. 7,000 460,238
Taiyo Yuden Co. Ltd. 25,000 826,549
Toyo Information Systems
Co. Ltd. 12,000 571,446
Trans Cosmos, Inc. 3,000 374,765
Trend Micro, Inc. - ADR 6,000 726,987
Watami Food Service Co. Ltd. 3,000 205,698
-----------
7,420,679
-----------
Number
of Shares Value
---------- -----------
NETHERLANDS -- 6.1%
MIH Ltd.** 25,000 $ 721,875
United Pan-Europe Communications
NV (UPC)** 10,000 617,692
Versatel Telecom International NV** 35,000 380,200
-----------
1,719,767
-----------
SINGAPORE -- 1.9%
Datacraft Asia Ltd. 120,000 532,800
-----------
SWEDEN -- 1.4%
Modern Times Group MTG AB,
Class B** 13,000 396,449
-----------
SWITZERLAND -- 2.8%
Distefora Holding AG** 6,000 799,691
-----------
TAIWAN -- 2.1%
ASE Test Ltd.** 24,000 582,000
-----------
UNITED KINGDOM -- 3.3%
ARM Holdings PLC - ADR** 12,000 564,000
Tempus Group PLC 60,000 374,011
-----------
938,011
-----------
TOTAL COMMON STOCKS
(Cost $18,708,622) 22,748,570
-----------
PREFERRED STOCKS -- 1.6%
BRAZIL -- 1.6%
Votorantim Celulose e
Papel SA - PR 15,000,000 452,246
-----------
(Cost $412,144)
Par/Shares
Maturity (000)
-------- ----------
SHORT TERM INVESTMENTS -- 23.1%
Federal Home Loan Mortgage
Corp. Discount Notes
5.20% 10/01/99 $6,200 6,200,000
Galileo Money Market Fund 292 291,597
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $6,491,597) 6,491,597
-----------
TOTAL INVESTMENTS IN SECURITIES
(Cost $25,612,363*) 105.5% 29,692,413
LIABILITIES IN EXCESS OF OTHER ASSETS
(Including $14,072,186 of investment
purchases payable) (5.5%) (1,557,998)
------ ----------
NET ASSETS (Applicable to 1,845,946
Institutional shares, 1 Service share,
85,060 Investor A shares, 172,741
Investor B shares and 79,760 Investor
C shares outstanding) 100.0% $28,134,415
====== ===========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER INSTITUTIONAL SHARE
($23,814,250 (DIVIDE) 1,845,946) $12.90
======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SERVICE SHARE ($13 (DIVIDE) 1) $12.84
======
See accompanying notes to financial statements.
40
<PAGE>
BLACKROCK FUNDS
STATEMENT OF NET ASSETS
INTERNATIONAL SMALL CAP EQUITY PORTFOLIO (CONCLUDED)
AS OF SEPTEMBER 30, 1999 Value
--------------
NET ASSET VALUE AND REDEMPTION PRICE
PER INVESTOR A SHARE
($1,092,308 (DIVIDE) 85,060) $12.84
======
MAXIMUM OFFERING PRICE PER INVESTOR
A SHARE ($12.84 (DIVIDE) 0.950) $13.52
======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE (SUBJECT TO A MAXIMUM CONTINGENT
DEFERRED SALES CHARGE OF 4.5%) PER INVESTOR
B SHARE ($2,208,352 (DIVIDE) 172,741) $12.78
======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE (SUBJECT TO A MAXIMUM CONTINGENT
DEFERRED SALES CHARGE OF 1.0%) PER
INVESTOR C SHARE ($1,019,492 (DIVIDE) 79,760) $12.78
======
- -----------------------------
* Also cost for Federal income tax purposes. The gross unrealized appreciation
(depreciation) on a tax basis is as follows:
Gross unrealized appreciation $4,479,432
Gross unrealized depreciation (399,382)
-----------
$4,080,050
==========
** Non-income producing security.
See accompanying notes to financial statements.
41
<PAGE>
BLACKROCK FUNDS
SCHEDULE OF INVESTMENTS
INTERNATIONAL EMERGING MARKETS PORTFOLIO
Number
AS OF SEPTEMBER 30, 1999 of Shares Value
---------- --------------
COMMON STOCKS -- 90.6%
ARGENTINA -- 1.6%
Acindar Industria Argentina de
Aceros SA, Class B 393,000 $ 585,658
Banco Rio de la Plata SA - ADR 66,000 709,500
------------
1,295,158
------------
BRAZIL -- 4.2%
Centrais Eletricas
Brasileiras SA 41,450,000 684,770
Embratel Participacoes SA - ADR 89,100 1,019,081
Globo Cabo SA - ADR** 119,280 641,130
Iochpe Maxion SA** 3,033,338 54,027
Tele Norte Leste
Participacoes SA - ADR 34,000 527,000
Uniao de Bancos Brasileiros
SA - GDR 29,000 512,937
Unibanco - Uniao de Bancos
Brasileiros SA 4,350,000 154,956
------------
3,593,901
------------
CHILE -- 1.7%
Banco Santiago SA - ADR 30,000 600,000
Cia. de Telecomunicaciones de
Chile SA - ADR 15,000 270,937
Gener SA - ADR 34,000 518,500
------------
1,389,437
------------
CHINA -- 0.6%
First Tractor Co. Ltd., Class H 780,000 152,635
Guangdong Kelon Electric Holding,
Class H 302,000 303,261
------------
455,896
------------
CZECH REPUBLIC -- 1.8%
Komercni Banka A.S. - GDR** 173,000 1,483,475
------------
EGYPT -- 0.7%
Olympic Group Financial
Investments Co. 186,000 596,819
------------
GREECE -- 2.3%
Antenna TV SA - ADR** 34,800 321,900
Lambrakis Media 10,300 944,830
National Bank of Greece -
GDR (Reg. S) 40,000 633,000
------------
1,899,730
------------
HONG KONG -- 3.5%
China Telecommunications Ltd.** 200,000 616,667
Maanshan Iron and Steel
Co. Ltd.** 4,300,000 376,437
New World China Land Ltd.** 364,000 213,220
Yanzhou Coal Mining Co. Ltd.,
Class H 1,528,000 590,147
YGM Trading Ltd. 600,000 256,837
Yizheng Chemical Fibre Co.** 1,850,000 547,791
Zhenhai Refining and Chemical
Co. Ltd. 1,420,000 332,717
------------
2,933,816
------------
HUNGARY -- 1.8%
Danubius Hotel & Spa** 22,650 426,435
OTP Bank Rt. - GDR 21,100 936,840
Synergon Information
Systems - GDR (144A)** 13,200 156,090
------------
1,519,365
------------
Number
of Shares Value
---------- -------------
INDIA -- 6.1%
Gujarat Ambuja Cements
Ltd. - GDR 68,000 $ 843,200
Hindustan Lever 12,000 704,909
ICICI Ltd. 315,000 632,258
Industrial Credit & Investment
Corp. of India
Ltd. - GDR (Reg. S) 37,000 441,225
ITC Ltd. 18,000 339,407
Mahanagar Telephone Nigam Ltd. 105,300 440,343
Reliance Industries Ltd.** 89,000 482,833
Tata Engineering and Locomotive
Co. Ltd. - GDR (Reg. S) 96,000 594,581
Videsh Sanchar Nigam Co.
Ltd. - GDR (Reg. S) 43,000 605,225
------------
5,083,981
------------
INDONESIA -- 1.6%
PT Astra International** 1,110,000 328,825
PT Bank Internasional
Indonesia** 27,805,000 416,006
PT Indofood Sukses Makmur Tbk** 610,000 578,623
------------
1,323,454
------------
ISRAEL -- 2.5%
Bank Leumi of Israel Ltd. 100,000 174,096
Blue Square Chain Stores
Properties & Investments 54,000 750,832
Blue Square Ltd. - ADR 60,000 825,000
I.T. International Theatres Ltd.** 16,500 158,400
Internet Gold - Golden Lines** 10,200 85,425
Makhteshim-Agan Industries Ltd.** 52,004 93,575
------------
2,087,328
------------
KOREA -- 11.3%
Hankook Tire Manufacturing Co. 153,218 542,860
Housing & Commercial Bank Korea** 45,000 869,323
Korea Electric Power Corp. 66,000 2,170,226
Korea Zinc Co. 34,000 810,547
Korean Air 70,000 1,007,018
L.G. Chemical Ltd. 43,736 1,269,155
Samsung Electronics Co. 12,580 2,037,267
SK Corp. 36,000 716,175
------------
9,422,571
------------
MALAYSIA -- 3.7%
Genting Berhad 483,000 1,614,267
Malayan Banking Berhad 245,000 760,789
Tenaga Nasional Berhad 330,000 677,368
------------
3,052,424
------------
MEXICO -- 9.6%
Alfa SA, Class A 155,000 654,242
Cemex SA de CV - ADR Participating
Certificates** 62,720 1,513,125
Corporacion Geo SA de CV,
Class B** 150,000 378,602
Fomento Economico Mexicano
SA de CV 230,000 713,074
Group Financiero Bancomer
SA de CV, Class O 1,800,000 399,573
Grupo Financiero Banorte SA,
Class B** 402,500 416,676
Grupo Industrial Bimbo SA de CV,
Class A 128,000 267,748
Grupo Televisa SA - GDR** 25,900 1,034,381
Telefonos de Mexico SA - ADR 36,400 2,593,500
------------
7,970,921
------------
See accompanying notes to financial statements.
42
<PAGE>
BLACKROCK FUNDS
SCHEDULE OF INVESTMENTS
INTERNATIONAL EMERGING MARKETS PORTFOLIO (CONTINUED)
Number
AS OF SEPTEMBER 30, 1999 of Shares Value
---------- --------------
COMMON STOCKS -- (CONTINUED)
PERU -- 1.5%
CPT Telefonica del Peru
SA - ADR, Class B 51,000 $ 685,312
Credicorp Ltd. - ADR 53,000 553,187
------------
1,238,499
------------
POLAND -- 1.6%
Agora SA - GDR (Reg. S)** 7,530 65,323
Bank Handlowy W Warszawie -
GDR (Reg. S) 32,200 371,910
Elektrim Spolka Akcyjna SA** 53,000 491,531
Powsechney Bank Kredit SA 17,600 296,383
Powsechney Bank Kredit SA,
Series C** 4,400 71,519
------------
1,296,666
------------
RUSSIA -- 1.0%
A.O. Mosenergo - ADR 97,000 248,320
Rostelecom - ADR** 20,000 92,500
Tatneft - ADR 71,000 214,775
Trade House Gum - ADR** 100,000 125,000
Unified Energy Systems - ADR 36,000 188,280
------------
868,875
------------
SOUTH AFRICA -- 12.4%
ABSA Group Ltd. 156,000 611,018
Anglovaal Industries Ltd. 924,000 662,220
Aveng Ltd.** 290,000 253,758
Barlow Ltd. 151,000 739,922
De Beers - Centenary Linked Units 41,000 1,127,534
Dimension Data Holdings Ltd.** 225,000 894,402
Firstrand Ltd. 490,000 506,349
Impala Platinum Holdings Ltd. 26,500 914,277
Metro Cash and Carry Ltd. 558,000 446,413
Nedcor Ltd. 44,470 871,638
Old Mutual PLC** 360,000 756,023
Pepkor Ltd. 125,000 418,763
Rembrant Group 70,000 533,766
Sanlam Ltd. 500,000 545,850
Sasol Ltd. 90,000 693,021
South African Breweries Ltd. PLC 34,800 295,809
------------
10,270,763
------------
TAIWAN -- 12.4%
Accton Technology Corp. -
GDR (Reg. S)** 160,537 638,136
Acer, Inc. - GDR (Reg. 144A)** 68,282 607,710
Acer, Inc. - GDR (Reg. S)** 115,000 1,023,500
Cathay Life Insurance Co. Ltd. 258,000 666,331
China Steel 1,995,500 1,621,540
China Trust Commercial Bank** 1,450,600 1,251,856
Fubon Insurance Co. - GDR (Reg. S) 1,300 10,562
Nan Ya Plastic 743,700 1,182,893
Pacific Electrical Wire and
Cable Co.** 1,894,000 924,630
President Chain Store Corp. 342,200 970,016
United Microelectronics
Corp. Ltd.** 246,000 573,354
Yageo Corp. - GDR (Reg. S) 130,536 832,167
------------
10,302,695
------------
Number
of Shares Value
---------- --------------
THAILAND -- 4.1%
Bangkok Bank Public Co. Ltd.
(Foreign shares)** 449,000 $ 883,215
Bangkok Expressway Public Co.
Ltd. (Foreign shares)** 930,000 460,185
Golden Land Property Development
Public Co. Ltd.
(Foreign shares)** 1,400,000 547,359
Land and House (Foreign shares)** 200,000 175,937
PTT Exploration & Production
(Foreign shares)** 68,000 475,225
Siam Cement Co. Ltd.
(Foreign shares)** 18,000 374,745
Telecomasia Corp. Public Co.
Ltd. (Foreign Shares)** 734,000 502,202
------------
3,418,868
------------
TURKEY -- 4.3%
Alcatel Teletas Telekomunikason
Endustri Ve Ticaret A.S. 7,450,000 484,795
Dogan Sirketler Grubu
Holding A.S. 41,200,000 589,823
Haci Omer Sabanci Holding A.S. 46,700,000 1,215,565
Turk Hava Yollari Anonim
Ortakligi A.S.** 6,266,510 220,881
Turk Hava Yollari Anonim
Ortakligi A.S. Rights** 4,700,000 51,823
Turkiye Garanti Bankasi A.S.** 17,000,000 123,530
Vestel Elektronik Sanayi Ve
Ticaret A.S.** 4,100,000 498,026
Yapi ve Kredi Bankasi A.S. 6,473,000 88,456
Yapi ve Kredi Bankasi A.S.
Receipts** 25,890,400 325,722
------------
3,598,621
------------
UNITED KINGDOM -- 0.3%
Saudi Arabian Investment Fund 22,500 161,438
------------
TOTAL COMMON STOCKS
(Cost $78,510,047) 75,264,701
------------
PREFERRED STOCK -- 5.3%
BRAZIL -- 5.3%
Casa Anglo Brasileira SA** 50,685,632 26,167
Cia Energetica de Minas Gerais 28,227,030 429,890
Cia Paranaense de Energia-Copel,
Class B 114,000,000 747,445
Companhia Vale do Rio Doce,
Class A 18,500 385,854
Gerdau SA 21,000,000 336,087
Petroleo Brasileiro SA 7,500,000 1,146,102
Sadia Concordia SA Industria e
Comercio, Class B 413,500 273,247
Telecomunicacoes de Sao Paulo SA 4,128,400 366,590
Telesp Celular SA, Class B 12,000,000 610,842
------------
TOTAL PREFERRED STOCK
(Cost $7,582,492) 4,322,224
------------
See accompanying notes to financial statements.
43
<PAGE>
BLACKROCK FUNDS
SCHEDULE OF INVESTMENTS
INTERNATIONAL EMERGING MARKETS PORTFOLIO (CONCLUDED)
Par/Shares
AS OF SEPTEMBER 30, 1999 Maturity (000) Value
-------- ---------- -------------
SHORT TERM INVESTMENTS -- 4.1%
Federal Home Loan Mortgage
Corp. Discount Notes
5.20% 10/01/99 $3,200 $ 3,200,000
Galileo Money Market Fund 245 245,234
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $3,445,234) 3,445,234
-----------
TOTAL INVESTMENTS IN SECURITIES-- 100.0%
(Cost $89,537,773*) $83,032,159
===========
- ---------------------
* Also cost for Federal income tax purposes. The gross unrealized appreciation
(depreciation) on a tax basis is as follows:
Gross unrealized appreciation $ 11,478,273
Gross unrealized depreciation (17,983,887)
------------
$ (6,505,614)
============
** Non-income producing security.
See accompanying notes to financial statements.
44
<PAGE>
BLACKROCK FUNDS
STATEMENT OF ASSETS AND LIABILITIES
INTERNATIONAL EMERGING MARKETS PORTFOLIO
SEPTEMBER 30, 1999
ASSETS
Investments at value (Cost $89,599,976) ................... $83,032,159
Cash denominated in foreign currencies (Cost $73,555) ..... 73,635
Collateral received for securities loaned ................. 2,911,900
Dividends receivable ...................................... 421,211
Interest receivable ....................................... 19,691
Investments sold receivable ............................... 4,171,948
Capital shares sold receivable ............................ 44,645
Prepaid expenses .......................................... 7,570
-----------
TOTAL ASSETS ....................................... 90,682,759
-----------
LIABILITIES
Payable upon return of securities loaned .................. 2,911,900
Investments purchased payable ............................. 3,045,050
Capital shares redeemed payable ........................... 124,905
Advisory fees payable ..................................... 199,176
Administrative fees payable ............................... 30,490
Transfer agent fees payable ............................... 28,119
Other accrued expenses payable ............................ 144,624
Foreign taxes payable ..................................... 63,503
-----------
TOTAL LIABILITIES .................................. 6,547,767
-----------
NET ASSETS (Applicable to 10,782,332 Institutional shares,
2,553,384 Service shares, 339,881 Investor A shares,
136,427 Investor B shares and 7,348 Investor C shares
outstanding) ............................................... $84,134,992
===========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
INSTITUTIONAL SHARE ($65,701,447 (DIVIDE) 10,782,332) ...... $6.09
=====
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SERVICE SHARE ($15,530,849 (DIVIDE) 2,553,384) ............. $6.08
=====
NET ASSET VALUE AND REDEMPTION PRICE PER INVESTOR A
SHARE ($2,052,361 (DIVIDE) 339,881) ........................ $6.04
=====
MAXIMUM OFFERING PRICE PER INVESTOR A SHARE
($6.04 (DIVIDE) 0.950) ..................................... $6.36
=====
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
(subject to a maximum contingent deferred sales
charge of 4.5%) PER INVESTOR B SHARE
($806,875 (DIVIDE) 136,427) $5.91
=====
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
(subject to a maximum contingent deferred sales
charge of 1.0%) PER INVESTOR C SHARE
($43,460 (DIVIDE) 7,348) $5.91
=====
See accompanying notes to financial statements.
45
<PAGE>
BLACKROCK FUNDS
SCHEDULE OF INVESTMENTS
SELECT EQUITY PORTFOLIO
Number
AS OF SEPTEMBER 30, 1999 of Shares Value
--------- ------------
COMMON STOCKS -- 99.1%
AEROSPACE -- 1.2%
Boeing Co. 169,800 $ 7,237,725
Lockheed Martin Corp. 256,600 8,387,612
United Technologies Corp. 109,000 6,465,062
------------
22,090,399
------------
AIR TRANSPORTATION -- 0.7%
AMR Corp.** 133,100 7,253,950
Delta Air Lines, Inc. 110,600 5,364,100
------------
12,618,050
------------
BANKS -- 5.6%
BankAmerica Corp. 445,819 24,826,546
BankBoston Corp. 119,900 5,200,662
Chase Manhattan Corp. 360,740 27,190,777
Mellon Bank Corp. 233,500 7,880,625
Suntrust Banks, Inc. 148,100 9,737,575
U.S. Bancorp 266,800 8,054,025
Wells Fargo Co. 451,200 17,878,800
------------
100,769,010
------------
BEVERAGES -- 2.3%
Anheuser-Busch Cos., Inc. 120,100 8,414,506
Coca-Cola Co. 447,200 21,493,550
PepsiCo, Inc. 403,400 12,202,850
------------
42,110,906
------------
BUSINESS SERVICES -- 0.3%
Equifax, Inc. 187,300 5,267,812
------------
CABLE & OTHER PAY TELEVISION SERVICES -- 0.4%
MediaOne Group, Inc.** 105,400 7,200,137
------------
CHEMICALS -- 1.7%
Air Products & Chemicals, Inc. 163,700 4,757,531
Dow Chemical Co. 37,900 4,306,387
E.I. du Pont de Nemours & Co. 269,870 16,428,336
PPG Industries, Inc. 98,100 5,886,000
------------
31,378,254
------------
COMPUTER & OFFICE EQUIPMENT -- 7.3%
Cisco Systems, Inc.** 675,050 46,283,116
Dell Computer Corp.** 393,100 16,436,494
International Business Machines Corp. 485,400 58,915,425
Xerox Corp. 226,400 9,494,650
------------
131,129,685
------------
COMPUTER SOFTWARE & SERVICES -- 7.6%
America Online, Inc.** 133,400 13,873,600
EMC Corp.** 225,800 16,130,587
Microsoft Corp.** 987,100 89,394,244
Staples, Inc. ** 227,800 4,968,888
Sun Microsystems, Inc.** 144,900 13,475,700
------------
137,843,019
------------
ELECTRONICS -- 12.1%
Applied Materials, Inc.** 162,200 12,631,325
Electronic Data Systems Corp. 99,400 5,261,987
Emerson Electric Co. 217,300 13,730,644
General Electric Co. 607,800 72,062,287
Hewlett Packard Co. 267,100 24,573,200
Intel Corp. 691,400 51,379,662
Number
of Shares Value
--------- ------------
ELECTRONICS -- (CONTINUED)
Motorola, Inc. 214,400 $ 18,867,200
Texas Instruments, Inc. 237,000 19,493,250
------------
217,999,555
------------
ENERGY & UTILITIES -- 2.2%
Cinergy Corp. 247,200 6,998,850
Duke Power Co. 136,300 7,513,537
Entergy Corp. 286,300 8,284,806
FPL Group, Inc. 237,300 11,953,987
NiSource, Inc. 207,300 4,586,513
------------
39,337,693
------------
ENTERTAINMENT & LEISURE -- 2.0%
Fox Entertainment Group, Inc.** 339,100 7,163,488
Time Warner, Inc. 215,400 13,085,550
Walt Disney Co. 599,950 15,523,706
------------
35,772,744
------------
FINANCE -- 6.5%
American General Corp. 70,500 4,454,719
American Express Co. 67,900 9,141,038
Associates First Capital Corp, Class A 159,453 5,740,341
CIT Group, Inc., Class A 225,700 4,640,956
Citigroup, Inc. 599,250 26,367,000
Federal National Mortgage Association 249,400 15,634,263
Fleet Financial Group, Inc. 282,500 10,346,563
Household International, Inc. 188,629 7,568,739
Lehman Brothers Holdings, Inc. 75,000 4,373,438
Morgan Stanley, Dean Witter & Co. 250,200 22,314,713
Washington Mutual, Inc. 199,250 5,828,063
------------
116,409,833
------------
FOOD & AGRICULTURE -- 1.4%
Bestfoods, Inc. 342,400 16,606,400
H.J. Heinz Co. 198,000 8,514,000
------------
25,120,400
------------
INSURANCE -- 2.6%
Allstate Corp. 101,100 2,521,181
American International Group, Inc. 342,187 29,748,882
Cigna Corp. 148,100 11,514,775
Conseco, Inc. 171,100 3,304,369
------------
47,089,207
------------
MACHINERY & HEAVY EQUIPMENT -- 0.9%
Illinois Tool Works, Inc. 168,800 12,586,150
TRW, Inc. 67,800 3,373,050
------------
15,959,200
------------
MANUFACTURING -- 1.2%
Tyco International Ltd. 205,100 21,176,575
------------
MEDICAL & MEDICAL SERVICES -- 0.6%
Columbia Healthcare Corp. 173,950 3,685,565
United Healthcare Corp. 147,800 7,196,012
------------
10,881,577
------------
MEDICAL INSTRUMENTS & SUPPLIES -- 0.6%
Guidant Corp. 41,500 2,225,438
Medtronic, Inc. 237,000 8,413,500
------------
10,638,938
------------
See accompanying notes to financial statements.
46
<PAGE>
BLACKROCK FUNDS
SCHEDULE OF INVESTMENTS
SELECT EQUITY PORTFOLIO (CONCLUDED)
Number
AS OF SEPTEMBER 30, 1999 of Shares Value
--------- ------------
COMMON STOCKS -- (CONTINUED)
METAL & MINING -- 0.5%
Alcoa, Inc. 88,900 $ 5,517,356
Barrick Gold Corp. 183,100 3,982,425
------------
9,499,781
------------
MOTOR VEHICLES -- 1.2%
Ford Motor Co. 255,525 12,824,161
General Motors Corp. 155,900 9,811,956
------------
22,636,117
------------
OIL & GAS -- 7.4%
Atlantic Richfield Co. 129,700 11,494,663
BP Amoco PLC - ADR 34,250 3,795,328
Chevron Corp. 126,300 11,209,125
Enron Corp. 234,300 9,664,875
Exxon Corp. 481,700 36,579,094
Mobil Corp. 175,100 17,641,325
Royal Dutch Petroleum Co. - ADR 424,400 25,066,125
Schlumberger Ltd. 172,600 10,755,138
Unocal Corp. 185,100 6,860,269
------------
133,065,942
------------
PAPER & FOREST PRODUCTS -- 0.9%
Bowater, Inc. 168,300 8,835,750
Fort James Corp. 255,900 6,829,331
------------
15,665,081
------------
PHARMACEUTICALS -- 8.9%
American Home Products Corp. 459,700 19,077,550
Bristol-Myers Squibb Co. 464,200 31,333,500
Eli Lilly & Co. 264,600 16,934,400
Johnson & Johnson 223,300 20,515,688
Merck & Co., Inc. 521,500 33,799,719
Pfizer, Inc. 662,700 23,815,781
Warner-Lambert Co. 234,200 15,545,025
------------
161,021,663
------------
PUBLISHING & PRINTING -- 0.7%
Tribune Co. 238,600 11,870,350
------------
REAL ESTATE -- 0.3%
Starwood Hotels & Resorts Worldwide, Inc. 242,684 5,414,887
------------
RESTAURANTS -- 0.9%
McDonald's Corp. 389,000 16,727,000
------------
RETAIL MERCHANDISING -- 5.1%
Albertson's, Inc. 166,700 6,595,069
Federated Department Stores, Inc. ** 164,700 7,195,331
Gap, Inc. 257,100 8,227,200
Home Depot, Inc. 219,600 15,070,050
Lowe's Cos., Inc. 127,100 6,196,125
Sears, Roebuck & Co. 217,400 6,820,925
Wal-Mart Stores, Inc. 868,900 41,327,056
------------
91,431,756
------------
SOAPS & COSMETICS -- 2.5%
Colgate-Palmolive Co. 268,800 12,297,600
Gillette Co. 265,500 9,010,406
Procter & Gamble Co. 245,700 23,034,375
------------
44,342,381
------------
Number
of Shares Value
--------- --------------
TELECOMMUNICATIONS -- 12.2%
Alltel Corp. 136,200 $ 9,585,075
AT&T Corp. 654,800 28,483,800
Bell Atlantic Corp. 293,100 19,729,294
Bellsouth Corp. 152,900 6,880,500
GTE Corp. 321,700 24,730,688
Lucent Technologies, Inc. 535,688 34,752,759
MCI Worldcom, Inc.** 389,850 28,020,469
Oracle Corp.** 326,462 14,854,021
SBC Communications, Inc. 702,400 35,866,300
Sprint Corp. (FON Group) 130,040 7,054,670
US West, Inc. 173,300 9,888,931
--------------
219,846,507
--------------
TOBACCO -- 1.0%
Philip Morris Cos., Inc. 503,200 17,203,150
--------------
TRANSPORTATION -- 0.2%
Burlington Northern Santa Fe Corp. 120,700 3,319,250
--------------
WASTE MANAGEMENT -- 0.1%
Allied Waste Industries, Inc.** 226,100 2,642,544
--------------
TOTAL COMMON STOCKS
(Cost $1,070,918,863) 1,785,479,403
--------------
Par/Shares
Maturity (000)
---------- ----------
SHORT TERM INVESTMENTS -- 0.9%
Federal Home Loan Bank
Discount Notes
5.17% 10/01/99 $12,000 12,000,000
5.21%*** 10/05/99 1,200 1,199,305
5.11%*** 10/22/99 100 99,702
Galileo Money Market Fund 2,042 2,041,923
--------------
TOTAL SHORT TERM INVESTMENTS
(Cost $15,340,930) 15,340,930
--------------
TOTAL INVESTMENTS IN SECURITIES-- 100.0%
(Cost $1,086,259,793*) $1,800,820,333
==============
- ----------------------
* Also cost for Federal income tax purposes. The gross unrealized appreciation
(depreciation) on a tax basis is as follows:
Gross unrealized appreciation $748,245,520
Gross unrealized depreciation (33,684,980)
---------------
$714,560,540
============
** Non-income producing security.
***Principal amount of securities pledged as initial margin requirement of
$1,300,000 on 55 Standard & Poor's 500 Stock Index futures contracts expiring
December 1999. The value of such contracts on September 30, 1999 was
$17,850,250, thereby resulting in an unrealized loss of $756,250.
See accompanying notes to financial statements.
47
<PAGE>
BLACKROCK FUNDS
STATEMENT OF ASSETS AND LIABILITIES
SELECT EQUITY PORTFOLIO
SEPTEMBER 30, 1999
ASSETS
Investments at value (Cost $1,086,259,793) $1,800,820,333
Collateral received for securities loaned 430,877,954
Dividends receivable 2,291,192
Interest receivable 31,390
Investments sold receivable 11,206,626
Capital shares sold receivable 1,901,551
Futures margin receivable 251,625
Prepaid expenses 11,536
--------------
TOTAL ASSETS 2,247,392,207
--------------
LIABILITIES
Payable upon return of securities loaned 430,877,954
Investments purchased payable 7,748,752
Capital shares redeemed payable 642,964
Advisory fees payable 809,144
Administrative fees payable 332,697
Transfer agent fees payable 179,878
Other accrued expenses payable 415,601
--------------
TOTAL LIABILITIES 441,006,990
--------------
NET ASSETS (Applicable to 69,473,856 Institutional shares,
10,751,469 Service shares, 3,211,750 Investor A shares,
3,270,091 Investor B shares and 320,039 Investor C
shares outstanding) $1,806,385,217
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
INSTITUTIONAL SHARE ($1,443,128,076 (DIVIDE) 69,473,856) $20.77
======
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SERVICE SHARE ($223,214,541 (DIVIDE) 10,751,469) $20.76
======
NET ASSET VALUE AND REDEMPTION PRICE PER INVESTOR A SHARE
($66,645,740 (DIVIDE) 3,211,750) $20.75
======
MAXIMUM OFFERING PRICE PER INVESTOR A SHARE
($20.75 (DIVIDE) 0.955) $21.73
======
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
(subject to a maximum contingent deferred sales charge
of 4.5%) PER INVESTOR B SHARE
($66,853,956 (DIVIDE) 3,270,091) $20.44
======
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE (subject
to a maximum contingent deferred sales charge of 1.0%
PER INVESTOR C SHARE ($6,542,904 (DIVIDE) 320,039) $20.44
======
See accompanying notes to financial statements.
48
<PAGE>
BLACKROCK FUNDS
STATEMENT OF NET ASSETS
INDEX EQUITY PORTFOLIO
AS OF SEPTEMBER 30, 1999 Value
---------------
Investment in The U.S. Large Company
Series of The DFA Investment Trust
Company 99.7% $1,635,584,331
(Cost $1,252,553,231)
OTHER ASSETS IN EXCESS OF LIABILITIES 0.3% 4,935,394
------ --------------
NET ASSETS (Applicable to 20,571,619
Institutional shares, 14,363,141
Service shares, 3,454,308 Investor A
shares, 12,360,387 Investor B shares
and 16,005,421 Investor C shares
outstanding) 100.0% $1,640,519,725
====== ==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER INSTITUTIONAL
SHARE ($507,840,666 (DIVIDE) 20,571,619) $24.69
======
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SERVICE
SHARE ($354,282,571 (DIVIDE) 14,363,141) $24.67
======
NET ASSET VALUE AND REDEMPTION PRICE
PER INVESTOR A SHARE ($85,173,646 (DIVIDE) 3,454,308) $24.66
======
MAXIMUM OFFERING PRICE PER INVESTOR A SHARE
($24.66 (DIVIDE) 0.970) $25.42
======
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
(SUBJECT TO A MAXIMUM CONTINGENT DEFERRED SALES
CHARGE OF 4.5%) PER INVESTOR B SHARE
($302,071,161 (DIVIDE) 12,360,387) $24.44
======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE (SUBJECT TO A MAXIMUM CONTINGENT
DEFERRED SALES CHARGE OF 1.0%) PER INVESTOR C
SHARE ($391,151,681 (DIVIDE) 16,005,421) $24.44
======
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS AND ACCOMPANYING FINANCIAL
STATEMENTS RELATED NOTES FOR THE DFA INVESTMENT TRUST COMPANY.
49
<PAGE>
BLACKROCK FUNDS
SCHEDULE OF INVESTMENTS
BALANCED PORTFOLIO
Number
AS OF SEPTEMBER 30, 1999 of Shares Value
--------- ------------
COMMON STOCKS -- 63.4%
AEROSPACE -- 2.2%
Allied-Signal, Inc. 125,200 $ 7,504,175
Boeing Co. 34,500 1,470,562
United Technologies Corp. 172,600 10,237,337
------------
19,212,074
------------
AIR TRANSPORTATION -- 0.3%
Continental Airlines, Class B** 86,300 2,826,325
------------
BANKS -- 1.6%
Bank of America Corp. 97,100 5,407,256
Bank One Corp. 161,800 5,632,662
Suntrust Banks, Inc. 42,700 2,807,525
------------
13,847,443
------------
BEVERAGES -- 0.8%
Coca-Cola Co. 97,100 4,666,869
PepsiCo, Inc. 82,000 2,480,500
------------
7,147,369
------------
BROADCASTING -- 0.3%
Clear Channel Communications, Inc.** 34,100 2,723,737
------------
CHEMICALS -- 1.3%
Dow Chemical Co. 43,200 4,908,600
E.I. du Pont de Nemours & Co. 103,600 6,306,650
------------
11,215,250
------------
COMPUTER & OFFICE EQUIPMENT -- 6.2%
Cisco Systems, Inc.** 388,400 26,629,675
Dell Computer Corp.** 165,400 6,915,787
International Business Machines Corp. 107,900 13,096,362
Oracle Corp.** 59,400 2,702,700
Xerox Corp. 116,500 4,885,719
------------
54,230,243
------------
COMPUTER SOFTWARE & SERVICES -- 5.1%
America Online, Inc.** 21,600 2,246,400
Automatic Data Processing, Inc. 142,400 6,354,600
EMC Corp.** 109,850 7,847,409
Microsoft Corp.** 306,400 27,748,350
------------
44,196,759
------------
ELECTRONICS -- 5.1%
Emerson Electric Co. 51,800 3,273,112
General Electric Co. 155,400 18,424,612
Intel Corp. 228,700 16,995,269
Motorola, Inc. 64,700 5,693,600
------------
44,386,593
------------
ENERGY & UTILITIES -- 1.6%
Entergy Corp. 161,800 4,682,088
FPL Group, Inc. 55,600 2,800,850
NiSource, Inc. 138,100 3,055,463
PECO Energy Co. 86,300 3,236,250
------------
13,774,651
------------
ENTERTAINMENT & LEISURE -- 0.8%
Time Warner, Inc. 60,500 3,675,375
Walt Disney Co. 138,100 3,573,338
------------
7,248,713
------------
Number
of Shares Value
--------- ------------
FINANCE -- 5.9%
American Express Co. 46,750 $ 6,293,719
Associates First Capital Corp., Class A 107,900 3,884,400
Citigroup, Inc. 161,800 7,119,200
Federal National Mortgage Association 155,400 9,741,638
Fleet Financial Group, Inc. 215,800 7,903,675
Morgan Stanley, Dean Witter & Co. 151,100 13,476,231
Washington Mutual, Inc. 90,600 2,650,050
-----------
51,068,913
-----------
FOOD & AGRICULTURE -- 0.5%
Bestfoods, Inc. 86,300 4,185,550
-----------
INSURANCE -- 2.1%
Allstate Corp. 96,000 2,394,000
American International Group, Inc. 182,100 15,831,319
-----------
18,225,319
-----------
MACHINERY & HEAVY EQUIPMENT -- 1.2%
Illinois Tool Works, Inc. 138,100 10,297,081
-----------
MANUFACTURING -- 0.5%
Tyco International Ltd. 45,300 4,677,225
-----------
MEDICAL & MEDICAL SERVICES -- 0.4%
United Healthcare Corp. 79,800 3,885,263
-----------
MEDICAL INSTRUMENTS & SUPPLIES -- 0.9%
Medtronic, Inc. 233,000 8,271,500
-----------
METAL & MINING -- 0.2%
Alcoa, Inc. 34,000 2,110,125
-----------
MOTOR VEHICLES -- 1.0%
Ford Motor Co. 107,900 5,415,231
General Motors Corp. 47,500 2,989,531
-----------
8,404,762
-----------
OIL & GAS -- 4.5%
Chevron Corp. 77,700 6,895,875
Exxon Corp. 120,800 9,173,250
Mobil Corp. 86,300 8,694,725
Royal Dutch Petroleum Co. - ADR 138,100 8,156,531
Schlumberger Ltd. 97,100 6,050,544
-----------
38,970,925
-----------
PHARMACEUTICALS -- 5.4%
American Home Products Corp. 194,200 8,059,300
Bristol-Myers Squibb Co. 211,500 14,276,250
Eli Lilly & Co. 120,800 7,731,200
Johnson & Johnson 69,100 6,348,563
Merck & Co., Inc. 157,500 10,207,969
-----------
46,623,282
-----------
RESTAURANTS -- 1.1%
McDonald's Corp. 215,800 9,279,400
-----------
RETAIL MERCHANDISING -- 4.7%
Home Depot, Inc. 53,900 3,698,888
Kroger Co.** 259,000 5,714,188
Lowe's Cos., Inc. 215,800 10,520,250
Staples, Inc.** 259,000 5,649,438
Wal-Mart Stores, Inc. 323,700 15,395,981
-----------
40,978,745
-----------
See accompanying notes to financial statements.
50
<PAGE>
BLACKROCK FUNDS
SCHEDULE OF INVESTMENTS
BALANCED PORTFOLIO (CONTINUED)
Number
AS OF SEPTEMBER 30, 1999 of Shares Value
--------- ------------
COMMON STOCKS -- (CONTINUED)
SOAPS & COSMETICS -- 1.7%
Colgate-Palmolive Co. 172,600 $ 7,896,450
Procter & Gamble Co. 73,400 6,881,250
-----------
14,777,700
-----------
TELECOMMUNICATIONS -- 7.4%
Alltel Corp. 101,400 7,136,025
AT&T Corp. 129,500 5,633,250
Bell Atlantic Corp. 125,900 8,474,644
GTE Corp. 73,400 5,642,625
Lucent Technologies, Inc. 168,300 10,918,463
MCI Worldcom, Inc.** 105,700 7,597,188
SBC Communications, Inc. 198,500 10,135,906
Vodafone Airtouch PLC - ADR 36,700 8,725,425
-----------
64,263,526
-----------
TOBACCO -- 0.6%
Philip Morris Cos., Inc. 153,200 5,237,525
-----------
TOTAL COMMON STOCKS
(Cost $314,575,034) 552,065,998
-----------
CUMULATIVE PREFERRED STOCK -- 0.2%
Centaur Funding Corp., 144A
9.08% 1,500 1,550,777
(Cost $1,500,000) -----------
Par
Maturity (000)
---------- ---------
U.S. GOVERNMENT & AGENCY OBLIGATIONS -- 7.5%
Small Business Administration
Participation Certificates,
Series 97-20F, Class 1
7.20% 06/01/17 $ 2,180 2,172,971
Small Business Investment Cos.
Pass-Through, Series 97-P10C,
Class 1
6.85% 08/01/07 1,205 1,191,918
U.S. Treasury Bonds
8.75% 11/15/08 1,155 1,264,071
12.75% 11/15/10 2,400 3,190,377
14.00% 11/15/11 5,050 7,274,927
7.50% 11/15/16 5,200 5,760,458
8.50% 02/15/20 4,260 5,236,342
5.25% 02/15/29 4,350 3,804,601
U.S. Treasury Bonds (CPI)
3.63% 04/15/28 7,655 7,297,319
U.S. Treasury Notes
6.00% 08/04-08/09 12,430 12,534,153
6.50% 10/15/06 10,025 10,257,107
U.S. Treasury Notes (CPI)
3.63% 01/15/08 3,350 3,345,102
3.88% 04/15/29 2,000 1,960,066
------------
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS
(Cost $66,376,913) 65,289,412
------------
Par
Maturity (000) Value
---------- -------- ------------
MORTGAGE PASS-THROUGHS -- 12.6%
Federal Home Loan Mortgage Corporation
6.45% 04/29/09 $ 2,150 $ 2,052,474
7.50% 10/09-09/27 1,380 1,400,956
6.00% 11/13-07/14 1,085 1,044,957
Federal Home Loan Mortgage Corporation Gold
6.50% 09/01/28 13,498 12,957,910
Federal National Mortgage Association
6.94% 03/19/07 750 740,895
6.80% 07/23/07 2,400 2,366,973
7.00% 11/07-10/25 7,855 7,836,203
6.10% 02/04/09 3,100 2,902,437
6.36% 04/09/09 1,600 1,518,240
6.50% 04/09-09/29 17,306 16,667,265
5.50% 10/13-06/14 38,996 36,716,787
6.00% 11/13-01/29 15,416 14,558,025
Government National Mortgage Association
6.50% 01/24-07/24 5,154 4,930,326
7.50% 04/27-07/27 871 874,249
MLCC Mortgage Investors, Inc.,
Series 95-C1, Class C
7.58%**** 05/25/15 1,120 1,108,683
MLCC Mortgage Investors, Inc.,
Series 96-C1, Class A2
7.24% 04/25/28 1,000 1,003,052
MLCC Mortgage Investors, Inc.,
Series 96-C1, Class A3
7.42% 04/25/28 1,500 1,506,008
------------
TOTAL MORTGAGE PASS-THROUGHS
(Cost $113,691,331) 110,185,440
------------
MULTIPLE CLASS MORTGAGE PASS-THROUGHS -- 0.9%
Federal Home Loan Mortgage Corp.,
Series 65, Class A (PO)
4.09% 03/15/24 345 154,718
Federal National Mortgage Association,
Series 93-216, Class B (PO)
8.79% 08/25/23 18 17,491
Federal National Mortgage Association,
Series 96-3, Class C (PO)
5.00% 02/25/24 388 221,182
Federal National Mortgage Association,
Series 96-54, Class A (PO)
6.50% 04/25/21 296 257,104
Federal National Mortgage Association,
Series 97-44, Class L (PO)
4.35% 02/25/24 360 194,400
Federal National Mortgage Association,
Series 97-58, Class PG (IO)
7.00% 09/18/27 1,014 287,791
Federal National Mortgage Association,
Series 99-17, Class HJ (PO)
5.00% 12/25/23 250 107,031
Federal National Mortgage Association,
Series 99-17, Class JH (PO)
5.00% 04/25/24 315 143,128
Federal National Mortgage Association,
Series, 99-51, Class L (PO)
5.00% 10/25/29 200 102,000
See accompanying notes to financial statements.
51
<PAGE>
BLACKROCK FUNDS
SCHEDULE OF INVESTMENTS
BALANCED PORTFOLIO (CONTINUED)
Par
AS OF SEPTEMBER 30, 1999 Maturity (000) Value
-------- -------- ------------
MULTIPLE CLASS MORTGAGE
PASS-THROUGHS -- (CONTINUED)
First Union-Lehman Brothers
Commercial Mortgage 1,
Series 97-C1, Class A3
7.38% 04/18/29 $ 3,440 $ 3,478,704
J.P. Morgan Commercial Mortgage
Finance Corp., Series 97-C5,
Class A2
7.07% 09/15/29 1,855 1,855,562
Residential Accredit Loans, Inc.,
Series 97-QS7, Class A1
7.50% 07/25/27 315 314,696
Salomon Brothers Mortgage Securities
VI, Series 87-1 (IO)
7.00% 02/17/17 433 113,379
Salomon Brothers Mortgage Securities
VI, Series 87-1 (PO)
7.00% 02/17/17 484 379,399
Salomon Brothers Mortgage Securities
VI, Series 87-2 (IO)
6.00% 03/06/17 276 75,145
Salomon Brothers Mortgage Securities
VI, Series 87-2 (PO)
6.00% 03/06/17 276 216,113
Structured Asset Securities Corp.,
Series 96-CFL, Class X1 (IO)
5.05% 02/25/28 4,332 224,731
------------
TOTAL MULTIPLE CLASS MORTGAGE PASS-THROUGHS
(Cost $8,604,438) 8,142,574
------------
COMMERCIAL MORTGAGE BACKED SECURITIES -- 1.5%
Asset Securitization Corp.,
Series 96-D2, Class A1
6.92% 02/14/29 1,161 1,153,370
Bayview Financial Acquisition Trust,
Series 98-1, Class MII4
6.29%**** 06/01/26 3,457 3,483,091
COMM, Series 99-1, Class A2
6.46% 09/15/08 1,515 1,442,707
Empire Funding Home Loan Owner
Trust, Series 98-2, Class A4
6.53% 03/25/19 2,500 2,453,125
J.P. Morgan Commercial Mortgage
Finance Corp., Series 96-C3,
Class A1
7.33% 04/25/28 359 361,552
Midland Royalty Acceptance Corp.,
Series 96-C, Class A
7.23% 01/25/29 1,000 993,435
Morgan Stanley Capital Investments,
Series 98-HF2, Class A2
6.48% 11/15/30 750 719,626
Navistar Financial Corp. Owner Trust,
Series 98-A, Class A
5.94% 11/15/04 1,396 1,400,799
Standard Credit Card Master Trust,
Series 95-1, Class A
8.25% 01/07/07 1,310 1,390,238
------------
TOTAL COMMERCIAL MORTGAGE-
BACKED SECURITIES
(Cost $13,578,553) 13,397,943
------------
Par
Maturity (000) Value
-------- -------- ------------
ASSET BACKED SECURITIES -- 3.4%
Arcadia Automobile Receivables Trust,
Series 98-B, Class A3
5.95% 11/15/02 $ 3,400 $ 3,402,312
Boston Edison Co.
Series 99-1, Class A5
7.03% 03/15/12 1,875 1,859,634
CIT Group Securitization Corp.,
Series 95-2, Class B
7.65% 05/15/26 1,050 877,734
Fifth Third Auto Grantor Trust,
Series 96-B, Class A
6.45% 03/15/02 104 104,333
First Security Auto Owner Trust,
Series 99-2, Class A3
6.00% 10/15/03 1,550 1,542,734
FMAC Loan Receivables Trust,
Series 97-B, Class A
6.85% 09/15/19 1,168 1,137,238
Ford Credit Auto Owner Trust,
Series 99-C, Class A4
6.08% 09/16/02 2,600 2,589,438
Green Tree Financial Corp.,
Series 93-3, Class B
6.85%*** 10/15/18 1,055 1,000,404
Green Tree Financial Corp.,
Series 96-6, Class A6
7.95% 08/15/26 1,000 1,012,590
Green Tree Financial Corp.,
Series 96-7, Class A6
7.65% 10/15/27 1,000 1,014,219
Green Tree Financial Corp.,
Series 97-1, Class B1
7.23% 03/15/28 1,000 931,401
Green Tree Financial Corp.,
Series 97-3, Class B2
8.03% 07/15/28 1,150 890,742
Health Care Receivables Securitization
Program Notes, NPF VI,
Series 98-1
6.22% 06/01/02 1,700 1,675,958
Honda Auto Lease Trust,
Series 99-A, Class A4
6.45% 09/16/02 3,375 3,380,801
MBNA Master Credit Card Trust,
Series 99-J, Class A
7.00% 02/15/12 1,250 1,256,055
Mellon Bank Home Equity Loan Trust,
Series 96-1, Class B2
5.69%**** 04/15/26 324 323,459
Puget Power Conservation Grantor
Trust, Series 97-1, Class A
6.23% 07/11/02 1,116 1,111,793
Sears Credit Account Master Trust,
Series 96-3, Class A
7.00% 07/15/08 2,000 2,024,744
Sears Credit Account Master Trust,
Series 98-1, Class A
5.80% 08/15/05 1,000 983,598
Sears Credit Account Master Trust,
Series 99-1, Class A
5.65% 03/15/09 700 673,995
See accompanying notes to financial statements.
52
<PAGE>
BLACKROCK FUNDS
SCHEDULE OF INVESTMENTS
BALANCED PORTFOLIO (CONTINUED)
Par
AS OF SEPTEMBER 30, 1999 Maturity (000) Value
-------- -------- ------------
ASSET BACKED SECURITIES -- (CONTINUED)
The Money Store Home Equity Trust,
Series 95-A, Class A8
8.13% 06/15/15 $ 350 $ 354,613
The Money Store Home Equity Trust,
Series 97-C, Class MH2
7.36% 02/15/24 1,200 1,180,874
------------
TOTAL ASSET BACKED SECURITIES
(Cost $30,082,947) 29,328,669
------------
CORPORATE BONDS -- 8.3%
FINANCE -- 3.9%
Ahmanson Capital Trust Investments
8.36% 12/01/26 3,440 3,440,000
American General Capital Securities
7.57% 12/01/45 2,230 2,043,238
Associates Corp.
6.25% 11/01/08 1,640 1,551,850
AT&T Capital Corp.
5.48% 04/09/01 750 743,160
AT&T Capital Corp.
6.75% 02/04/02 1,950 1,939,353
Bank of America
6.63% 06/15/04 2,530 2,514,188
Bear Stearns Capital Trust Investments
7.00% 01/15/27 1,050 1,034,578
Chase Manhattan Corp.
5.75% 04/15/04 740 708,909
CIT Group, Inc.
7.10% 08/15/05 2,100 2,113,125
CSW Investments
6.95% 08/01/01 1,600 1,609,152
DaimlerChrysler NA Hldg.
7.20% 09/01/09 2,450 2,462,250
ERAC USA Finance Co.
6.95% 03/01/04 450 442,899
FMR Corp.
7.57% 06/15/29 940 918,850
Ford Motor Credit Co.
6.70% 07/16/04 2,315 2,303,425
Merrill Lynch & Co., Inc.
5.75% 11/04/02 1,355 1,318,564
National City Corp.
6.88% 05/15/19 2,000 1,830,499
Pemex Finance Ltd.
9.14% 08/15/04 1,965 1,968,242
Simon Property Group LP, Inc.
6.63% 06/15/03 1,400 1,347,206
Yorkshire Power Finance
6.50% 02/25/08 1,750 1,592,500
Zurich Capital Trust Investments
8.38% 06/01/37 2,380 2,338,350
------------
34,220,338
------------
INDUSTRIAL -- 2.1%
Coca-Cola Enterprises, Inc.
5.71% 03/18/37 2,030 2,030,629
Conoco, Inc.
5.90% 04/15/04 1,410 1,365,938
Ford Motor Co.
7.45% 07/16/31 3,660 3,611,600
General Motors
8.80% 10/01/99 1,435 1,601,819
Hyder PLC
7.38% 12/15/28 1,485 1,308,469
Par
Maturity (000) Value
---------- -------- ------------
CORPORATE BONDS -- (CONTINUED)
INDUSTRIAL -- (CONTINUED)
Jones Apparel Group, Inc.
6.25% 10/01/01 $ 2,055 $ 2,016,469
Merck & Co., Inc.
6.40% 03/01/28 630 577,238
Nabisco, Inc.
6.85% 06/15/05 600 579,912
7.05% 07/15/07 555 536,807
Waste Management, Inc.
6.00% 05/15/01 1,295 1,240,972
Williams Cos., Inc.
6.13% 02/01/01 850 846,813
Williams Holdings of Delaware
6.13% 12/01/03 2,320 2,212,123
------------
17,928,789
------------
INSURANCE -- 0.3%
Equitable Cos., Inc.
9.00% 12/15/04 1,100 1,197,625
7.00% 04/01/28 635 578,409
Florida Windstorm Underwriting
Association
7.13% 02/25/19 1,190 1,112,222
------------
2,888,256
------------
PIPELINES -- 0.2%
El Paso Energy Corp.
6.63% 07/15/01 1,875 1,875,000
------------
TELECOMMUNICATIONS -- 1.3%
AT&T Corp.
6.00% 03/15/09 450 418,500
6.50% 03/15/29 1,208 1,064,997
Cable and Wireless Optus Ltd.
8.13% 06/15/09 710 721,893
Lucent Technologies, Inc.
6.45% 03/15/29 3,000 2,711,250
SBC Communications, Inc.
7.38% 06/15/25 1,545 1,467,750
Sprint Capital Corp.
5.70% 11/15/03 1,030 984,938
6.13% 11/15/08 1,000 930,000
6.38% 05/01/09 2,140 2,017,264
U.S. West Capital Funding, Inc.
6.88% 07/15/28 1,442 1,270,763
------------
11,587,355
------------
TRANSPORTATION -- 0.1%
Federal Express Corp.
7.11% 01/02/14 905 845,416
------------
UTILITY -- 0.2%
Illinois Power Co.
7.50% 06/15/09 970 970,319
Niagara Mohawk Power Corp.
7.75% 10/01/08 520 530,400
------------
1,500,719
------------
YANKEE -- 0.2%
Empresa Electrica Pehuenche
7.30%*** 05/01/03 1,670 1,610,807
------------
TOTAL CORPORATE BONDS
(Cost $74,516,160) 72,456,680
------------
See accompanying notes to financial statements.
53
<PAGE>
BLACKROCK FUNDS
SCHEDULE OF INVESTMENTS
BALANCED PORTFOLIO (CONCLUDED)
Par/Shares
AS OF SEPTEMBER 30, 1999 Maturity (000) Value
---------- ---------- -------------
TAXABLE MUNICIPAL BONDS -- 0.4%
Los Angeles Cnty. Pension Oblig.,
Series 94A
8.62% 06/30/06 $ 600 $ 651,750
Los Angeles Cnty. Pension Oblig.,
Series 95D
6.97% 06/30/08 1,000 992,500
New Jersey Econ. Dev. Auth. St.
Pension Fdg., Series 97B
7.56%(DAGGER) 02/15/16 2,425 721,438
7.59%(DAGGER) 02/15/17 850 233,750
7.62%(DAGGER) 02/15/20 895 196,900
7.63%(DAGGER) 02/15/21 630 128,363
7.63%(DAGGER) 02/15/22 895 168,931
7.63%(DAGGER) 02/15/23 340 59,500
------------
TOTAL TAXABLE MUNICIPAL BONDS
(Cost $3,128,248) 3,153,132
------------
SHORT TERM INVESTMENTS -- 1.8%
Federal Home Loan Mortgage Corp.
Discount Notes
5.20% 10/01/99 8,400 8,400,000
Galileo Money Market Fund 7,099 7,099,203
------------
TOTAL SHORT TERM INVESTMENTS
(Cost $15,499,203) 15,499,203
------------
TOTAL INVESTMENTS IN SECURITIES-- 100.0%
(Cost $641,552,827*) $871,069,828
============
- -----------------
* Cost for Federal income tax purposes is $642,133,933. The gross unrealized
appreciation (depreciation) on a tax basis is as follows:
Gross unrealized appreciation $244,270,116
Gross unrealized depreciation (15,334,221)
------------
$228,935,895
============
** Non-income producing security.
*** Principal amount of securities pledged as collateral is $2,970,000 on 30 net
long U.S. Treasury Notes futures contracts and 44 net short U.S. Treasury
Bonds futures contracts expiring December 1999. The value of such contracts
on September 30, 1999 was $8,233,000, thereby resulting in an unrealized
gain of $15,633.
****Rates shown are the rates as of September 30, 1999.
(DAGGER) The rate shown is the effective yield on the zero coupon bonds.
INVESTMENT ABBREVIATIONS
CPI Consumer Price Index
IO Interest Only
PO Principal Only
ADR American Depository Receipt
See accompanying notes to financial statements.
54
<PAGE>
BLACKROCK FUNDS
STATEMENT OF ASSETS AND LIABILITIES
BALANCED PORTFOLIO
SEPTEMBER 30, 1999
ASSETS
Investments at value (Cost $641,552,827) ..... $ 871,069,828
Collateral received for securities loaned .... 152,475,638
Dividends receivable ......................... 677,197
Interest receivable .......................... 3,859,106
Investments sold receivable .................. 1,692,291
Capital shares sold receivable ............... 1,317,563
Futures sold receivable ...................... 10,214
Futures commissions .......................... 468
Prepaid expenses ............................. 10,772
--------------
TOTAL ASSETS .......................... 1,031,113,077
--------------
LIABILITIES
Payable upon return of securities loaned ..... 152,475,638
Investments purchased payable ................ 3,460,408
Capital shares redeemed payable .............. 1,730,745
Advisory fees payable ........................ 402,990
Administrative fees payable .................. 165,053
Transfer agent fees payable .................. 158,659
Other accrued expenses payable ............... 441,018
Deferred dollar roll income .................. 281
Futures margin payable ....................... 22,016
--------------
TOTAL LIABILITIES ..................... 158,856,808
--------------
NET ASSETS (Applicable to 20,963,125 Institutional
shares, 11,098,576 Service shares, 6,736,454
Investor A shares, 4,913,997 Investor B shares
and 515,369 Investor C shares outstanding) $872,256,269
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
INSTITUTIONAL SHARE
($414,056,510 (DIVIDE) 20,963,125) $19.75
======
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SERVICE SHARE ($219,018,231 (DIVIDE) 11,098,576) $19.73
======
NET ASSET VALUE AND REDEMPTION PRICE PER INVESTOR A
SHARE ($132,833,268 (DIVIDE) 6,736,454) $19.72
======
MAXIMUM OFFERING PRICE PER INVESTOR A SHARE
($19.72 (DIVIDE) 0.955) $20.65
======
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
(subject to a maximum contingent deferred sales
charge of 4.5%) PER INVESTOR B SHARE
($96,253,239 (DIVIDE) 4,913,997) $19.59
======
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
(subject to a maximum contingent deferred sales
charge of 1.0%) PER INVESTOR C SHARE
($10,095,021 (DIVIDE) 515,369) $19.59
======
See accompanying notes to financial statements.
55
<PAGE>
BLACKROCK FUNDS
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
Large Cap Large Cap Mid-Cap Mid-Cap
Value Growth Value Growth
Equity Equity Equity Equity
FOR THE YEAR ENDED SEPTEMBER 30, 1999 Portfolio Portfolio Portfolio Portfolio
--------------- -------------- ------------- --------------
<S> <C> <C> <C> <C>
Investment income:
Interest ................................................ $ 2,420,591 $ 2,182,475 $ 449,465 $ 1,710,257
Dividends ............................................... 52,564,544 9,262,123 5,169,137 507,360
Net investment income from master ....................... -- -- -- --
Foreign taxes withheld .................................. -- -- -- --
------------ ------------- ------------- -------------
Total investment income ............................ 54,985,135 11,444,598 5,618,602 2,217,617
------------ ------------- ------------- -------------
Expenses:
Investment advisory fee ................................. 13,151,862 7,642,265 2,237,589 2,799,450
Administration fee ...................................... 5,188,784 3,031,323 643,297 803,240
Custodian fee ........................................... 298,809 192,050 54,340 79,251
Transfer agent fee ...................................... 917,669 484,625 118,474 120,257
Shareholder servicing fees .............................. 880,488 565,889 87,282 102,567
Shareholder processing fees ............................. 779,158 482,122 76,241 86,847
Distribution fees ....................................... 281,227 224,336 48,144 59,123
Legal and audit ......................................... 126,519 66,351 13,583 23,192
Printing ................................................ 233,663 134,208 31,945 38,859
Registration fees and expenses .......................... 45,223 40,090 40,727 41,604
Trustees' fees and officers' salary ..................... 41,218 21,630 4,688 5,233
Other ................................................... 46,008 40,812 12,367 14,991
------------ ------------- ------------- -------------
21,990,628 12,925,701 3,368,677 4,174,614
Less fees waived ........................................ -- -- (26,832) (30,905)
------------ ------------- ------------- -------------
Total operating expenses ........................... 21,990,628 12,925,701 3,341,845 4,143,709
Interest expense ........................................ -- -- -- --
------------ ------------- ------------- -------------
Total expenses ..................................... 21,990,628 12,925,701 3,341,845 4,143,709
------------ ------------- ------------- -------------
Net investment income (loss) ............................ 32,994,507 (1,481,103) 2,276,757 (1,926,092)
------------ ------------- ------------- -------------
Realized and unrealized gain (loss) on investments
and foreign currency transactions:
Net realized gain (loss) from:
Investment transactions (net of foreign taxes) ........ 202,260,967 219,239,498 11,134,454 140,549,992
Futures and options contracts ......................... -- 7,307,967 -- 2,846,495
Foreign currency and forward foreign currency
transactions ........................................ -- -- -- --
------------ ------------- ------------- -------------
202,260,967 226,547,465 11,134,454 143,396,487
------------ ------------- ------------- -------------
Change in unrealized appreciation (depreciation) from:
Investments ........................................... 115,081,408 177,635,810 3,268,247 40,931,963
Futures contracts ..................................... -- (1,036,503) -- (221,650)
Foreign currency related transactions and
forward foreign currency transactions ............... -- -- -- --
------------ ------------- ------------- -------------
115,081,408 176,599,307 3,268,247 40,710,313
------------ ------------- ------------- -------------
Net gain on investments and foreign currency transactions 317,342,375 403,146,772 14,402,701 184,106,800
------------ ------------- ------------- -------------
Net increase in net assets resulting from operations .... $350,336,882 $ 401,665,669 $ 16,679,458 $ 182,180,708
============ ============= ============= =============
</TABLE>
<TABLE>
<CAPTION>
Small Cap Small Cap Micro-Cap International
Value Equity Growth Equity Equity Equity
FOR THE YEAR ENDED SEPTEMBER 30, 1999 Portfolio Portfolio Portfolio Portfolio
------------- ------------- ------------- --------------
<S> <C> <C> <C> <C>
Investment income:
Interest ................................................ $ 928,094 $ 8,263,051 $ 387,665 $ 1,198,200
Dividends ............................................... 11,025,542 391,943 -- 21,560,870
Net investment income from master ....................... -- -- -- --
Foreign taxes withheld .................................. -- -- -- (2,356,937)
------------- ------------- ------------- -------------
Total investment income ............................ 11,953,636 8,654,994 387,665 20,402,133
------------- ------------- ------------- -------------
Expenses:
Investment advisory fee ................................. 3,759,801 8,138,473 586,286 9,475,007
Administration fee ...................................... 1,539,051 3,216,807 108,433 2,745,464
Custodian fee ........................................... 122,410 319,848 46,469 368,490
Transfer agent fee ...................................... 318,097 588,586 64,421 417,367
Shareholder servicing fees .............................. 267,627 544,559 109,499 308,288
Shareholder processing fees ............................. 204,947 423,465 65,811 262,592
Distribution fees ....................................... 204,240 419,423 203,614 60,788
Legal and audit ......................................... 40,297 79,625 1,742 81,933
Printing ................................................ 72,611 120,095 44,588 133,687
Registration fees and expenses .......................... 39,487 45,000 106,401 49,462
Trustees' fees and officers' salary ..................... 14,477 27,326 3,458 20,860
Other ................................................... 21,643 44,031 4,860 44,341
------------- ------------- ------------- -------------
6,604,688 13,967,238 1,345,582 13,968,279
Less fees waived ........................................ -- -- (170,684) --
------------- ------------- ------------- -------------
Total operating expenses ........................... 6,604,688 13,967,238 1,174,898 13,968,279
Interest expense ........................................ -- -- -- --
------------- ------------- ------------- -------------
Total expenses ..................................... 6,604,688 13,967,238 1,174,898 13,968,279
------------- ------------- ------------- -------------
Net investment income (loss) ............................ 5,348,948 (5,312,244) (787,233) 6,433,854
------------- ------------- ------------- -------------
Realized and unrealized gain (loss) on investments
and foreign currency transactions:
Net realized gain (loss) from:
Investment transactions (net of foreign taxes) ........ (13,820,872) 228,680,630 22,743,781 164,860,251
Futures and options contracts ......................... -- 20,140,612 -- --
Foreign currency and forward foreign currency
transactions ........................................ -- -- -- 9,758,145
------------- ------------- ------------- -------------
(13,820,872) 248,821,242 22,743,781 174,618,396
------------- ------------- ------------- -------------
Change in unrealized appreciation (depreciation) from:
Investments ........................................... 44,952,759 315,500,965 26,483,211 162,322,812
Futures contracts ..................................... -- (548,750) -- --
Foreign currency related transactions and
forward foreign currency transactions ............... -- -- -- (13,829,252)
------------- ------------- ------------- -------------
44,952,759 314,952,215 26,483,211 148,493,560
------------- ------------- ------------- -------------
Net gain on investments and foreign currency transactions 31,131,887 563,773,457 49,226,992 323,111,956
------------- ------------- ------------- -------------
Net increase in net assets resulting from operations .... $ 36,480,835 $ 558,461,213 $ 48,439,759 $ 329,545,810
============= ============= ============= =============
</TABLE>
<TABLE>
<CAPTION>
International International
Small Cap Emerging Select Index
Equity Markets Equity Equity
FOR THE YEAR ENDED SEPTEMBER 30, 1999 Portfolio Portfolio Portfolio Portfolio
------------ ------------- ------------- -------------
<S> <C> <C> <C> <C>
Investment income:
Interest ................................................ $ 94,012 $ 298,170 $ 1,373,587 $ --
Dividends ............................................... 261,989 2,072,464 25,873,250 --
Net investment income from master ....................... -- -- -- 17,608,629
Foreign taxes withheld .................................. (30,424) (191,332) -- --
------------ ------------- ------------- -------------
Total investment income ............................ 325,577 2,179,302 27,246,837 17,608,629
------------ ------------- ------------- -------------
Expenses:
Investment advisory fee ................................. 213,397 1,051,408 9,743,912 --
Administration fee ...................................... 49,084 193,461 3,831,505 3,028,498
Custodian fee ........................................... 46,157 84,335 248,477 --
Transfer agent fee ...................................... 12,000 42,659 695,640 679,368
Shareholder servicing fees .............................. 7,014 36,560 634,229 1,841,914
Shareholder processing fees ............................. 4,210 33,728 517,590 1,299,365
Distribution fees ....................................... 15,277 5,938 469,442 3,580,757
Legal and audit ......................................... 9,282 4,912 86,849 64,110
Printing ................................................ 43,107 10,731 198,644 125,137
Registration fees and expenses .......................... 45,706 41,140 44,319 45,284
Trustees' fees and officers' salary ..................... 804 1,870 28,436 22,839
Other ................................................... 10,247 23,762 53,612 122,634
------------ ------------- ------------- -------------
456,285 1,530,504 16,552,655 10,809,906
Less fees waived ........................................ (143,999) -- -- (1,006,052)
------------ ------------- ------------- -------------
Total operating expenses ........................... 312,286 1,530,504 16,552,655 9,803,854
Interest expense ........................................ -- -- -- --
------------ ------------- ------------- -------------
Total expenses ..................................... 312,286 1,530,504 16,552,655 9,803,854
------------ ------------- ------------- -------------
Net investment income (loss) ............................ 13,291 648,798 10,694,182 7,804,775
------------ ------------- ------------- -------------
Realized and unrealized gain (loss) on investments
and foreign currency transactions:
Net realized gain (loss) from:
Investment transactions (net of foreign taxes) ........ 1,985,492 (36,073,127) 123,822,700 6,155,261
Futures and options contracts ......................... -- -- 3,342,654 --
Foreign currency and forward foreign currency
transactions ........................................ (15,834) (476,285) -- --
------------ ------------- ------------- -------------
1,969,658 (36,549,412) 127,165,354 6,155,261
------------ ------------- ------------- -------------
Change in unrealized appreciation (depreciation) from:
Investments ........................................... 7,533,019 60,980,655 276,093,188 214,942,881
Futures contracts ..................................... -- -- (721,691) --
Foreign currency related transactions and
forward foreign currency transactions ............... (105,748) (10,687) -- --
------------ ------------- ------------- -------------
7,427,271 60,969,968 275,371,497 214,942,881
------------ ------------- ------------- -------------
Net gain on investments and foreign currency transactions 9,396,929 24,420,556 402,536,851 221,098,142
------------ ------------- ------------- -------------
Net increase in net assets resulting from operations .... $ 9,410,220 $ 25,069,354 $ 413,231,033 $ 228,902,917
============ ============= ============= =============
</TABLE>
<TABLE>
<CAPTION>
Balanced
FOR THE YEAR ENDED SEPTEMBER 30, 1999 Portfolio
-------------
<S> <C>
Investment income:
Interest ................................................ $ 20,925,062
Dividends ............................................... 6,691,387
Net investment income from master ....................... --
Foreign taxes withheld .................................. --
-------------
Total investment income ............................ 27,616,449
-------------
Expenses:
Investment advisory fee ................................. 4,600,236
Administration fee ...................................... 1,865,080
Custodian fee ........................................... 150,813
Transfer agent fee ...................................... 379,992
Shareholder servicing fees .............................. 813,830
Shareholder processing fees ............................. 616,634
Distribution fees ....................................... 585,376
Legal and audit ......................................... 43,312
Printing ................................................ 79,673
Registration fees and expenses .......................... 43,352
Trustees' fees and officers' salary ..................... 15,547
Other ................................................... 26,632
-------------
9,220,477
Less fees waived ........................................ --
-------------
Total operating expenses ........................... 9,220,477
Interest expense ........................................ 35,118
-------------
Total expenses ..................................... 9,255,595
-------------
Net investment income (loss) ............................ 18,360,854
-------------
Realized and unrealized gain (loss) on investments
and foreign currency transactions:
Net realized gain (loss) from:
Investment transactions (net of foreign taxes) ........ 28,043,797
Futures and options contracts ......................... 991,312
Foreign currency and forward foreign currency
transactions ........................................ --
-------------
29,035,109
-------------
Change in unrealized appreciation (depreciation) from:
Investments ........................................... 53,269,437
Futures contracts ..................................... (368,715)
Foreign currency related transactions and
forward foreign currency transactions ............... --
-------------
52,900,722
-------------
Net gain on investments and foreign currency transactions 81,935,831
-------------
Net increase in net assets resulting from operations .... $ 100,296,685
=============
</TABLE>
See accompanying notes to financial statements.
56-57
<PAGE>
BLACKROCK FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Large Cap Large Cap
Value Equity Portfolio Growth Equity Portfolio
---------------------------------- ------------------------------------
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
9/30/99 9/30/98 9/30/99 9/30/98
--------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets:
Operations:
Net investment income (loss) ..................... $ 32,994,507 $ 25,637,272 $ (1,481,103) $ 553,050
Net realized gain (loss) on
investments, futures contracts
and foreign currency related
transactions ................................... 202,260,967 192,099,260 226,547,465 73,328,406
Net unrealized gain (loss) on
investments, futures contracts
and foreign currency related
transactions ................................. 115,081,408 (446,969,393) 176,599,307 (7,495,647)
--------------- --------------- --------------- ---------------
Net increase (decrease) in net
assets resulting from operations ............... 350,336,882 (229,232,861) 401,665,669 66,385,809
--------------- --------------- --------------- ---------------
Distributions to shareholders from:
Net investment income:
Institutional Class .............................. (27,949,868) (18,530,517) -- (492,332)
Service Class .................................... (4,485,880) (6,348,629) -- --
Investor A Class ................................. (619,325) (510,254) -- --
Investor B Class ................................. (97,164) (72,123) -- --
Investor C Class ................................. (11,703) (6,367) -- --
--------------- --------------- --------------- ---------------
Total distribution from net
investment income .............................. (33,163,940) (25,467,890) -- (492,332)
--------------- --------------- --------------- ---------------
In excess of net investment income:
Institutional Class .............................. -- -- -- --
Service Class .................................... -- -- -- --
Investor A Class ................................. -- -- -- --
Investor B Class ................................. -- -- -- --
Investor C Class ................................. -- -- -- --
--------------- --------------- --------------- ---------------
Total distributions in excess of investment income -- -- -- --
--------------- --------------- --------------- ---------------
Capital:
Institutional Class .............................. -- -- -- --
Service Class .................................... -- -- -- --
Investor A Class ................................. -- -- -- --
Investor B Class ................................. -- -- -- --
Investor C Class ................................. -- -- -- --
--------------- --------------- --------------- ---------------
Total distributions from capital ................. -- -- -- --
--------------- --------------- --------------- ---------------
Net realized gains:
Institutional Class .............................. (117,018,687) (93,723,477) (81,668,812) (65,760,356)
Service Class .................................... (24,723,344) (76,020,941) (17,012,084) (36,048,878)
Investor A Class ................................. (3,347,911) (6,087,188) (3,299,277) (3,610,796)
Investor B Class ................................. (1,855,151) (2,790,824) (1,388,742) (1,161,883)
Investor C Class ................................. (199,549) (189,032) (97,721) (23,904)
--------------- --------------- --------------- ---------------
Total distributions from netrealized gains ....... (147,144,642) (178,811,462) (103,466,636) (106,605,817)
--------------- --------------- --------------- ---------------
Total distributions to shareholders .............. (180,308,582) (204,279,352) (103,466,636) (107,098,149)
--------------- --------------- --------------- ---------------
Capital share transactions ........................... (98,883,013) 1,338,827,954 8,769,527 421,476,131
--------------- --------------- --------------- ---------------
Total increase (decrease) in net assets .......... 71,145,287 905,315,741 306,968,560 380,763,791
Net assets:
Beginning of period .............................. 2,312,241,400 1,406,925,659 1,159,724,458 778,960,667
--------------- --------------- --------------- ---------------
End of period .................................... $ 2,383,386,687 $ 2,312,241,400 $ 1,466,693,018 $ 1,159,724,458
=============== =============== =============== ===============
</TABLE>
<TABLE>
<CAPTION>
Mid-Cap Value Mid-Cap Growth
Equity Portfolio Equity Portfolio
------------------------------ ------------------------------
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
9/30/99 9/30/98 9/30/99 9/30/98
------------- -------------- -------------- -------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets:
Operations:
Net investment income (loss) ..................... $ 2,276,757 $ 1,659,693 $ (1,926,092) $ (953,746)
Net realized gain (loss) on
investments, futures contracts
and foreign currency related
transactions ................................... 11,134,454 (4,969,292) 143,396,487 (1,577,914)
Net unrealized gain (loss) on
investments, futures contracts
and foreign currency related
transactions ................................. 3,268,247 (47,088,039) 40,710,313 (25,720,350)
------------- ------------- ------------- -------------
Net increase (decrease) in net
assets resulting from operations ............... 16,679,458 (50,397,638) 182,180,708 (28,252,010)
------------- ------------- ------------- -------------
Distributions to shareholders from:
Net investment income:
Institutional Class .............................. (2,054,526) (1,414,807) -- --
Service Class .................................... (261,471) (189,171) -- --
Investor A Class ................................. (17,790) (12,658) -- --
Investor B Class ................................. -- -- -- --
Investor C Class ................................. -- -- -- --
------------- ------------- ------------- -------------
Total distribution from net
investment income .............................. (2,333,787) (1,616,636) -- --
------------- ------------- ------------- -------------
In excess of net investment income:
Institutional Class .............................. -- -- -- --
Service Class .................................... -- -- -- --
Investor A Class ................................. -- -- -- --
Investor B Class ................................. -- -- -- --
Investor C Class ................................. -- -- -- --
------------- ------------- ------------- -------------
Total distributions in excess of investment income -- -- -- --
------------- ------------- ------------- -------------
Capital:
Institutional Class .............................. -- -- -- (140,856)
Service Class .................................... -- -- -- (18,337)
Investor A Class ................................. -- -- -- (2,632)
Investor B Class ................................. -- -- -- (2,660)
Investor C Class ................................. -- -- -- (150)
------------- ------------- ------------- -------------
Total distributions from capital ................. -- -- -- (164,635)
------------- ------------- ------------- -------------
Net realized gains:
Institutional Class .............................. (68,128) (3,170,990) -- (822,665)
Service Class .................................... (13,604) (873,004) -- (245,537)
Investor A Class ................................. (1,535) (77,103) -- (23,701)
Investor B Class ................................. -- (106,596) -- (24,423)
Investor C Class ................................. -- (687) -- (624)
------------- ------------- ------------- -------------
Total distributions from netrealized gains ....... (83,267) (4,228,380) -- 1,116,950)
------------- ------------- ------------- -------------
Total distributions to shareholders .............. (2,417,054) (5,845,016) -- (1,281,585)
------------- ------------- ------------- -------------
Capital share transactions ........................... 25,245,325 166,482,367 (4,288,892) 151,328,193
------------- ------------- ------------- -------------
Total increase (decrease) in net assets .......... 39,507,729 110,239,713 177,891,816 121,794,598
Net assets:
Beginning of period .............................. 245,129,875 134,890,162 257,912,297 136,117,699
------------- ------------- ------------- -------------
End of period .................................... $ 284,637,604 $ 245,129,875 $ 435,804,113 $ 257,912,297
============= ============= ============= =============
</TABLE>
<TABLE>
<CAPTION>
Small Cap Small Cap
Value Equity Portfolio Growth Equity Portfolio
------------------------------ -----------------------------------
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
9/30/99 9/30/98 9/30/99 9/30/98
------------- -------------- ---------------- ---------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets:
Operations:
Net investment income (loss) ..................... $ 5,348,948 $ 3,992,037 $ (5,312,244) $ (3,153,995)
Net realized gain (loss) on
investments, futures contracts
and foreign currency related
transactions ................................... (13,820,872) 48,844,677 248,821,242 (7,228,973)
Net unrealized gain (loss) on
investments, futures contracts
and foreign currency related
transactions ................................. 44,952,759 (220,300,060) 314,952,215 (351,978,763)
------------- ------------- --------------- ---------------
Net increase (decrease) in net
assets resulting from operations ............... 36,480,835 (167,463,346) 558,461,213 (362,361,731)
------------- ------------- --------------- ---------------
Distributions to shareholders from:
Net investment income:
Institutional Class .............................. (4,766,070) (3,336,413) -- --
Service Class .................................... (466,508) (527,494) -- --
Investor A Class ................................. (159,758) (121,897) -- --
Investor B Class ................................. -- -- -- --
Investor C Class ................................. -- -- -- --
------------- ------------- --------------- ---------------
Total distribution from net
investment income .............................. (5,392,336) (3,985,804) -- --
------------- ------------- --------------- ---------------
In excess of net investment income:
Institutional Class .............................. (5,550,816) -- -- --
Service Class .................................... (788,475) -- -- --
Investor A Class ................................. (409,719) -- -- --
Investor B Class ................................. (215,256) -- -- --
Investor C Class ................................. (56,446) -- -- --
------------- ------------- --------------- ---------------
Total distributions in excess of investment income (7,020,712) -- -- --
------------- ------------- --------------- ---------------
Capital:
Institutional Class .............................. -- -- -- (1,106,034)
Service Class .................................... -- -- -- (155,368)
Investor A Class ................................. -- -- -- (53,299)
Investor B Class ................................. -- -- -- (43,559)
Investor C Class ................................. -- -- -- (13,504)
------------- ------------- --------------- ---------------
Total distributions from capital ................. -- -- -- (1,371,764)
------------- ------------- --------------- ---------------
Net realized gains:
Institutional Class .............................. (23,842,650) (33,889,486) -- (23,804,910)
Service Class .................................... (3,473,838) (12,976,187) -- (11,303,533)
Investor A Class ................................. (1,664,439) (3,650,541) -- (2,931,890)
Investor B Class ................................. (939,611) (1,336,440) -- (2,132,407)
Investor C Class ................................. (241,116) (318,538) -- (731,934)
------------- ------------- --------------- ---------------
Total distributions from netrealized gains ....... (30,161,654) (52,171,192) -- (40,904,674)
------------- ------------- --------------- ---------------
Total distributions to shareholders .............. (42,574,702) (56,156,996) -- (42,276,438)
------------- ------------- --------------- ---------------
Capital share transactions ........................... (13,546,437) 409,911,079 (86,789,729) 834,426,119
------------- ------------- --------------- ---------------
Total increase (decrease) in net assets .......... (19,640,304) 186,290,737 471,671,484 429,787,950
Net assets:
Beginning of period .............................. 665,761,441 479,470,704 1,262,480,271 832,692,321
------------- ------------- --------------- ---------------
End of period .................................... $ 646,121,137 $ 665,761,441 $ 1,734,151,755 $ 1,262,480,271
============= ============= =============== ===============
</TABLE>
<TABLE>
<CAPTION>
Micro-Cap
Equity Portfolio
-----------------------------
For the period
For the 05/01/98 1
Year Ended through
9/30/99 9/30/98
------------- ---------------
<S> <C> <C>
Increase (decrease) in net assets:
Operations:
Net investment income (loss) ..................... $ (787,233) $ (59,173)
Net realized gain (loss) on
investments, futures contracts
and foreign currency related
transactions ................................... 22,743,781 (2,808,502)
Net unrealized gain (loss) on
investments, futures contracts
and foreign currency related
transactions ................................. 26,483,211 350,886
------------- ------------
Net increase (decrease) in net
assets resulting from operations ...............
48,439,759 (2,516,789)
------------- ------------
Distributions to shareholders from:
Net investment income:
Institutional Class .............................. -- --
Service Class .................................... -- --
Investor A Class ................................. -- --
Investor B Class ................................. -- --
Investor C Class ................................. -- --
------------- ------------
Total distribution from net
investment income .............................. -- --
------------- ------------
In excess of net investment income:
Institutional Class .............................. -- --
Service Class .................................... -- --
Investor A Class ................................. -- --
Investor B Class ................................. -- --
Investor C Class ................................. -- --
------------- ------------
Total distributions in excess of investment income -- --
------------- ------------
Capital:
Institutional Class .............................. -- --
Service Class .................................... -- --
Investor A Class ................................. -- --
Investor B Class ................................. -- --
Investor C Class ................................. -- --
------------- ------------
Total distributions from capital ................. -- --
------------- ------------
Net realized gains:
Institutional Class .............................. -- --
Service Class .................................... -- --
Investor A Class ................................. -- --
Investor B Class ................................. -- --
Investor C Class ................................. -- --
------------- ------------
Total distributions from netrealized gains ....... -- --
------------- ------------
Total distributions to shareholders .............. -- --
------------- ------------
Capital share transactions ........................... 81,414,490 20,356,330
------------- ------------
Total increase (decrease) in net assets .......... 129,854,249 17,839,541
Net assets:
Beginning of period .............................. 17,839,541 --
------------- ------------
End of period .................................... $ 147,693,790 $ 17,839,541
============= ============
</TABLE>
See accompanying notes to financial statements.
58-59
<PAGE>
BLACKROCK FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
<TABLE>
<CAPTION>
International
International Small Cap
Equity Portfolio Equity Portfolio
---------------------------------- ----------------------------
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
9/30/99 9/30/98 9/30/99 9/30/98
--------------- --------------- ------------ -------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets:
Operations:
Net investment income ...................... $ 6,433,854 $ 8,159,933 $ 13,291 $ 98,516
Net gain (loss) on investment, futures
and foreign currency related transactions 174,618,396 71,669,944 1,969,658 2,075,708
Net unrealized gain (loss) on investment,
futures and foreign currency related
transactions ........................... 148,493,560 (233,529,572) 7,427,271 (3,251,955)
--------------- --------------- ------------ ------------
Net increase (decrease) in net assets
resulting from operations ................ 329,545,810 (153,699,695) 9,410,220 (1,077,731)
--------------- --------------- ------------ ------------
Distributions to shareholders from:
Net investment income:
Institutional Class ........................ (10,909,069) (5,917,557) (13,291) (81,520)
Service Class .............................. -- (2,234,158) -- (1,514)
Investor A Class ........................... -- (196,004) -- (2,465)
Investor B Class ........................... -- (32,932) -- (2,821)
Investor C Class ........................... -- (1,193) -- (560)
--------------- --------------- ------------ ------------
Total distribution from net investment income (10,909,069) (8,381,844) (13,291) (88,880)
--------------- --------------- ------------ ------------
Net realized gains:
Institutional Class ........................ (59,510,158) (5,880,920) (1,891,011) --
Service Class .............................. (9,113,453) (2,710,758) (455) --
Investor A Class ........................... (2,302,606) (359,503) (82,313) --
Investor B Class ........................... (380,158) (85,549) (177,547) --
Investor C Class ........................... (17,491) (2,122) (35,491) --
--------------- --------------- ------------ ------------
Total distributions from net realized gains. (71,323,866) (9,038,852) (2,186,817) --
--------------- --------------- ------------ ------------
Total distributions to shareholders ........ (82,232,935) (17,420,696) (2,200,108) (88,880)
--------------- --------------- ------------ ------------
Capital share transactions ..................... (159,375,511) 698,804,127 1,690,699 3,766,352
--------------- --------------- ------------ ------------
Total increase (decrease) in net assets .... 87,937,364 527,683,736 8,900,811 2,599,741
Net assets:
Beginning of period ........................ 1,189,097,559 661,413,823 19,233,604 16,633,863
--------------- --------------- ------------ ------------
End of period .............................. $ 1,277,034,923 $ 1,189,097,559 $ 28,134,415 $ 19,233,604
=============== =============== ============ ============
</TABLE>
<TABLE>
<CAPTION>
International
Emerging Markets Select
Portfolio Equity Portfolio
------------------------------ ----------------------------------
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
9/30/99 9/30/98 9/30/99 9/30/98
------------- ------------- --------------- ---------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets:
Operations:
Net investment income ...................... $ 648,798 $ 1,168,323 $ 10,694,182 $ 9,513,164
Net gain (loss) on investment, futures
and foreign currency related transactions (36,549,412) (23,240,822) 127,165,354 50,382,667
Net unrealized gain (loss) on investment,
futures and foreign currency related
transactions ........................... 60,969,968 (80,454,222) 275,371,497 (125,501,318)
------------ ------------- --------------- ---------------
Net increase (decrease) in net assets
resulting from operations ................ 25,069,354 (102,526,721) 413,231,033 (65,605,487)
------------ ------------- --------------- ---------------
Distributions to shareholders from:
Net investment income:
Institutional Class ........................ (560,013) -- (9,609,377) (7,923,238)
Service Class .............................. -- -- (789,343) (1,345,132)
Investor A Class ........................... -- -- (143,655) (126,292)
Investor B Class ........................... -- -- -- 120
Investor C Class ........................... -- -- (16) --
------------ ------------- --------------- ---------------
Total distribution from net investment income (560,013) -- (10,542,391) (9,394,542)
------------ ------------- --------------- ---------------
Net realized gains:
Institutional Class ........................ -- (1,735,707) (45,528,653) (26,245,020)
Service Class .............................. -- (980,791) (7,197,856) (11,088,452)
Investor A Class ........................... -- (62,362) (1,341,737) (1,142,824)
Investor B Class ........................... -- (27,732) (1,483,560) (1,237,130)
Investor C Class ........................... -- (1,309) (90,763) (25,714)
------------ ------------- --------------- ---------------
Total distributions from net realized gains. -- (2,807,901) (55,642,569) (39,739,140)
------------ ------------- --------------- ---------------
Total distributions to shareholders ........ (560,013) (2,807,901) (66,184,960) (49,133,682)
------------ ------------- --------------- ---------------
Capital share transactions ..................... (33,182,710) 9,594,481 (108,226,907) 1,090,529,491
------------ ------------- --------------- ---------------
Total increase (decrease) in net assets .... (8,673,369) (95,740,141) 238,819,166 975,790,322
Net assets:
Beginning of period ........................ 92,808,361 188,548,502 1,567,566,051 591,775,729
------------ ------------- --------------- ---------------
End of period .............................. $ 84,134,992 $ 92,808,361 $ 1,806,385,217 $ 1,567,566,051
============ ============= =============== ===============
</TABLE>
<TABLE>
<CAPTION>
Index
Equity Portfolio Balanced Portfolio
-------------------------------- ------------------------------
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
9/30/99 9/30/98 9/30/99 9/30/98
--------------- -------------- ------------- -------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets:
Operations:
Net investment income ...................... $ 7,804,775 $ 6,807,877 $ 18,360,854 $ 10,811,745
Net gain (loss) on investment, futures
and foreign currency related transactions 6,155,261 (922,089) 29,035,109 20,077,250
Net unrealized gain (loss) on investment,
futures and foreign currency related
transactions ........................... 214,942,881 15,954,093 52,900,722 (4,184,507)
--------------- ------------- ------------- -------------
Net increase (decrease) in net assets
resulting from operations ................ 228,902,917 21,839,881 100,296,685 26,704,488
--------------- ------------- ------------- -------------
Distributions to shareholders from:
Net investment income:
Institutional Class ........................ (5,357,464) (3,530,357) (10,175,942) (4,562,657)
Service Class .............................. (2,673,613) (2,427,368) (4,579,500) (3,867,304)
Investor A Class ........................... (450,611) (327,932) (2,465,272) (1,800,766)
Investor B Class ........................... (434,679) (159,040) (992,067) (455,298)
Investor C Class ........................... (503,968) (101,654) (77,184) (4,734)
--------------- ------------- ------------- -------------
Total distribution from net investment income (9,420,335) (6,546,351) (18,289,965) (10,690,759)
--------------- ------------- ------------- -------------
Net realized gains:
Institutional Class ........................ (1,069,132) (350,642) (15,889,194) (2,175,645)
Service Class .............................. (695,184) (412,780) (7,702,682) (12,131,307)
Investor A Class ........................... (124,525) (61,777) (4,050,743) (5,953,904)
Investor B Class ........................... (342,483) (85,726) (2,064,754) (1,760,468)
Investor C Class ........................... (288,901) (45,394) (38,248) (7,177)
--------------- ------------- ------------- -------------
Total distributions from net realized gains. (2,520,225) (956,319) (29,745,621) (22,028,501)
--------------- ------------- ------------- -------------
Total distributions to shareholders ........ (11,940,560) (7,502,670) (48,035,586) (32,719,260)
--------------- ------------- ------------- -------------
Capital share transactions ..................... 602,207,362 355,034,744 124,741,835 382,617,238
--------------- ------------- ------------- -------------
Total increase (decrease) in net assets .... 819,169,719 369,371,955 177,002,934 376,602,466
Net assets:
Beginning of period ........................ 821,350,006 451,978,051 695,253,335 318,650,869
--------------- ------------- ------------- -------------
End of period .............................. $ 1,640,519,725 $ 821,350,006 $ 872,256,269 $ 695,253,335
=============== ============= ============= =============
</TABLE>
See accompanying notes to financial statements.
60-61
<PAGE>
BLACKROCK FUNDS
FINANCIAL HIGHLIGHTS
For a Share Outstanding Throughout each Period
<TABLE>
<CAPTION>
NET NET GAIN DISTRIBUTIONS NET
ASSET (LOSS) ON DISTRIBUTIONS FROM NET ASSET
VALUE NET INVESTMENTS FROM NET DISTRIBUTIONS REALIZED VALUE
BEGINNING INVESTMENT (BOTH REALIZED INVESTMENT FROM CAPITAL END OF
OF PERIOD INCOME AND UNREALIZED) INCOME CAPITAL GAINS PERIOD
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
- ----------------------
LARGE CAP VALUE EQUITY
- ----------------------
INSTITUTIONAL CLASS
9/30/99 $14.69 $ 0.22 $ 2.01 $(0.22) $-- $ (0.95) $15.75
9/30/98 17.53 0.22 (0.58) (0.23) -- (2.25) 14.69
9/30/97 15.35 0.31 4.69 (0.30) -- (2.52) 17.53
9/30/96 13.92 0.35 2.41 (0.36) -- (0.97) 15.35
9/30/95 11.62 0.34 2.54 (0.33) -- (0.25) 13.92
SERVICE CLASS
9/30/99 $14.69 $ 0.16 $ 2.02 $(0.17) $-- $ (0.95) $15.75
9/30/98 17.52 0.21 (0.61) (0.18) -- (2.25) 14.69
9/30/97 15.35 0.24 4.70 (0.25) -- (2.52) 17.52
9/30/96 13.92 0.32 2.40 (0.32) -- (0.97) 15.35
9/30/95 11.62 0.30 2.55 (0.30) -- (0.25) 13.92
INVESTOR A CLASS
9/30/99 $14.68 $ 0.16 $ 2.01 $(0.16) $-- $ (0.95) $15.74
9/30/98 17.52 0.17 (0.60) (0.16) -- (2.25) 14.68
9/30/97 15.35 0.23 4.69 (0.23) -- (2.52) 17.52
9/30/96 13.92 0.28 2.41 (0.29) -- (0.97) 15.35
9/30/95 11.62 0.27 2.56 (0.28) -- (0.25) 13.92
INVESTOR B CLASS
9/30/99 $14.59 $0.02 $ 1.99 $(0.04) $-- $ (0.95) $15.61
9/30/98 17.44 0.05 (0.61) (0.04) -- (2.25) 14.59
9/30/97 15.32 0.14 4.64 (0.14) -- (2.52) 17.44
1/18/96 1 through 9/30/96 13.56 0.13 1.80 (0.17) -- -- 15.32
INVESTOR C CLASS
9/30/99 $14.59 $ 0.03 $ 1.98 $(0.04) $-- $ (0.95) $15.61
9/30/98 17.44 0.06 (0.62) (0.04) -- (2.25) 14.59
9/30/97 15.32 0.15 4.63 (0.14) -- (2.52) 17.44
8/16/96 1 through 9/30/96 14.91 0.02 0.45 (0.06) -- -- 15.32
- -----------------------
LARGE CAP GROWTH EQUITY
- -----------------------
INSTITUTIONAL CLASS
9/30/99 $18.14 $ -- $ 6.06 $ -- $-- $ (1.63) $22.57
9/30/98 18.92 0.03 1.85 (0.02) -- (2.64) 18.14
9/30/97 14.96 0.09 4.72 (0.11) -- (0.74) 18.92
9/30/96 13.03 0.08 2.29 (0.06) -- (0.38) 14.96
9/30/95 10.19 0.13 2.88 (0.17) -- -- 13.03
SERVICE CLASS
9/30/99 $18.11 $(0.07) $ 6.06 $ -- $-- $ (1.63) $22.47
9/30/98 18.93 (0.03) 1.85 -- -- (2.64) 18.11
9/30/97 14.95 0.04 4.72 (0.04) -- (0.74) 18.93
9/30/96 13.02 0.05 2.28 (0.02) -- (0.38) 14.95
9/30/95 10.18 0.10 2.87 (0.13) -- -- 13.02
INVESTOR A CLASS
9/30/99 $18.06 $(0.09) $ 6.03 $ -- $-- $ (1.63) $22.37
9/30/98 18.91 (0.05) 1.84 -- -- (2.64) 18.06
9/30/97 14.94 0.01 4.72 (0.02) -- (0.74) 18.91
9/30/96 13.01 0.02 2.29 -- -- (0.38) 14.94
9/30/95 10.16 0.08 2.87 (0.10) -- -- 13.01
INVESTOR B CLASS
9/30/99 $17.68 $(0.20) $ 5.83 $ -- $-- $ (1.63) $21.68
9/30/98 18.69 (0.15) 1.78 -- -- (2.64) 17.68
9/30/97 14.86 (0.07) 4.64 -- -- (0.74) 18.69
1/24/96 1 through 9/30/96 13.08 (0.02) 1.80 -- -- -- 14.86
INVESTOR C CLASS
9/30/99 $17.68 $(0.18) $ 5.81 $ -- $-- $ (1.63) $21.68
9/30/98 18.69 (0.15) 1.78 -- -- (2.64) 17.68
1/24/97 1 through 9/30/97 15.23 (0.03) 3.49 -- -- -- 18.69
</TABLE>
<TABLE>
<CAPTION>
RATIO OF NET
NET RATIO OF EXPENSES INVESTMENT INCOME
ASSETS RATIO OF TO AVERAGE RATIO OF NET TO AVERAGE
END OF EXPENSES TO NET ASSETS INVESTMENT INCOME NET ASSETS PORTFOLIO
TOTAL PERIOD AVERAGE NET (EXCLUDING TO AVERAGE NET (EXCLUDING TURNOVER
RETURN (000) ASSETS WAIVERS) ASSETS WAIVERS) RATE
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
- ----------------------
LARGE CAP VALUE EQUITY
- ----------------------
INSTITUTIONAL CLASS
9/30/99 15.38% $1,909,445 0.78% 0.78% 1.37% 1.37% 42%
9/30/98 (2.27) 1,841,171 0.83 0.84 1.45 1.44 33
9/30/97 37.66 743,405 0.78 0.85 1.94 1.87 37
9/30/96 21.01 731,024 0.75 0.84 2.40 2.32 60
9/30/95 25.73 508,273 0.67 0.81 2.68 2.53 12
SERVICE CLASS
9/30/99 15.03% $ 374,907 1.08% 1.08% 1.07% 1.07% 42%
9/30/98 (2.50) 387,323 1.13 1.14 1.14 1.13 33
9/30/97 37.22 595,189 1.09 1.16 1.62 1.55 37
9/30/96 20.68 457,283 1.05 1.14 2.13 2.04 60
9/30/95 25.40 170,832 0.95 1.09 2.40 2.26 12
INVESTOR A CLASS
9/30/99 14.85%3 $ 61,657 1.19% 1.19% 0.96% 0.96% 42%
9/30/98 (2.63)3 51,151 1.27 1.28 0.99 0.98 33
9/30/97 37.01 3 47,131 1.26 1.33 1.44 1.37 37
9/30/96 20.52 3 26,190 1.22 1.31 1.93 1.84 60
9/30/95 25.22 3 16,910 1.11 1.25 2.24 2.10 12
INVESTOR B CLASS
9/30/99 13.93%4 $ 33,206 2.00% 2.00% 0.15% 0.15% 42%
9/30/98 (3.45)4 29,450 2.06 2.07 0.20 0.19 33
9/30/97 36.40 4 19,773 2.00 2.07 0.64 0.57 37
1/18/96 1 through 9/30/96 14.26 4 3,152 1.92 2 2.00 2 1.34 2 1.25 2 60
INVESTOR C CLASS
9/30/99 13.93%4 $ 4,172 2.00% 2.00% 0.15% 0.15% 42%
9/30/98 (3.45)4 3,146 2.04 2.05 0.22 0.21 33
9/30/97 35.99 4 1,428 2.01 2.08 0.61 0.54 37
8/16/96 1 through 9/30/96 3.16 4 205 1.80 2 1.88 2 1.29 2 1.20 2 60
- -----------------------
LARGE CAP GROWTH EQUITY
- -----------------------
INSTITUTIONAL CLASS
9/30/99 35.46% $1,115,368 0.81% 0.81% (0.01)% (0.01)% 60%
9/30/98 11.76 922,896 0.86 0.86 0.18 0.18 54
9/30/97 33.69 482,851 0.79 0.86 0.54 0.47 81
9/30/96 18.67 481,171 0.75 0.86 0.63 0.51 58
9/30/95 29.88 211,543 0.67 0.85 1.20 1.01 55
SERVICE CLASS
9/30/99 35.10% $ 248,901 1.11% 1.11% (0.31)% (0.31)% 60%
9/30/98 11.33 187,738 1.16 1.16 (0.13) (0.13) 54
9/30/97 33.38 262,409 1.10 1.17 0.24 0.17 81
9/30/96 18.34 191,023 1.05 1.17 0.31 0.20 58
9/30/95 29.43 76,769 0.95 1.13 0.91 0.73 55
INVESTOR A CLASS
9/30/99 34.91%3 $ 61,211 1.22% 1.22% (0.42)% (0.42)% 60%
9/30/98 11.16 3 33,340 1.33 1.33 (0.30) (0.30) 54
9/30/97 33.18 3 25,575 1.27 1.34 0.07 0.02 81
9/30/96 18.18 3 16,579 1.22 1.34 0.15 0.04 58
9/30/95 29.26 3 10,034 1.11 1.29 0.76 0.58 55
INVESTOR B CLASS
9/30/99 33.83%4 $ 37,032 2.03% 2.03% (1.23)% (1.23)% 60%
9/30/98 10.33 4 14,713 2.07 2.07 (1.03) (1.03) 54
9/30/97 32.18 4 7,919 2.01 2.08 (0.66) (0.73) 81
1/24/96 1 through 9/30/96 13.61 4 2,364 1.93 2 2.05 2 (0.47)2 (0.58)2 58
INVESTOR C CLASS
9/30/99 33.83%4 $ 4,181 2.03% 2.03% (1.23)% (1.23)% 60%
9/30/98 10.33 4 1,037 2.06 2.06 (1.01) (1.01) 54
1/24/97 1 through 9/30/97 22.78 4 207 2.02 2 2.09 2 (0.66)2 (0.73)2 81
</TABLE>
See accompanying notes to financial statements.
62-63
<PAGE>
BLACKROCK FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
For a Share Outstanding Throughout each Period
<TABLE>
<CAPTION>
NET NET GAIN DISTRIBUTIONS NET
ASSET (LOSS) ON DISTRIBUTIONS DISTRIBUTIONS FROM NET ASSET
VALUE NET INVESTMENTS FROM NET IN EXCESS OF DISTRIBUTIONS REALIZED VALUE
BEGINNING INVESTMENT (BOTH REALIZED INVESTMENT NET INVESTMENT FROM CAPITAL END OF
OF PERIOD INCOME AND UNREALIZED) INCOME INCOME CAPITAL GAINS PERIOD
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- --------------------
MID-CAP VALUE EQUITY
- --------------------
INSTITUTIONAL CLASS
9/30/99 $10.63 $ 0.11 $ 0.72 $(0.11) $ -- $ -- $ -- $11.35
9/30/98 12.80 0.10 (1.81) (0.10) -- -- (0.36) 10.63
12/27/96 1 through 9/30/97 10.00 0.10 2.80 (0.10) -- -- -- 12.80
SERVICE CLASS
9/30/99 $10.62 $ 0.07 $ 0.73 $(0.08) $ -- $ -- $ -- $11.34
9/30/98 12.79 0.08 (1.82) (0.07) -- -- (0.36) 10.62
12/27/96 1 through 9/30/97 10.00 0.07 2.80 (0.08) -- -- -- 12.79
INVESTOR A CLASS
9/30/99 $10.61 $ 0.05 $ 0.72 $(0.05) $ -- $ -- $ -- $11.33
9/30/98 12.77 0.05 (1.81) (0.04) -- -- (0.36) 10.61
12/27/96 1 through 9/30/97 10.00 0.07 2.78 (0.08) -- -- -- 12.77
INVESTOR B CLASS
9/30/99 $10.58 $(0.04) $ 0.72 $ -- $ -- $ -- $ -- $11.26
9/30/98 12.78 (0.03) (1.81) -- -- -- (0.36) 10.58
12/27/96 1 through 9/30/97 10.00 0.03 2.79 (0.04) -- -- -- 12.78
INVESTOR C CLASS
9/30/99 $10.58 $(0.03) $ 0.71 $ -- $ -- $ -- $ -- $11.26
9/30/98 12.78 (0.02) (1.82) -- -- -- (0.36) 10.58
12/27/96 1 through 9/30/97 10.00 0.02 2.80 (0.04) -- -- -- 12.78
- ---------------------
MID-CAP GROWTH EQUITY
- ---------------------
INSTITUTIONAL CLASS
9/30/99 $11.12 $(0.07) $ 8.07 $ -- $ -- $ -- $ -- $19.12
9/30/98 12.20 (0.02) (0.96) -- -- (0.01) (0.09) 11.12
12/27/96 1 through 9/30/97 10.00 (0.01) 2.21 -- -- -- -- 12.20
SERVICE CLASS
9/30/99 $11.06 $(0.13) $ 8.03 $ -- $ -- $ -- $ -- $18.96
9/30/98 12.17 (0.09) (0.92) -- -- (0.01) (0.09) 11.06
12/27/96 1 through 9/30/97 10.00 (0.03) 2.20 -- -- -- -- 12.17
INVESTOR A CLASS
9/30/99 $11.02 $(0.11) $ 7.94 $ -- $ -- $ -- $ -- $18.85
9/30/98 12.14 (0.07) (0.95) -- -- (0.01) (0.09) 11.02
12/27/96 1 through 9/30/97 10.00 (0.03) 2.17 -- -- -- -- 12.14
INVESTOR B CLASS
9/30/99 $10.90 $(0.18) $ 7.80 $ -- $ -- $ -- $ -- $18.52
9/30/98 12.11 (0.14) (0.97) -- -- (0.01) (0.09) 10.90
12/27/96 1 through 9/30/97 10.00 (0.05) 2.16 -- -- -- -- 12.11
INVESTOR C CLASS
9/30/99 $10.90 $(0.10) $ 7.72 $ -- $ -- $ -- $ -- $18.52
9/30/98 12.11 (0.14) (0.97) -- -- (0.01) (0.09) 10.90
12/27/96 1 through 9/30/97 10.00 (0.07) 2.18 -- -- -- -- 12.11
- ----------------------
SMALL CAP VALUE EQUITY
- ----------------------
INSTITUTIONAL CLASS
9/30/99 $14.89 $ 0.12 $ 0.67 $(0.13) $(0.15) $ -- $(0.67) $14.73
9/30/98 20.20 0.13 (3.19) (0.13) -- -- (2.12) 14.89
9/30/97 15.98 0.17 6.39 (0.17) -- -- (2.17) 20.20
9/30/96 15.16 0.10 1.70 (0.11) -- -- (0.87) 15.98
9/30/95 13.62 0.06 2.17 (0.08) -- -- (0.61) 15.16
SERVICE CLASS
9/30/99 $14.88 $ 0.07 $ 0.68 $(0.10) $(0.15) $ -- $(0.67) $14.71
9/30/98 20.20 0.09 (3.21) (0.08) -- -- (2.12) 14.88
9/30/97 15.98 0.13 6.39 (0.13) -- -- (2.17) 20.20
9/30/96 15.15 0.06 1.70 (0.06) -- -- (0.87) 15.98
9/30/95 13.59 0.02 2.18 (0.03) -- -- (0.61) 15.15
</TABLE>
<TABLE>
<CAPTION>
RATIO OF NET
NET RATIO OF EXPENSES INVESTMENT INCOME
ASSETS RATIO OF TO AVERAGE RATIO OF NET TO AVERAGE
END OF EXPENSES TO NET ASSETS INVESTMENT INCOME NET ASSETS PORTFOLIO
TOTAL PERIOD AVERAGE NET (EXCLUDING TO AVERAGE NET (EXCLUDING TURNOVER
RETURN (000) ASSETS WAIVERS) ASSETS WAIVERS) RATE
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
- --------------------
MID-CAP VALUE EQUITY
- --------------------
INSTITUTIONAL CLASS
9/30/99 7.68% $ 233,891 1.12% 1.12% 0.88% 0.88% 88%
9/30/98 (13.68) 205,634 1.14 1.20 0.89 0.83 71
12/27/96 1 through 9/30/97 29.11 106,886 1.15 2 1.19 2 1.33 2 1.29 2 36
SERVICE CLASS
9/30/99 7.29% $ 40,852 1.42% 1.42% 0.58% 0.58% 88%
9/30/98 (13.94) 28,879 1.44 1.50 0.60 0.54 71
12/27/96 1 through 9/30/97 28.81 22,757 1.44 2 1.48 2 0.98 2 0.94 2 36
INVESTOR A CLASS
9/30/99 7.14%3 $ 4,328 1.59% 1.60% 0.41% 0.41% 88%
9/30/98 (14.06)3 3,983 1.61 1.67 0.41 0.35 71
12/27/96 1 through 9/30/97 28.51 3 2,315 1.61 2 1.64 2 0.77 2 0.73 2 36
INVESTOR B CLASS
9/30/99 6.33%4 $ 5,147 2.34% 2.34% (0.34)% (0.34)% 88%
9/30/98 (14.66)4 6,375 2.35 2.41 (0.33) (0.39) 71
12/27/96 1 through 9/30/97 28.23 4 2,911 2.32 2 2.36 2 0.04 2 0.02 36
INVESTOR C CLASS
9/30/99 6.33%4 $ 420 2.34% 2.34% (0.34)% (0.34)% 88%
9/30/98 (14.66)4 259 2.33 2.39 (0.28) (0.34) 71
12/27/96 1 through 9/30/97 28.23 4 21 2.33 2 2.37 2 0.13 2 0.09 2 36
- ---------------------
MID-CAP GROWTH EQUITY
- ---------------------
INSTITUTIONAL CLASS
9/30/99 71.94% $ 361,901 1.11% 1.12% (0.48)% (0.49)% 318%
9/30/98 (8.05) 220,903 1.14 1.20 (0.37) (0.43) 204
12/27/96 1 through 9/30/97 22.00 107,709 1.13 2 1.17 2 (0.16)2 (0.20)2 64
SERVICE CLASS
9/30/99 71.43% $ 46,639 1.41% 1.42% (0.78)% (0.79)% 318%
9/30/98 (8.32) 28,601 1.44 1.50 (0.68) (0.74) 204
12/27/96 1 through 9/30/97 21.70 22,984 1.44 2 1.48 2 (0.54)2 (0.58)2 64
INVESTOR A CLASS
9/30/99 71.05%3 $ 12,795 1.58% 1.59% (0.95)% (0.96)% 318%
9/30/98 (8.42)3 4,090 1.61 1.67 (0.85) (0.91) 204
12/27/96 1 through 9/30/97 21.40 3 2,650 1.59 2 1.63 2 (0.73)2 (0.77)2 64
INVESTOR B CLASS
9/30/99 69.91%4 $ 12,698 2.33% 2.34% (1.70)% (1.71)% 318%
9/30/98 (9.19)4 4,088 2.35 2.41 (1.60) (1.66) 204
12/27/96 1 through 9/30/97 21.10 4 2,691 2.32 2 2.36 2 (1.50)2 (1.54)2 64
INVESTOR C CLASS
9/30/99 69.91%4 $ 1,770 2.33% 2.34% (1.70)% (1.71)% 318%
9/30/98 (9.19)4 230 2.34 2.40 (1.56) (1.62) 204
12/27/96 1 through 9/30/97 21.10 4 85 2.35 2 2.39 2 (1.49)2 (1.53)2 64
- ----------------------
SMALL CAP VALUE EQUITY
- ----------------------
INSTITUTIONAL CLASS
9/30/99 5.22% $ 519,388 0.86% 0.86% 0.88% 0.88% 48%
9/30/98 (17.03) 527,374 0.87 0.88 0.79 0.78 45
9/30/97 47.36 309,899 0.87 0.88 1.09 1.08 66
9/30/96 12.64 214,828 0.85 0.86 0.68 0.67 50
9/30/95 17.43 168,334 0.75 0.84 0.44 0.35 31
SERVICE CLASS
9/30/99 4.88% $ 66,728 1.16% 1.16% 0.58% 0.58% 48%
9/30/98 (17.33) 77,893 1.17 1.18 0.44 0.43 45
9/30/97 46.95 122,431 1.17 1.18 0.79 0.78 66
9/30/96 12.30 80,981 1.15 1.16 0.38 0.37 50
9/30/95 17.17 61,313 1.02 1.12 0.16 0.07 31
</TABLE>
See accompanying notes to financial statements.
64-65
<PAGE>
BLACKROCK FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
For a Share Outstanding Throughout each Period
<TABLE>
<CAPTION>
NET NET GAIN DISTRIBUTIONS NET
ASSET (LOSS) ON DISTRIBUTIONS DISTRIBUTIONS FROM NET ASSET
VALUE NET INVESTMENTS FROM NET IN EXCESS OF DISTRIBUTIONS REALIZED VALUE
BEGINNING INVESTMENT (BOTH REALIZED INVESTMENT NET INVESTMENT FROM CAPITAL END OF
OF PERIOD INCOME AND UNREALIZED) INCOME INCOME CAPITAL GAINS PERIOD
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INVESTOR A CLASS
9/30/99 $14.88 $ 0.03 $ 0.69 $(0.07) $(0.15) $ -- $(0.67) $14.71
9/30/98 20.20 0.06 (3.20) (0.06) -- -- (2.12) 14.88
9/30/97 15.97 0.10 6.40 (0.10) -- -- (2.17) 20.20
9/30/96 15.14 0.03 1.69 (0.02) -- -- (0.87) 15.97
9/30/95 13.58 -- 2.17 -- -- -- (0.61) 15.14
INVESTOR B CLASS
9/30/99 $14.53 $(0.06) $ 0.66 $ -- $(0.15) $ -- $(0.67) $14.31
9/30/98 19.86 (0.02) (3.19) -- -- -- (2.12) 14.53
9/30/97 15.80 0.08 6.19 (0.04) -- -- (2.17) 19.86
9/30/96 15.06 (0.04) 1.65 -- -- -- (0.87) 15.80
10/3/94 1 through 9/30/95 13.51 (0.05) 2.21 -- -- -- (0.61) 15.06
INVESTOR C CLASS
9/30/99 $14.53 $(0.01) $ 0.61 $ -- $(0.15) $ -- $(0.67) $14.31
9/30/98 19.86 (0.04) (3.17) -- -- -- (2.12) 14.53
10/1/96 1 through 9/30/97 15.76 0.02 6.29 (0.04) -- -- (2.17) 19.86
- -----------------------
SMALL CAP GROWTH EQUITY
- -----------------------
INSTITUTIONAL CLASS
9/30/99 $17.50 $(0.06) $ 7.94 $ -- $ -- $ -- $ -- $25.38
9/30/98 23.62 -- (4.98) -- -- (0.02) (1.12) 17.50
9/30/97 21.94 0.02 3.18 (0.03) -- -- (1.49) 23.62
9/30/96 15.06 (0.01) 6.91 (0.02) -- -- -- 21.94
9/30/95 10.16 0.02 4.90 (0.02) -- -- -- 15.06
SERVICE CLASS
9/30/99 $17.24 $(0.13) $ 7.82 $ -- $ -- $ -- $ -- $24.93
9/30/98 23.43 (0.14) (4.91) -- -- (0.02) (1.12) 17.24
9/30/97 21.80 (0.03) 3.15 -- -- -- (1.49) 23.43
9/30/96 15.02 (0.06) 6.84 -- -- -- -- 21.80
9/30/95 10.14 (0.01) 4.89 -- -- -- -- 15.02
INVESTOR A CLASS
9/30/99 $17.12 $(0.13) $ 7.74 $ -- $ -- $ -- $ -- $24.73
9/30/98 23.25 (0.11) (4.88) -- -- (0.02) (1.12) 17.12
9/30/97 21.69 (0.04) 3.09 -- -- -- (1.49) 23.25
9/30/96 14.98 (0.06) 6.77 -- -- -- -- 21.69
9/30/95 10.12 (0.02) 4.88 -- -- -- -- 14.98
INVESTOR B CLASS
9/30/99 $16.73 $(0.33) $ 7.57 $ -- $ -- $ -- $ -- $23.97
9/30/98 22.89 (0.22) (4.80) -- -- (0.02) (1.12) 16.73
9/30/97 21.53 (0.07) 2.92 -- -- -- (1.49) 22.89
1/18/96 1 through 9/30/96 14.87 (0.07) 6.73 -- -- -- -- 21.53
INVESTOR C CLASS
9/30/99 $16.73 $(0.35) $ 7.59 $ -- $ -- $ -- $ -- $23.97
9/30/98 22.89 (0.26) (4.76) -- -- (0.02) (1.12) 16.73
9/30/97 21.53 (0.11) 2.96 -- -- -- (1.49) 22.89
9/6/96 1 through 9/30/96 19.66 (0.01) 1.88 -- -- -- -- 21.53
- --------------------------
MICRO-CAP EQUITY PORTFOLIO
- --------------------------
INSTITUTIONAL CLASS
9/30/99 $ 9.38 $(0.06) $15.41 $ -- $ -- $ -- $ -- $24.73
5/01/98 1 through 9/30/98 10.00 (0.01) (0.61) -- -- -- -- 9.38
SERVICE CLASS
9/30/99 $ 9.38 $(0.07) $15.33 $ -- $ -- $ -- $ -- $24.64
5/01/98 1 through 9/30/98 10.00 (0.02) (0.60) -- -- -- -- 9.38
INVESTOR A CLASS
9/30/99 $ 9.38 $(0.11) $15.33 $ -- $ -- $ -- $ -- $24.60
5/01/98 1 through 9/30/98 10.00 (0.02) (0.60) -- -- -- -- 9.38
INVESTOR B CLASS
9/30/99 $ 9.36 $(0.18) $15.20 $ -- $ -- $ -- $ -- $24.38
5/01/98 1 through 9/30/98 10.00 (0.04) (0.60) -- -- -- -- 9.36
</TABLE>
<TABLE>
<CAPTION>
RATIO OF NET
NET RATIO OF EXPENSES INVESTMENT INCOME
ASSETS RATIO OF TO AVERAGE RATIO OF NET TO AVERAGE
END OF EXPENSES TO NET ASSETS INVESTMENT INCOME NET ASSETS PORTFOLIO
TOTAL PERIOD AVERAGE NET (EXCLUDING TO AVERAGE NET (EXCLUDING TURNOVER
RETURN (000) ASSETS WAIVERS) ASSETS WAIVERS) RATE
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTOR A CLASS
9/30/99 4.71%3 $ 31,843 1.30% 1.30% 0.44% 0.44% 48%
9/30/98 (17.43)3 34,286 1.32 1.33 0.32 0.31 45
9/30/97 46.85 3 34,031 1.34 1.35 0.63 0.62 66
9/30/96 12.06 3 24,605 1.32 1.33 0.20 0.19 50
9/30/95 16.96 3 21,563 1.18 1.28 0.0 (0.09) 31
INVESTOR B CLASS
9/30/99 3.93%4 $ 19,000 2.08% 2.08% (0.34)% (0.34)% 48%
9/30/98 (18.08)4 20,717 2.08 2.09 (0.43) (0.44) 45
9/30/97 45.67 4 11,001 2.07 2.08 (0.15) (0.16) 66
9/30/96 11.34 4 2,357 2.04 2.05 (0.50) (0.51) 50
10/3/94 1 through 9/30/95 16.95 4 1,477 1.80 2 1.89 2 (0.61)2 (0.70)2 31
INVESTOR C CLASS
9/30/99 3.93%4 $ 9,162 2.08% 2.08% (0.34)% (0.34)% 48%
9/30/98 (18.08)4 5,491 2.08 2.09 (0.42) (0.43) 45
10/1/96 1 through 9/30/97 46.04 4 2,109 2.04 2 2.05 2 (0.18)2 (0.19)2 66
- -----------------------
SMALL CAP GROWTH EQUITY
- -----------------------
INSTITUTIONAL CLASS
9/30/99 44.95% $1,426,124 0.82% 0.82% (0.25)% (0.25)% 176%
9/30/98 (21.93) 1,022,404 0.87 0.87 (0.13) (0.13) 159
9/30/97 15.89 495,904 0.87 0.87 0.01 0.01 82
9/30/96 45.87 299,563 0.86 0.88 (0.07) (0.09) 89
9/30/95 48.50 145,915 0.75 0.88 0.22 0.09 74
SERVICE CLASS
9/30/99 44.52% $ 170,900 1.12% 1.12% (0.55)% (0.55)% 176%
9/30/98 (22.40) 141,470 1.17 1.17 (0.46) (0.46) 159
9/30/97 15.54 225,089 1.17 1.17 (0.29) (0.29) 82
9/30/96 45.14 158,901 1.16 1.18 (0.38) (0.40) 89
9/30/95 48.13 62,604 1.03 1.16 (0.07) (0.20) 74
INVESTOR A CLASS
9/30/99 44.37%3 $ 79,478 1.23% 1.23% (0.66)% (0.66)% 176%
9/30/98 (22.31)3 48,190 1.32 1.32 (0.61) (0.61) 159
9/30/97 15.28 3 57,323 1.34 1.34 (0.46) (0.46) 82
9/30/96 44.79 3 27,954 1.33 1.35 (0.55) (0.57) 89
9/30/95 48.02 3 7,348 1.20 1.33 (0.24) (0.36) 74
INVESTOR B CLASS
9/30/99 43.28%4 $ 44,109 2.00% 2.00% (1.43)% (1.43)% 176%
9/30/98 (22.89)4 38,485 2.07 2.07 (1.36) (1.36 159
9/30/97 14.47 4 40,270 2.07 2.07 (1.23) (1.23) 82
1/18/96 1 through 9/30/96 38.27 4 6,520 2.06 2 2.08 2 (1.34)2 (1.36)2 89
INVESTOR C CLASS
9/30/99 43.28%4 $ 13,541 2.05% 2.05% (1.48)% (1.48)% 176%
9/30/98 (22.89)4 11,931 2.09 2.09 (1.38) (1.38) 159
9/30/97 14.47 4 14,106 2.07 2.07 (1.25) (1.25) 82
9/6/96 1 through 9/30/96 9.51 4 329 1.74 2 1.76 2 (0.93)2 (0.95)2 89
- --------------------------
MICRO-CAP EQUITY PORTFOLIO
- --------------------------
INSTITUTIONAL CLASS
9/30/99 163.37% $ 28,106 1.43% 1.65% (0.72)% (0.94)% 346%
5/01/98 1 through 9/30/98 (6.10) 1,302 1.40 2 2.73 2 (0.33)2 (1.66)2 119
SERVICE CLASS
9/30/99 162.41% $ 690 1.73% 1.92% (1.00)% (1.19)% 346%
5/01/98 1 through 9/30/98 (6.10) 69 1.68 2 3.01 2 (0.61)2 (1.94)2 119
INVESTOR A CLASS
9/30/99 162.26%3 $ 45,429 1.90% 2.23% (1.17)% (1.50)% 346%
5/01/98 1 through 9/30/98 (6.20)3 6,100 1.84 2 3.17 2 (0.70)2 (2.03)2 119
INVESTOR B CLASS
9/30/99 160.19%4 $ 53,476 2.65% 3.01% (1.91)% (2.27)% 346%
5/01/98 1 through 9/30/98 (6.30)4 8,560 2.55 2 3.88 2 (1.44)2 (2.77)2 119
</TABLE>
See accompanying notes to financial statements.
66-67
<PAGE>
BLACKROCK FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
For a Share Outstanding Throughout each Period
<TABLE>
<CAPTION>
NET NET GAIN DISTRIBUTIONS NET
ASSET (LOSS) ON DISTRIBUTIONS FROM NET ASSET
VALUE NET INVESTMENTS FROM NET DISTRIBUTIONS REALIZED VALUE
BEGINNING INVESTMENT (BOTH REALIZED INVESTMENT FROM CAPITAL END OF
OF PERIOD INCOME AND UNREALIZED) INCOME CAPITAL GAINS PERIOD
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTOR C CLASS
9/30/99 $ 9.36 $(0.16) $15.18 $ -- $ -- $ -- $24.38
5/01/98 1 through 9/30/98 10.00 (0.04) (0.60) -- -- -- 9.36
- --------------------
INTERNATIONAL EQUITY
- --------------------
INSTITUTIONAL CLASS
9/30/99 $13.23 $ 0.07 $ 3.57 $(0.13) $ -- $(0.80) $15.94
9/30/98 14.65 0.27 (1.29) (0.20) -- (0.20) 13.23
9/30/97 13.43 0.14 1.77 (0.28) -- (0.41) 14.65
9/30/96 13.27 0.17 0.84 (0.18) -- (0.67) 13.43
9/30/95 13.44 0.17 0.13 (0.11) -- (0.36) 13.27
SERVICE CLASS
9/30/99 $13.15 $(0.02) $ 3.59 $(0.08) $ -- $(0.80) $15.84
9/30/98 14.58 0.02 (1.09) (0.16) -- (0.20) 13.15
9/30/97 13.37 0.10 1.76 (0.24) -- (0.41) 14.58
9/30/96 13.24 0.19 0.78 (0.17) -- (0.67) 13.37
9/30/95 13.41 0.11 0.16 (0.08) -- (0.36) 13.24
INVESTOR A CLASS
9/30/99 $13.14 $(0.05) $ 3.58 $(0.08) $ -- $(0.80) $15.79
9/30/98 14.57 0.10 (1.20) (0.13) -- (0.20) 13.14
9/30/97 13.36 0.07 1.77 (0.22) -- (0.41) 14.57
9/30/96 13.24 0.14 0.81 (0.16) -- (0.67) 13.36
9/30/95 13.40 0.11 0.13 (0.04) -- (0.36) 13.24
INVESTOR B CLASS
9/30/99 $12.94 $(0.10) $ 3.51 $ -- $ -- $(0.80) $15.55
9/30/98 14.38 (0.01) (1.16) (0.07) -- (0.20) 12.94
9/30/97 13.23 0.07 1.66 (0.17) -- (0.41) 14.38
9/30/96 13.20 0.08 0.77 (0.15) -- (0.67) 13.23
10/3/94 1 through 9/30/95 13.35 0.05 0.16 -- -- (0.36) 13.20
INVESTOR C CLASS
9/30/99 $12.94 $(0.02) $ 3.43 $ -- $ -- $(0.80) $15.55
9/30/98 14.38 -- (1.17) (0.07) -- (0.20) 12.94
12/5/96 1 through 9/30/97 13.21 0.15 1.19 (0.17) -- -- 14.38
- ------------------------------
INTERNATIONAL SMALL CAP EQUITY
- ------------------------------
INSTITUTIONAL CLASS
9/30/99 $ 9.56 $ 0.03 $ 4.44 $(0.02) $ -- $(1.11) $12.90
9/30/98 9.94 0.07 (0.40) (0.05) -- -- 9.56
9/26/97 1 through 9/30/97 10.00 -- (0.06) -- -- -- 9.94
SERVICE CLASS
9/30/99 $ 9.56 $ 0.02 $ 4.39 $(0.02) $ -- $(1.11) $12.84
9/30/98 9.94 0.02 (0.35) (0.05) -- -- 9.56
9/26/97 1 through 9/30/97 10.00 -- (0.06) -- -- -- 9.94
INVESTOR A CLASS
9/30/99 $ 9.54 $(0.01) $4.42 $ -- $ -- $(1.11) $12.84
9/30/98 9.94 0.02 (0.39) (0.03) -- -- 9.54
9/26/97 1 through 9/30/97 10.00 -- (0.06) -- -- -- 9.94
INVESTOR B CLASS
9/30/99 $ 9.48 $(0.10) $ 4.51 $ -- $ -- $(1.11) $12.78
9/30/98 9.94 (0.05) (0.39) (0.02) -- -- 9.48
9/26/97 1 through 9/30/97 10.00 -- (0.06) -- -- -- 9.94
INVESTOR C CLASS
9/30/99 $ 9.48 $(0.03) $ 4.44 $ -- $ -- $(1.11) $12.78
9/30/98 9.94 (0.04) (0.40) (0.02) -- -- 9.48
9/26/97 1 through 9/30/97 10.00 -- (0.06) -- -- -- 9.94
- ------------------------------
INTERNATIONAL EMERGING MARKETS
- ------------------------------
INSTITUTIONAL CLASS
9/30/99 $ 4.42 $ 0.06 $ 1.66 $(0.05) $ -- $ -- $ 6.09
9/30/98 9.69 0.06 (5.19) -- -- (0.14) 4.42
9/30/97 8.76 0.03 0.95 (0.05) -- -- 9.69
9/30/96 8.19 0.08 0.50 -- -- (0.01) 8.76
9/30/95 10.56 0.08 (2.15) (0.10) (0.01) (0.19) 8.19
</TABLE>
<TABLE>
<CAPTION>
RATIO OF NET
NET RATIO OF EXPENSES INVESTMENT INCOME
ASSETS RATIO OF TO AVERAGE RATIO OF NET TO AVERAGE
END OF EXPENSES TO NET ASSETS INVESTMENT INCOME NET ASSETS PORTFOLIO
TOTAL PERIOD AVERAGE NET (EXCLUDING TO AVERAGE NET (EXCLUDING TURNOVER
RETURN (000) ASSETS WAIVERS) ASSETS WAIVERS) RATE
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTOR C CLASS
9/30/99 160.19%4 $ 19,993 2.63% 2.93% (1.91)% (2.21)% 346%
5/01/98 1 through 9/30/98 (6.30)4 1,809 2.53 2 3.86 2 (1.45)2 (2.78)2 119
- --------------------
INTERNATIONAL EQUITY
- --------------------
INSTITUTIONAL CLASS
9/30/99 28.59% $1,116,766 1.04% 1.04% 0.55% 0.55% 62%
9/30/98 (7.03) 1,012,132 1.06 1.11 1.00 0.95 57
9/30/97 14.88 433,135 1.06 1.16 0.94 0.84 62
9/30/96 8.01 388,588 1.06 1.17 0.90 0.79 70
9/30/95 2.46 312,588 0.97 1.14 1.42 1.24 105
SERVICE CLASS
9/30/99 28.14% $ 118,323 1.34% 1.34% 0.21% 0.21% 62%
9/30/98 (7.34) 143,526 1.36 1.41 0.49 0.44 57
9/30/97 14.52 199,939 1.36 1.46 0.42 0.32 62
9/30/96 7.71 161,321 1.36 1.47 0.71 0.60 70
9/30/95 2.19 106,045 1.25 1.42 1.16 0.98 105
INVESTOR A CLASS
9/30/99 27.82%3 $ 33,106 1.48% 1.48% 0.23% 0.23% 62%
9/30/98 (7.56)3 26,637 1.52 1.57 0.31 0.26 57
9/30/97 14.36 3 22,335 1.53 1.63 0.50 0.40 62
9/30/96 7.58 3 19,842 1.53 1.64 0.45 0.34 70
9/30/95 2.00 3 17,721 1.40 1.58 0.97 0.80 105
INVESTOR B CLASS
9/30/99 26.98%4 $ 7,822 2.26% 2.26% (0.66)% (0.66)% 62%
9/30/98 (8.19)4 6,509 2.28 2.33 (0.38) (0.43) 57
9/30/97 13.63 4 5,850 2.27 2.37 (0.22) (0.32) 62
9/30/96 6.81 4 2,692 2.23 2.34 (0.18) (0.29) 70
10/3/94 1 through 9/30/95 1.77 4 1,071 2.06 2 2.23 2 0.59 2 0.41 2 105
INVESTOR C CLASS
9/30/99 26.98%4 $ 1,018 2.26% 2.26% (0.27)% (0.27)% 62%
9/30/98 (8.19)4 294 2.27 2.32 (0.31) (0.36) 57
12/5/96 1 through 9/30/97 10.33 4 155 2.28 2 2.38 2 (0.48)2 (0.58)2 62
- ------------------------------
INTERNATIONAL SMALL CAP EQUITY
- ------------------------------
INSTITUTIONAL CLASS
9/30/99 51.88% $ 23,814 1.33% 2.00% 0.19% (0.48)% 224%
9/30/98 (3.57) 16,233 1.32 2.17 0.65 (0.20) 76
9/26/97 1 through 9/30/97 (0.30) 15,415 1.33 2 1.55 2 1.42 2 1.19 2 0
SERVICE CLASS
9/30/99 51.14% $ -- 1.63% 2.30% (0.11)% (0.78)% 224%
9/30/98 (3.62) 5 1.62 2.47 0.28 (0.57) 76
9/26/97 1 through 9/30/97 (0.30) 10 1.63 2 1.86 2 1.42 2 1.19 2 0
INVESTOR A CLASS
9/30/99 50.71%3 $ 1,092 1.80% 2.47% (0.23)% (0.90)% 224%
9/30/98 (3.98)3 849 1.78 2.63 0.20 (0.65) 76
9/26/97 1 through 9/30/97 (0.30)3 326 1.30 2 1.52 2 1.44 2 1.22 2 0
INVESTOR B CLASS
9/30/99 49.83%4 $ 2,208 2.55% 3.22% (0.99)% (1.66)% 224%
9/30/98 (4.73)4 1,725 2.53 3.38 (0.54) (1.39) 76
9/26/97 1 through 9/30/97 (0.30)4 711 1.30 2 1.52 2 1.58 2 1.35 2 0
INVESTOR C CLASS
9/30/99 49.83%4 $ 1,019 2.55% 3.22% (0.99)% (1.66)% 224%
9/30/98 (4.73)4 423 2.53 3.38 (0.54) (1.39) 76
9/26/97 1 through 9/30/97 (0.30)4 182 1.30 2 1.52 2 1.44 2 1.22 2 0
- ------------------------------
INTERNATIONAL EMERGING MARKETS
- ------------------------------
INSTITUTIONAL CLASS
9/30/99 39.10% $ 65,701 1.73% 1.73% 0.85% 0.85% 117%
9/30/98 (53.59) 63,649 1.76 1.86 0.95 0.85 37
9/30/97 11.16 116,107 1.78 1.87 0.37 0.27 33
9/30/96 6.97 68,664 1.78 1.88 0.96 0.87 44
9/30/95 (19.72) 29,319 1.78 2.02 1.90 1.66 75
</TABLE>
See accompanying notes to financial statements.
68-69
<PAGE>
BLACKROCK FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
For a Share Outstanding Throughout each Period
<TABLE>
<CAPTION>
NET NET GAIN DISTRIBUTIONS NET
ASSET (LOSS) ON DISTRIBUTIONS FROM NET ASSET
VALUE NET INVESTMENTS FROM NET DISTRIBUTIONS REALIZED VALUE
BEGINNING INVESTMENT (BOTH REALIZED INVESTMENT FROM CAPITAL END OF
OF PERIOD INCOME AND UNREALIZED) INCOME CAPITAL GAINS PERIOD
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
SERVICE CLASS
9/30/99 $ 4.39 $ 0.04 $ 1.65 $ -- $ -- $ -- $ 6.08
9/30/98 9.63 0.06 (5.16) -- -- (0.14) 4.39
9/30/97 8.72 0.01 0.93 (0.03) -- -- 9.63
9/30/96 8.18 0.04 0.51 -- -- (0.01) 8.72
9/30/95 10.55 0.06 (2.15) (0.08) (0.01) (0.19) 8.18
INVESTOR A CLASS
9/30/99 $ 4.36 $ 0.03 $ 1.65 $ -- $ -- $ -- $ 6.04
9/30/98 9.60 0.03 (5.13) -- -- (0.14) 4.36
9/30/97 8.71 (0.06) 0.98 (0.03) -- -- 9.60
9/30/96 8.18 0.02 0.52 -- -- (0.01) 8.71
9/30/95 10.54 0.03 (2.14) (0.05) (0.01) (0.19) 8.18
INVESTOR B CLASS
9/30/99 $ 4.30 $(0.01) $ 1.62 $ -- $ -- $ -- $ 5.91
9/30/98 9.54 (0.03) (5.07) -- -- (0.14) 4.30
9/30/97 8.69 (0.04) 0.89 -- -- -- 9.54
4/25/96 1 through 9/30/96 8.85 -- (0.16) -- -- -- 8.69
INVESTOR C CLASS
9/30/99 $ 4.30 $(0.05) $ 1.66 $ -- $ -- $ -- $ 5.91
9/30/98 9.54 (0.02) (5.08) -- -- (0.14) 4.30
3/21/97 1 through 9/30/97 9.70 (0.01) (0.15) -- -- -- 9.54
- -------------
SELECT EQUITY
- -------------
INSTITUTIONAL CLASS
9/30/99 $17.01 $ 0.14 $ 4.36 $(0.13) $ -- $(0.61) $20.77
9/30/98 17.51 0.16 0.49 (0.15) -- (1.00) 17.01
9/30/97 13.57 0.19 5.15 (0.19) -- (1.21) 17.51
9/30/96 11.88 0.21 2.08 (0.21) -- (0.39) 13.57
9/30/95 9.92 0.22 2.08 (0.22) -- (0.12) 11.88
SERVICE CLASS
9/30/99 $17.00 $ 0.07 $ 4.37 $(0.07) $ -- $(0.61) $20.76
9/30/98 17.50 0.12 0.48 (0.10) -- (1.00) 17.00
9/30/97 13.56 0.11 5.18 (0.14) -- (1.21) 17.50
9/30/96 11.88 0.17 2.07 (0.17) -- (0.39) 13.56
9/30/95 9.92 0.22 2.05 (0.19) -- (0.12) 11.88
INVESTOR A CLASS
9/30/99 $17.00 $ 0.05 $ 4.36 $(0.05) $ -- $(0.61) $20.75
9/30/98 17.50 0.08 0.50 (0.08) -- (1.00) 17.00
9/30/97 13.56 0.11 5.16 (0.12) -- (1.21) 17.50
9/30/96 11.88 0.15 2.07 (0.15) -- (0.39) 13.56
9/30/95 9.92 0.20 2.06 (0.18) -- (0.12) 11.88
INVESTOR B CLASS
9/30/99 $16.85 $(0.10) $ 4.30 $ -- $ -- $(0.61) $20.44
9/30/98 17.40 (0.03) 0.48 -- -- (1.00) 16.85
9/30/97 13.54 0.05 5.07 (0.05) -- (1.21) 17.40
3/27/96 1 through 9/30/96 12.83 0.04 0.73 (0.06) -- -- 13.54
INVESTOR C CLASS
9/30/99 $16.85 $(0.08) $ 4.28 $ -- $ -- $(0.61) $20.44
9/30/98 17.40 (0.02) 0.47 -- -- (1.00) 16.85
9/30/97 13.54 0.04 5.08 (0.05) -- (1.21) 17.40
9/27/96 1 through 9/30/96 13.52 -- 0.02 -- -- -- 13.54
- ------------
INDEX EQUITY
- ------------
INSTITUTIONAL CLASS
9/30/99 $19.65 $ 0.27 $ 5.10 $(0.27) $ -- $(0.06) $24.69
9/30/98 18.32 0.24 1.39 (0.26) -- (0.04) 19.65
9/30/97 13.97 0.04 5.02 (0.03) -- (0.68) 18.32
9/30/96 13.58 0.30 2.13 (0.34) -- (1.70) 13.97
9/30/95 10.93 0.38 2.73 (0.34) -- (0.12) 13.58
SERVICE CLASS
9/30/99 $19.64 $ 0.19 $ 5.10 $(0.20) $ -- $(0.06) $24.67
9/30/98 18.32 0.22 1.34 (0.20) -- (0.04) 19.64
9/30/97 13.97 0.23 5.01 (0.21) -- (0.68) 18.32
9/30/96 13.58 0.29 2.10 (0.30) -- (1.70) 13.97
9/30/95 10.93 0.35 2.73 (0.31) -- (0.12) 13.58
</TABLE>
<TABLE>
<CAPTION>
RATIO OF NET
NET RATIO OF EXPENSES INVESTMENT INCOME
ASSETS RATIO OF TO AVERAGE RATIO OF NET TO AVERAGE
END OF EXPENSES TO NET ASSETS INVESTMENT INCOME NET ASSETS PORTFOLIO
TOTAL PERIOD AVERAGE NET (EXCLUDING TO AVERAGE NET (EXCLUDING TURNOVER
RETURN (000) ASSETS WAIVERS) ASSETS WAIVERS) RATE
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
SERVICE CLASS
9/30/99 38.50% $ 15,531 2.03% 2.03% 0.61% 0.61% 117%
9/30/98 (53.62) 26,566 2.06 2.16 0.71 0.61 37
9/30/97 10.74 66,064 2.08 2.17 0.09 (0.01) 33
9/30/96 6.61 37,987 2.08 2.18 0.70 0.60 44
9/30/95 (19.91) 15,020 2.06 2.30 1.72 1.48 75
INVESTOR A CLASS
9/30/99 38.53%3 $ 2,052 2.20% 2.20% 0.37% 0.37% 117%
9/30/98 (53.79)3 1,835 2.24 2.34 0.46 0.36 37
9/30/97 10.51 3 4,454 2.25 2.34 (0.08) (0.18) 33
9/30/96 6.49 3 2,996 2.25 2.35 0.45 0.35 44
9/30/95 (20.12)3 2,563 2.20 2.44 1.54 1.30 75
INVESTOR B CLASS
9/30/99 37.67%4 $ 807 2.95% 2.95% (0.37)% (0.37)% 117%
9/30/98 (54.13)4 733 2.98 3.08 (0.30) (0.40) 37
9/30/97 9.78 4 1,836 2.98 3.07 (0.80) (0.90) 33
4/25/96 1 through 9/30/96 (1.81)4 216 2.90 2 3.00 2 0.17 2 0.07 2 44
INVESTOR C CLASS
9/30/99 37.67%4 $ 43 2.95% 2.95% (0.37)% (0.37)% 117%
9/30/98 (54.13)4 25 2.98 3.08 (0.29) (0.39) 37
3/21/97 1 through 9/30/97 (3.08)4 88 2.58 2 2.67 2 (0.27)2 (0.37)2 33
- -------------
SELECT EQUITY
- -------------
INSTITUTIONAL CLASS
9/30/99 26.96% $1,443,128 0.80% 0.80% 0.67% 0.67% 22%
9/30/98 4.07 1,286,032 0.86 0.86 0.93 0.93 27
9/30/97 42.50 379,687 0.79 0.86 1.24 1.17 29
9/30/96 19.84 274,434 0.74 0.87 1.70 1.58 55
9/30/95 23.76 238,813 0.67 0.85 2.35 2.17 51
SERVICE CLASS
9/30/99 26.61% $ 223,215 1.10% 1.10% 0.37% 0.37% 22%
9/30/98 3.77 203,754 1.16 1.16 0.63 0.63 27
9/30/97 42.12 174,418 1.09 1.16 0.93 0.86 29
9/30/96 19.43 113,777 1.04 1.17 1.41 1.28 55
9/30/95 23.43 83,705 0.95 1.13 2.10 1.91 51
INVESTOR A CLASS
9/30/99 26.44%3 $ 66,646 1.21% 1.21% 0.26% 0.26% 22%
9/30/98 3.62 3 35,359 1.32 1.32 0.44 0.44 27
9/30/97 41.95 3 18,949 1.27 1.34 0.75 0.68 29
9/30/96 19.23 3 6,228 1.21 1.34 1.24 1.11 55
9/30/95 23.29 3 3,808 1.12 1.30 1.91 1.73 51
INVESTOR B CLASS
9/30/99 25.38%4 $ 66,854 2.02% 2.02% (0.55)% (0.55)% 22%
9/30/98 2.90 4 39,971 2.07 2.07 (0.29) (0.29) 27
9/30/97 40.70 4 18,345 2.01 2.08 (0.02) (0.09) 29
3/27/96 1 through 9/30/96 6.58 4 1,196 1.92 2 2.04 2 0.59 2 0.46 2 55
INVESTOR C CLASS
9/30/99 25.38%4 $ 6,543 2.02% 2.02% (0.55)% (0.55)% 22%
9/30/98 2.90 4 2,450 2.06 2.06 (0.30) (0.30) 27
9/30/97 40.70 4 377 2.01 2.08 (0.12) (0.19) 29
9/27/96 1 through 9/30/96 0.15 4 50 0.02 0.02 0.02 0.02 55
- ------------
INDEX EQUITY
- ------------
INSTITUTIONAL CLASS
9/30/99 27.36% $ 507,841 0.22%(DOUBLE DAGGER) 0.33%(DOUBLE DAGGER) 1.14% 1.04% 5%6
9/30/98 8.91 354,215 0.18(DOUBLE DAGGER) 0.34(DOUBLE DAGGER) 1.40 1.24 97
9/30/97 39.78 166,786 0.18(DOUBLE DAGGER) 0.38(DOUBLE DAGGER) 1.71 1.51 48
9/30/96 19.82 127,076 0.18(DOUBLE DAGGER) 0.50(DOUBLE DAGGER) 2.29 1.98 18 5*
9/30/95 29.30 109,433 0.17 0.50 2.92 2.59 18
SERVICE CLASS
9/30/99 26.96% $ 354,283 0.56%(DOUBLE DAGGER) 0.63%(DOUBLE DAGGER) 0.80% 0.74% 5%6
9/30/98 8.54 233,696 0.48(DOUBLE DAGGER) 0.64(DOUBLE DAGGER) 1.09 0.93 97
9/30/97 39.58 193,319 0.48(DOUBLE DAGGER) 0.68(DOUBLE DAGGER) 1.41 1.21 48
9/30/96 19.45 103,080 0.48(DOUBLE DAGGER) 0.80(DOUBLE DAGGER) 1.98 1.67 18 5*
9/30/95 28.99 61,536 0.45 0.79 2.62 2.28 18
</TABLE>
See accompanying notes to financial statements.
70-71
<PAGE>
BLACKROCK FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
For a Share Outstanding Throughout each Period
<TABLE>
<CAPTION>
NET NET GAIN DISTRIBUTIONS NET
ASSET (LOSS) ON DISTRIBUTIONS FROM NET ASSET
VALUE NET INVESTMENTS FROM NET DISTRIBUTIONS REALIZED VALUE
BEGINNING INVESTMENT (BOTH REALIZED INVESTMENT FROM CAPITAL END OF
OF PERIOD INCOME AND UNREALIZED) INCOME CAPITAL GAINS PERIOD
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTOR A CLASS
9/30/99 $19.64 $ 0.17 $ 5.10 $(0.19) $-- $(0.06) $24.66
9/30/98 18.32 0.18 1.35 (0.17) -- (0.04) 19.64
9/30/97 13.96 0.21 5.02 (0.19) -- (0.68) 18.32
9/30/96 13.58 0.27 2.09 (0.28) -- (1.70) 13.96
9/30/95 10.93 0.34 2.73 (0.30) -- (0.12) 13.58
INVESTOR B CLASS
9/30/99 $19.52 $(0.02) $ 5.05 $(0.05) $-- $(0.06) $24.44
9/30/98 18.22 0.05 1.34 (0.05) -- (0.04) 19.52
9/30/97 13.93 0.13 4.94 (0.10) -- (0.68) 18.22
2/7/96 1 through 9/30/96 13.20 0.08 0.77 (0.12) -- -- 13.93
INVESTOR C CLASS
9/30/99 $19.52 $ -- $ 5.03 $(0.05) $-- $(0.06) $24.44
9/30/98 18.22 0.05 1.34 (0.05) -- (0.04) 19.52
9/30/97 13.93 0.13 4.94 (0.10) -- (0.68) 18.22
8/14/96 1 through 9/30/96 13.47 0.02 0.50 (0.06) -- -- 13.93
- --------
BALANCED
- --------
INSTITUTIONAL CLASS
9/30/99 $18.35 $ 0.49 $ 2.18 $(0.48) $-- $(0.79) $19.75
9/30/98 18.22 0.38 1.43 (0.43) -- (1.25) 18.35
9/30/97 15.10 0.52 3.62 (0.50) -- (0.52) 18.22
9/30/96 13.73 0.46 1.49 (0.45) -- (0.13) 15.10
9/30/95 11.98 0.46 1.90 (0.47) -- (0.14) 13.73
SERVICE CLASS
9/30/99 $18.34 $ 0.42 $ 2.18 $(0.42) $-- $(0.79) $19.73
9/30/98 18.21 0.42 1.34 (0.38) -- (1.25) 18.34
9/30/97 15.09 0.45 3.64 (0.45) -- (0.52) 18.21
9/30/96 13.72 0.42 1.49 (0.41) -- (0.13) 15.09
9/30/95 11.98 0.44 1.88 (0.44) -- (0.14) 13.72
INVESTOR A CLASS
9/30/99 $18.33 $ 0.41 $ 2.18 $(0.41) $-- $(0.79) $19.72
9/30/98 18.22 0.39 1.33 (0.36) -- (1.25) 18.33
9/30/97 15.10 0.39 3.68 (0.43) -- (0.52) 18.22
9/30/96 13.73 0.40 1.49 (0.39) -- (0.13) 15.10
9/30/95 11.98 0.43 1.88 (0.42) -- (0.14) 13.73
INVESTOR B CLASS
9/30/99 $18.22 $ 0.24 $ 2.18 $(0.26) $-- $(0.79) $19.59
9/30/98 18.13 0.25 1.31 (0.22) -- (1.25) 18.22
9/30/97 15.04 0.31 3.61 (0.31) -- (0.52) 18.13
9/30/96 13.69 0.31 1.47 (0.30) -- (0.13) 15.04
10/3/94 1 through 9/30/95 11.95 0.33 1.93 (0.38) -- (0.14) 13.69
INVESTOR C CLASS
9/30/99 $18.22 $ 0.23 $ 2.19 $(0.26) $-- $(0.79) $19.59
9/30/98 18.13 0.24 1.32 (0.22) -- (1.25) 18.22
12/20/96 1 through 9/30/97 15.62 0.28 2.54 (0.31) -- -- 18.13
</TABLE>
<TABLE>
<CAPTION>
RATIO OF NET
NET RATIO OF EXPENSES INVESTMENT INCOME
ASSETS RATIO OF TO AVERAGE RATIO OF NET TO AVERAGE
END OF EXPENSES TO NET ASSETS INVESTMENT INCOME NET ASSETS PORTFOLIO
TOTAL PERIOD AVERAGE NET (EXCLUDING TO AVERAGE NET (EXCLUDING TURNOVER
RETURN (000) ASSETS WAIVERS) ASSETS WAIVERS) RATE
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTOR A CLASS
9/30/99 26.74%3 $ 85,174 0.75%(DOUBLE DAGGER) 0.81%(DOUBLE DAGGER) 0.62% 0.56% 5%6
9/30/98 8.37 3 42,891 0.65(DOUBLE DAGGER) 0.81(DOUBLE DAGGER) 0.92 0.76 97
9/30/97 39.49 3 33,934 0.65(DOUBLE DAGGER) 0.85(DOUBLE DAGGER) 1.23 1.03 48
9/30/96 19.31 3 12,752 0.65(DOUBLE DAGGER) 0.97(DOUBLE DAGGER) 1.81 1.49 18 5*
9/30/95 28.77 3 6,501 0.61 0.95 2.44 2.10 18
INVESTOR B CLASS
9/30/99 25.78%4 $302,071 1.49%(DOUBLE DAGGER) 1.55%(DOUBLE DAGGER) (0.13)% (0.18)% 5%6
9/30/98 7.63 4 109,019 1.38(DOUBLE DAGGER) 1.54(DOUBLE DAGGER) 0.19 0.03 97
9/30/97 38.31 4 38,271 1.38(DOUBLE DAGGER) 1.58(DOUBLE DAGGER) 0.45 0.25 48
2/7/96 1 through 9/30/96 6.50 4 2,904 1.38 2(DOUBLE DAGGER) 1.60 2(DOUBLE DAGGER) 0.93 2 0.71 2 18 5*
INVESTOR C CLASS
9/30/99 25.78%4 $391,152 1.51%(DOUBLE DAGGER) 1.55%(DOUBLE DAGGER) (0.15)% (0.19)% 5%6
9/30/98 7.63 4 81,529 1.38(DOUBLE DAGGER) 1.54(DOUBLE DAGGER) 0.19 0.03 97
9/30/97 38.31 4 19,668 1.38(DOUBLE DAGGER) 1.58(DOUBLE DAGGER) 0.45 0.25 48
8/14/96 1 through 9/30/96 3.90 4 432 1.25 2(DOUBLE DAGGER) 1.43 2(DOUBLE DAGGER) 0.71 2 0.53 2 18 5*
- --------
BALANCED
- --------
INSTITUTIONAL CLASS
9/30/99 14.81% $414,057 0.86% 0.86% 2.44% 2.44% 122%
9/30/98 10.82 374,899 0.90 0.90 2.48 2.48 134
9/30/97 28.43 31,674 0.84 0.89 2.98 2.92 173
9/30/96 14.43 37,567 0.79 0.90 3.16 3.06 275
9/30/95 20.32 24,525 0.67 0.88 3.78 3.56 154
SERVICE CLASS
9/30/99 14.49% $219,018 1.16% 1.16% 2.14% 2.14% 122%
9/30/98 10.43 176,557 1.20 1.20 2.22 2.22 134
9/30/97 28.07 176,232 1.14 1.20 2.68 2.62 173
9/30/96 14.11 134,121 1.09 1.20 2.87 2.76 275
9/30/95 19.94 85,668 0.94 1.16 3.49 3.28 154
INVESTOR A CLASS
9/30/99 14.40%3 $132,833 1.25% 1.25% 2.05% 2.05% 122%
9/30/98 10.19 3 96,795 1.30 1.30 2.13 2.13 134
9/30/97 27.93 3 87,202 1.24 1.30 2.58 2.52 173
9/30/96 13.98 3 71,899 1.19 1.30 2.75 2.65 275
9/30/95 19.86 3 67,892 1.07 1.28 3.38 3.16 154
INVESTOR B CLASS
9/30/99 13.46%4 $ 96,253 2.07% 2.07% 1.23% 1.23% 122%
9/30/98 9.40 4 46,303 2.11 2.11 1.30 1.30 134
9/30/97 26.95 4 23,455 2.05 2.11 1.78 1.72 173
9/30/96 13.14 4 7,333 1.98 2.09 1.99 1.88 275
10/3/94 1 through 9/30/95 19.38 4 3,124 1.72 2 1.94 2 2.71 2 2.49 2 154
INVESTOR C CLASS
9/30/99 13.46%4 $ 10,095 2.07% 2.07% 1.23% 1.23% 122%
9/30/98 9.40 4 699 1.92 1.92 1.46 1.46 134
12/20/96 1 through 9/30/97 23.95 4 87 2.03 2 2.09 2 1.90 2 1.84 2 173
<FN>
1 Commencement of operations of share class.
2 Annualized.
3 Sales load not reflected in total return.
4 Contingent deferred sales load not reflected in total return.
5 For period 10/1/95 through 5/31/96.
6 For period 12/1/98 through 9/30/99.
7 For period 12/1/97 through 11/30/98.
8 For period 12/1/96 through 11/30/97.
* See accompanying footnotes to The DFA Investment Trust Company.
(DOUBLE DAGGER) Including expenses allocated from the U.S. Large Company Series
of The DFA Investment Trust Company of 0.06% for the year ended 9/30/99, 0.06%
for the year ended 9/30/98, 0.07% for the year ended 9/30/97 and 0.12% for the
year ended 9/30/96.
</FN>
</TABLE>
See accompanying notes to financial statements.
72-73
<PAGE>
BLACKROCK FUNDS
NOTES TO FINANCIAL STATEMENTS
BlackRock Funds SM ("the Fund") was organized on December 22, 1988 as a
Massachusetts business trust and is registered under the Investment Company Act
of 1940, as amended, as an open-end management investment company. The Fund
currently has 36 publicly-offered portfolios, 13 of which are included in these
financial statements (the "Portfolios"). Each Portfolio is authorized to issue
an unlimited number of shares with a par value of $0.001. Each portfolio of the
Fund may offer as many as six classes of shares. Shares of all classes of a
Portfolio represent equal pro rata interests in such Portfolio, except that each
class bears different expenses which reflect the difference in the range of
services provided to them. The following table provides a list of the Portfolios
included in this report along with a summary of their respective class-specific
fee arrangements as provided under the Fund's Amended and Restated Distribution
and Service Plan (the "Plan"). Fees are expressed as a percentage of average
daily net asset values of the respective classes.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
Portfolio Share Classes
- -----------------------------------------------------------------------------------------------------------------------------------
Institutional Service Investor A Investor B Investor C
- -----------------------------------------------------------------------------------------------------------------------------------
Contractual Actual Contractual Actual Contractual Actual Contractual Actual Contractual Actual
Fees Fees(4) Fees(1) Fees(4) Fees(2) Fees(4) Fees(3) Fees(4) Fees(3) Fees(4)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Large Cap Value Equity None None 0.30% 0.30% 0.50% 0.40% 1.15% 1.15% 1.15% 1.15%
- -----------------------------------------------------------------------------------------------------------------------------------
Large Cap Growth Equity None None 0.30% 0.30% 0.50% 0.40% 1.15% 1.15% 1.15% 1.15%
- -----------------------------------------------------------------------------------------------------------------------------------
Mid-Cap Value Equity None None 0.30% 0.30% 0.50% 0.40% 1.15% 1.15% 1.15% 1.15%
- -----------------------------------------------------------------------------------------------------------------------------------
Mid-Cap Growth Equity None None 0.30% 0.30% 0.50% 0.40% 1.15% 1.15% 1.15% 1.15%
- -----------------------------------------------------------------------------------------------------------------------------------
Small Cap Value Equity None None 0.30% 0.30% 0.50% 0.40% 1.15% 1.15% 1.15% 1.15%
- -----------------------------------------------------------------------------------------------------------------------------------
Small Cap Growth Equity None None 0.30% 0.30% 0.50% 0.40% 1.15% 1.15% 1.15% 1.15%
- -----------------------------------------------------------------------------------------------------------------------------------
Micro-Cap Equity None None 0.30% 0.30% 0.50% 0.40% 1.15% 1.15% 1.15% 1.15%
- -----------------------------------------------------------------------------------------------------------------------------------
International Equity None None 0.30% 0.30% 0.50% 0.40% 1.15% 1.15% 1.15% 1.15%
- -----------------------------------------------------------------------------------------------------------------------------------
International Small Cap Equity None None 0.30% 0.30% 0.50% 0.40% 1.15% 1.15% 1.15% 1.15%
- -----------------------------------------------------------------------------------------------------------------------------------
International Emerging Markets None None 0.30% 0.30% 0.50% 0.40% 1.15% 1.15% 1.15% 1.15%
- -----------------------------------------------------------------------------------------------------------------------------------
Select Equity None None 0.30% 0.30% 0.50% 0.40% 1.15% 1.15% 1.15% 1.15%
- -----------------------------------------------------------------------------------------------------------------------------------
Index Equity None None 0.30% 0.30% 0.50% 0.40% 1.15% 1.15% 1.15% 1.15%
- -----------------------------------------------------------------------------------------------------------------------------------
Balanced None None 0.30% 0.30% 0.50% 0.40% 1.15% 1.15% 1.15% 1.15%
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) -- the maximum annual contractual fees are comprised of a .15% service
fee and .15% shareholder processing fee.
(2) -- the maximum annual contractual fees are comprised of a .10%
distribution fee, .25% service fee and .15% shareholder processing fee.
(3) -- the maximum annual contractual fees are comprised of a .75%
distribution fee, .25% service fee and .15% shareholder processing fee.
(4) -- the actual fees are as of September 30, 1999.
In addition, Institutional and Service shares bear a Transfer Agent fee at
an annual rate not to exceed .03% and Investor A, Investor B and Investor C
shares bear a Transfer Agent fee at an annual rate not to exceed .10% of the
average daily net assets of such respective classes.
The Index Equity Portfolio invests solely in The U.S. Large Company Series
of The DFA Investment Trust Company. The financial statements of which are
included elsewhere in this report and should be read in conjunction with the
financial statements of Index Equity Portfolio.
(A) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by
the Fund in the preparation of its financial statements. The preparation of
financial statements in conformity with generally accepted accounting principles
requires the use of management estimates. Actual results could differ from these
estimates.
74
<PAGE>
BLACKROCK FUNDS
SECURITY VALUATION -- Portfolio securities for which market quotations are
readily available are valued at market value, which is currently determined
using the last reported sales price. Portfolio securities which are primarily
traded on foreign securities exchanges are normally valued at the preceding
closing values of such securities on their respective exchanges. If no sales are
reported, as in the case of some securities traded over-the-counter, portfolio
securities are valued at the mean between the last reported bid and asked
prices. Corporate bonds are valued on the basis of quotations provided by a
pricing service which uses information with respect to transactions on bonds,
quotations from bond dealers, market transactions in comparable securities and
various relationships between securities in determining value. Short-term
obligations with maturities of 60 days or less are valued at amortized cost
which approximates market value. Discounts and premiums on debt securities are
amortized for book and tax purposes using the effective yield-to-maturity method
over the term of the instrument. Securities for which market quotations are not
readily available are valued at fair value as determined in accordance with
procedures adopted by the Board of Directors. As of September 30, 1999, there
were no securities valued in accordance with such procedures.
The Index Equity Portfolio's investment reflects its proportionate interest
in the net assets of The U.S. Large Company Series of The DFA Investment Trust
Company.
DIVIDENDS TO SHAREHOLDERS -- Dividends from net investment income are
declared and paid quarterly for the Portfolios. Net realized capital gains, if
any, are distributed at least annually. The character of distributions made
during the year from net investment income or net realized gains may differ from
their ultimate characterization for federal income tax purposes due to
differences between generally accepted accounting principles and tax accounting
principles related to the character of income and expense recognition.
FEDERAL TAXES -- No provision is made for federal taxes as it is the Fund's
intention to have each Portfolio continue to qualify for and elect the tax
treatment applicable to regulated investment companies under Subchapter M of the
Internal Revenue Code of 1986, as amended, and to make the requisite
distributions to its shareholders which will be sufficient to relieve it from
federal income and excise taxes.
FOREIGN CURRENCY TRANSLATION -- The books and records of the International
Equity Portfolio, International Small Cap Equity Portfolio and International
Emerging Markets Portfolio are maintained in U.S. dollars. Foreign currency
amounts are translated into U.S. dollars on the following basis:
(I) market value of investment securities, assets and liabilities at the
current rate of exchange; and
(II)purchases and sales of investment securities, income and expenses at
the relevant rates of exchange prevailing on the respective dates of
such transactions. It is not practical to isolate that portion of both
realized and unrealized gains and losses on investments in the
statement of operations that result from fluctuations in foreign
currency exchange rates. The Portfolios report forward foreign currency
related transactions as components of realized gains for financial
reporting purposes, whereas such components are treated as ordinary
income for federal income tax purposes.
FORWARD FOREIGN CURRENCY CONTRACTS -- The International Equity Portfolio,
International Emerging Markets Portfolio and International Small Cap Equity
Portfolio enter into forward foreign currency contracts as a hedge against
either specific transactions or portfolio positions. These contracts are
adjusted by the daily exchange rate of the underlying currency and any gains or
losses are recorded as unrealized until the contract settlement date. Such
contracts, which protect the value of the International Equity Portfolio's and
International Small Cap Equity Portfolio's investment securities against a
decline in the value of currency, do not eliminate fluctuations in the
underlying prices of the securities. They simply establish an exchange rate at a
future date. Also, although such contracts tend to minimize the risk of loss due
to a decline in the value of a hedged currency, at the same time they tend to
limit any potential gain that might be realized should the value of such foreign
currency increase. Risks may arise upon entering into these contracts from the
potential inability of counterparties to meet the terms of their contracts and
from unanticipated movements in the value of a foreign currency relative to the
U.S. dollar.
There were no forward currency contracts held for the International Equity
Portfolio, International Emerging Markets Portfolio and International Small Cap
Equity Portfolio at September 30, 1999.
SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are
accounted for on the trade date. The cost of investments sold is determined by
use of the specific identification method for both financial reporting and
federal income tax purposes. Interest income is recorded on the accrual basis.
Dividends are recorded on the ex-dividend date. Expenses not directly
attributable to a specific Portfolio or class are allocated among all of the
Portfolios or classes of the Fund based on their relative net assets.
75
<PAGE>
BLACKROCK FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
REPURCHASE AGREEMENTS -- Money market instruments may be purchased from
banks and non-bank dealers subject to the seller's agreement to repurchase them
at an agreed upon date and price. Collateral for repurchase agreements may have
longer maturities than the maximum permissible remaining maturity of portfolio
investments. The seller is required on a daily basis to maintain the value of
the securities subject to the agreement at not less than the repurchase price.
The agreements are conditioned upon the collateral being deposited under the
Federal Reserve book-entry system or held in a separate account by the Fund's
custodian or an authorized securities depository.
REVERSE REPURCHASE AGREEMENTS -- The Balanced Portfolio may enter into
reverse repurchase agreements with qualified, third party brokers-dealers as
determined by and under the direction of the Fund's Board of Trustees. Interest
on the value of the reverse repurchase agreements issued and outstanding is
based upon competitive market rates at the time of issuance. At the time the
Fund enters into a reverse repurchase agreement, it identifies for segregation
certain liquid securities having a value not less than the repurchase price,
including accrued interest, of the reverse repurchase agreement.
FUTURES TRANSACTIONS -- The Balanced Portfolio invests in financial futures
contracts soley for the purposes of hedging its existing portfolio securities,
or securities that the Balanced Portfolio intends to purchase, against
fluctuations in fair value caused by changes in prevailing market interest
rates. The Fund invests in futures contracts and options on futures contracts to
commit funds awaiting investments in stocks or to maintain cash liquidity or,
except with respect to the Index Equity Portfolio, for other hedging purposes.
These portfolios futures contracts obligate a portfolio, at maturity, to take or
make delivery of securities, the cash value of a securities index or a stated
quantity of a foreign currency. Upon entering into a futures contract, the
Portfolio is required to deposit cash or pledge U.S. Government securities of an
initial margin. Subsequent payments, which are dependent on the daily
fluctuations in the value of the underlying security or securities, are made or
received by the Portfolio each day (daily variation margin) and are recorded as
unrealized gains or losses until the contracts are closed. When the contracts
are closed, the Portfolio records a realized gain or loss equal to the
difference between the proceeds from (or cost of) the closing transaction and
the Portfolio's basis in the contracts. Risks of entering into futures contracts
include the possibility that there will not be a perfect price correlation
between the futures contracts and the underlying securities. Second, it is
possible that a lack of liquidity for futures contracts could exist in the
secondary market, resulting in an inability to close a futures position prior to
its maturity date. Third, the purchase of a futures contract involves the risk
that a Portfolio could lose more than the original margin deposit required to
initiate a futures transaction.
OPTION SELLING/PURCHASING -- The Balanced Portfolio may invest in financial
options contracts soley for the purpose of hedging its existing portfolio
securities, or securities that the Portfolio intends to purchase, against
fluctuations in fair value caused by changes in prevailing market interest
rates. When the Portfolio sells or purchases an option an amount equal to the
premium received or paid by the Portfolio is recorded as a liability or an asset
and is subsequently adjusted to the current market value of the option written
or purchased. Premiums received or paid from writing or purchasing options which
expire unexercised are treated by the Portfolio on the expiration date as
realized gains or losses. The difference between the premium and the amount paid
or received on effecting a closing purchase or sale transaction, including
brokerage commissions, is also treated as a realized gain or loss. If an option
is exercised, the premium paid or received is added to the cost of the purchase
or proceeds from the sale in determining whether the Fund has realized a gain or
loss on investment transactions. The Fund as writer of an option, may have no
control over whether the underlying securities may be sold (call) or purchased
(put) and as a result bears the market risk of an unfavorable change in the
price of the security underlying the written option.
Written Option transactions entered into during the year ended September
30, 1999, are summarized as follows:
Balanced Portfolio
---------------------------------------
Number of Contracts Premium
------------------- ----------
Written ................ 200,000 $ 185,750
Closed/Expired ......... (200,000) (185,750)
---------- ---------
Balance at 9/30/99 ..... -- $ --
========== =========
76
<PAGE>
BLACKROCK FUNDS
TBA PURCHASE COMMITMENTS -- The Balanced Portfolio may enter into "TBA" (to
be announced) purchase commitments to purchase securities for a fixed price at a
future date, typically not exceeding 45 days. TBA purchase commitments may be
considered securities in themselves, and involve a risk of loss if the value of
the security to be purchased declines prior to settlement date, which risk is in
addition to the risk of decline in the value of a Portfolio's other assets.
Unsettled TBA purchase commitments are valued at the current market value of the
underlying securities, according to the procedures described under "Security
Valuation" above.
MORTGAGE DOLLAR ROLLS -- The Balanced Portfolio may enter into mortgage
dollar rolls (principally using TBA's) in which the Portfolio sells mortgage
securities for delivery in the current month and simultaneously contracts to
repurchase similar, but not identical, securities at an agreed-upon price on a
fixed date. The Portfolio accounts for such dollar rolls as purchases and sales
and receives compensation as consideration for entering into the commitment to
repurchase. The Portfolio must maintain liquid securities having a value not
less than the repurchase price (including accrued interest) for such dollar
rolls. The market value of the securities a Portfolio is required to purchase
may decline below the agreed upon repurchase price of those securities.
In a "fee" roll, the compensation is recorded as deferred income and
amortized to income over the roll period. In a "drop" roll, the compensation is
paid via a lower price for the security upon its repurchase. The counterparty
receives all principal and interest payments, including prepayments, made in
respect of a security subject to such a contract while it is the holder.
Mortgage dollar rolls may be renewed with a new purchase and repurchase price
and a cash settlement date, without physical delivery of the securities subject
to the contract. A Portfolio engages in dollar rolls for the purpose of
enhancing its yield, principally by earning a negotiated fee.
SECURITIES LENDING -- Prior to the close of each business day, loans of
securities are secured by collateral at least equal to 102% of the market value
of the securities on loan. However, due to market fluctuations, the collateral
may fall under 102% of the market value of the securities on loan. On the next
business day the collateral is adjusted to meet the 102% requirement based on
the prior day's market fluctuations and the current day's security lending
activity. However, in the event of default or bankruptcy by the other party to
the agreement, realization and/or retention of the collateral may be subject to
legal proceedings. The market value of securities on loan to brokers and the
value of collateral held by the Fund with respect to such loans (including
rights to draw on letters of credit) at September 30, 1999, is as follows:
<TABLE>
<CAPTION>
Market Value of Securities Value of Collateral Income Earned
on Loan Received On Securities Loaned*
-------------------------- ------------------- ---------------------
<S> <C> <C> <C>
Large Cap Value Equity Portfolio ............. $556,777,139 $574,947,208 $369,592
Large Cap Growth Equity Portfolio ............ 340,045,333 349,314,866 158,415
Mid-Cap Value Equity Portfolio ............... 47,462,795 49,138,279 39,282
Mid-Cap Growth Equity Portfolio .............. 103,260,456 106,140,740 264,010
Small Cap Value Equity Portfolio ............. 20,687,579 21,743,172 118,429
Small Cap Growth Equity Portfolio ............ 145,962,839 150,857,483 907,802
International Emerging Markets Portfolio ..... 2,805,535 2,911,900 17,858
Select Equity Portfolio ...................... 418,883,109 430,877,954 244,396
Balanced Portfolio ........................... 147,965,731 152,475,638 91,984
</TABLE>
*Income is included in interest income on the Statements of Operations.
OTHER -- Securities denominated in currencies other than U.S. dollars are
subject to changes in value due to fluctuations in exchange rates.
Some countries in which the Portfolios invest require governmental approval
for the repatriation of investment income, capital or the proceeds of sales of
securities by foreign investors. In addition, if there is a deterioration in a
country's balance of payments or for the other reasons, a country may impose
temporary restrictions on foreign capital remittances abroad.
The securities exchanges of certain foreign markets are substantially
smaller, less liquid and more volatile than the major securities markets in the
United States. Consequently, acquisition and disposition of securities by the
Portfolios may be inhibited. In addition, a significant proportion of the
aggregate market value of equity securities listed on the major securities
exchanges in emerging markets are held by a smaller number of investors. This
may limit the number of shares available for acquisition or disposition by the
Fund.
77
<PAGE>
BLACKROCK FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
The Index Equity Portfolio accrues its respective share of income net of
expenses daily on their investment in The U.S. Large Company Series of The DFA
Investment Trust Company, which is treated as a partnership for federal income
tax purposes. All of the net investment income and realized and unrealized gains
and losses from the security transactions of the Master Fund is allocated pro
rata at the time of such determination.
(B) TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES
Pursuant to an Investment Advisory Agreement, BlackRock Advisors, Inc.
("BlackRock"), a wholly-owned subsidiary of BlackRock, Inc., serves as
investment adviser for each of the Fund's Portfolios, except for the Index
Equity Portfolio. BlackRock Financial Management, Inc. ("BFM"), a wholly-owned
subsidiary of BlackRock, serves as the sub-adviser for the Large Cap Value
Equity, Large Cap Growth Equity, Mid-Cap Value Equity, Mid-Cap Growth Equity,
Small Cap Value Equity, Small Cap Growth Equity, Micro-Cap Equity, International
Small Cap Equity, Select Equity, and Balanced Portfolios. BlackRock
International, Ltd. ("BIL"), an indirect wholly-owned subsidiary of BlackRock,
serves as the sub-adviser for the International Equity and International
Emerging Markets Portfolios. BIL served as sub-adviser of the International
Small Cap Equity Portfolio prior to March 29, 1999. BlackRock, Inc. is an
indirect majority-owned subsidiary of PNC Bank Corp.
For its advisory services, BlackRock is entitled to receive fees at the
following annual rates, computed daily and payable monthly, based on each
Portfolio's average daily net assets:
Large Cap Value Equity, Large Cap Growth Equity, Small Cap Value Equity,
Small Cap Growth Equity, Select Equity, and Balanced Portfolios -- .55% of the
first $1 billion, .50% of the next $1 billion, .475% of the next $1 billion, and
.45% of net assets in excess of $3 billion.
Mid-Cap Value Equity and Mid-Cap Growth Equity -- .80% of the first $1
billion, .70% of the next $1 billion, .675% of the next $1 billion and .625% of
net assets in excess of $3 billion.
Micro-Cap Equity Portfolio -- 1.10% of the first $1 billion, 1.05% of the
next $1 billion, 1.025% of the next $1 billion, and 1.00% of the net assets in
excess of $3 billion.
International Equity Portfolio -- .75% of its first $1 billion, .70% of the
next $1 billion, .675% of the next $1 billion and .65% of net assets in excess
of $3 billion.
International Small Cap Equity -- 1.00% of its first $1 billion, .95% of
the next $1 billion, .90% of the next $1 billion and .85% of net assets in
excess of $3 billion.
International Emerging Markets Portfolio -- 1.25% of its first $1 billion,
1.20% of the next $1 billion, 1.155% of the next $1 billion, and 1.10% of net
assets in excess of $3 billion.
For the year ended September 30, 1999, advisory fees and waivers for each
Portfolio were as follows:
<TABLE>
<CAPTION>
Gross Net
Advisory Fee Waiver Advisory Fee
------------- -------- -------------
<S> <C> <C> <C>
Large Cap Value Equity Portfolio .............. $13,151,862 $ -- $13,151,862
Large Cap Growth Equity Portfolio ............. 7,642,265 -- 7,642,265
Mid-Cap Value Equity Portfolio ................ 2,237,589 26,832 2,210,757
Mid-Cap Growth Equity Portfolio ............... 2,799,450 30,905 2,768,545
Small Cap Value Equity Portfolio .............. 3,759,801 -- 3,759,801
Small Cap Growth Equity Portfolio ............. 8,138,473 -- 8,138,473
Micro-Cap Equity Portfolio .................... 586,286 170,684 415,602
International Equity Portfolio ................ 9,475,007 -- 9,475,007
International Small Cap Equity Portfolio ...... 213,397 143,999 69,398
International Emerging Markets Portfolio ...... 1,051,408 -- 1,051,408
Select Equity Portfolio ....................... 9,743,912 -- 9,743,912
Balanced Portfolio ............................ 4,600,236 -- 4,600,236
</TABLE>
BlackRock pays BIL and BFM fees for their sub-advisory services.
78
<PAGE>
BLACKROCK FUNDS
PFPC Inc. ("PFPC"), an indirect wholly-owned subsidiary of PNC Bank Corp.,
BlackRock, and BlackRock Distributors, Inc. ("BDI") act as co-administrators for
the Fund. For these services, the co-administrators receive a combined
administration fee computed daily and payable monthly, based on a percentage of
the average daily net assets of each Portfolio, at the following annual rates:
.085% of the first $500 million, .075% of the next $500 million and .065% of
assets in excess of $1 billion. In addition, each of the classes are charged an
administration fee based on the following percentage of average daily net assets
of each respective class: .095% of the first $500 million, .085% of the next
$500 million, and .075% of assets in excess of $1 billion.
For the year ended September 30, 1999, administration fees and waivers for
each Portfolio were as follows:
<TABLE>
<CAPTION>
Gross Net
Administration Administration
Fee Waiver Fee
-------------- ---------- ---------------
<S> <C> <C> <C>
Large Cap Value Equity Portfolio ................... $5,188,784 $ -- $5,188,784
Large Cap Growth Equity Portfolio .................. 3,031,323 -- 3,031,323
Mid-Cap Value Equity Portfolio ..................... 643,297 -- 643,297
Mid-Cap Growth Equity Portfolio .................... 803,240 -- 803,240
Small Cap Value Equity Portfolio ................... 1,539,051 -- 1,539,051
Small Cap Growth Equity Portfolio .................. 3,216,807 -- 3,216,807
Micro-Cap Equity Portfolio ......................... 122,488 -- 122,488
International Equity Portfolio ..................... 2,745,464 -- 2,745,464
International Small Cap Equity Portfolio ........... 49,084 -- 49,084
International Emerging Markets Portfolio ........... 193,461 -- 193,461
Select Equity Portfolio ............................ 3,831,505 -- 3,831,505
Index Equity Portfolio ............................. 3,028,498 1,006,052 2,022,446
Balanced Portfolio ................................. 1,865,080 -- 1,865,080
</TABLE>
Prior to February 1, 1999, BlackRock may have, at its discretion, waived
all or any portion of its advisory fees for any Portfolio. In addition, PFPC,
BlackRock and BDI may have, at their discretion, voluntarily waived all or any
portion of their administration fees for any Portfolio.
In the interest of limiting the expenses of the Portfolios, BlackRock and
the Fund have entered into an expense limitation agreement effective February 1,
1999. The agreement sets a limit on certain of the operating expenses of each
Portfolio for the next year and requires BlackRock to waive or reimburse fees or
expenses if these operating expenses exceed that limit. These expense limits
apply to expenses charged on Portfolio assets as a whole, but not expenses
separately charged to the different share of classes of a Portfolio.
If in the following two years the operating expenses of a Portfolio that
previously received a waiver or reimbursement from BlackRock are less than the
expense limit for that Portfolio, the Portfolio is required to repay BlackRock
up to the amount of fees waived or expenses reimbursed under the agreement if:
(1) the Portfolio has more than $50 million in assets, (2) BlackRock continues
to be the Portfolio's investment adviser and (3) the Board of Trustees of the
Fund has approved the payments to BlackRock on a quarterly basis.
The expense limits as a percentage of average daily net assets and amounts
subject to possible reimbursement under the expense limitation agreement were as
follows:
Large Cap Value Equity Portfolio ............ .630% $ --
Large Cap Growth Equity Portfolio ........... .650% --
Mid-Cap Value Equity Portfolio .............. .995% 26,832
Mid-Cap Growth Equity Portfolio ............. .995% 30,905
Small Cap Value Equity Portfolio ............ .705% --
Small Cap Growth Equity Portfolio ........... .690% --
Micro-Cap Equity Portfolio .................. 1.305% 170,684
International Equity Portfolio .............. .900% --
International Small Cap Equity Portfolio .... 1.155% 143,999
International Emerging Markets Portfolio .... 1.565% --
Select Equity Portfolio ..................... .645% --
Index Equity Portfolio ...................... .150% --
Balanced Portfolio .......................... .690% --
79
<PAGE>
BLACKROCK FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
PFPC Trust Co. (formerly PNC Bank, National Association) serves as
custodian for each of the Fund's Portfolios. PFPC serves as transfer and
dividend disbursing agent.
Under the Fund's Distribution and Service Plan ("the Plan"), Investor
Shares of the Portfolios bear the expense of payments ("distributor fees") made
to BDI, as the Fund's distributor (the "Distributor"), or affiliates of PNC
Bank, for distribution and sales support services. Under the Plan, the Fund has
entered into agreements with various service organizations (including PNC Bank
and its affiliates) that provide support service to their customers who are the
beneficial owners of shares in each Investor Class and the Service Class. Refer
to the fee table in the Notes to Financial Statements for fee information.
(C) PURCHASES AND SALES OF SECURITIES
For the year ended September 30, 1999, purchases and sales of securities,
other than short-term and government securities, were as follows:
Purchases Sales
-------------- --------------
Large Cap Value Equity Portfolio .......... $1,042,577,969 $1,298,451,704
Large Cap Growth Equity Portfolio ......... 822,751,955 947,880,517
Mid-Cap Value Equity Portfolio ............ 263,137,835 236,424,594
Mid-Cap Growth Equity Portfolio ........... 1,005,807,470 1,031,798,327
Small Cap Value Equity Portfolio .......... 348,153,590 396,126,470
Small Cap Growth Equity Portfolio ......... 2,439,463,761 2,465,093,071
Micro-Cap Equity Portfolio ................ 236,529,189 169,941,229
International Equity Portfolio ............ 784,244,303 985,387,122
International Small Cap Equity Portfolio .. 44,149,054 44,448,173
International Emerging Markets Portfolio .. 94,946,817 112,582,071
Select Equity Portfolio ................... 405,398,580 558,670,627
Balanced Portfolio ........................ 586,037,530 499,298,831
For the year ended September 30, 1999, purchases and sales of government
securities were as follows:
Purchases Sales
------------ ------------
Large Cap Growth Equity Portfolio ......... $ 20,781,133 $ 20,783,875
Mid-Cap Value Equity Portfolio ............ 9,895,778 9,897,083
Mid-Cap Growth Equity Portfolio ........... 41,562,267 41,567,751
International Small Cap Equity Portfolio .. 3,958,311 3,958,833
Balanced Portfolio ........................ 557,405,823 496,199,128
80
<PAGE>
BLACKROCK FUNDS
(D) CAPITAL SHARES
Transactions in capital shares for each period were as follows:
<TABLE>
<CAPTION>
Large Cap Value Equity Portfolio
-------------------------------------------------------------
For the Year Ended For the Year Ended
9/30/99 9/30/98
--------------------------- -----------------------------
Shares Value Shares Value
---------- ------------- ---------- ---------------
<S> <C> <C> <C> <C>
Shares sold:
Institutional Class .................. 15,797,192 $ 270,908,716 18,761,222 $ 282,706,864
Service Class ........................ 8,689,944 144,361,402 10,619,568 175,915,532
Investor A Class ..................... 2,070,872 34,190,765 1,730,946 28,559,315
Investor B Class ..................... 490,834 8,165,014 938,138 15,377,558
Investor C Class ..................... 170,569 2,828,112 143,190 2,299,944
Shares issued in conversion:
Institutional Class .................. -- -- 73,889,741 1,302,593,623
Shares issued in reinvestment of dividends:
Institutional Class .................. 7,165,359 111,172,052 6,443,412 97,417,675
Service Class ........................ 1,833,214 28,535,980 4,725,591 71,267,440
Investor A Class ..................... 214,367 3,334,063 406,403 6,131,693
Investor B Class ..................... 113,998 1,751,063 177,151 2,645,866
Investor C Class ..................... 3,098 47,603 3,170 47,356
Shares redeemed:
Institutional Class .................. (27,096,900) (446,346,368) (16,151,725) (268,263,453)
Service Class ........................ (13,089,908) (217,123,076) (23,401,743) (351,888,220)
Investor A Class ..................... (1,852,518) (30,719,683) (1,337,810) (22,071,101)
Investor B Class ..................... (497,375) (7,973,851) (228,008) (3,706,721)
Investor C Class ..................... (122,202) (2,014,805) (12,526) (205,417)
----------- ------------- ----------- ---------------
Net increase (decrease) ................... (6,109,456) $ (98,883,013) 76,706,720 $ 1,338,827,954
=========== ============= ========== ===============
</TABLE>
<TABLE>
<CAPTION>
Large Cap Growth Equity Portfolio
-----------------------------------------------------------
For the Year Ended For the Year Ended
9/30/99 9/30/98
--------------------------- ---------------------------
Shares Value Shares Value
----------- ------------- ---------- -------------
<S> <C> <C> <C> <C>
Shares sold:
Institutional Class .................. 7,591,441 $ 159,297,943 14,330,519 $ 260,139,380
Service Class ........................ 8,133,374 176,068,952 6,926,148 129,785,746
Investor A Class ..................... 10,493,707 231,148,193 1,091,586 20,579,343
Investor B Class ..................... 982,692 20,872,400 428,636 7,828,156
Investor C Class ..................... 180,547 3,877,188 53,857 990,658
Shares issued in conversion:
Institutional Class .................. -- -- 22,346,262 431,506,319
Shares issued in reinvestment of dividends:
Institutional Class .................. 4,074,472 74,888,799 3,914,204 62,844,198
Service Class ........................ 900,137 16,517,521 1,879,737 30,188,579
Investor A Class ..................... 163,934 2,998,353 222,895 3,575,231
Investor B Class ..................... 72,022 1,285,591 72,085 1,139,669
Investor C Class ..................... 1,245 22,223 220 3,470
Shares redeemed:
Institutional Class .................. (13,133,040) (277,125,091) (15,224,495) (285,067,207)
Service Class ........................ (8,323,043) (180,973,427) (12,301,697) (224,687,776)
Investor A Class ..................... (9,767,428) (215,298,006) (820,932) (15,572,024)
Investor B Class ..................... (178,864) (3,782,688) (92,023) (1,661,601)
Investor C Class ..................... (47,581) (1,028,424) (6,505) (116,010)
----------- ------------- ----------- -------------
Net increase .............................. 1,143,615 $ 8,769,527 22,820,497 $ 421,476,131
=========== ============= =========== =============
</TABLE>
81
<PAGE>
BLACKROCK FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<TABLE>
<CAPTION>
Mid-Cap Value Equity Portfolio
----------------------------------------------------------
For the Year Ended For the Year Ended
9/30/99 9/30/98
-------------------------- ---------------------------
Shares Value Shares Value
---------- ------------ ---------- -------------
<S> <C> <C> <C> <C>
Shares sold:
Institutional Class .................. 5,025,132 $ 60,642,730 5,913,961 $ 70,036,846
Service Class ........................ 3,698,388 44,028,470 3,778,987 47,633,329
Investor A Class ..................... 260,536 3,060,194 291,579 3,669,153
Investor B Class ..................... 81,254 975,826 418,592 5,320,029
Investor C Class ..................... 33,541 404,297 22,846 291,546
Shares issued in conversion:
Institutional Class .................. -- -- 8,024,645 109,937,637
Shares issued in reinvestment of dividends:
Institutional Class .................. 75,196 885,337 297,036 3,612,845
Service Class ........................ 22,942 269,252 66,916 810,801
Investor A Class ..................... 1,442 17,020 7,100 85,995
Investor B Class ..................... -- -- 8,483 103,070
Investor C Class ..................... -- -- 47 569
Shares redeemed:
Institutional Class .................. (3,828,227) (44,921,360) (3,251,101) (40,262,805)
Service Class ........................ (2,835,907) (34,242,407) (2,906,852) (32,862,442)
Investor A Class ..................... (255,476) (2,993,142) (104,472) (1,267,749)
Investor B Class ..................... (226,742) (2,631,529) (52,273) (625,317)
Investor C Class ..................... (20,657) (249,363) (100) (1,140)
---------- ------------ ----------- -------------
Net increase .............................. 2,031,422 $ 25,245,325 12,515,394 $ 166,482,367
========== ============ =========== =============
</TABLE>
<TABLE>
<CAPTION>
Mid-Cap Growth Equity Portfolio
----------------------------------------------------------
For the Year Ended For the Year Ended
9/30/99 9/30/98
-------------------------- ---------------------------
Shares Value Shares Value
---------- ------------ ---------- -------------
<S> <C> <C> <C> <C>
Shares sold:
Institutional Class .................. 3,504,844 $ 55,498,214 5,758,680 $ 66,898,857
Service Class ........................ 4,205,331 62,400,181 3,422,677 41,702,771
Investor A Class ..................... 3,610,752 57,517,568 232,165 2,825,180
Investor B Class ..................... 381,925 6,248,344 196,974 2,356,782
Investor C Class ..................... 98,506 1,735,544 14,232 175,298
Shares issued in conversion:
Institutional Class .................. -- -- 8,432,259 108,860,464
Shares issued in reinvestment of dividends:
Institutional Class .................. -- -- 71,476 847,707
Service Class ........................ -- -- 2,672 31,614
Investor A Class ..................... -- -- 2,210 26,073
Investor B Class ..................... -- -- 2,255 26,524
Investor C Class ..................... -- -- 66 774
Shares redeemed:
Institutional Class .................. (4,435,443) (65,847,088) (3,227,866) (40,048,082)
Service Class ........................ (4,330,664) (67,704,034) (2,727,898) (30,831,317)
Investor A Class ..................... (3,303,017) (52,666,629) (81,383) (981,552)
Investor B Class ..................... (71,267) (1,089,924) (46,370) (561,221)
Investor C Class ..................... (24,066) (381,068) (141) (1,679)
---------- ------------ ----------- -------------
Net increase (decrease) ................... (363,099) $ (4,288,892) 12,052,008 $ 151,328,193
========== ============ =========== =============
</TABLE>
82
<PAGE>
BLACKROCK FUNDS
<TABLE>
<CAPTION>
Small Cap Value Equity Portfolio
------------------------------------------------------------
For the Years Ended For the Year Ended
9/30/99 9/30/98
---------------------------- ---------------------------
Shares Value Shares Value
---------- ------------- ---------- -------------
<S> <C> <C> <C> <C>
Shares sold:
Institutional Class .................. 20,298,294 $ 299,448,109 15,346,259 $ 263,786,891
Service Class ........................ 2,324,549 34,270,132 3,688,055 67,196,922
Investor A Class ..................... 5,766,840 86,938,812 1,404,053 25,334,594
Investor B Class ..................... 391,921 5,728,660 967,161 17,456,713
Investor C Class ..................... 595,944 8,805,941 326,946 5,908,135
Shares issued in conversion:
Institutional Class .................. -- -- 15,644,346 308,037,173
Shares issued in reinvestment of dividends:
Institutional Class .................. 1,597,197 24,492,817 1,694,367 30,605,954
Service Class ........................ 303,563 4,636,210 620,746 11,221,107
Investor A Class ..................... 119,351 1,826,237 202,621 3,663,168
Investor B Class ..................... 57,793 866,202 58,156 1,031,697
Investor C Class ..................... 4,510 67,561 3,448 61,164
Shares redeemed:
Institutional Class .................. (22,054,279) (327,102,916) (12,603,673) (220,462,274)
Service Class ........................ (3,328,146) (49,721,047) (5,135,032) (82,989,610)
Investor A Class ..................... (6,025,754) (90,987,256) (986,916) (17,308,562)
Investor B Class ..................... (547,851) (7,886,789) (153,655) (2,634,326)
Investor C Class ..................... (338,231) (4,929,110) (58,706) (997,667)
----------- ------------- ----------- -------------
Net increase (decrease) ................... (834,295) $ (13,546,437) 21,018,176 $ 409,911,079
=========== ============= =========== =============
</TABLE>
<TABLE>
<CAPTION>
Small Cap Growth Equity Portfolio
------------------------------------------------------------
For the Year Ended For the Year Ended
9/30/99 9/30/98
---------------------------- ----------------------------
Shares Value Shares Value
----------- ------------- ----------- -------------
<S> <C> <C> <C> <C>
Shares sold:
Institutional Class .................. 36,164,852 $ 760,260,165 23,431,140 $ 462,711,400
Service Class ........................ 3,570,627 74,600,527 7,559,273 159,126,251
Investor A Class ..................... 25,439,449 536,475,770 11,346,492 223,786,382
Investor B Class ..................... 177,274 3,624,852 911,079 18,669,216
Investor C Class ..................... 117,857 2,602,111 282,220 5,734,205
Shares issued in conversion:
Institutional Class .................. -- -- 30,529,187 687,822,581
Shares issued in reinvestment of dividends:
Institutional Class .................. -- -- 990,910 21,245,106
Service Class ........................ -- -- 448,838 9,537,811
Investor A Class ..................... -- -- 127,447 2,685,302
Investor B Class ..................... -- -- 72,198 1,495,221
Investor C Class ..................... -- -- 20,385 422,183
Shares redeemed:
Institutional Class .................. (38,390,530) (808,904,031) (17,534,767) (342,715,796)
Service Class ........................ (4,919,784) (105,269,761) (9,411,285) (183,123,119)
Investor A Class ..................... (25,039,792) (531,355,098) (11,125,265) (220,308,861)
Investor B Class ..................... (637,563) (13,080,200) (442,227) (8,604,608)
Investor C Class ..................... (265,980) (5,744,064) (205,739) (4,057,155)
----------- ------------- ----------- -------------
Net increase (decrease) ................... (3,783,590) $ (86,789,729) 36,999,886 $ 834,426,119
=========== ============= =========== =============
</TABLE>
83
<PAGE>
BLACKROCK FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<TABLE>
<CAPTION>
Micro-Cap Equity Portfolio
---------------------------------------------------------------
For the Year Ended For the Period 5/01/98 1 through
9/30/99 9/30/98
--------------------------- --------------------------------
Shares Value Shares Value
---------- ------------- --------- -----------------
<S> <C> <C> <C> <C>
Shares sold:
Institutional Class .................. 1,020,019 $19,233,459 155,797 $ 1,664,513
Service Class ........................ 21,616 489,808 15,795 164,998
Investor A Class ..................... 1,687,693 33,381,634 826,277 8,766,773
Investor B Class ..................... 1,695,323 33,228,709 951,420 10,046,401
Investor C Class ..................... 739,450 14,130,622 205,420 2,218,831
Shares redeemed: ..........................
Institutional Class .................. (22,076) (431,911) (17,120) (157,934)
Service Class ........................ (1,002) (25,230) (8,404) (76,393)
Investor A Class ..................... (491,221) (9,320,163) (175,807) (1,796,482)
Investor B Class ..................... (416,050) (7,168,891) (37,058) (363,926)
Investor C Class ..................... (112,548) (2,103,547) (12,206) (110,451)
---------- ----------- --------- -----------
Net increase .............................. 4,121,204 $81,414,490 1,904,114 $20,356,330
========== =========== ========= ===========
International Equity Portfolio
-----------------------------------------------------------
For the Year Ended For the Year Ended
9/30/99 9/30/98
--------------------------- ----------------------------
Shares Value Shares Value
---------- ------------- ----------- -------------
Shares sold:
Institutional Class .................. 31,402,726 $ 463,949,155 22,171,814 $ 316,090,870
Service Class ........................ 10,635,877 158,155,940 9,558,403 141,964,104
Investor A Class ..................... 50,467,509 743,669,734 12,261,428 177,237,875
Investor B Class ..................... 77,168 1,126,871 154,249 2,235,897
Investor C Class ..................... 826,991 12,323,728 12,976 184,935
Shares issued in conversion:
Institutional Class .................. -- -- 47,132,261 737,148,562
Shares issued in reinvestment of dividends:
Institutional Class .................. 3,680,103 50,627,932 751,360 10,155,048
Service Class ........................ 647,890 8,906,499 270,822 3,656,448
Investor A Class ..................... 143,229 1,972,135 36,099 487,412
Investor B Class ..................... 24,881 334,269 8,315 111,216
Investor C Class ..................... 166 2,238 12 156
Shares redeemed:
Institutional Class .................. (41,542,842) (618,355,921) (23,080,604) (341,919,900)
Service Class ........................ (14,726,890) (217,586,501) (12,632,530) (175,232,797)
Investor A Class ..................... (50,540,887) (751,150,069) (11,803,362) (172,361,971)
Investor B Class ..................... (102,264) (1,486,680) (66,174) (940,024)
Investor C Class ..................... (784,385) (11,864,841) (994) (13,704)
----------- ------------- ----------- -------------
Net increase (decrease) ................... (9,790,728) $(159,375,511) 44,774,075 $ 698,804,127
=========== ============= =========== =============
<FN>
- ----------------------
1 Commencement of operations.
</FN>
</TABLE>
84
<PAGE>
BLACKROCK FUNDS
<TABLE>
<CAPTION>
International Small Cap Equity Portfolio
-----------------------------------------------------------
For the Year Ended For the Year Ended
9/30/99 9/30/98
--------------------------- --------------------------
Shares Value Shares Value
---------- ------------- --------- -------------
<S> <C> <C> <C> <C>
Shares sold:
Institutional Class .................. 448,050 $ 4,561,404 318,237 $ 3,614,894
Service Class ........................ -- -- 62,851 675,615
Investor A Class ..................... 37,146 437,862 71,874 735,279
Investor B Class ..................... 57,602 652,229 137,198 1,445,340
Investor C Class ..................... 99,084 1,235,218 26,322 283,465
Shares issued in reinvestment of dividends:
Institutional Class .................. 197,614 1,804,929 8,652 81,070
Service Class ........................ -- 1 93 873
Investor A Class ..................... 8,420 76,643 255 2,395
Investor B Class ..................... 5,995 54,267 105 982
Investor C Class ..................... 1,075 9,735 17 157
Shares redeemed:
Institutional Class .................. (497,018) (5,167,663) (179,590) (1,968,631)
Service Class ........................ (507) (4,570) (62,437) (642,150)
Investor A Class ..................... (49,458) (492,659) (15,932) (162,543)
Investor B Class ..................... (72,705) (698,808) (26,972) (300,383)
Investor C Class ..................... (65,051) (777,889) (1) (11)
-------- ----------- -------- -----------
Net increase .............................. 170,247 $ 1,690,699 340,672 $ 3,766,352
======== =========== ======== ===========
</TABLE>
<TABLE>
<CAPTION>
International Emerging Markets Portfolio
-----------------------------------------------------------
For the Year Ended For the Year Ended
9/30/99 9/30/98
--------------------------- --------------------------
Shares Value Shares Value
---------- ------------- --------- -------------
<S> <C> <C> <C> <C>
Shares sold:
Institutional Class .................. 3,696,873 $ 21,125,059 9,856,526 $ 57,250,161
Service Class ........................ 3,907,638 20,310,769 7,561,366 46,093,024
Investor A Class ..................... 120,435 636,903 203,838 1,388,511
Investor B Class ..................... 17,949 104,544 37,292 260,404
Investor C Class ..................... 6,330 39,528 10,790 71,306
Shares issued in reinvestment of dividends:
Institutional Class .................. 80,216 387,442 175,570 1,430,896
Service Class ........................ -- -- 87,703 710,396
Investor A Class ..................... -- -- 7,181 57,948
Investor B Class ..................... -- -- 3,094 24,815
Investor C Class ..................... -- -- 148 1,190
Shares redeemed:
Institutional Class .................. (7,381,930) (36,757,040) (7,630,691) (49,348,984)
Service Class ........................ (7,407,493) (37,688,183) (8,454,628) (46,130,093)
Investor A Class ..................... (201,435) (1,058,384) (253,915) (1,705,480)
Investor B Class ..................... (51,926) (255,693) (62,510) (425,038)
Investor C Class ..................... (4,721) (27,655) (14,379) (84,575)
---------- ------------ ---------- ------------
Net increase (decrease) ................... (7,218,064) $(33,182,710) 1,527,385 $ 9,594,481
========== ============ ========== ============
</TABLE>
85
<PAGE>
BLACKROCK FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<TABLE>
<CAPTION>
Select Equity Portfolio
-----------------------------------------------------------
For the Year Ended For the Year Ended
9/30/99 9/30/98
--------------------------- ----------------------------
Shares Value Shares Value
---------- ------------- ----------- ---------------
<S> <C> <C> <C> <C>
Shares sold:
Institutional Class .................. 3,518,715 $ 72,909,258 15,000,173 $ 257,009,894
Service Class ........................ 6,892,802 144,469,122 10,577,940 190,991,132
Investor A Class ..................... 2,955,667 62,605,786 1,512,205 27,556,895
Investor B Class ..................... 1,226,063 24,933,536 1,471,039 26,052,426
Investor C Class ..................... 306,736 6,347,571 138,720 2,501,325
Shares issued in conversion:
Institutional Class .................. -- -- 47,552,529 912,057,506
Shares issued in reinvestment of dividends:
Institutional Class .................. 2,448,548 45,594,966 1,747,306 28,534,736
Service Class ........................ 421,271 7,859,068 633,683 10,310,927
Investor A Class ..................... 70,262 1,309,847 75,398 1,226,233
Investor B Class ..................... 73,018 1,334,038 71,122 1,138,659
Investor C Class ..................... 1,854 33,875 354 5,660
Shares redeemed:
Institutional Class .................. (12,092,196) (246,175,674) (10,389,208) (191,879,607)
Service Class ........................ (8,546,926) (177,915,850) (9,195,332) (160,166,892)
Investor A Class ..................... (1,893,907) (40,581,471) (590,526) (10,577,071)
Investor B Class ..................... (401,661) (8,181,420) (223,552) (3,954,182)
Investor C Class ..................... (133,997) (2,769,559) (15,306) (278,150)
----------- ------------- ----------- ---------------
Net increase (decrease) ................... (5,153,751) $(108,226,907) 58,366,545 $ 1,090,529,491
=========== ============= =========== ===============
</TABLE>
<TABLE>
<CAPTION>
Index Equity Portfolio
-----------------------------------------------------------
For the Year Ended For the Year Ended
9/30/99 9/30/98
--------------------------- --------------------------
Shares Value Shares Value
---------- ------------- --------- -------------
<S> <C> <C> <C> <C>
Shares sold:
Institutional Class .................. 6,095,419 $ 148,688,653 7,625,271 $ 152,924,221
Service Class ........................ 5,480,520 131,900,497 5,200,839 104,994,634
Investor A Class ..................... 2,440,527 60,306,723 1,047,368 21,369,817
Investor B Class ..................... 7,831,701 189,964,026 3,920,396 79,973,652
Investor C Class ..................... 13,300,108 322,372,621 3,423,349 69,588,194
Shares issued in conversion:
Institutional Class .................. -- -- 5,052,170 109,328,955
Shares issued in reinvestment of dividends:
Institutional Class .................. 147,842 3,522,326 119,292 2,346,304
Service Class ........................ 138,961 3,329,574 136,903 2,682,747
Investor A Class ..................... 20,610 492,775 18,251 356,608
Investor B Class ..................... 21,200 490,602 8,883 165,166
Investor C Class ..................... 11,544 270,234 3,340 62,606
Shares redeemed:
Institutional Class .................. (3,699,695) (92,391,798) (3,872,586) (79,729,578)
Service Class ........................ (3,154,751) (75,493,333) (3,992,780) (78,981,985)
Investor A Class ..................... (1,190,269) (28,979,337) (734,369) (14,587,954)
Investor B Class ..................... (1,077,777) (26,231,955) (443,992) (8,937,590)
Investor C Class ..................... (1,482,965) (36,034,246) (329,146) (6,521,053)
----------- ------------- ----------- -------------
Net increase .............................. 24,882,975 $ 602,207,362 17,183,189 $ 355,034,744
=========== ============= =========== =============
</TABLE>
86
<PAGE>
BLACKROCK FUNDS
<TABLE>
<CAPTION>
Balanced Portfolio
-----------------------------------------------------------
For the Year Ended For the Year Ended
9/30/99 9/30/98
--------------------------- ----------------------------
Shares Value Shares Value
---------- ------------- ----------- -------------
<S> <C> <C> <C> <C>
Shares sold:
Institutional Class .................. 1,997,389 $ 39,937,641 2,422,553 $ 44,222,257
Service Class ........................ 3,527,864 70,687,116 2,127,472 39,389,262
Investor A Class ..................... 2,959,512 59,350,546 2,833,309 53,221,039
Investor B Class ..................... 2,743,730 54,907,097 1,346,155 24,700,962
Investor C Class ..................... 512,414 10,317,100 37,034 676,869
Shares issued in conversion:
Institutional Class .................. -- -- 17,383,688 329,247,053
Shares issued in reinvestment of dividends:
Institutional Class .................. 838,782 15,812,164 141,176 2,434,702
Service Class ........................ 638,107 12,231,857 882,573 15,160,573
Investor A Class ..................... 319,974 6,122,560 447,858 7,687,100
Investor B Class ..................... 149,060 2,823,507 123,433 2,102,496
Investor C Class ..................... 1,048 20,409 252 4,293
Shares redeemed:
Institutional Class .................. (2,298,694) (45,902,544) (1,259,763) (23,720,119)
Service Class ........................ (2,694,553) (54,507,394) (3,060,250) (56,191,748)
Investor A Class ..................... (1,823,330) (35,965,493) (2,786,325) (52,168,584)
Investor B Class ..................... (519,519) (10,353,322) (222,825) (4,092,886)
Investor C Class ..................... (36,448) (739,409) (3,711) (56,031)
---------- ------------- ----------- -------------
Net increase .............................. 6,315,336 $ 124,741,835 20,412,629 $ 382,617,238
========== ============= =========== =============
</TABLE>
On September 30, 1999, one shareholder held approximately 10% of the
outstanding shares of the Micro-Cap Equity Portfolio, one shareholder held
approximately 16% of the outstanding shares of the Index Equity Portfolio and
one shareholder held approximately 24% of the outstanding shares of the Balanced
Portfolio. These shareholders are comprised of omnibus accounts, which are held
on behalf of several individual shareholders.
(E) AT SEPTEMBER 30, 1999, ASSETS CONSISTED OF:
<TABLE>
<CAPTION>
Large Cap Large Cap Mid-Cap Mid-Cap Small Cap Small Cap Micro-Cap
Value Equity Growth Equity Value Equity Growth Equity Value Equity Growth Equity Equity
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
-------------- -------------- ------------- ------------- -------------- -------------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
Capital paid in ............. $1,797,239,803 $ 730,397,937 $ 285,345,465 $238,480,859 $620,062,258 $1,084,107,512 $101,711,647
Distributions in excess of
net investment income ..... -- -- -- -- (7,020,712) -- --
Accumulated net realized
gain (loss) on investment
transactions and futures
contracts ................ 199,854,973 189,036,213 5,564,581 139,743,170 (6,377,499) 220,346,631 19,148,046
Net unrealized appreciation
(depreciation) on investment
transactions and futures
contracts ................ 386,291,911 547,258,868 (6,272,442) 57,580,084 39,457,090 429,697,612 26,834,097
-------------- -------------- ------------- ------------ ------------ -------------- ------------
$2,383,386,687 $1,466,693,018 $ 284,637,604 $435,804,113 $646,121,137 $1,734,151,755 $147,693,790
============== ============== ============= ============ ============ ============== ============
</TABLE>
87
<PAGE>
BLACKROCK FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<TABLE>
<CAPTION>
International International International Select Index
Equity Small Cap Equity Emerging Markets Equity Equity Balanced
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
--------------- ---------------- ---------------- -------------- -------------- ------------
<S> <C> <C> <C> <C> <C> <C>
Capital paid in ............... $ 932,750,060 $22,182,742 $151,272,108 $ 971,513,905 $1,209,837,463 $623,919,335
Undistributed net investment
income ..................... -- -- 239,519 292,482 -- 194,143
Distributions in excess of
net investment income ...... (1,659,365) -- -- -- -- --
Accumulated net realized
gain (loss) on investment
transactions, futures
contracts and foreign
exchange contracts ......... 168,575,378 1,870,771 (60,798,779) 120,774,540 887,419 18,609,930
Net unrealized appreciation
(depreciation) on investment
transactions, futures
contracts and foreign
exchange contracts ......... 177,368,850 4,080,902 (6,577,856) 713,804,290 429,794,843 229,532,861
--------------- ----------- ------------ -------------- -------------- ------------
$ 1,277,034,923 $28,134,415 $ 84,134,992 $1,806,385,217 $1,640,519,725 $872,256,269
=============== =========== ============ ============== ============== ============
</TABLE>
(F) CAPITAL LOSS CARRYOVERS
At September 30, 1999, a capital loss carryover of $6,706,982, which
expires September 30, 2007, was available to offset possible future realized
gains in the Small Cap Value Equity Portfolio and a capital loss carryover of
$24,943,735, which expires September 30, 2007, was available to offset possible
future realized gains in the International Emerging Markets Portfolio. At
September 30, 1999, deferred post-October losses for Small Cap Value Equity
Portfolio were $6,970,137, for International Small Cap Equity Portfolio were
$948,280, and for International Emerging Markets Portfolio were $35,855,044.
(G) PNC COMMON TRUST CONVERSION
On January 13, 1998, January 22, 1998 and February 9, 1998, the Board of
Trustees of the Fund, the Board of Directors of PNC Bank and the Board of
Directors of PNC Bank, Delaware, respectively, approved an asset purchase
agreement among the Fund, PNC Bank, Delaware regarding 25 common trust funds for
which either PNC Bank or PNC Bank, Delaware serve as trustee (each a "PNC Common
Trust Fund"). The agreement provided for the acquisition by the Fund of all of
the assets and liabilities of each PNC Common Trust Fund managed by the Advisor
in a tax-free exchange for Institutional shares of the corresponding
portfolio(s) of the Fund and the distribution of such Institutional shares to
the participating trusts of the PNC Common Trust Funds in liquidation of the PNC
Common Trust Funds.
The following is a summary of shares issued, net assets converted, net
assets value per share issued and unrealized appreciation of assets acquired as
of the conversion date.
FUNDS CONVERTED ON MAY 4, 1998:
<TABLE>
<CAPTION>
PNC BlackRock Shares Net Assets Net Assets Value Unrealized
Common Trust Fund Fund Issued Converted Per Share Issued Appreciation
- ---------------------------- ------------------------- ---------- ------------ ---------------- --------------
<S> <C> <C> <C> <C> <C>
PNC Large Cap Value Equity Large Cap Value Equity 36,221,776 $639,314,346 $17.65 $186,859,990
PNC Equity Growth & Income Large Cap Value Equity 30,883,995 545,102,512 17.65 140,016,238
PNC Large Cap Growth Equity Large Cap Growth Equity 22,346,262 431,506,319 19.31 128,998,512
PNC Mid-Cap Value Equity Mid-Cap Value Equity 8,024,645 109,937,637 13.70 18,239,174
PNC Mid-Cap Growth Equity Mid-Cap Growth Equity 8,432,259 108,860,464 12.91 20,616,729
PNC Small Cap Value Equity Small Cap Value Equity 15,644,346 308,037,173 19.69 76,920,198
PNC Small Cap Growth Equity Small Cap Growth Equity 30,529,187 687,822,581 22.53 194,362,010
PNC International Equity International Equity 47,132,261 737,148,562 15.64 159,658,329
PNC Select Equity Select Equity 47,552,529 912,057,506 19.18 387,681,390
PNC Index Equity Index Equity 5,052,170 109,328,955 21.64 29,512,732
FUNDS CONVERTED ON MAY 18, 1998:
PNC Income Large Cap Value Equity 6,783,970 118,176,765 17.42 33,602,127
PNC Balanced Balanced 17,383,688 329,247,053 18.94 103,701,340
</TABLE>
88
<PAGE>
BLACKROCK FUNDS
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF THE BLACKROCK FUNDS:
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, of the Large Cap Value Equity, Large Cap Growth
Equity, Mid-Cap Value Equity, Mid-Cap Growth Equity, Small Cap Growth Equity,
International Emerging Markets, Select Equity and Balanced Portfolios and the
statements of net assets of Small Cap Value Equity, Micro-Cap Equity,
International Equity, International Small Cap Equity and Index Equity Portfolios
of the BlackRock Funds (the "Fund"), and the related statements of operations
and of changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of the Large Cap Value Equity, Large
Cap Growth Equity, Mid-Cap Value Equity, Mid-Cap Growth Equity, Small Cap Value
Equity, Small Cap Growth Equity, Micro-Cap Equity, International Equity,
International Small Cap Equity, International Emerging Markets, Select Equity,
Index Equity and Balanced Portfolios of the Fund at September 30, 1999, and the
results of each of their operations, the changes in each of their net assets,
and the financial highlights for the periods presented, in conformity with
generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities owned at September 30, 1999 by
correspondence with the custodians and brokers, provide a reasonable basis for
the opinion expressed above.
PricewaterhouseCoopers LLP
Philadelphia, PA
November 15, 1999
89
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE COMPANY SERIES
TEN MONTHS ENDED SEPTEMBER 30, 1999
(UNAUDITED)
YEAR ENDED NOVEMBER 30, 1998
(AUDITED)
<PAGE>
TABLE OF CONTENTS THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE COMPANY SERIES
Page
Schedule of Investments ............................................ 93
Statement of Assets and Liabilities ................................ 101
Statements of Operations ........................................... 103
Statements of Changes in Net Assets ................................ 104
Financial Highlights ............................................... 105
Notes to Financial Statements ...................................... 106
Report of Independent Accountants .................................. 108
THIS REPORT IS SUBMITTED FOR THE INFORMATION OF THE FUND'S SHAREHOLDERS. IT IS
NOT AUTHORIZED FOR DISTRIBUTION TO PROSPECTIVE INVESTORS UNLESS PRECEDED OR
ACCOMPANIED BY AN EFFECTIVE PROSPECTUS.
<PAGE>
SCHEDULE OF INVESTMENTS THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE COMPANY SERIES
- --------------------------------------------------------------------------------
SEPTEMBER 30, 1999
-----------------------
(UNAUDITED)
SHARES VALUE(DAGGER)
------- --------------
COMMON STOCKS -- (99.4%)
3COM Corp. ....................... 82,500 $ 2,369,297*
Abbott Laboratories .............. 351,700 12,924,975
ADC Telecomm ..................... 31,200 1,307,475*
Adobe Systems, Inc. .............. 14,100 1,599,909
Advanced Micro Devices, Inc. ..... 33,900 582,656*
AES Corp. ........................ 44,100 2,601,900*
Aetna, Inc. ...................... 32,537 1,602,447
Aflac, Inc. ...................... 61,600 2,579,500
Air Products & Chemicals, Inc. ... 52,800 1,534,500
Alberto-Culver Co. Class B ....... 13,000 300,625
Albertson's Inc. ................. 97,133 3,842,824
Alcan Aluminum, Ltd. ............. 52,200 1,631,250
Alcoa, Inc. ...................... 84,800 5,262,900
Allegheny Teledyne, Inc. ......... 44,000 742,500
Allergan, Inc. ................... 15,300 1,683,000
Allied Waste Industries, Inc. .... 43,300 506,069*
Allied-Signal, Inc. .............. 127,200 7,624,050
Allstate Corp. ................... 184,300 4,595,981
Alltel Corp. ..................... 70,300 4,947,363
Alza Corp. ....................... 23,500 1,006,094*
Amerada Hess Corp. ............... 20,800 1,274,000
Ameren Corp. ..................... 31,700 1,198,656
America Online, Inc. ............. 256,300 26,655,200*
American Electric Power Co., Inc. 44,800 1,528,800
American Express Co. ............. 103,900 13,987,538
American General Corp. ........... 57,700 3,645,919
American Greetings Corp. Class A . 15,600 401,700
American Home Products Corp. ..... 302,100 12,537,150
American International
Group, Inc. ................... 357,887 31,113,801
Ameritech Corp. .................. 254,200 17,079,063
Amgen, Inc. ...................... 117,900 9,608,850
AMR Corp. ........................ 34,800 1,896,600*
AmSouth Bancorporation ........... 40,650 952,734
Anadarko Petroleum Corp. ......... 29,400 898,538
Andrew Corp. ..................... 19,093 330,548
Anheuser-Busch Companies, Inc. ... 107,900 7,559,744
AON Corp. ........................ 59,200 1,750,100
Apache Corp. ..................... 26,300 1,135,831
Apple Computer, Inc. ............. 37,100 2,347,734
Applied Materials, Inc. .......... 86,600 6,725,031*
Archer-Daniels Midland Co. ....... 142,920 1,741,838
Armstrong World Industries, Inc. . 9,200 413,425
Asarco, Inc. ..................... 9,150 245,334
Ashland, Inc. .................... 16,700 561,538
Associates First Capital
Corp. Class A ................. 168,110 6,051,960
AT&T Corp. ....................... 738,800 32,137,800
Atlantic Richfield Co. ........... 74,500 6,602,563
Autodesk, Inc. ................... 13,600 297,500
Automatic Data Processing, Inc. .. 143,000 6,381,375
Autozone, Inc. ................... 34,400 965,350*
Avery Dennison Corp. ............. 26,300 1,387,325
Avon Products, Inc. .............. 60,400 1,498,675
Baker Hughes, Inc. ............... 75,900 2,201,100
Ball Corp. ....................... 7,100 312,844
Bank of America Corp. ............ 399,200 22,230,450
Bank of New York Co., Inc. ....... 169,700 5,674,344
Bank One Corp. ................... 270,700 9,423,744
BankBoston Corp. ................. 68,400 2,966,850
Bard (C.R.), Inc. ................ 11,900 560,044
Barrick Gold Corp. ............... 90,000 1,957,500
Bausch & Lomb, Inc. .............. 13,200 870,375
Baxter International, Inc. ....... 67,100 4,042,775
BB&T Corp. ....................... 73,700 2,386,038
Bear Stearns Companies, Inc. ..... 26,900 1,033,969
Becton, Dickinson & Co. .......... 57,600 1,616,400
- --------------------------------------------------------------------------------
SEPTEMBER 30, 1999
-----------------------
(UNAUDITED)
SHARES VALUE(DAGGER)
------- --------------
Bell Atlantic Corp. .............. 358,938 $ 24,161,014
Bellsouth Corp. .................. 435,900 19,615,500
Bemis Co., Inc. .................. 12,100 409,888
Best Buy, Inc. ................... 47,200 2,929,350*
Bestfoods, Inc. .................. 64,500 3,128,250
Bethlehem Steel Corp. ............ 30,200 222,725*
Biomet, Inc. ..................... 25,900 680,684
Black & Decker Corp. ............. 20,000 913,750
Block (H.&R.), Inc. .............. 22,400 973,000
BMC Software, Inc. ............... 55,200 3,948,525*
Boeing Co. ....................... 221,700 9,449,963
Boise Cascade Corp. .............. 13,000 473,688
Boston Scientific Corp. .......... 95,400 2,355,188*
Briggs & Stratton Co. ............ 5,400 315,225
Bristol Myers Squibb Co. ......... 459,100 30,989,250
Brown-Forman Corp. Class B ....... 15,800 985,525
Brunswick Corp. .................. 21,200 527,350
Burlington Northern Santa
Fe Corp. ....................... 107,300 2,950,750
Burlington Resources, Inc. ....... 40,900 1,503,075
Cabletron Systems, Inc. .......... 40,200 630,638*
Campbell Soup Co. ................ 100,400 3,928,150
Capital One Financial Corp. ...... 45,700 1,782,300
Cardinal Health, Inc. ............ 63,000 3,433,500
Carnival Corp. ................... 141,800 6,168,300
Carolina Power & Light Co. ....... 36,800 1,301,800
Case Corp. ....................... 18,000 896,625
Caterpillar, Inc. ................ 82,000 4,494,625
Cendant Corp. .................... 166,200 2,950,050*
Centex Corp. ..................... 13,700 405,006
Central & South West Corp. ....... 49,000 1,035,125
CenturyTel, Inc. ................. 32,100 1,304,063
Ceridian Corp. ................... 33,306 828,487*
Champion International Corp. ..... 22,100 1,135,388
Chase Manhattan Corp. ............ 192,400 14,502,150
Chevron Corp. .................... 151,700 13,463,375
Chubb Corp. ...................... 40,700 2,027,369
CIGNA Corp. ...................... 46,000 3,576,500
Cincinnati Financial Corp. ....... 38,000 1,426,188
Cinergy Corp. .................... 36,893 1,044,533
Circuit City Stores, Inc. ........ 46,500 1,961,719
Cisco Systems, Inc. .............. 751,600 51,508,088*
Citigroup, Inc. .................. 780,900 34,359,600
Clear Channel Communications,
Inc. ........................... 77,900 6,222,263*
Clorox Co. ....................... 54,600 2,088,450
CMS Energy Corp. ................. 27,000 916,313
Coastal Corp. .................... 49,300 2,018,219
Coca-Cola Co. .................... 570,600 27,424,463
Coca-Cola Enterprises, Inc. ...... 98,000 2,211,125
Colgate-Palmolive Co. ............ 134,800 6,167,100
Columbia Energy Group ............ 19,000 1,052,125
Columbia/HCA Healthcare Corp. .... 130,400 2,762,850
Comcast Corp. Class A Special .... 173,000 6,892,969
Comerica, Inc. ................... 35,950 1,819,969
Compaq Computer Corp. ............ 392,624 9,005,813
Computer Associates
International, Inc. ........... 123,900 7,588,875
Computer Sciences Corp. .......... 37,000 2,601,563
Compuware Corp. .................. 82,400 2,144,975*
Conagra, Inc. .................... 112,500 2,538,281
Conoco, Inc. ..................... 145,000 3,969,375
Conseco, Inc. .................... 75,500 1,458,094
Consolidated Edison, Inc. ........ 51,000 2,116,500
Consolidated Natural Gas Co. ..... 22,200 1,384,725
Consolidated Stores Corp. ........ 25,300 558,181*
Constellation Energy Group ....... 34,450 968,906
Cooper Industries, Inc. .......... 21,700 1,014,475
Cooper Tire & Rubber Co. ......... 17,500 308,438
See accompanying notes to financial statements.
93
<PAGE>
SCHEDULE OF INVESTMENTS THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE COMPANY SERIES (CONTINUED)
- --------------------------------------------------------------------------------
SEPTEMBER 30, 1999
-----------------------
(UNAUDITED)
SHARES VALUE(DAGGER)
------- --------------
Coors (Adolph) Co. Class B ....... 8,500 $ 460,063
Corning, Inc. .................... 56,500 3,873,781
Costco Companies ................. 51,000 3,670,406*
Countrywide Credit
Industries, Inc. ............... 26,100 841,725
Crane Co. ........................ 15,600 350,025
Crown Cork & Seal Co., Inc. ...... 28,200 683,850
CSBS Corp. ....................... 162,600 7,520,250
CSX Corp. ........................ 50,300 2,131,463
Cummins Engine Co., Inc. ......... 9,700 483,181
CVS Corp. ........................ 90,400 3,689,450
Cyprus Amax Minerals Co., Inc. ... 20,850 409,181
Dana Corp. ....................... 38,242 1,419,734
Danaher Corp. .................... 32,700 1,722,881
Darden Restaurants, Inc. ......... 30,500 596,656
Data General Corp. ............... 11,800 248,538*
Dayton-Hudson Corp. .............. 102,000 6,126,375
Deere & Co. ...................... 53,900 2,085,256
Dell Computer Corp. .............. 587,400 24,560,663*
Delphi Automotive Systems Corp. .. 130,600 2,097,763
Delta Air Lines, Inc. ............ 32,400 1,571,400
Deluxe Corp. ..................... 17,500 595,000
Dillards, Inc. Class A ........... 24,700 501,719
Disney (Walt) Co. ................ 476,900 12,339,788
Dollar General Corp. ............. 51,800 1,599,325
Dominion Resources, Inc. VA ...... 44,400 2,003,550
Donnelley (R.R) & Sons Co. ....... 29,500 851,813
Dover Corp. ...................... 48,100 1,966,088
Dow Chemical Co. ................. 50,700 5,760,788
Dow Jones & Co., Inc. ............ 21,000 1,120,875
DTE Energy Co. ................... 33,500 1,210,188
Du Pont (E.I.) de Nemours & Co. .. 225,300 13,715,138
Duke Power Co. ................... 84,241 4,643,785
Dun & Bradstreet ................. 37,200 1,111,350
Eastern Enterprises .............. 6,200 287,913
Eastman Chemical Co. ............. 17,950 718,000
Eastman Kodak Co. ................ 73,000 5,506,938
Eaton Corp. ...................... 16,700 1,441,419
Ecolab, Inc. ..................... 30,000 1,023,750
Edison International ............. 80,000 1,945,000
EG&G, Inc. ....................... 10,400 414,050
Electronic Data Systems Corp. .... 113,800 6,024,288
EMC Corp. MA ..................... 234,400 16,744,950*
Emerson Electronics Co. .......... 100,400 6,344,025
Engelhard Corp. .................. 28,974 526,965
Enron Corp. ...................... 164,700 6,793,875
Entergy Corp. .................... 56,800 1,643,650
Equifax, Inc. .................... 33,300 936,563
Exxon Corp. ...................... 561,300 42,623,719
Fannie Mae ....................... 237,000 14,856,938
FDX Corp. ........................ 68,800 2,666,000
Federated Department Stores,
Inc. ........................... 48,200 2,105,738*
Fifth Third Bancorp .............. 62,600 3,808,819
First Data Corp. ................. 99,000 4,343,625
First Union Corp. ................ 220,800 7,852,200
Firstar Corp. .................... 227,300 5,824,563
FirstEnergy Corp. ................ 54,100 1,379,550
Fleet Financial Group, Inc. ...... 131,700 4,823,513
Fleetwood Enterprises, Inc. ...... 7,700 155,444
Florida Progress Corp. ........... 22,600 1,045,250
Fluor Corp. ...................... 17,500 704,375
FMC Corp. ........................ 7,300 352,225*
Ford Motor Co. ................... 279,700 14,037,444
Fort James Corp. ................. 50,800 1,355,725
Fortune Brands, Inc .............. 38,500 1,241,625
Foster Wheeler Corp. ............. 9,350 112,784
FPL Group, Inc. .................. 41,400 2,085,525
- --------------------------------------------------------------------------------
SEPTEMBER 30, 1999
-----------------------
(UNAUDITED)
SHARES VALUE(DAGGER)
------- --------------
Franklin Resources, Inc. ......... 58,100 $ 1,786,575
Fed Home Loan Mortgage Corp. ..... 160,600 8,351,200
Freeport McMoran Copper &
Gold, Inc. Class B ............. 37,800 588,263
Fruit of The Loom, Inc. Class A .. 16,600 54,988
Gannett Co., Inc. ................ 64,700 4,476,431
Gap, Inc. ........................ 197,900 6,332,800
Gateway 2000, Inc. ............... 72,200 3,208,388*
General Dynamics Corp. ........... 46,100 2,878,369
General Electric Co. ............. 758,500 89,929,656
General Instrument Corp. ......... 40,000 1,925,000*
General Mills, Inc. .............. 35,200 2,855,600
General Motors Corp. ............. 148,900 9,371,394
Genuine Parts Co. ................ 41,375 1,099,023
Georgia-Pacific Corp. ............ 39,500 1,599,750
Gillette Co. (The) ............... 250,400 8,497,950
Global Crossing Ltd. ............. 177,205 4,690,395*
Golden West Financial Corp. ...... 12,700 1,247,775
Goodrich (B.F.) Co. .............. 25,400 736,600
Goodyear Tire & Rubber Co. ....... 35,900 1,727,688
GPU, Inc. ........................ 29,100 949,388
Grainger (W.W.), Inc. ............ 21,600 1,038,150
Great Atlantic & Pacific Tea
Co., Inc ....................... 8,800 266,750
Great Lakes Chemical Corp. ....... 13,600 517,650
GTE Corp. ........................ 226,900 17,442,938
Guidant Corp ..................... 69,900 3,748,388
Halliburton Co. .................. 101,800 4,173,800
Harcourt General, Inc. ........... 16,523 687,770
Harrahs Entertainment, Inc. ...... 29,500 818,625*
Harris Corp. ..................... 18,500 511,063
Hartford Financial Services
Group, Inc. .................... 52,200 2,133,675
Hasbro, Inc. ..................... 45,198 968,932
HCR Manor Care, Inc. ............. 24,800 426,250
Healthsouth Corp. ................ 95,800 580,788*
Heinz (H.J.) Co. ................. 82,900 3,564,700
Helmerich & Payne, Inc. .......... 11,400 288,563
Hercules, Inc. ................... 24,500 701,313
Hershey Foods Corp. .............. 32,100 1,562,869
Hewlett-Packard Co. .............. 234,300 21,555,600
Hilton Hotels Corp. .............. 58,900 581,638
Home Depot, Inc. ................. 342,744 23,520,807
Homestake Mining Co. ............. 60,000 551,250
Honeywell, Inc. .................. 29,400 3,272,588
Household International, Inc. .... 110,700 4,441,838
Humana, Inc. ..................... 38,700 266,063*
Huntington Bancshares, Inc. ...... 53,273 1,416,729
Ikon Office Solutions, Inc. ...... 34,400 367,650
Illinois Tool Works, Inc. ........ 57,800 4,309,713
IMS Health, Inc. ................. 72,300 1,649,344
Inco, Ltd. ....................... 44,500 951,188
Ingersoll-Rand Co. ............... 38,200 2,098,613
Intel Corp. ...................... 764,800 56,858,100
International Business
Machines Corp. ................. 418,000 50,734,750
International Flavors &
Fragrances, Inc. ............... 24,500 845,250
International Paper Co. .......... 95,500 4,589,969
Interpublic Group of
Companies, Inc. ................ 65,000 2,673,125
ITT Industries, Inc. ............. 20,400 648,975
Jefferson-Pilot Corp. ............ 24,475 1,546,514
Johnson & Johnson ................ 310,700 28,545,563
Johnson Controls, Inc. ........... 19,600 1,299,725
Jostens, Inc. .................... 7,900 151,088
K Mart Corp. ..................... 114,100 1,333,544*
Kansas City Southern
Industries, Inc. ............... 25,500 1,184,156
Kaufman & Broad Home Corp. ....... 11,100 228,938
Kellogg Co. ...................... 93,600 3,504,150#
Kerr-Mcgee Corp. ................. 19,842 1,092,550
See accompanying notes to financial statements.
94
<PAGE>
SCHEDULE OF INVESTMENTS THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE COMPANY SERIES (CONTINUED)
- --------------------------------------------------------------------------------
SEPTEMBER 30, 1999
-----------------------
(UNAUDITED)
SHARES VALUE(DAGGER)
------- --------------
Keycorp .......................... 103,500 $ 2,671,594
Kimberly Clark Corp. ............. 123,100 6,462,750
King World Productions, Inc. ..... 16,300 611,250
KLA-Tencor Cor ................... 20,400 1,326,638*
Knight Ridder, Inc. .............. 18,700 1,026,163
Kohls Corp. ...................... 37,400 2,473,075*
Kroger Co. ....................... 191,400 4,222,763*
Laidlaw, Inc. .................... 76,300 515,025
Lehman Brothers Holdings, Inc. ... 27,700 1,615,256
Lexmark International G .......... 29,600 2,382,800*
Lilly (Eli) & Co. ................ 252,700 16,172,800
Limited Inc. ..................... 49,200 1,881,900
Lincoln National Corp. ........... 46,000 1,727,875
Liz Claiborne Inc. ............... 14,200 440,200
Lockheed Martin Corp. ............ 91,414 2,988,095
Loews Corp. ...................... 24,900 1,747,669
Longs Drug Stores Corp. .......... 9,100 271,863
Louisiana-Pacific Corp. .......... 24,800 387,500
Lowe's Companies, Inc. ........... 88,000 4,290,000
LSI Logic Corp. .................. 34,000 1,751,000*
Lucent Technologies, Inc. ........ 708,100 45,937,988
Mallinckrodt, Inc. ............... 16,500 498,094
Marriott International, Inc.
Class A ........................ 57,500 1,879,531
Marsh & Mclennan Companies, Inc. . 60,700 4,157,950
Masco Corp. ...................... 102,400 3,174,400
Mattel, Inc. ..................... 97,000 1,843,000
May Department Stores Co. ........ 77,050 2,807,509
Maytag Corp. ..................... 20,200 672,913
MBIA, Inc. ....................... 23,100 1,077,038
MBNA Corp. ....................... 184,945 4,219,058
McDermott International, Inc. .... 13,600 275,400
McDonald's Corp. ................. 313,100 13,463,300
Mcgraw-Hill Companies, Inc. ...... 45,600 2,205,900
MCI Worldcom, Inc. ............... 432,800 31,093,975
McKesson HBOC, Inc. .............. 64,900 1,882,100
Mead Corp. ....................... 23,400 804,375
Mediaone Group ................... 140,200 9,577,413*
Medtronic, Inc. .................. 270,800 9,613,400
Mellon Bank Corp. ................ 118,700 4,006,125
Merck & Co., Inc. ................ 542,300 35,147,819
Meredith Corp. ................... 12,000 435,750
Merrill Lynch & Co., Inc. ........ 85,300 5,731,094
MGIC Investment Corp. ............ 25,100 1,198,525
Micron Technology, Inc. .......... 57,800 3,847,313*
Microsoft Corp. ..................1,209,900 109,609,378*
Milacron, Inc. ................... 8,500 150,875
Millipore Corp. .................. 10,200 383,138
Minnesota Mining &
Manufacturing Co. .............. 93,100 8,943,419
Mirage Resorts, Inc. ............. 46,000 646,875*
Mobil Corp. ...................... 181,000 18,235,750
Monsanto Co. ..................... 146,300 5,221,081
Morgan (J.P.) & Co., Inc. ........ 40,600 4,638,550
Morgan Stanley Dean Witter
Discover & Co. ................. 131,900 11,763,831
Motorola, Inc. ................... 140,400 12,355,200
Nabisco Group Holdings ........... 75,300 1,129,500
Nacco Industries, Inc. Class A ... 1,900 132,763
Nalco Chemical Co. ............... 14,700 742,350
National City Corp. .............. 142,700 3,808,306
National Semiconductor Corp. ..... 38,800 1,183,400*
National Service Industries, Inc. 9,400 296,100
Navistar International Corp. ..... 15,300 711,450*
Network Applia ................... 17,000 1,217,625*
New Century Energies, Inc. ....... 26,600 889,438
New York Times Class A ........... 40,300 1,511,250
Newell Rubbermaid, Inc. .......... 65,133 1,860,361
Newmont Mining Corp. ............. 38,858 1,005,451
- --------------------------------------------------------------------------------
SEPTEMBER 30, 1999
-----------------------
(UNAUDITED)
SHARES VALUE(DAGGER)
------- --------------
Nextel Communications Corp.
Class A ........................ 76,500 $ 5,190,047*
Niagra Mohawk Holdings, Inc. ..... 43,300 668,444*
Nicor, Inc. ...................... 10,900 405,344
Nike, Inc. Class B ............... 64,900 3,691,188
Nordstrom, Inc. .................. 32,400 874,800
Norfolk Southern Corp. ........... 87,800 2,151,100
Nortel Networks Corp. ............ 306,920 15,652,920
Northern States Power Co. MN ..... 35,500 765,469
Northern Trust Corp. ............. 25,900 2,163,459
Northrop Grumman Corp. ........... 15,900 1,010,644
Novell, Inc. ..................... 77,500 1,600,859*
Nucor Corp. ...................... 20,200 962,025
Occidental Petroleum Corp. ....... 80,200 1,854,625
Office Depot I ................... 86,600 882,238*
Omnicom Group, Inc. .............. 41,000 3,246,688
Oneok, Inc. ...................... 7,300 221,281
Oracle Systems Corp. ............. 332,943 15,159,311*
Owens Corning .................... 12,700 275,431
Owens-Illinois, Inc. ............. 35,900 711,269*
Paccar, Inc. ..................... 18,120 920,723
PacifiCorp ....................... 68,700 1,382,588
Paine Webber Group, Inc. ......... 33,700 1,221,625
Pall Corp. ....................... 28,800 667,800
Parametric Technology Corp. ...... 62,300 839,103*
Parker-Hannifin Corp. ............ 25,125 1,125,914
Paychex, Inc. .................... 56,700 1,936,659
PE Corp. - PE Biosystems Group ... 23,400 1,690,650
PECO Energy Co. .................. 43,100 1,616,250
Penney (J.C.) Co., Inc. .......... 60,900 2,093,438
Peoples Energy Corp. ............. 8,200 288,538
Peoplesoft, Inc. ................. 56,100 951,947*
Pep Boys - Manny, Moe & Jack ..... 12,100 179,988
Pepsico, Inc. .................... 338,000 10,224,500
Pfizer, Inc. ..................... 895,800 32,192,813
PG&E Corp. (Holding Co.) ......... 88,400 2,287,350
Pharmacia & Upjohn, Inc. ......... 116,980 5,805,133
Phelps Dodge Corp. ............... 13,300 732,331
Phillip Morris Companies, Inc. ... 552,600 18,892,013
Phillips Petroleum Co. ........... 58,400 2,847,000
Pioneer Hi-Bred
International, Inc. ............ 55,401 2,205,652
Pitney Bowes, Inc. ............... 61,900 3,772,031
Placer Dome, Inc. ................ 75,400 1,121,575
PNC Bank Corp .................... 70,300 3,703,931
Polaroid Corp. ................... 10,200 265,200
Potlatch Corp. ................... 6,700 275,956
PP&L Resources, Inc. ............. 36,300 982,369
PPG Industries, Inc. ............. 40,100 2,406,000
Praxair, Inc. .................... 36,800 1,692,800
Procter & Gamble Co. ............. 306,900 28,771,875
Progressive Corp. ................ 16,900 1,380,519
Providian Financial Corp. ........ 32,700 2,589,431
Public Service Enterprise
Group, Inc. .................... 50,800 1,962,150
Pulte Corp. ...................... 10,000 217,500
Quaker Oats Co. .................. 31,000 1,918,125
Qualcomm, Inc. ................... 37,100 7,017,697*
Ralston Purina Co. ............... 74,800 2,080,375
Raytheon Co. Class B ............. 77,700 3,855,863
Reebok International Ltd. ........ 12,900 137,869
Regions Financial Corp. .......... 51,800 1,552,381
Reliant Energy, Inc. ............. 68,300 1,848,369
Republic Bank of New York Corp. .. 24,200 1,486,788
Reynolds Metals Co. .............. 14,500 875,438
Rite Aid Corp. ................... 59,800 825,988
Rockwell International (New) ..... 44,100 2,315,250
Rohm & Haas Co. .................. 50,300 1,817,088
Rowan Companies, Inc. ............ 19,200 312,000*
See accompanying notes to financial statements.
95
<PAGE>
SCHEDULE OF INVESTMENTS THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE COMPANY SERIES (CONTINUED)
- --------------------------------------------------------------------------------
SEPTEMBER 30, 1999
-----------------------
(UNAUDITED)
SHARES VALUE(DAGGER)
------- --------------
Royal Dutch Petroleum Co. Den
Haag (N.Y. Registry) ........... 495,700 $ 29,277,281
Russell Corp. .................... 7,700 109,244
Ryder System, Inc. ............... 16,100 328,038
Safeco Corp. ..................... 30,400 850,250
Safeway, Inc. .................... 117,800 4,483,763*
Saint Jude Medical, Inc. ......... 19,550 615,825*
Saint Paul Companies, Inc. ....... 52,342 1,439,405
Sara Lee Corp. ................... 208,900 4,896,094
SBC Communications, Inc. ......... 454,800 23,223,225
Schering-Plough Corp. ............ 339,400 14,806,325
Schlumberger Ltd. ................ 126,400 7,876,300
Schwab (Charles) Corp. ........... 188,700 6,356,831
Scientific-Atlanta, Inc. ......... 17,700 877,256
Seagate Technology, Inc. ......... 51,500 1,586,844*
Seagram Co., Ltd. ................ 99,800 4,540,900
Sealed Air Corp. ................. 19,192 984,790*
Sears & Roebuck & Co. ............ 87,900 2,757,863
Sempra Energy .................... 55,445 1,153,949
Service Corp. International ...... 62,900 664,381
Shared Medical Systems Corp. ..... 6,100 285,175
Sherwin-Williams Co. ............. 39,200 820,750
Sigma-Adrich Corp. ............... 23,300 739,047
Silicon Graphics, Inc. ........... 43,700 477,969*
SLM Holdings Corp. ............... 37,200 1,599,600
Snap-On, Inc. .................... 15,100 490,750
Solectron Corp. .................. 62,100 4,459,556*
Sonat, Inc. ...................... 25,400 1,008,063
Southern Co. ..................... 157,700 4,060,775
SouthTrust Corp. ................. 38,700 1,388,363
Southwest Airlines Co. ........... 116,550 1,770,103
Springs Industries, Inc.
Class A ........................ 4,150 140,841
Sprint Corp. ..................... 200,200 10,860,850
Sprint Corp. (PCS Group) ......... 101,700 7,583,006*
Stanley Works .................... 20,500 516,344
Staples, Inc. .................... 107,400 2,342,663*
State Street Corp. ............... 37,200 2,404,050
Summit Bancorp ................... 40,900 1,326,694
Sun Microsystems ................. 178,880 16,641,430*
Sunoco, Inc. ..................... 20,900 572,138
Suntrust Banks, Inc. ............. 74,300 4,885,225
Supervalu, Inc. .................. 32,100 700,181
Synovus Financial Corp. .......... 62,650 1,170,772
Sysco Corp. ...................... 76,200 2,671,763
Tandy Corp. ...................... 44,560 2,303,195
Tektronix, Inc. .................. 10,850 363,475
Tellabs, Inc. .................... 90,500 5,155,672*
Temple-Inland Inc. ............... 12,900 780,450
Tenet Healthcare Corp. ........... 71,700 1,259,231*
Tenneco, Inc. .................... 39,200 666,400
Texaco, Inc. ..................... 127,600 8,054,750
Texas Instruments, Inc. .......... 181,600 14,936,600
Texas Utilities Co. .............. 63,900 2,384,269
Textron, Inc. .................... 34,800 2,692,650
Thermo-Electron Corp. ............ 36,500 490,469*
Thomas & Betts Corp. ............. 13,100 668,100
Time Warner, Inc. ................ 299,000 18,164,250
Times Mirror Co. Class A ......... 16,500 1,085,906
Timken Co. ....................... 14,400 232,200
TJX Companies, Inc. .............. 73,300 2,056,981
Torchmark Corp. .................. 30,700 794,363
Tosco Corp. ...................... 35,000 883,750
Toys "R" Us, Inc. ................ 57,200 858,000*
Tribune Co. ...................... 54,800 2,726,300
Tricon Global Restaurants, Inc. .. 35,360 1,447,550*
TRW, Inc. ........................ 27,800 1,383,050
- --------------------------------------------------------------------------------
SEPTEMBER 30, 1999
-----------------------
(UNAUDITED)
SHARES VALUE(DAGGER)
------- --------------
Tupperware Corp. ................. 13,300 $ 269,325
Tyco International Ltd. .......... 193,400 19,968,550
U. S. West, Inc. ................. 116,500 6,647,781
U.S. Bancorp ..................... 168,900 5,098,669
Unicom Corp., Inc. ............... 50,100 1,850,569
Unilever NV ...................... 131,900 8,985,688
Union Carbide Corp. .............. 30,600 1,738,463
Union Pacific Corp. .............. 57,100 2,744,369
Union Pacific Resources
Group, Inc. .................... 58,376 937,665
Union Planters Corp. ............. 33,100 1,348,825
Unisys Corp. ..................... 70,600 3,185,825*
United Healthcare Corp. .......... 40,100 1,952,369
United Technologies Corp. ........ 111,500 6,613,344
Unocal Corp. ..................... 56,000 2,075,500
UNUM Corp. ....................... 55,100 1,622,006
USAir Group, Inc. ................ 16,500 433,125*
UST, Inc. ........................ 40,300 1,216,556
USX-Marathon Group, Inc. ......... 71,300 2,085,525
USX-U.S. Steel Group ............. 20,420 525,815
VF Corp. ......................... 27,500 852,500
Viacom, Inc. Class B ............. 160,800 6,793,800*
Vulcan Materials - Class C ....... 23,100 846,038
Wachovia Corp. ................... 46,800 3,679,650
Walgreen Co. ..................... 231,600 5,876,850
Wal-Mart Stores, Inc. ............1,028,800 48,932,300
Warner-Lambert Co. ............... 197,600 13,115,700
Washington Mutual, Inc. .......... 133,700 3,910,725
Waste Management, Inc. ........... 142,900 2,750,825
Watson Pharmaceuticals, Inc. ..... 22,100 675,431*
Wellpoint Health Networks,
Inc. Class A ................... 15,200 866,400*
Wells Fargo & Company ............ 381,100 15,101,088
Wendy's International, Inc. ...... 28,100 741,138
Westvaco Corp. ................... 23,150 593,219
Weyerhaeuser Co. ................. 46,200 2,662,275
Whirlpool Corp. .................. 17,300 1,129,906
Willamette Industries, Inc. ...... 25,700 1,108,313
Williams Companies, Inc. ......... 100,197 3,751,125
Winn-Dixie Stores, Inc. .......... 34,200 1,015,313
Worthington Industries, Inc. ..... 21,300 361,434
WR Grace & Co. ................... 16,400 263,425*
Wrigley (Wm.) Jr. Co. ............ 26,700 1,837,294
Xerox Corp. ...................... 153,000 6,416,438
--------------
TOTAL COMMON STOCKS
(Cost $1,741,279,540) ............ $2,444,451,053
--------------
FACE AMOUNT
(000) VALUE(DAGGER)
----------- ---------------
TEMPORARY CASH INVESTMENTS -- (0.2%)
Repurchase Agreement, PNC
Capital Markets, Inc.
5.05%, 10/01/99
(Collateralized by U.S.
Treasury Notes 6.75%,
04/30/00, valued at $6,132,375
to be repurchased at $6,036,847)
(Cost $6,036,000) $6,036 $ 6,036,000
--------------
TOTAL INVESTMENTS -- (100%)
(Cost $1,747,315,540)(DAGGER)(DAGGER) $2,450,487,053
==============
- --------------------
(DAGGER) See Note B to Financial Statements.
* Non-Income Producing Securities.
(DAGGER)(DAGGER) Approximates cost for federal income tax purposes.
See accompanying notes to financial statements.
96
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SCHEDULE OF INVESTMENTS THE U.S. LARGE COMPANY SERIES
THE U.S. LARGE COMPANY SERIES
- --------------------------------------------------------------------------------
NOVEMBER 30, 1998
-----------------------
SHARES VALUE(DAGGER)
------- --------------
COMMON STOCKS -- (99.6%)
3COM Corp. ....................... 59,100 $ 2,288,278*
AES Corp. ........................ 28,900 1,322,175*
AMP, Inc. ........................ 36,204 1,751,368
AMR Corp. ........................ 30,000 1,978,125*
AON Corp. ........................ 27,800 1,601,975
AT & T Corp. ..................... 297,939 18,565,324
Abbott Laboratories .............. 254,000 12,192,000
Adobe Systems, Inc. .............. 11,100 498,112
Advanced Micro Devices, Inc. ..... 23,700 656,194*
Aeroquip Vickers, Inc. ........... 4,700 170,962
Aetna, Inc. ...................... 23,737 1,835,167
Air Products & Chemicals, Inc. ... 38,200 1,456,375
Airtouch Communications, Inc. .... 94,560 5,407,650*
Alberto-Culver Co. Class B ....... 9,100 233,187
Albertson's, Inc. ................ 40,700 2,322,444
Alcan Aluminum, Ltd. ............. 37,600 1,001,100
Allegheny Teledyne, Inc. ......... 32,535 669,001
Allergan, Inc. ................... 10,800 657,450
AlliedSignal, Inc. ............... 92,500 4,070,000
Allstate Corp. ................... 136,800 5,574,600
Alltel Corp. ..................... 45,200 2,395,600
Aluminium Co. of America. ........ 30,700 2,275,637
Alza Corp. ....................... 14,300 747,175*
Amerada Hess Corp. ............... 15,000 832,500
Ameren Corp. ..................... 22,700 934,956
American Electric Power
Co., Inc. ...................... 31,600 1,465,450
American Express Co. ............. 75,100 7,514,694
American General Corp. ........... 41,700 2,937,244
American Greetings Corp.
Class A ........................ 11,700 495,056
American Home Products Corp. ..... 217,200 11,565,900
American International
Group, Inc. .................... 173,289 16,289,166
American Stores Co. .............. 45,200 1,517,025
Ameritech Corp. .................. 182,200 9,861,575
Amgen, Inc. ...................... 41,900 3,150,356*
Amoco Corp. ...................... 157,400 9,276,762
Anadarko Petroleum Corp. ......... 19,800 558,112
Andrew Corp. ..................... 14,193 229,749*
Anheuser-Busch Companies, Inc. ... 79,600 4,825,750
Apache Corp. ..................... 16,300 374,900
Apple Computer, Inc. ............. 22,300 712,903*#
Applied Materials, Inc. .......... 60,300 2,338,509*
Archer-Daniels Midland Co. ....... 98,905 1,817,379
Armstrong World Industries, Inc. . 6,600 439,725
Asarco, Inc. ..................... 6,550 126,906
Ascend Communications, Inc. ...... 35,800 2,010,394*
Ashland, Inc. .................... 12,700 617,537
Associates First Capital
Corp. Class A .................. 57,255 4,458,733
Atlantic Richfield Co. ........... 53,100 3,531,150
Autodesk, Inc. ................... 7,800 284,212
Automatic Data Processing, Inc. .. 49,500 3,811,500
Autozone, Inc. ................... 25,300 762,162*
Avery Dennison Corp. ............. 19,300 925,194
Avon Products, Inc. .............. 43,300 1,759,062
B B & T Corp. .................... 47,400 1,750,837
BMC Software, Inc. ............... 33,900 1,729,959*
Baker Hughes, Inc. ............... 52,410 959,758
Ball Corp. ....................... 5,000 213,750
Baltimore Gas & Electric Co. ..... 24,450 750,309
Bank of New York Co., Inc. ....... 123,500 4,229,875
Bank One Corp. ................... 193,330 9,920,246
BankAmerica Corp. ................ 286,864 18,699,947
BankBoston Corp. ................. 48,400 2,014,650
Bankers Trust New York Corp. ..... 16,000 1,392,000
Bard (C.R.), Inc. ................ 9,300 426,056
Barrick Gold Corp. ............... 61,600 1,232,000#
- --------------------------------------------------------------------------------
NOVEMBER 30, 1998
-----------------------
SHARES VALUE(DAGGER)
------- --------------
Battle Mountain Gold Co. ......... 37,900 $ 177,656
Bausch & Lomb, Inc. .............. 9,200 510,600
Baxter International, Inc. ....... 47,300 3,006,506
Bear Stearns Companies, Inc. ..... 18,800 789,600
Becton Dickinson & Co. ........... 41,000 1,742,500
Bell Atlantic Corp. .............. 256,438 14,264,364
Bellsouth Corp. .................. 162,300 14,160,675
Bemis Co., Inc. .................. 8,800 332,750
Bestfoods, Inc. .................. 47,600 2,766,750
Bethlehem Steel Corp. ............ 21,400 176,550*
Biomet, Inc. ..................... 18,500 707,047
Black & Decker Corp. ............. 15,300 829,069
Block (H.&R.), Inc. .............. 16,600 745,962
Boeing Co. ....................... 166,606 6,768,369
Boise Cascade Corp. .............. 9,300 294,694
Boston Scientific Corp. .......... 32,400 1,603,800*
Briggs & Stratton Corp. .......... 4,000 201,750
Bristol Myers Squibb Co. ......... 164,300 20,137,019
Brown-Forman Corp. Class B ....... 11,400 829,350
Browning-Ferris Industries, Inc. . 28,600 843,700
Brunswick Corp. .................. 16,400 360,800
Burlington Northern Santa
Fe Corp. ....................... 77,911 2,648,974
Burlington Resources, Inc. ....... 29,400 1,047,375
CBS Corp. ........................ 118,200 3,523,837
CIGNA Corp. ...................... 35,100 2,731,219
CSX Corp. ........................ 36,100 1,504,919
CVS Corp. ........................ 64,416 3,180,540
Cabletron Systems, Inc. .......... 27,100 379,400*
Campbell Soup Co. ................ 73,900 4,221,537
Capital One Financial Corp. ...... 11,000 1,210,000
Cardinal Health, Inc. ............ 33,000 2,264,625
Carolina Power & Light Co. ....... 25,000 1,159,375
Case Corp. ....................... 12,300 298,275*
Caterpillar, Inc. ................ 60,200 2,976,137
Cendant Corp. .................... 141,800 2,694,200*
Centex Corp. ..................... 9,800 349,737
Central & South West Corp. ....... 35,000 962,500
Ceridian Corp. ................... 12,053 784,198*
Champion International Corp. ..... 15,700 652,531
Chase Manhattan Corp. ............ 141,292 8,963,211
Chevron Corp. .................... 108,000 9,031,500
Chubb Corp. ...................... 27,400 1,919,712
Cincinnati Financial Corp. ....... 27,600 1,077,262
Cinergy Corp. .................... 26,093 901,839
Circuit City Stores, Inc.
(Circuit City Group) ........... 16,600 600,712
Cisco Sytems, Inc. ............... 256,900 19,371,866*
Citigroup, Inc. .................. 377,368 18,939,156
Clear Channel Communications,
Inc. ........................... 41,166 1,924,510*
Clorox Co. ....................... 17,300 1,921,381
Coastal Corp. .................... 35,200 1,227,600
Coca-Cola Co. .................... 407,100 28,522,444
Coca-Cola Enterprises, Inc. ...... 66,800 2,525,875*
Colgate-Palmolive Co. ............ 48,700 4,169,937
Columbia Gas System, Inc. ........ 13,800 783,150
Columbia/HCA Healthcare Corp. .... 106,482 2,622,119
Comcast Corp. Class A Special .... 60,900 2,955,553
Comerica, Inc. ................... 25,750 1,660,875
Compaq Computer Corp. ............ 276,024 8,970,780
Computer Associates
International, Inc. ............ 92,800 4,106,400
Computer Sciences Corp. .......... 26,100 1,490,962
Conagra, Inc. .................... 80,700 2,537,006
Conseco, Inc. .................... 51,688 1,712,165
Consolidated Edison, Inc. ........ 38,500 1,956,281
Consolidated Natural Gas Co. ..... 15,800 858,137
Consolidated Stores Corp. ........ 18,100 389,150*
Cooper Industries, Inc. .......... 19,200 943,200
See accompanying notes to financial statements.
97
<PAGE>
SCHEDULE OF INVESTMENTS THE U.S. LARGE COMPANY SERIES
THE U.S. LARGE COMPANY SERIES (CONTINUED)
- --------------------------------------------------------------------------------
NOVEMBER 30, 1998
-----------------------
SHARES VALUE(DAGGER)
------- --------------
Cooper Tire & Rubber Co. ......... 12,800 $ 250,400
Coors (Adolph) Co. Class B ....... 6,000 298,687
Corning, Inc. .................... 38,300 1,536,787
Costco Companies, Inc. ........... 35,903 2,254,035*
Countrywide Credit
Industries, Inc. ............... 18,300 905,850
Crane Co. ........................ 11,400 368,362
Crown Cork & Seal Co., Inc. ...... 20,500 691,875
Cummins Engine Co., Inc. ......... 6,400 237,600
Cyprus Amax Minerals Co., Inc. ... 15,450 175,744
DTE Energy Co. ................... 24,000 1,047,000
Dana Corp. ....................... 27,342 1,066,338
Danaher Corp. .................... 22,100 1,008,312
Darden Restaurants, Inc. ......... 23,000 363,687
Data General Corp. ............... 8,200 148,625*
Dayton-Hudson Corp. .............. 72,400 3,258,000
Deere & Co. ...................... 40,300 1,407,981
Dell Computer Corp. .............. 208,900 12,697,203*
Delta Air Lines, Inc. ............ 24,900 1,336,819
Deluxe Corp. ..................... 13,300 462,175
Dillards, Inc. Class A ........... 18,200 625,625
Disney (Walt) Co. ................ 338,300 10,889,031
Dollar General Corp. ............. 30,575 728,067
Dominion Resources, Inc. VA ...... 32,300 1,491,856
Donnelley (R.R.) & Sons Co. ...... 23,100 980,306
Dover Corp. ...................... 36,900 1,314,562
Dow Chemical Co. ................. 36,900 3,593,137
Dow Jones & Co., Inc. ............ 15,500 741,094
DuPont (E.I.) de Nemours & Co. ... 186,600 10,962,750
Duke Power Co. ................... 59,741 3,737,546
Dun & Bradstreet. ................ 28,300 854,306
E G & G, Inc. .................... 7,600 212,325
EMC Corp. MA. .................... 82,400 5,974,000*
Eastern Enterprises .............. 3,700 150,081
Eastman Chemical Co. ............. 13,150 761,878
Eastman Kodak Co. ................ 53,500 3,882,094
Eaton Corp. ...................... 11,800 806,087
Ecolab, Inc. ..................... 21,400 662,062
Edison International. ............ 58,500 1,608,750
Electronic Data Systems Corp. .... 81,200 3,166,800
Emerson Electric Co. ............. 72,500 4,712,500
Engelhard Corp. .................. 23,874 461,067
Enron Corp. ...................... 54,500 2,864,656
Entergy Corp. .................... 40,600 1,190,087
Equifax, Inc. .................... 24,300 1,008,450
Exxon Corp. ...................... 402,600 30,220,162
FDX Corp. ........................ 24,300 1,576,462*
FMC Corp. ........................ 5,700 331,312*
FPL Group, Inc. .................. 30,000 1,837,500
Fannie Mae. ...................... 171,300 12,462,075
Federal Home Loan
Mortgage Corp. ................. 112,100 6,782,050
Federated Department
Stores, Inc. ................... 34,900 1,454,894*
Fifth Third BanCorp. ............. 44,100 2,931,272
First Data Corp. ................. 73,700 1,966,869
First Union Corp. ................ 160,164 9,729,963
FirstEnergy Corp. ................ 39,100 1,209,656
Fleet Financial Group, Inc. ...... 93,628 3,903,117
Fleetwood Enterprises, Inc. ...... 5,700 192,019
Fluor Corp. ...................... 13,000 556,562
Ford Motor Co. ................... 199,800 11,038,950
Fort James Corp. ................. 36,400 1,424,150
Fortune Brands, Inc. ............. 28,600 974,187
Foster Wheeler Corp. ............. 6,750 115,594*
Franklin Resources, Inc. ......... 41,700 1,782,675
Freeport McMoran Copper &
Gold, Inc. Class B ............. 29,700 387,956
Frontier Corp. ................... 28,300 852,537*
- --------------------------------------------------------------------------------
NOVEMBER 30, 1998
-----------------------
SHARES VALUE(DAGGER)
------- --------------
Fruit of The Loom, Inc.
Class A ....................... 11,900 $ 175,525*
GPU, Inc. ........................ 21,200 928,825
GTE Corp. ........................ 158,900 9,851,800
Gannett Co., Inc. ................ 47,000 3,034,437
Gap, Inc. ........................ 64,800 4,766,850
Gateway 2000, Inc. ............... 25,600 1,436,800*#
General Dynamics Corp. ........... 21,000 1,219,312
General Electric Co. ............. 537,300 48,625,650
General Instrument Corp. ......... 24,880 699,750*
General Mills, Inc. .............. 25,600 1,932,800
General Motors Corp. ............. 107,800 7,546,000
General RE Corp. ................. 12,400 2,895,400
Genuine Parts Co. ................ 29,375 967,539
Georgia-Pacific Corp. ............ 15,300 868,275
Gillette Co. ..................... 185,600 8,526,000
Golden West Financial Corp. ...... 9,600 909,000
Goodrich (B.F.) Co. .............. 12,200 462,837
Goodyear Tire & Rubber Co. ....... 26,000 1,475,500
Grainger (W.W.), Inc. ............ 16,200 684,450
Great Atlantic & Pacific
Tea Co., Inc. .................. 6,300 172,069
Great Lakes Chemical Corp. ....... 9,800 391,387
Guidant Corp. .................... 24,700 2,119,569
HBO & Co. ........................ 71,300 1,775,816
HCR Manor Care, Inc. ............. 18,000 571,500*
Halliburton Co. .................. 72,600 2,132,625
Harcourt General, Inc. ........... 11,623 601,490
Harnischfeger Industries, Inc. ... 7,876 78,760*
Harrahs Entertainment, Inc. ...... 16,700 259,894*
Harris Corp. ..................... 13,300 504,569
Hartford Financial Services
Group, Inc. .................... 38,400 2,119,200
Hasbro, Inc. ..................... 21,799 764,327
Healthsouth Corp. ................ 69,700 936,594*
Heinz (H.J.) Co. ................. 59,800 3,487,087
Helmerich & Payne, Inc. .......... 8,300 143,175
Hercules, Inc. ................... 15,600 512,850
Hershey Foods Corp. .............. 23,600 1,587,100
Hewlett-Packard Co. .............. 171,700 10,774,175
Hilton Hotels Corp. .............. 43,100 937,425
Home Depot, Inc. ................. 242,344 12,056,614
Homestake Mining Co. ............. 34,900 375,175
Honeywell, Inc. .................. 20,800 1,662,700
Household International, Inc. .... 81,412 3,185,244
Houston Industries, Inc. ......... 48,724 1,540,896*
Humana, Inc. ..................... 27,600 546,825
Huntington Bancshares, Inc. ...... 34,930 1,035,893
IMS Health, Inc. ................. 27,600 1,831,950
ITT Industries, Inc. ............. 19,600 705,600
Ikon Office Solutions, Inc. ...... 22,400 218,400
Illinois Tool Works, Inc. ........ 41,400 2,631,487
Inco Ltd. ........................ 27,400 316,812
Ingersoll-Rand Co. ............... 27,400 1,282,662
Intel Corp. ...................... 277,100 29,814,228
International Business
Machines Corp. ................. 153,800 25,377,000
International Flavors &
Fragrances, Inc. ............... 17,700 741,187
International Paper Co. .......... 50,600 2,197,937
Interpublic Group of
Companies, Inc. ................ 22,350 1,536,563
Jefferson-Pilot Corp. ............ 17,575 1,199,494
Johnson & Johnson. ............... 222,100 18,045,625
Johnson Controls, Inc. ........... 14,000 810,250
Jostens, Inc. .................... 6,100 142,969
K Mart Corp. ..................... 81,300 1,239,825*
KLA-Tencor Corp. ................. 14,400 490,050*
Kaufman & Broad Home Corp. ....... 6,600 166,238
Kellogg Co. ...................... 67,200 2,461,200
Kerr-McGee Corp. ................. 7,900 312,050
Keycorp. ......................... 72,600 2,227,913
See accompanying notes to financial statements.
98
<PAGE>
SCHEDULE OF INVESTMENTS THE U.S. LARGE COMPANY SERIES
THE U.S. LARGE COMPANY SERIES (CONTINUED)
- --------------------------------------------------------------------------------
NOVEMBER 30, 1998
-----------------------
SHARES VALUE(DAGGER)
------- --------------
Kimberly Clark Corp. ............. 90,404 $ 4,757,511
King World Productions, Inc. ..... 12,100 329,725*
Knight Ridder, Inc. .............. 13,052 671,362
Kohls Corp. ...................... 26,000 1,278,875*
Kroger Co. ....................... 42,200 2,239,238*
LSI Logic Corp. .................. 23,300 361,150*
Laidlaw, Inc. .................... 54,500 541,594
Lehman Brothers Holdings, Inc. ... 19,600 978,775
Lilly (Eli) & Co. ................ 181,900 16,314,156
Limited, Inc. .................... 37,700 1,090,944
Lincoln National Corp. ........... 16,700 1,397,581
Liz Claiborne, Inc. .............. 10,900 369,238
Lockheed Martin Corp. ............ 32,257 3,346,664
Loews Corp. ...................... 19,100 1,910,000
Longs Drug Stores Corp. .......... 6,400 228,000
Louisiana-Pacific Corp. .......... 18,100 307,700
Lowe's Companies, Inc. ........... 58,000 2,450,500
Lucent Technologies, Inc. ........ 217,200 18,692,775
MBIA, Inc. ....................... 16,500 1,068,375
MBNA Corp. ....................... 124,145 2,816,540
MCI Worldcom, Inc. ............... 293,401 17,301,490*
MGIC Investment Corp. ............ 18,800 826,025
Mallinckrodt, Inc. ............... 12,100 390,981
Marriott International,
Inc. Class A ................... 41,200 1,210,250
Marsh & McLennan Companies,
Inc. ........................... 42,400 2,467,150
Masco Corp. ...................... 56,000 1,617,000
Mattel, Inc. ..................... 48,352 1,671,166
May Department Stores Co. ........ 38,300 2,309,969
Maytag Corp. ..................... 15,100 817,288
McDermott International, Inc. .... 9,800 262,763
McDonalds Corp. .................. 112,800 7,903,050
McGraw-Hill Companies, Inc. ...... 16,300 1,458,850
Mead Corp. ....................... 17,200 521,375
Mediaone Group. .................. 100,700 4,078,350*
Medtronic, Inc. .................. 77,500 5,245,781
Mellon Bank Corp. ................ 43,000 2,706,313
Mercantile Bancorporation, Inc. .. 25,100 1,105,969
Merck & Co., Inc. ................ 196,500 30,432,938
Meredith Corp. ................... 8,700 337,669
Merrill Lynch & Co., Inc. ........ 57,500 4,312,500
Meyer (Fred), Inc. ............... 25,400 1,292,225*
Micron Technology, Inc. .......... 35,300 1,458,331*
Microsoft Corp. .................. 456,600 55,719,469*
Milacron, Inc. ................... 6,500 131,625
Millipore Corp. .................. 7,200 202,500
Minnesota Mining &
Manufacturing Co. .............. 66,500 5,340,781
Mirage Resorts, Inc. ............. 29,700 441,788*
Mobil Corp. ...................... 129,200 11,135,425
Monsanto Co. ..................... 99,200 4,495,000
Moore Corp., Ltd. ................ 14,600 159,688#
Morgan (J.P.) & Co., Inc. ........ 29,000 3,099,375
Morgan Stanley Dean Witter
Discover & Co. ................. 96,509 6,731,503
Morton International, Inc. ....... 21,600 635,850
Motorola, Inc. ................... 98,800 6,125,600
Nacco Industries, Inc. Class A ... 1,300 113,181
Nalco Chemical Co. ............... 10,900 364,469
National City Corp. .............. 54,267 3,649,456
National Semiconductor Corp. ..... 27,100 389,563*
National Service Industries,
Inc. ........................... 6,800 262,650
Navistar International Corp. ..... 11,100 287,213*
New Century Energies, Inc. ....... 18,400 884,350*
New York Times Class A ........... 31,300 972,256
Newell Co. ....................... 26,700 1,181,475#
Newmont Mining Corp. ............. 27,658 549,703
Nextel Communications Corp.
Class A ........................ 47,052 1,013,088*
Niagara Mohawk Power Corp. ....... 30,900 475,088*
- --------------------------------------------------------------------------------
NOVEMBER 30, 1998
-----------------------
SHARES VALUE(DAGGER)
------- --------------
Nicor, Inc. ...................... 7,900 $ 332,294
Nike, Inc. Class B ............... 47,500 1,900,000
Nordstrom, Inc. .................. 24,600 917,119
Norfolk Southern Corp. ........... 62,500 1,898,438
Northern States Power Co. MN. .... 25,000 679,688
Northern Telecom, Ltd. ........... 107,660 5,026,376
Northern Trust Corp. ............. 18,300 1,478,869
Northrop Grumman Corp. ........... 11,300 918,125
Novell, Inc. ..................... 58,400 965,425*
Nucor Corp. ...................... 14,600 613,200
Occidental Petroleum Corp. ....... 58,400 1,182,600
Omnicom Group, Inc. .............. 27,900 1,490,906
Oneok, Inc. ...................... 5,200 181,025
Oracle Systems Corp. ............. 160,662 5,507,694*
Oryx Energy Co. .................. 17,500 241,719*
Owens Corning. ................... 8,900 332,081
Owens-Illinois, Inc. ............. 25,700 825,613*
PECO Energy Co. .................. 36,700 1,472,588
PG&E Corp. (Holding Co.). ........ 63,200 1,955,250
PNC Bank Corp. ................... 49,950 2,575,547
PP&L Resources, Inc. ............. 25,000 682,813
PPG Industries, Inc. ............. 29,200 1,786,675
Paccar, Inc. ..................... 12,920 588,668
PacifiCorp. ...................... 49,000 918,750
Pall Corp. ....................... 20,500 476,625
Parametric Technology Corp. ...... 44,900 764,703*
Parker-Hannifin Corp. ............ 18,325 636,794
Paychex, Inc. .................... 27,000 1,344,094
Penney (J.C.) Co., Inc. .......... 41,700 2,293,500
Pennzoil Co. ..................... 7,900 293,288
Peoples Energy Corp. ............. 5,800 218,588
Peoplesoft, Inc. ................. 38,100 784,622*
Pep Boys - Manny, Moe & Jack. .... 10,500 148,313
Pepsico, Inc. .................... 243,000 9,401,063
Perkin Elmer Corp. ............... 8,200 764,650
Pfizer, Inc ...................... 215,700 24,077,513
Pharmacia & Upjohn, Inc. ......... 84,080 4,377,415
Phelps Dodge Corp. ............... 9,700 549,869
Philip Morris Companies, Inc. .... 401,500 22,458,906
Phillips Petroleum Co. ........... 42,800 1,797,600
Pioneer Hi-Bred
International, Inc. ............ 39,901 1,194,536
Pitney Bowes, Inc. ............... 45,400 2,542,400
Placer Dome, Inc. ................ 41,200 599,975
Polaroid Corp. ................... 7,300 155,125
Potlatch Corp. ................... 4,800 181,500
Praxair, Inc. .................... 26,000 992,875
Procter & Gamble Co .............. 221,332 19,394,217
Progressive Corp. ................ 11,800 1,750,825
Provident Companies, Inc. ........ 22,400 861,000*
Providian Financial Corp. ........ 15,800 1,450,638
Public Service Enterprise
Group, Inc. .................... 38,400 1,497,600
Pulte Corp. ...................... 7,100 180,606
Quaker Oats Co. .................. 22,600 1,387,075
RJR Nabisco Holdings Corp. ....... 53,700 1,547,231
Ralston Purina Group. ............ 51,600 1,796,325
Raychem Corp. .................... 13,800 470,063
Raytheon Co. Class B ............. 56,000 3,101,000
Reebok International Ltd. ........ 9,300 148,219*
Regions Financial Corp. .......... 35,300 1,368,978
Republic New York Corp. .......... 17,800 832,150
Reynolds Metals Co. .............. 11,800 647,525
Rite Aid Corp. ................... 42,600 1,975,575
Rockwell International Corp. ..... 31,700 1,551,319
Rohm & Haas Co. .................. 29,500 1,030,656
Rowan Companies, Inc. ............ 14,100 138,356*
See accompanying notes to financial statements.
99
<PAGE>
SCHEDULE OF INVESTMENTS THE U.S. LARGE COMPANY SERIES
THE U.S. LARGE COMPANY SERIES (CONTINUED)
- --------------------------------------------------------------------------------
NOVEMBER 30, 1998
-----------------------
SHARES VALUE(DAGGER)
------- --------------
Royal Dutch Petroleum Co.
Den Haag (N.Y. Registry). ...... 353,700 $ 16,623,900
Rubbermaid, Inc. ................. 24,800 819,950
Russell Corp. .................... 6,000 142,875
Ryder System, Inc. ............... 12,100 345,606
SBC Communications, Inc .......... 323,108 15,488,990
SLM Holdings Corp. ............... 27,500 1,210,000
Safeco Corp. ..................... 23,400 1,005,469
Safeway, Inc. .................... 80,500 4,251,406*
Saint Jude Medical, Inc. ......... 13,850 402,516*
Saint Paul Companies, Inc. ....... 39,042 1,376,231
Sara Lee Corp. ................... 77,000 4,494,875
Schering-Plough Corp. ............ 121,000 12,871,375
Schlumberger Ltd. ................ 89,900 4,017,406
Schwab (Charles) Corp. ........... 44,150 2,488,956
Scientific-Atlanta, Inc. ......... 12,900 249,938
Seagate Technology, Inc. ......... 40,100 1,182,950*
Seagram Co., Ltd. ................ 57,200 1,962,675#
Sealed Air Corp. ................. 13,792 608,572*
Sears, Roebuck & Co. ............. 64,800 3,073,950
Sempra Energy. ................... 39,645 993,603
Service Corp. International ...... 42,600 1,592,175
Shared Medical Systems Corp. ..... 4,400 230,450
Sherwin-Williams Co. ............. 28,600 811,525
Sigma-Aldrich Corp. .............. 16,600 533,794
Silicon Graphics, Inc. ........... 31,200 382,200*
Snap-On, Inc. .................... 9,800 333,200
Sonat, Inc. ...................... 18,100 537,344
Southern Co ...................... 115,300 3,401,350
Southwest Airlines Co. ........... 55,500 1,193,250
Springs Industries, Inc.
Class A ........................ 3,050 118,759
Sprint Corp. ..................... 70,900 5,157,975
Sprint Corp. (PCS Group). ........ 94,100 1,505,600*#
Stanley Works. ................... 14,700 449,269
Staples, Inc. .................... 47,500 1,656,563*
State Street Corp. ............... 26,600 1,825,425
Summit Bancorp. .................. 28,700 1,200,019
Sun Microsystems. ................ 62,740 4,642,760*
Sunamerica, Inc. ................. 34,350 2,722,238
Sunoco, Inc. ..................... 15,400 521,675
Suntrust Banks, Inc. ............. 34,500 2,408,531
Supervalu, Inc. .................. 20,000 516,250
Synovus Financial Corp. .......... 43,550 960,822
Sysco Corp. ...................... 55,800 1,503,113
TJX Companies, Inc. .............. 52,300 1,340,188
TRW, Inc. ........................ 20,000 1,101,250
Tandy Corp. ...................... 16,530 744,883
Tektronix, Inc. .................. 7,850 210,478*
Tele-Communications, Inc.
Class A (TCI Group) ............ 86,500 3,651,922*
Tellabs, Inc. .................... 32,100 1,734,403*
Temple-Inland, Inc. .............. 9,100 488,556
Tenet Healthcare Corp. ........... 51,000 1,507,688*
Tenneco, Inc. .................... 28,100 1,001,063
Texaco, Inc. ..................... 88,600 5,100,038
Texas Instruments, Inc. .......... 64,300 4,910,913
Texas Utilities Co. .............. 45,997 2,049,741
Textron, Inc. .................... 27,000 2,097,563
Thermo-Electron Corp. ............ 27,400 462,375*
Thomas & Betts Corp. ............. 9,400 407,138
Time Warner, Inc. ................ 98,900 10,458,675
Times Mirror Co. Class A ......... 14,300 838,338
Timken Co. ....................... 10,300 198,275
Torchmark Corp. .................. 23,100 877,800
Toys R Us, Inc. .................. 43,200 853,200*
- --------------------------------------------------------------------------------
NOVEMBER 30, 1998
-----------------------
SHARES VALUE(DAGGER)
------- --------------
Transamerica Corp. ............... 10,200 $ 1,083,750
Tribune Co. ...................... 20,000 1,282,500
Tricon Global Restaurants, Inc. .. 25,260 1,150,909*
Tupperware Corp. ................. 9,500 165,656
Tyco International Ltd ........... 106,185 6,988,300
U.S. Bancorp. .................... 122,400 4,505,850
U.S. West, Inc. .................. 82,981 5,165,567
UNUM Corp. ....................... 22,700 1,222,963
USAir Group, Inc. ................ 15,400 800,800*
UST, Inc. ........................ 30,700 1,066,825
USX-Marathon Group, Inc. ......... 50,800 1,441,450
USX-US Steel Group. .............. 14,520 354,833
Unicom Corp., Inc. ............... 35,700 1,345,444
Unilever NV ...................... 105,800 8,179,663
Union Camp Corp. ................. 11,400 737,438
Union Carbide Corp. .............. 22,400 1,002,400
Union Pacific Corp. .............. 40,700 1,979,038
Union Pacific Resources
Group, Inc. .................... 41,476 464,013
Union Planters Corp. ............. 20,900 995,363
Unisys Corp. ..................... 42,100 1,199,850*
United Healthcare Corp. .......... 32,100 1,448,513
United Technologies Corp. ........ 37,400 4,008,813
Unocal Corp. ..................... 39,700 1,344,838
VF Corp. ......................... 20,000 981,250
Venator Group, Inc. .............. 22,300 175,613*
Viacom, Inc. Class B ............. 59,334 3,949,419*
WR Grace & Co. ................... 12,500 206,250*
Wachovia Corp. ................... 34,000 2,968,625
Walgreen Co. ..................... 82,100 4,407,744
Wal-Mart Stores, Inc. ............ 369,100 27,797,844
Warner-Lambert Co. ............... 135,300 10,215,150
Washington Mutual, Inc. .......... 98,090 3,804,053
Waste Management, Inc. ........... 94,547 4,053,703
Wells Fargo Company .............. 267,100 9,615,600
Wendy's International, Inc. ...... 21,000 420,000
Westvaco Corp. ................... 16,750 471,094
Weyerhaeuser Co. ................. 32,900 1,649,113
Whirlpool Corp. .................. 12,500 700,000
Willamette Industries, Inc. ...... 18,300 639,356
Williams Companies, Inc. ......... 70,097 2,019,670
Winn-Dixie Stores, Inc. .......... 24,500 987,656
Worthington Industries, Inc. ..... 15,975 196,193
Wrigley (Wm.) Jr. Co. ............ 19,100 1,683,188
Xerox Corp. ...................... 54,100 5,815,750
--------------
TOTAL COMMON STOCKS
(Cost $995,063,600) $1,555,425,299
--------------
FACE AMOUNT VALUE(DAGGER)
----------- --------------
TEMPORARY CASH INVESTMENTS -- (0.4%)
Repurchase Agreement, PNC Capital
Markets Inc. 4.95%, 12/01/98
(Collateralized by U.S. Treasury
Notes 6.25%, 08/31/02, valued
at $6,581,138) to be repurchased
at $6,476,890.
(Cost $6,476,000) .............. $6,476 6,476,000
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,001,539,600)
(DAGGER)(DAGGER) ................. $1,561,901,299
--------------
- --------------------
(DAGGER) See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
(DAGGER)(DAGGER) The cost for federal income tax purposes is $1,008,917,865.
See accompanying notes to financial statements.
100
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE COMPANY SERIES
(AMOUNTS IN THOUSANDS)
SEPTEMBER 30, 1999
------------------
(UNAUDITED)
ASSETS
Investments at Value (Cost $1,747,316) ....................... $2,450,487
Receivable for Dividends and Interest ........................ 2,918
Collateral for Securities Loaned ............................. 148
Receivable for Securities Lending ............................ 22
Prepaid Expenses and Other Assets ............................ 13
----------
Total Assets ............................................ 2,453,588
----------
LIABILITIES:
Payable for Investment Securities Purchased .................. 2,494
Payable for Securities Loaned ................................ 148
Accrued Expenses ............................................. 136
----------
Total Liabilities ....................................... 2,778
----------
NET ASSETS ...................................................... $2,450,810
==========
See accompanying notes to financial statements.
101
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE COMPANY SERIES
(AMOUNTS IN THOUSANDS)
NOVEMBER 30, 1998
-----------------
ASSETS
Investment at Value (Cost $1,001,540) ........................ $1,561,901
Collateral for Securities Loaned ............................. 6,673
Receivable for Dividends and Interest ........................ 2,274
Receivable for Fund Shares Sold .............................. 113
Prepaid Expenses and Other Assets ............................ 7
----------
Total Assets ............................................ $1,570,968
----------
LIABILITIES:
Payable for Securities Loaned ................................ 6,673
Payable for Investment Securities Purchased .................. 7,013
Accrued Expenses ............................................. 108
----------
Total Liabilities ....................................... 13,794
----------
NET ASSETS ...................................................... $1,557,174
==========
See accompanying notes to financial statements.
102
<PAGE>
STATEMENTS OF OPERATIONS THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE COMPANY SERIES (AMOUNTS IN THOUSANDS)
YEAR
ENDED
NOV. 30,
1998
----------
INVESTMENT INCOME
Dividends .................................................... $ 17,663
Interest ..................................................... 276
Income From Securities Lending ............................... 85
--------
Total Investment Income .................................... 18,024
--------
EXPENSES
Investment Advisory Services ................................. 293
Accounting & Transfer Agent Fees ............................. 176
Custodian's Fee .............................................. 134
Legal Fees ................................................... 12
Audit Fees ................................................... 18
Shareholders' Reports ........................................ 18
Trustees' Fees and Expenses .................................. 4
Other ........................................................ 84
--------
Total Expenses ............................................. 739
--------
NET INVESTMENT INCOME ...................................... 17,285
--------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net Realized Gain on Investment Securities ...................... 1,283
Change in Unrealized Appreciation of Investment Securities ...... 265,133
--------
NET GAIN ON INVESTMENT SECURITIES ............................ 266,416
--------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ............ $283,701
========
See accompanying notes to financial statements.
103
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE COMPANY SERIES (AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
1998 1997
-------- --------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income ........................................ $ 17,285 $ 11,179
Net Realized Gain on Investment Securities ................... 1,283 975
Change in Unrealized Appreciation of Investment Securities ... 265,133 147,979
---------- --------
Net Increase in Net Assets Resulting from Operations ....... 283,701 160,133
---------- --------
Transactions in Interest:
Contributions ................................................ 604,903 269,144
Withdrawals .................................................. (153,923) (73,225)
---------- --------
Net Increase from Transactions in Interest ................. 450,980 195,919
---------- --------
Total Increase ............................................. 734,681 356,052
---------- --------
NET ASSETS
Beginning of Period .......................................... 822,493 466,441
---------- --------
End of Period ................................................ $1,557,174 $822,493
========== ========
</TABLE>
See accompanying notes to financial statements.
104
<PAGE>
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
FINANCIAL HIGHLIGHTS THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE COMPANY SERIES (AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994
----------- --------- --------- -------- --------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period (1) .......... N/A N/A $ 13.48 $ 10.11 $ 10.27
------------- ----------- --------- ---------- --------
INCOME FROM INVESTMENT OPERATIONS (1)
Net Investment Income .......................... -- -- 0.15 0.30 0.28
Net Gains (Losses) on Securities(Realized
and Unrealized) .............................. -- -- 1.41 3.36 (0.14)
------------- ----------- --------- ---------- --------
Total from Investment Operations ............... -- -- 1.56 3.66 0.14
------------- ----------- --------- ---------- --------
LESS DISTRIBUTIONS (1)
Net Investment Income .......................... -- -- (0.16) (0.29) (0.29)
Net Realized Gains ............................. -- -- (0.08) -- (0.01)
------------- ----------- --------- ---------- --------
Total Distributions ....................... -- -- (0.24) (0.29) (0.30)
------------- ----------- --------- ---------- --------
Net Asset Value, End of Period (1) ................ N/A N/A $ 14.80 $ 13.48 $ 10.11
============= =========== ========= ======== ========
Total Return (1) .................................. N/A N/A 11.60%# 36.77% 1.30%
============= =========== ========= ======== ========
Net Assets, End of Period (thousands) ............. $ 1,557,174 $ 822,493 $ 466,441 $ 97,118 $ 48,657
Ratio of Expenses to Average Net Assets ........... 0.06% 0.07% 0.12% 0.02% 0.02%
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumption of Expenses) .. 0.06% 0.07% 0.12% 0.18% 0.33%
Ratio of Net Investment Income to Average Net Assets 1.47% 1.75% 2.12% 2.61% 2.83%
Ratio of Net Investment Income to Average Net Assets
(Excluding Waivers and Assumption of Expenses) .. 1.47% 1.75% 2.12% 2.45% 2.52%
Portfolio Turnover Rate ........................... 9.31% 4.28% 14.09% 2.38% 8.52%
<FN>
- ----------------
# Non-Annualized
(1) Items are calculated for the period December 1, 1995 through May 31, 1996.
Effective June 1, 1996, the Series was reorganized as a partnership, and
these items are no longer applicable.
</FN>
</TABLE>
See accompanying notes to financial statements
105
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) THE DFA INVESTMENT TRUST COMPANY
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. At
November 30, 1998, The Trust consisted of sixteen portfolios, of which The U.S.
Large Company Series (the "Series") is presented in this report.
On June 1, 1996, the Series was reorganized from an entity taxed as a
corporation to an entity taxed as a partnership for income tax purposes. This
reorganization was accomplished by an amendment to the organization document of
the Series which for income tax purposes was treated as a liquidation of the
Series, immediate distribution of its assets to its sole shareholder at May 31,
1996, which was The U.S. Large Company Portfolio (the "Portfolio") and
subsequent contribution of those assets from the Portfolio, along with a nominal
contribution from the Advisor to this Series to create the partnership. On June
2, 1996, an unrelated investment company contributed assets valued at
$225,957,696 to the Series in exchange for a 63.4% interest in the Series. The
total net assets of the Series increased to $356,632,854 immediately following
this transaction. These transactions are expected to be tax-free events to all
parties involved based on rulings obtained from the Internal Revenue Service.
For financial reporting purposes, the Series continues to exist and as such,
will maintain all of its previous operating history throughout the financial
statements.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: Securities held by the Series which are listed on a
securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day, or if there is no such reported
sale, at the mean between the most recent bid and asked prices. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Unlisted securities for which market quotations are readily
available are valued at the mean between the most recent bid and asked prices.
Securities for which quotations are not readily available are valued in good
faith at fair value using methods determined by the Board of Directors.
2. FEDERAL INCOME TAXES: Prior to June 1, 1996, the Series qualified as a
regulated investment company and distributed all of its taxable income.
Accordingly, no provision for federal taxes was required in the financial
statements prior to that time. Effective June 1, 1996, the Series is treated as
a partnership for federal income tax purposes. Any interest, dividends and gains
or losses of the Series will be deemed to have been passed through to its Feeder
Funds.
3. REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the seller's agreement to repurchase them at an agreed upon date and
price. The seller will be required on a daily basis to maintain the value of the
collateral subject to the agreement at not less than the repurchase price
(including accrued interest). The agreements are conditioned upon the collateral
being deposited under the Federal Reserve book-entry system or with the Series
custodian or a third party sub-custodian. All open repurchase agreements were
entered into on November 30, 1998.
4. OTHER: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains and
losses on the sale of investment securities are those of specific securities
sold. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Interest income is recorded on the accrual basis. Expenses
directly attributable to the Series are directly charged. Common expenses are
allocated using methods determined by the Board of Trustees.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. (the "Advisor") provides investment advisory
services to the Series. For the year ended November 30, 1998, the Series'
advisory fees were computed daily and paid monthly to the Advisor based on an
effective annual rate of 0.025 of 1%.
Certain officers of the Series are also officers, directors and
shareholders of the Advisor.
106
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED) THE DFA INVESTMENT TRUST COMPANY
D. PURCHASES AND SALES OF SECURITIES:
The Series made the following purchases and sales of investment securities,
other than short-term and government securities (amounts in thousands):
YEAR ENDED
NOV. 30, 1998
------------
Purchases ................................ $513,170
Sales .................................... 107,862
E. INVESTMENT TRANSACTIONS:
The gross unrealized appreciation and depreciation for federal income tax
purposes of investment securities was as follows (amounts in thousands):
YEAR ENDED
NOV. 30, 1998
-------------
Gross Unrealized Appreciation ............ $571,157
Gross Unrealized Depreciation ............ (18,174)
--------
Net ...................................... $552,983
========
F. LINE OF CREDIT:
The Trust, together with other DFA-advised portfolios, has entered into a
$50 million unsecured line of credit with its domestic custodian bank. Each
series is permitted to borrow, subject to its investment limitations, up to a
maximum of $50 million. Borrowings under the line are charged interest at the
current overnight federal funds rate plus a variable rate determined at the date
of borrowing. Each series is individually, and not jointly liable for its
particular advances under the line. There is no commitment fee on the unused
portion of the line of credit. For the year ended November 30, 1998, the Series
borrowed against the line of credit as follows:
<TABLE>
<CAPTION>
MAXIMUM
AMOUNT
WEIGHTED WEIGHTED NUMBER OF INTEREST BORROWED
AVERAGE AVERAGE DAYS EXPENSE DURING
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD
------------- ------------ ----------- --------- -----------
<S> <C> <C> <C> <C> <C>
Year Ended November 30, 1998 ... 6.25% $5,573,087 19 $31,901 $33,400,000
</TABLE>
There were no outstanding borrowings under the line of credit at at
November 30, 1998.
G. SECURITIES LENDING
Security loans are required at all times to be secured by collateral at
least equal to 102% of the market value of the securities on loan. However, in
the event of default or bankruptcy by the other party to the agreement,
realization and/or retention of the collateral may be subject to legal
proceedings. In the event that the borrower fails to return loaned securities,
and cash collateral being maintained by the borrower is insufficient to cover
the value of loaned securities, and provided such collateral insufficiency is
not the result of investment losses, the lending agent has agreed to pay the
amount of the shortfall to the Series or, at the option of the lending agent,
replace the loaned securities. Such cash collateral for November 30, 1998 was
reinvested into overnight repurchase agreements with Warburg Dillon Reed. The
market value of securities on loan to brokers from the Series, the related
collateral cash received and the value of the collateral on overnight repurchase
agreements was as follows:
NOV. 30, 1998
-------------
Value of Securities on Loan ................................. $6,188,118
Value of Collateral and Indemnification ..................... 6,672,900
Value of Collateral on Overnight Repurchase Agreements ...... 6,228,371
107
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS THE DFA INVESTMENT TRUST COMPANY
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF
THE DFA INVESTMENT TRUST COMPANY:
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of The U.S. Large Company Series of
The DFA Investment Trust Company (the "Fund") at November 30, 1998, the results
of its operations for the year then ended, the changes in its net assets for
each of the two years in the period then ended and the financial highlights for
each of the periods presented, in conformity with generally accepted accounting
principles. These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the Fund's
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with generally accepted auditing standards which
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities owned at November 30, 1998 by correspondence with the
custodian and brokers, provide a reasonable basis for the opinion expressed
above.
PricewaterhouseCoopers LLP
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 15, 1999
108
<PAGE>
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<PAGE>
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<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<PAGE>
BLACKROCK FUNDS
Investment Adviser
BlackRock Advisors, Inc.
New York, New York 10154
Sub-Adviser -- Large Cap Value Equity
Portfolio, Large Cap Growth Equity
Portfolio, Mid-Cap Value Equity
Portfolio, Mid-Cap Growth Equity
Portfolio, Small Cap Value Equity
Portfolio, Small Cap Growth Equity
Portfolio, Micro-Cap Equity Portfolio,
International Small Cap Equity Portfolio,
Select Equity Portfolio and Balanced Portfolio
BlackRock Financial Management, Inc.
New York, New York 10154
Sub-Adviser -- International Equity Portfolio
and International Emerging Markets Portfolio
BlackRock International Limited
Edinburgh, Scotland EH2 3AH
Custodian
PFPC Trust Co.
Philadelphia, Pennsylvania 19103
Co-Administrator and Transfer Agent
PFPC Inc.
Wilmington, Delaware 19809
Co-Administrator and Distributor
BlackRock Distributors, Inc.
West Conshohocken, Pennsylvania 19428
Co-Administrator
BlackRock Advisors, Inc.
New York, New York 10154
Counsel
Simpson, Thacher & Bartlett
New York, New York 10017
(A partnership which includes professional
corporations)
Independent Accountants
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania 19103
To reduce expenses, the Fund will mail only one copy of annual and semi-annual
reports and most prospectuses to your household, even if more than one person in
the household has a Fund account. Please call (800) 441-7762 if you would like
to receive additional reports or prospectuses.
<PAGE>
BLACKROCK FUNDS
FUND SPECTRUM
BLACKROCK FUNDS IS A LEADING MUTUAL FUND COMPANY CURRENTLY MANAGING IN EXCESS
OF $25 BILLION IN 36 PORTFOLIOS DESIGNED TO FIT A BROAD RANGE OF INVESTMENT
GOALS. EACH PORTFOLIO IS MANAGED BY RECOGNIZED EXPERTS IN EQUITY, FIXED INCOME,
INTERNATIONAL, AND TAX-FREE INVESTING WHO ADHERE TO A PURE INVESTMENT
STYLE.(REGISTRATION MARK)
STOCK PORTFOLIOS
- ----------------
Large Cap Value Equity
Large Cap Growth Equity
Mid-Cap Value Equity
Mid-Cap Growth Equity
Small Cap Value Equity
Small Cap Growth Equity
Micro-Cap Equity
International Equity
International Small Cap Equity
International Emerging Markets
Select Equity
Index Equity
STOCK & BOND PORTFOLIOS
- -----------------------
Balanced
BOND PORTFOLIOS
- ---------------
Low Duration Bond
Intermediate Government Bond
Intermediate Bond
Core Bond
Government Income
GNMA
Managed Income
International Bond
High Yield Bond
TAX-FREE BOND PORTFOLIOS
- ------------------------
Tax-Free Income
Pennsylvania Tax-Free Income
New Jersey Tax-Free Income
Ohio Tax-Free Income
Delaware Tax-Free Income
Kentucky Tax-Free Income
MONEY MARKET PORTFOLIOS
- -----------------------
Money Market
U.S. Treasury Money Market
Municipal Money Market
New Jersey Municipal Money Market
North Carolina Municipal Money Market
Ohio Municipal Money Market
Pennsylvania Municipal Money Market
Virginia Municipal Money Market
SHAREHOLDER PRIVILEGES
24 HOUR ACCOUNT INFORMATION
Call us at 1-800-441-7762, 24 hours a day, 7 days a week to get information
about your account balances, recent transactions and share prices. Note:
Institutional and Service Share Class investors should call 1-800-441-7764. You
can also reach us on the Internet through the World Wide Web by accessing
http://www.blackrock.com.
EXCHANGE PRIVILEGES
Should your investment goals change, shareholders in our Investor Class shares
may exchange all or part of their investments into the same share class of any
other portfolio of BlackRock Funds. (1)
AUTOMATIC INVESTMENT PLANS
Investor Class shareholders who want to invest regularly can arrange to have $50
or more automatically deducted from their checking or savings account and
invested in any of the BlackRock portfolios.
SYSTEMATIC WITHDRAWAL PLANS
Investor Class shareholders can establish a systematic withdrawal plan and
receive periodic payments of $100 or more from their BlackRock portfolios, as
long as their account is at least $1,000.
RETIREMENT PLANS
Shareholders may make investments in conjunction with individual IRA accounts or
rollover IRAs.
GENERAL INFORMATION ABOUT THE BLACKROCK FUNDS
If you would like additional reports or have questions regarding any of the 36
BlackRock Funds, please call 1-800-FUTURE4 (1-800-388-8734)
(1) BLACKROCK FUNDS RESERVES THE RIGHT TO MODIFY OR TERMINATE THE EXCHANGE
PRIVILEGES AT ANY TIME.
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BLACKROCK
FUNDS
P.O. Box 8907
Wilmington, DE 19899
Shares of the Fund are not deposits or obligations of, or guaranteed or endorsed
by PNC Bank, National Association or any other bank and shares are not federally
insured by, guaranteed by, obligations of or otherwise supported by the U.S.
Government, the Federal Deposit Insurance Corporation, The Federal Reserve
Board, or any other governmental agency. Investments in shares of the fund
involve investment risks, including the possible loss of the principal amount
invested.
AR 9/30/99 EP
