UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number: 811-04264

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock California Municipal Opportunities Fund of BlackRock California Municipal Series Trust, 55 East 52^nd Street, New York, NY 10055

Registrant’s telephone number, including area code: (800) 441-7762

Date of fiscal year end: 05/31/2021

Date of reporting period: 11/30/2020

Item 1 – Report to Stockholders

(a) The Report to Shareholders is attached herewith.

BlackRock California Municipal Series Trust

BlackRock Multi-State Municipal Series Trust

BlackRock Municipal Series Trust

Table of Contents

Investment Objective

BlackRock California Municipal Opportunities Fund’s (the “Fund”) investment objective is to provide shareholders with income exempt from Federal and California income taxes.

Portfolio Management Commentary

How did the Fund perform?

For the six-month period ended November 30, 2020, the Fund outperformed its primary benchmark, the S&P^® Municipal Bond Index, and its secondary benchmark, the S&P^® California Municipal Bond Index. The following discussion of relative performance pertains to the S&P^® California Municipal Bond Index.

What factors influenced performance?

Municipal bonds delivered strong returns in the past six months. When the period began, municipal bonds were in the early stages of a recovery from the sell-off caused by COVID-19 and governments’ efforts to mitigate the virus. The rally gained steam through the spring and summer of 2020, due to positive supply-and-demand trends, an improving economic outlook, and the Fed’s stated intent to maintain its near-zero interest rate policy indefinitely. Municipal bonds lost momentum in September and October of 2020 as a result of elevated new-issue supply ahead of the election, as well as uncertainty surrounding the next phase of fiscal stimulus. The market regained its footing in November of 2020 amid a broad-based recovery in the financial markets, helping the index finish the period with a healthy gain.

Despite the challenges to state and local budgets from COVID-19, California’s credit quality held up well across most sectors. The potential for higher federal tax rates in the future, together with investors’ ongoing demand for income, created a secure technical backdrop for tax-exempt municipal bonds in high-tax states such as California. With that said, adverse population and business migration trends bear watching.

The Fund’s positions in longer-term securities, which outperformed shorter-dated issues, were key contributors to performance. An overweight in utilities was an additional positive, as essential-service revenue bonds outperformed general obligation bonds (“GOs”) amid concerns about stresses on local economies. (Revenue bonds are backed by specific revenue streams, whereas GOs are backed by general tax receipts.)

Positions in high-yield bonds also contributed to performance, reflecting the rebound in investors’ appetite for risk over the course of the period. The Fund’s use of leverage further added value by augmenting income and amplifying the effect of rising prices.

The Fund actively sought to manage interest rate risk using U.S. Treasury futures. Since Treasury yields rose marginally—the opposite of what occurred in the municipal market—this strategy contributed positively to Fund performance. (Prices and yields move in opposite directions.)

The Fund’s cash position, while limited, detracted from the Fund’s results in the rising market.

Describe recent portfolio activity.

The Fund continued to seek a balance of competitive total return and tax-exempt income using an active strategy designed to capitalize on credit, yield curve and interest rate trends.

During the period, the investment adviser tactically sold positions where it believed profit potential had been realized, and it rotated the proceeds into securities that presented better opportunities. The new purchases were biased toward essential service revenue bonds over GOs.

The Fund’s weighting in “green” securities rose. (These are bonds that are listed on the Climate Bonds Initiative website.) This shift was partially taken as an intentional effort to increase the portfolio’s allocation to this area, as well as new classifications of existing holdings.

Describe portfolio positioning at period end.

The Fund’s duration was 6.0 years, in line with the index. The Fund also continued to pursue risk-management strategies with respect to interest rates given the low absolute level of yields. The Fund maintained a high-quality bias, with an average credit rating of AA, despite an increase in its weighting in high-yield bonds to 16% of assets. The Fund’s position in taxable bonds stayed even at approximately 5%. Leverage stood at about 5% at the end of November, which was the same as its level six months earlier.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

Performance Summary for the Period Ended November 30, 2020

N/A — Not applicable as the share class and index do not have a sales charge.

Past performance is not an indication of future results.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Expense Example

See “Disclosure of Expenses” for further information on how expenses were calculated.

Portfolio Information

Investment Objective

BlackRock New Jersey Municipal Bond Fund’s (the “Fund”) investment objective is to provide shareholders with income exempt from Federal income tax and New Jersey personal income taxes.

Portfolio Management Commentary

How did the Fund perform?

For the six-month period ended November 30, 2020, the Fund outperformed its primary benchmark, the S&P^® Municipal Bond Index, but underperformed its secondary benchmark, the Custom New Jersey Index. The following discussion of relative performance pertains to the Custom New Jersey Index.

What factors influenced performance?

Municipal bonds delivered strong returns in the past six months. When the period began, municipal bonds were in the early stages of a recovery from the sell-off caused by COVID-19 and governments’ efforts to mitigate the virus. The rally gained steam through the spring and summer of 2020, due to positive supply-and-demand trends, an improving economic outlook, and the Fed’s stated intent to maintain its near-zero interest rate policy indefinitely. Municipal bonds lost momentum in September and October of 2020 as a result of elevated new-issue supply ahead of the election, as well as uncertainty surrounding the next phase of fiscal stimulus. The market regained its footing in November of 2020 amid a broad-based recovery in the financial markets, helping the index finish the period with a healthy gain.

New Jersey strongly outpaced the national market in the period. Lower-quality bonds generated strong relative performance, which was a tailwind for New Jersey due to the state’s lower average credit quality.

An underweight in New Jersey appropriated debt detracted from relative performance. (Appropriation bonds are those that an entity does not have a legal requirement to repay.) The premium amortization of short duration, pre-refunded bonds was another drag on performance. (When a bond’s price trades at a premium over its face value, the difference is amortized over time. A bond premium occurs when the price of the bond increases above par due to declining interest rates. Duration is a measure of interest-rate sensitivity.) Reinvestment risk continued to be a challenge to maintaining the Fund’s income given the lower rates on newly issued debt.

An overweight position in high yield bonds, which outperformed the overall state market, made a strong contribution to returns despite the Fund’s limited weighting in the category. Yield spreads compressed late in the period as the supply-and-demand backdrop improved following the pre-election pull forward of new issuance in October.

The Fund actively sought to manage interest rate risk using U.S. Treasury futures. Since Treasury yields rose marginally—the opposite of what occurred in the municipal market—this strategy contributed positively. (Prices and yields move in opposite directions.)

Describe recent portfolio activity.

The investment adviser put cash to work during the period, as historically wide yield spreads presented an opportunity to capture upside performance. In addition, the increase in new-issue supply ahead of the election led to attractive concessions from issuers, and the Fund participated in many of these transactions. Its purchases were focused on the long end of the yield curve. The investment adviser added positions in lower-coupon bonds on the belief this segment would gain a larger benefit from falling interest rates, and it purchased housing bonds based on their attractive pricing and above-average downside protection. The Fund also participated in a new general obligation issue associated with the July 2020 COVID-19 Emergency Bond Act, which authorized the state to borrow up to $9.9 billion or the fiscal years 2020 and 2021.

Describe portfolio positioning at period end.

The Fund was underweight in state appropriated debt and toll roads, and it was overweight in the health care, corporate-backed and airport sectors. The Fund was also overweight in high yield bonds, including an out-of-benchmark position in Puerto Rico. In terms of rating tiers, the Fund was overweight in the AA and A categories and underweight BBBs. The Fund’s duration was above that of the benchmark, and it was overweight in bonds with maturities of 20 years and above. Conversely, the Fund was underweight in the 0- to 15-year segment of the yield curve.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

Performance Summary for the Period Ended November 30, 2020

N/A — Not applicable as the share class and index do not have a sales charge.

Past performance is not an indication of future results.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Expense Example

See “Disclosure of Expenses” for further information on how expenses were calculated.

Portfolio Information

Investment Objective

BlackRock Pennsylvania Municipal Bond Fund’s (the “Fund”) investment objective is to provide shareholders with income exempt from Federal income tax and Pennsylvania personal income taxes.

Portfolio Management Commentary

How did the Fund perform?

For the six-month period ended November 30, 2020, the Fund outperformed both its primary benchmark, the S&P^® Municipal Bond Index, and its secondary benchmark, the Custom Pennsylvania Index. The following discussion of relative performance pertains to the Custom Pennsylvania Index.

What factors influenced performance?

Municipal bonds delivered strong returns in the past six months. When the period began, municipal bonds were in the early stages of a recovery from the sell-off caused by COVID-19 and governments’ efforts to mitigate the virus. The rally gained steam through the spring and summer of 2020, due to positive supply-and-demand trends, an improving economic outlook, and the Fed’s stated intent to maintain its near-zero interest rate policy indefinitely. Municipal bonds lost momentum in September and October of 2020 as a result of elevated new-issue supply ahead of the election, as well as uncertainty surrounding the next phase of fiscal stimulus. The market regained its footing in November of 2020 amid a broad-based recovery in the financial markets, helping the index finish the period with a healthy gain.

Positions in lower-rated securities (those rated BBB and below) made a strong contribution to returns despite the Fund’s limited weighting in this area. Yield spreads compressed late in the period as the supply-and-demand backdrop improved following the pre-election pull forward of new issuance in October. Holdings in state tax-backed bonds further contributed, driven primarily by holdings in Puerto Rico. An overweight in the health care sector was an additional positive.

The Fund’s overweight in bonds with maturities of 20 years and above, which outpaced the broader market by a wide margin, significantly benefited relative performance.

The Fund actively sought to manage interest rate risk using U.S. Treasury futures. Since Treasury yields rose marginally—the opposite of what occurred in the municipal market—this strategy contributed positively. (Prices and yields move in opposite directions.)

The premium amortization of short duration, pre-refunded bonds was a drag on performance. (When a bond’s price trades at a premium over its face value, the difference is amortized over time. A bond premium occurs when the price of the bond increases above par due to declining interest rates. Duration is a measure of interest-rate sensitivity.)

Describe recent portfolio activity.

The investment adviser put cash to work by adding to Pennsylvania state general obligation bonds and high-grade hospital debt. It also added to the Fund’s position in the transportation sector through purchases of both Philadelphia airport and Pennsylvania turnpike issues. The portfolio’s duration increased as a result of these shifts.

Describe portfolio positioning at period end.

The Fund was underweight in state and local tax-backed debt. The underweight in state tax-backed issues reflected the investment adviser’s belief that COVID-19 will continue to present fiscal challenges, including lower revenues and increased liquidity demands. Given the uncertainty surrounding additional federal aid for states, together with Pennsylvania’s minimal reserves, elevated leverage and high fixed costs, these issues could prove difficult to overcome.

The portfolio was overweight in the transportation, hospital and education sectors, as well as in bonds rated BBB and below. The Fund’s duration was above that of the benchmark, and it was overweight in bonds with maturities of 20 years and above. Conversely, the Fund was underweight in the shorter end of the yield curve.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

Performance Summary for the Period Ended November 30, 2020

N/A — Not applicable as the share class and index do not have a sales charge.

Past performance is not an indication of future results.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Expense Example

See “Disclosure of Expenses” for further information on how expenses were calculated.

Portfolio Information

Investment Objective

BlackRock Strategic Municipal Opportunities Fund’s (the “Fund”) investment objective is to provide shareholders with a high level of income exempt from Federal income taxes.

Portfolio Management Commentary

How did the Fund perform?

For the six-month period ended November 30, 2020, the Fund outperformed its primary benchmark, the S&P^® Municipal Bond Index, as well as its custom blended secondary benchmark comprised of 65% S&P^® Municipal Bond Investment Grade Index, 30% S&P^® Municipal Bond High Yield Index and 5% Bloomberg Barclays Taxable Municipal: U.S. Aggregate Eligible Index. The following discussion of relative performance pertains to the custom blended benchmark.

What factors influenced performance?

Municipal bonds delivered strong returns in the past six months. When the period began, municipal bonds were in the early stages of a recovery from the sell-off caused by COVID-19 and governments’ efforts to mitigate the virus. The rally gained steam through the spring and summer of 2020, due to positive supply-and-demand trends, an improving economic outlook, and the Fed’s stated intent to maintain its near-zero interest rate policy indefinitely. Municipal bonds lost momentum in September and October of 2020 as a result of elevated new-issue supply ahead of the election, as well as uncertainty surrounding the next phase of fiscal stimulus. The market regained its footing in November of 2020 amid a broad-based recovery in the financial markets, helping the index finish the period with a healthy gain.

The Fund’s sector allocation, security selection and active duration management all contributed to performance. (Duration is a measure of interest rate sensitivity.) With respect to allocation, overweight positions in the housing, transportation and corporate-backed sectors were additive. Security selection in Puerto Rico also added, as did an overweight in BBB rated issues.

The Fund used U.S. Treasury futures to manage interest rate risk. Given that Treasury yields remained range bound throughout the period, this strategy had a small, positive effect on results.

An underweight position in local tax-backed issues and security selection in the health care sector detracted from relative performance. An underweight in unrated and AA rated bonds further hindered results.

Describe recent portfolio activity.

The Fund opened the period with a duration of 6.94 years and closed with a duration of 6.91.

At the beginning of the period, the Fund’s largest sector weightings were in housing, transportation and health care. The investment adviser subsequently increased the portfolio’s allocation to state tax-backed issues and decreased its weightings in the transportation and housing sectors.

The Fund maintained a high-quality bias in the investment-grade category, with its largest allocations to the AA and A rating tiers. About 23% of the Fund’s assets were in high yield (below investment grade) bonds, up from 22% at the end of May, with the majority in the tobacco sector and Puerto Rico.

The Fund held an allocation of approximately 46% to bonds with maturities of 20 years and above, down from 57% at the beginning of the period. Its weighting in taxable securities was 6%, versus 5% at the end of May 2020. The portfolio’s cash weighting increased, as the investment adviser used post-election market strength to sell select positions.

Describe portfolio positioning at period end.

The Fund’s duration was slightly higher than that of the benchmark. The Fund was overweight in the transportation and housing sectors, and it was underweight in school districts and local tax-backed debt. The Fund’s average credit quality was A+.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

Performance Summary for the Period Ended November 30, 2020

N/A — Not applicable as the share class and index do not have a sales charge.

Past performance is not an indication of future results.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Expense Example

See “Disclosure of Expenses” for further information on how expenses were calculated.

Portfolio Information

About Fund Performance  

Institutional Shares are not subject to any sales charge. These shares bear no ongoing distribution or service fees and are available only to certain eligible investors.

Class K Shares are not subject to any sales charge. These shares bear no ongoing distribution or service fees and are available only to certain eligible investors. For each Fund, Class K Shares performance shown prior to the Class K January 25, 2018 inception date is that of Institutional Shares. The performance of the Funds’ Class K Shares would be substantially similar to Institutional Shares because Class K Shares and Institutional Shares invest in the same portfolio of securities and performance would only differ to the extent that Class K Shares and Institutional Shares have different expenses. The actual returns of Class K Shares would have been higher than those of the Institutional Shares because Class K Shares have lower expenses than the Institutional Shares.

Service Shares (available only in BlackRock New Jersey Municipal Bond Fund and BlackRock Pennsylvania Municipal Bond Fund) are not subject to any sales charge. These shares are subject to a service fee of 0.25% per year (but no distribution fee) and are only available to certain eligible investors.

Investor A Shares are subject to a maximum initial sales charge (front-end load) of 4.25% and a service fee of 0.25% per year (but no distribution fee). Certain redemptions of these shares may be subject to a contingent deferred sales charge (“CDSC”) where no initial sales charge was paid at the time of purchase. These shares are generally available through financial intermediaries.

Investor A1 Shares (for all Funds except BlackRock Strategic Municipal Opportunities Fund) are subject to a maximum initial sales charge (front-end load) of 4.00% and a service fee of 0.10% per year (but no distribution fee). Investor A1 Shares for BlackRock Strategic Municipal Opportunities Fund incur a maximum initial sales charge (front-end load) of 1.00% and a service fee of 0.10% per year (but no distribution fee). The maximum initial sales charge does not apply to current eligible shareholders of Investor A1 Shares of the Funds. Investor A1 Shares are only available for dividend and capital gain reinvestment by existing shareholders, and for purchase by certain employer-sponsored retirement plans and, for BlackRock California Municipal Opportunities Fund only, fee based programs previously approved by the Fund. Certain redemptions of these shares may be subject to a CDSC where no initial sales charge was paid at the time of purchase. However, the CDSC does not apply to redemptions by certain employer-sponsored retirement plans or to redemptions of shares acquired through the reinvestment of dividends and capital gains by existing shareholders and, for BlackRock California Municipal Opportunities Fund only, fee based programs previously approved by the Fund.

Investor C Shares are subject to a 1.00% CDSC if redeemed within one year of purchase. In addition, these shares are subject to a distribution fee of 0.75% per year and a service fee of 0.25% per year. These shares are generally available through financial intermediaries. These shares automatically convert to Investor A Shares after approximately eight years.

Past performance is not an indication of future results. Financial markets have experienced extreme volatility and trading in many instruments has been disrupted. These circumstances may continue for an extended period of time, and may continue to affect adversely the value and liquidity of the fund’s investments. As a result, current performance may be lower or higher than the performance data quoted. Refer to blackrock.com to obtain performance data current to the most recent month-end. Performance results do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Figures shown in the performance tables on the previous pages assume reinvestment of all distributions, if any, at net asset value (“NAV”) on the ex-dividend date or payable date, as applicable. Investment return and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Distributions paid to each class of shares will vary because of the different levels of service, distribution and transfer agency fees applicable to each class, which are deducted from the income available to be paid to shareholders.

BlackRock Advisors, LLC (the “Manager”), each Fund’s investment adviser, has contractually and/or voluntarily agreed to waive and/or reimburse a portion of each Fund’s expenses. Without such waivers and/or reimbursements, each Fund’s performance would have been lower. With respect to each Fund’s voluntary waiver(s), if any, the Manager is under no obligation to waive and/or reimburse or to continue waiving and/or reimbursing its fees and such voluntary waiver(s) may be reduced or discontinued at any time. With respect to each Fund’s contractual waiver(s), if any, the Manager is under no obligation to continue waiving and/or reimbursing its fees after the applicable termination date of such agreement. See the Notes to Financial Statements for additional information on waivers and/or reimbursements.

The standardized 30-day yield includes the effects of any waivers and/or reimbursements. The unsubsidized 30-day yield excludes the effects of any waivers and/or reimbursements.

Bloomberg BarclaysTaxable Municipal: U.S. Aggregate Eligible Index — represents securities that are taxable, dollar-denominated, and issued by a U.S. state or territory, and have at least one year to final maturity regardless of call features, have at least $250 million par amount outstanding, and are rated investment-grade (at least BBB- by S&P or Fitch Ratings (“Fitch”) and/or Baa3 by Moody’s) by at least two of the following ratings agencies: S&P, Moody’s and Fitch.

S&P^® Municipal Bond HighYield Index — a market-value-weighted index that consists of bonds in the S&P Municipal Bond Index that are nonrated or that are rated BB+ by S&P and/or Ba1 by Moody’s or lower; bonds that are prerefunded or escrowed to maturity are not included in this index.

S&P^® Municipal Bond Investment Grade Index — a market-value-weighted index that consists of bonds in the S&P Municipal Bond Index that are rated at least BBB by S&P and/or Baa3 by Moody’s.

Disclosure of Expenses

Shareholders of each Fund may incur the following charges: (a) transactional expenses, such as sales charges; and (b) operating expenses, including investment advisory fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other fund expenses. The expense examples shown (which are based on a hypothetical investment of $1,000 invested on June 1, 2020 and held through November 30, 2020) are intended to assist shareholders both in calculating expenses based on an investment in each Fund and in comparing these expenses with similar costs of investing in other mutual funds.

The expense examples provide information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their Fund and share class under the heading entitled “Expenses Paid During the Period.”

The expense examples also provide information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in these Funds and other funds, compare the 5% hypothetical examples with the 5% hypothetical examples that appear in shareholder reports of other funds.

The expenses shown in the expense examples are intended to highlight shareholders’ ongoing costs only and do not reflect transactional expenses, such as sales charges, if any. Therefore, the hypothetical examples are useful in comparing ongoing expenses only, and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.

The Benefits and Risks of Leveraging

The Funds may utilize leverage to seek to enhance returns and net asset value (“NAV”). However, there is no guarantee that these objectives can be achieved in all interest rate environments.

Each Fund may leverage its assets through the use of proceeds received in tender option bond (“TOB”) transactions, as described in the Notes to Financial Statements. In a TOB Trust transaction, the Funds transfers municipal bonds or other municipal securities into a special purpose entity (a “TOB Trust”). TOB investments generally provide the Funds with economic benefits in periods of declining short-term interest rates, but expose the Funds to risks during periods of rising short-term interest rates. Additionally, fluctuations in the market value of municipal bonds deposited into a TOB Trust may adversely affect the Funds’ NAV per share.

In general, the concept of leveraging is based on the premise that the financing cost of leverage, which is based on short-term interest rates, is normally lower than the income earned by each Fund on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of each Fund (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the Fund’s shareholders benefit from the incremental net income.

The interest earned on securities purchased with the proceeds from leverage is distributed to the Funds’ shareholders, and the value of these portfolio holdings is reflected in each Fund’s per share NAV. However, in order to benefit shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other ongoing costs of leverage exceed a Fund’s return on assets purchased with leverage proceeds, income to shareholders is lower than if the Fund had not used leverage.

Furthermore, the value of each Fund’s portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can also influence the value of portfolio investments. As a result, changes in interest rates can influence each Fund’s NAV positively or negatively in addition to the impact on each Fund’s performance from leverage. Changes in the direction of interest rates are difficult to predict accurately, and there is no assurance that a Fund’s leveraging strategy will be successful.

The use of leverage also generally causes greater changes in each Fund’s NAV and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the NAV of a Fund’s shares than if the Fund was not leveraged. In addition, each Fund may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of the leverage instruments, which may cause the Funds to incur losses. The use of leverage may limit a Fund’s ability to invest in certain types of securities or use certain types of hedging strategies. Each Fund incurs expenses in connection with the use of leverage, all of which are borne by each Fund’s shareholders and may reduce income.

Derivative Financial Instruments

The Funds may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. The Funds’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Funds’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.