UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number:811-02405,811-09739 and811-21434
Name of Fund: BlackRock Balanced Capital Fund, Inc., Master Advantage Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Balanced Capital Fund, Inc., Master Advantage Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC, 55 East 52nd Street, New York, NY 10055
Registrants’ telephone number, including area code: (800)441-7762
Date of fiscal year end: 09/30/2019
Date of reporting period: 03/31/2019
Item 1 – Report to Stockholders
MARCH 31, 2019
SEMI-ANNUAL REPORT (UNAUDITED) |
BlackRock Balanced Capital Fund, Inc.
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from BlackRock or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
You may elect to receive all future reports in paper free of charge. If you hold accounts directly with BlackRock, you can call (800)441-7762 to inform BlackRock that you wish to continue receiving paper copies of your shareholder reports. If you hold accounts through a financial intermediary, you can follow the instructions included with this disclosure, if applicable, or contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. Please note that not all financial intermediaries may offer this service. Your election to receive reports in paper will apply to all funds advised by BlackRock Advisors, LLC, BlackRock Fund Advisors or their affiliates, or all funds held with your financial intermediary, as applicable.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive electronic delivery of shareholder reports and other communications by: (i) accessing the BlackRock website at www.blackrock.com/edelivery and logging into your accounts, if you hold accounts directly with BlackRock, or (ii) contacting your financial intermediary, if you hold accounts through a financial intermediary. Please note that not all financial intermediaries may offer this service.
Not FDIC Insured§ May Lose Value§ No Bank Guarantee |
Dear Shareholder,
In the 12 months ended March 31, 2019, the U.S. equity and bond markets posted positive returns while weathering significant volatility. Though the market’s appetite for risk remained healthy for most of the reporting period, risk taking declined sharply in late 2018. Thereafter, global equity markets rebounded strongly, as inflation diminished and the U.S. Federal Reserve (the “Fed”) announced a shift to less restrictive monetary policy.
Volatility rose in emerging market stocks, as the rising U.S. dollar and higher interest rates in the U.S. disrupted economic growth abroad. U.S.-China trade relations and debt concerns adversely affected the Chinese stock market, while Turkey and Argentina became embroiled in currency crises, largely due to hyperinflation in both countries. An economic slowdown in Europe also led to negative performance for European equities. However, recent economic data indicates that Europe may emerge from its economic soft patch, reinvigorated by a manufacturing rebound and China’s economic stimulus.
Volatility in the U.S. equity market spiked in October, as a wide range of risks were brought to bear on markets, ranging from rising interest rates and slowing global growth to heightened trade tensions and political turmoil in several countries, including the United States. These risks manifested in a broad-basedsell-off in December, leading to the worst December performance on record since 1931.
By comparison, fixed income securities delivered modest positive returns with relatively low volatility. In fixed income markets, short-term U.S. Treasury yields rose the fastest, while longer-term yields declined slightly. This led to positive returns for U.S. Treasuries and a substantial flattening of the yield curve. Investment-grade and high-yield corporate bonds also posted positive returns, as the credit fundamentals in corporate markets remained relatively solid.
The Fed increased short-term interest rates three times during the reporting period. For its last two meetings, the Fed left interest rates unchanged and signaled a slower pace of rate hikes in response to the global economic slowdown. Relatively low inflation and modest economic growth give the Fed room to maintain support for the economy until the economic data builds the case for changing interest rates.
Although fears of recession drove equity volatility higher at the end of 2018, we continue to believe the probability of recession in 2019 remains relatively low. Economic growth and global earnings are likely to slow somewhat in 2019 because the tax cut stimulus will be less pronounced, and the Fed’s rate hikes in 2018 will gain traction in 2019. We expect profit margins to continue to contract, which tends to happen late in the business cycle.
In addition, trade frictions look more baked into asset prices than a year ago, but markets may be overlooking European political risks. As Brexit moves forward, the United Kingdom and the European Union may face significant obstacles. Most recently, Britain’s Parliament voted to extend the deadline for the separation, as policy makers continue to seek the least disruptive ways to disentangle Europe’s second-largest economy from the European Union. U.S. and emerging market equities remain relatively attractive. Within U.S. equities, we believe that companies with high-quality earnings and strong balance sheets offer the most attractive risk/rewardtrade-off.
In this environment, investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visitblackrock.comfor further insight about investing in today’s markets.
Sincerely,
Rob Kapito
President, BlackRock Advisors, LLC
Rob Kapito
President, BlackRock Advisors, LLC
Total Returns as of March 31, 2019 | ||||
6-month | 12-month | |||
U.S. large cap equities | (1.72)% | 9.50% | ||
U.S. small cap equities | (8.56) | 2.05 | ||
International equities | (3.81) | (3.71) | ||
Emerging market equities | 1.71 | (7.41) | ||
3-month Treasury bills | 1.17 | 2.12 | ||
U.S. Treasury | 7.08 | 5.59 | ||
U.S. investment grade bonds | 4.63 | 4.48 | ||
Tax-exempt municipal bonds | 4.32 | 5.12 | ||
U.S. high yield bonds | 2.39 | 5.93 | ||
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. |
2 | T H I S P A G E I S N O T P A R T O F Y O U R F U N D R E P O R T |
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Semi-Annual Report: | ||||
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Fund Financial Statements: | ||||
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Master Advantage Large Cap Core Portfolio Financial Statements: | ||||
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33 | ||||
34 | ||||
35 | ||||
Master Advantage Large Cap Core Portfolio Financial Highlights | 36 | |||
Master Advantage Large Cap Core Portfolio Notes to Financial Statements | 37 | |||
Director and Officer Information of the Fund and Master Large Cap Series LLC | 43 | |||
44 | ||||
Master Total Return Portfolio Consolidated Financial Statements: | ||||
45 | ||||
108 | ||||
109 | ||||
110 | ||||
Master Total Return Portfolio Consolidated Financial Highlights | 111 | |||
Master Total Return Portfolio Notes to Consolidated Financial Statements | 112 | |||
125 | ||||
126 | ||||
129 |
3 |
Fund Summary as of March 31, 2019 | BlackRock Balanced Capital Fund, Inc. |
Investment Objective
BlackRock Balanced Capital Fund, Inc.’s (the “Fund”)investment objective is to seek the highest total investment return through a fully managed investment policy utilizing equity, debt (including money market) and convertible securities.
Portfolio Management Commentary
How did the Fund perform?
For thesix-month period ended March 31, 2019, through its investments in Master Advantage Large Cap Core Portfolio of Master Large Cap Series LLC (the “equity allocation” or the “Master Advantage Large Cap Core Portfolio”) and Master Total Return Portfolio of Master Bond LLC (the “fixed income allocation” or the “Master Total Return Portfolio”) (each a “Master Portfolio” and collectively, the “Master Portfolios”), the Fund underperformed the blended reference benchmark (60% Russell 1000® Index/40% Bloomberg Barclays U.S. Aggregate Bond Index). For the same period, the Fund underperformed the fixed income portion of the benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index, but outperformed the equity portion of the benchmark, the Russell 1000® Index.
What factors influenced performance?
The Fund combinestop-down macroeconomic views andbottom-up security selection from the Master Advantage Large Cap Core Portfolio and Master Total Return Portfolio.
From an asset allocation perspective, an overweight position in Japanese equities (which was held until late January) detracted from relative performance given that the country’s market lagged the United States in that time. On the plus side, overweight positions in both U.S. equities and bonds (achieved through the use of modest leverage) contributed to returns. The two asset classes moved higher in the second half of the period due to investor perceptions of more dovish Fed policy and decreasing concerns about decelerating global growth.
Sentiment- and trend-based signals detracted from the Fund’s equity allocation in Master Advantage Large Cap Core Portfolio. However, severalsentiment-and trend-based insights that provide a quality-based analysis of companies were notable contributors.
Within the Fund’s fixed income allocation in Master Total Return Portfolio, European corporate bonds and tactical positions in the emerging markets were key detractors. An overweight position in U.S. investment-grade corporate bonds and allocations to securitized assets withinnon-agency mortgages added value, as did positions in collateralized loan obligations and commercial mortgage-backed securities. Duration positioning and an overweight position in U.S. municipal bonds further contributed to results. (Duration is a measure of interest rate sensitivity.)
During the period, the Fund employed derivatives through futures contracts in order to implement active asset allocation views. The Fund’s use of derivatives contributed to performance in the period. The Fund also held an elevated exposure to cash as collateral for its derivatives positions, which had no material impact on Fund performance.
Describe recent portfolio activity.
In the first half of the period, the Fund moved from an underweight position to a neutral stance on U.S. bonds and initiated an overweight in U.S. stocks on the expectation that continued inflationary pressures would benefit equities’ relative performance. The Fund also had an overweight position in Japanese equities, but reduced its position as prices moved in line with expectations. In the second half of the period, the Fund eliminated its allocation to Japanese equities, trimmed its overweight in U.S. stocks, and added an overweight position to U.S. duration on the belief that global growth and inflation would continue to stabilize. The Fund ended the period with overweight positions in the Australian dollar and the Euro versus the U.S. dollar, based on the view that a potentially hawkish shift in Australian and European Central Bank monetary policies would support both currencies.
Master Advantage Large Cap Core Portfolio maintained a balanced allocation of risk while adding a number of new stock selection insights to the portfolio. Among these was an insight that captures the location of hotel booking trends and invests in stocks most sensitive to those areas. The Master Advantage Large Cap Core Portfolio also added a machine-learned signal that pulls from several alternative data sources in an effort to gauge consumer transactions more accurately.
Master Total Return Portfolio reduced its duration overweight position during the fourth quarter of 2018, while rotating to longer-dated positions. Given the view that slowing economic growth and a near-neutral policy rate would keep U.S. interest rates range-bound in the near term, Master Total Return Portfolio added to sectors that would benefit from more accommodative monetary policy. Among these were agency mortgage-backed securities, municipal bonds and local currency emerging-market debt. Master Total Return Portfolio also used thesell-off of late 2018 as an opportunity to add to its overweight position in investment-grade corporates. During the first quarter of 2019, Master Total Return Portfolio modestly increased its overweight position in duration while further rotating toward longer-term bonds.
Describe portfolio positioning at period end.
The Fund held an overweight stance in both U.S. equities and U.S. duration, reflecting the investment adviser’s expectation that growth and inflation data would remain steady.
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.
4 | 2 0 1 9 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Fund Summary as of March 31, 2019 (continued) | BlackRock Balanced Capital Fund, Inc. |
Performance Summary for the Period Ended March 31, 2019
Average Annual Total Returns(a)(b) | ||||||||||||||||||||||||||||||||||||||
1 Year | 5 Years | 10 Years | ||||||||||||||||||||||||||||||||||||
6-Month | w/o sales | w/ sales | w/o sales | w/ sales | w/o sales | w/ sales | ||||||||||||||||||||||||||||||||
Total Returns | charge | charge | charge | charge | charge | charge | ||||||||||||||||||||||||||||||||
Institutional | 0.33% | 6.51 | % | N/A | 7.66 | % | N/A | 11.38 | % | N/A | ||||||||||||||||||||||||||||
Investor A | 0.18 | 6.23 | 0.65 | % | 7.36 | 6.20 | % | 11.04 | 10.45 | % | ||||||||||||||||||||||||||||
Investor C | (0.19) | 5.38 | 4.41 | 6.54 | 6.54 | 10.18 | 10.18 | |||||||||||||||||||||||||||||||
Class K | 0.37 | 6.59 | N/A | 7.67 | N/A | 11.39 | N/A | |||||||||||||||||||||||||||||||
Class R | 0.02 | 5.84 | N/A | 6.98 | N/A | 10.63 | N/A | |||||||||||||||||||||||||||||||
60% Russell 1000® Index/40% Bloomberg Barclays U.S. Aggregate Bond Index(c) | 1.03 | 7.68 | N/A | 7.59 | N/A | 11.22 | N/A | |||||||||||||||||||||||||||||||
Bloomberg Barclays U.S. Aggregate Bond | 4.63 | 4.48 | N/A | 2.74 | N/A | 3.77 | N/A | |||||||||||||||||||||||||||||||
Russell 1000® Index(e) | (1.76) | 9.30 | N/A | 10.63 | N/A | 16.05 | N/A |
(a) | Assuming maximum sales charges, if any. Average annual total returns with and without sales charges reflect reductions for distribution and service fees. See “About Fund Performance” on page 7 for a detailed description of share classes, including any related sales charges and fees, and how performance was calculated for certain classes. |
(b) | The Fund invests in equity securities (including common stock, preferred stock, securities convertible into common stock, or securities or other instruments whose price is linked to the value of common stock) and fixed-income securities (including debt securities, convertible securities and short term securities). |
(c) | A customized weighted index comprised of the returns of the Russell 1000® Index (60%) and Bloomberg Barclays U.S. Aggregate Bond Index (40%). |
(d) | A widely recognized unmanaged market-weighted index, comprised of investment-grade corporate bonds rated BBB or better, mortgages and U.S. Treasury and U.S. Government agency issues with at least one year to maturity. |
(e) | An index that measures the performance of the large cap segment of the U.S. equity universe. It is a subset of the Russell 3000® Index and includes approximately 1,000 of the largest securities based on a combination of their market capitalization and current index membership. The index represents approximately 92% of the total market capitalization of the Russell 3000® Index. |
N/A — Not applicable as share class and index do not have a sales charge. |
Past performance is not indicative of future results. |
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. |
Expense Example
Actual | Hypothetical(b) | |||||||||||||||||||||||||||||||
Beginning Account Value (10/01/18) | Ending Account Value (03/31/19) | Expenses Paid During the Period(a) | Beginning Account Value (10/01/18) | Ending Account Value (03/31/19) | Expenses Paid During the Period(a) | Annualized Expense Ratio | ||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Institutional | $1,000.00 | $1,003.30 | $2.69 | $1,000.00 | $1,022.24 | $2.72 | 0.54% | |||||||||||||||||||||||||
Investor A | 1,000.00 | 1,001.80 | 4.08 | 1,000.00 | 1,020.86 | 4.12 | 0.82 | |||||||||||||||||||||||||
Investor C | 1,000.00 | 998.10 | 7.82 | 1,000.00 | 1,017.11 | 7.89 | 1.57 | |||||||||||||||||||||||||
Class K | 1,000.00 | 1,003.70 | 2.35 | 1,000.00 | 1,022.58 | 2.37 | 0.47 | |||||||||||||||||||||||||
Class R | 1,000.00 | 1,000.20 | 5.73 | 1,000.00 | 1,019.20 | 5.79 | 1.15 | |||||||||||||||||||||||||
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(a) | For each class of the Fund, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 182/365 (to reflect theone-half year period shown). Because the Fund invests significantly in the Master Portfolios, the expense example reflects the net expenses of both the Fund and the Master Portfolios in which it invests. |
(b) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365. |
See “Disclosure of Expenses” on page 7 for further information on how expenses were calculated. |
Portfolio Information
PORTFOLIO COMPOSITION
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Asset Type | Percent of Total Investments | |||
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Equity Funds | 55% | |||
Fixed Income Funds | 36 | |||
Short-Term Securities | 9 | |||
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F U N D S U M M A R Y | 5 |
The Benefits and Risks of Leveraging | BlackRock Balanced Capital Fund, Inc. |
The Master Total Return Portfolio 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.
The Master Total Return Portfolio may utilize leverage through a credit facility. 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 the Master Total Return Portfolio on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of the Master Total Return Portfolio (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the Master Total Return Portfolio’s interestholders benefit from the incremental net income.
The interest earned on securities purchased with the proceeds from leverage is distributed to the Master Total Return Portfolio’s interestholders, and the value of these portfolio holdings is reflected in the Master Total Return Portfolio’s per share NAV. However, in order to benefit interestholders, 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 the Master Total Return Portfolio’s return on assets purchased with leverage proceeds, income to interestholders is lower than if the Master Total Return Portfolio had not used leverage.
Furthermore, the value of the Master Total Return Portfolio’s 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 the Master Total Return Portfolio’s NAV positively or negatively in addition to the impact on the Master Total Return Portfolio’s performance from leverage. Changes in the direction of interest rates are difficult to predict accurately, and there is no assurance that the Master Total Return Portfolio’s leveraging strategy will be successful.
The use of leverage also generally causes greater changes in the Master Total Return Portfolio’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 the Master Total Return Portfolio’s interests than if the Master Total Return Portfolio was not leveraged. In addition, the Master Total Return Portfolio 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 Master Total Return Portfolio to incur losses. The use of leverage may limit the Master Total Return Portfolio’s ability to invest in certain types of securities or use certain types of hedging strategies. The Master Total Return Portfolio incurs expenses in connection with the use of leverage, all of which are borne by the Master Total Return Portfolio’s interestholders and may reduce income.
Derivative Financial Instruments
The Fund and/or the Master Portfolios 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 Fund and/or the Master Portfolios’ 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 the Fund and/or the Master Portfolios can realize on an investment and/or may result in lower distributions paid to shareholders. The Fund and/or the Master Portfolios’ investments in these instruments, if any, are discussed in detail in the Fund’s and the Master Portfolios’ Notes to Financial Statements.
6 | 2 0 1 9 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
About Fund Performance | BlackRock Balanced Capital Fund, Inc. |
Institutional and Class K Sharesare 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 performance shown prior to the Class K Shares inception date of January 25, 2018 is that of Institutional Shares. The performance of the Fund’s 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.
Investor A Sharesare subject to a maximum initial sales charge(front-end load) of 5.25% and a service fee of 0.25% per year (but no distribution fee). Certain 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 C Sharesare 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. Effective November 8, 2018, the Fund adopted an automatic conversion feature whereby Investor C Shares held for approximately ten years will be automatically converted into Investor A Shares, and, thereafter, investors will be subject to lower ongoing fees.
Class R Sharesare not subject to any sales charge. These shares are subject to a distribution fee of 0.25% per year and a service fee of 0.25% per year. These shares are available only to certain employer-sponsored retirement plans.
Performance information reflects past performance and does not guarantee future results. Current performance may be lower or higher than the performance data quoted. Refer towww.blackrock.comto 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 theex-dividend dates. 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”), the Fund’s investment adviser, has contractually and/or voluntarily agreed to waive and/or reimburse a portion of the Fund’s expenses. Without such waiver and/or reimbursement, the Fund’s performance would have been lower. The Manager is under no obligation to continue contractually waiving and/or reimbursing its fees after the applicable termination date of such agreement. In addition, the Manager may reduce or discontinue such voluntary waiver and/or reimbursement at any time. See Note 5 of the Notes to Financial Statements for additional information on waivers and/or reimbursements.
Shareholders of the 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, including12b-1 fees, acquired fund fees and expenses and other fund expenses. The expense example shown on the page 5 (which is based on a hypothetical investment of $1,000 invested on October 1, 2018 and held through March 31, 2019) is intended to assist shareholders both in calculating expenses based on an investment in the Fund and in comparing these expenses with similar costs of investing in other mutual funds.
The expense example provides 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 share class under the heading entitled “Expenses Paid During the Period.”
The expense example also provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in the Fund and other funds, compare the 5% hypothetical examples with the 5% hypothetical examples that appear in shareholder reports of other funds.
The expenses shown in the expense example are intended to highlight shareholders’ ongoing costs only and do not reflect transactional expenses, such as sales charges, 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.
A B O U T F U N D P E R F O R M A N C E A N D D I S C L O S U R E O F E X P E N S E S | 7 |
Schedule of Investments (unaudited) March 31, 2019 | BlackRock Balanced Capital Fund, Inc. (Percentages shown are based on Net Assets) |
Security | Shares/ Investment Value | Value | ||||||
Investment Companies — 90.6% |
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Equity Funds — 55.1% | ||||||||
Master Advantage Large Cap Core Portfolio of Master Large Cap Series LLC(b) | $ | 623,993,216 | $ | 623,993,216 | ||||
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Fixed Income Funds — 35.5% | ||||||||
iShares Core U.S. Aggregate Bond ETF(b) | 327,759 | 35,748,674 | ||||||
Master Total Return Portfolio of Master Bond LLC(b) | $ | 365,864,389 | 365,864,389 | |||||
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401,613,063 | ||||||||
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Total Investment Companies — 90.5% |
| 1,025,606,279 | ||||||
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Security | Shares | Value | ||||||
Short-Term Securities — 9.0% |
| |||||||
BlackRock Liquidity Funds,T-Fund, Institutional Class, 2.37%(a)(b) | 102,331,260 | $ | 102,331,260 | |||||
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Total Short-Term Securities — 9.0% |
| 102,331,260 | ||||||
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Total Investments — 99.6% |
| 1,127,937,539 | ||||||
Other Assets Less Liabilities — 0.4% |
| 4,899,931 | ||||||
|
| |||||||
Net Assets — 100.0% |
| $ | 1,132,837,470 | |||||
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(a) | Annualized7-day yield as of period end. |
(b) | During the six months ended March 31, 2019, investments in issuers considered to be affiliates of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, and/or related parties of the Fund were as follows: |
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Affiliate | Shares/ Investment Value Held at 09/30/18 | Shares/ Investment Value Purchased | Shares/ Sold | Shares/ Investment Value Held at 03/31/19 | Value at 03/31/19 | Income | Net Realized Gain (Loss)(a) | Change in Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
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BlackRock Liquidity Funds,T-Fund, Institutional Class | 35,209,999 | 67,121,261 | (b) | — | 102,331,260 | $ | 102,331,260 | $ | 729,015 | $ | 4,045 | $ | — | |||||||||||||||||||
BlackRock Total Factor Fund, Class K | 97,858 | 2,833 | (100,691 | ) | — | — | 27,388 | (71,566 | ) | 58,602 | ||||||||||||||||||||||
iShares Core U.S. Aggregate Bond ETF | 495,283 | — | (167,524 | ) | 327,759 | 35,748,674 | 619,459 | (409,726 | ) | 1,640,921 | ||||||||||||||||||||||
iShares Edge MSCI Multifactor USA Index Fund | 101,935 | 54,510 | (156,445 | ) | — | — | 54,691 | 36,079 | (138,632 | ) | ||||||||||||||||||||||
Master Advantage Large Cap Core Portfolio of Master Large Cap Series LLC | $ | 642,270,625 | — | $ | (18,277,409 | )(c)(d) | $ | 623,993,216 | 623,993,216 | 4,920,819 | (7,880,669 | ) | (15,317,558 | ) | ||||||||||||||||||
Master Total Return Portfolio of Master Bond LLC | $ | 349,932,169 | $ | 15,932,220 | (b)(c) | — | $ | 365,864,389 | 365,864,389 | 6,763,678 | (1,208,857 | ) | 10,354,176 | |||||||||||||||||||
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$ | 1,127,937,539 | $ | 13,115,050 | $ | (9,530,694 | ) | $ | (3,402,491 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
(a) | Includes net capital gain distributions, if applicable. |
(b) | Represents net shares/investment value purchased. |
(c) | Inclusive of income, expense, realized and unrealized gains and losses allocated from the Master Portfolio. |
(d) | Represents net investment value sold. |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
| ||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value/ Unrealized Appreciation (Depreciation) | ||||||||||
| ||||||||||||||
Long Contracts | ||||||||||||||
U.S. Treasury Notes (10 Year) | 269 | 06/19/19 | $ | 33,415 | $ | 479,828 | ||||||||
U.S. Ultra Treasury Bonds | 353 | 06/19/19 | 59,304 | 2,211,801 | ||||||||||
S&P 500E-Mini Index | 639 | 06/21/19 | 90,668 | 2,495,143 | ||||||||||
|
| |||||||||||||
$ | 5,186,772 | |||||||||||||
|
|
Forward Foreign Currency Exchange Contracts
| ||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
| ||||||||||||||||||||
AUD | 21,030,787 | USD | 14,796,831 | HSBC Bank PLC | 06/19/19 | $ | 158,619 | |||||||||||||
EUR | 17,003,067 | USD | 19,235,574 | Goldman Sachs International | 06/19/19 | (30,658 | ) | |||||||||||||
|
| |||||||||||||||||||
Net Unrealized Appreciation | $ | 127,961 | ||||||||||||||||||
|
|
8 | 2 0 1 9 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) March 31, 2019 | BlackRock Balanced Capital Fund, Inc. |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statement of Assets and Liabilities were as follows:
Assets — Derivative Financial Instruments | Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||||||
Futures contracts | Net unrealized appreciation(a) | $ | — | $ | — | $ | 2,495,143 | $ | — | $ | 2,691,629 | $ | — | $ | 5,186,772 | |||||||||||||||
Forward foreign currency exchange contracts | Unrealized appreciation on forward foreign currency exchange contracts | — | — | — | 158,619 | — | — | 158,619 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
$ | — | $ | — | $ | 2,495,143 | $ | 158,619 | $ | 2,691,629 | $ | — | $ | 5,345,391 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Liabilities — Derivative Financial Instruments | ||||||||||||||||||||||||||||||
Forward foreign currency exchange contracts | Unrealized depreciation on forward foreign currency exchange contracts | $ | — | $ | — | $ | — | $ | 30,658 | $ | — | $ | — | $ | 30,658 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Includes cumulative appreciation (depreciation) on futures, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
For the six months ended March 31, 2019, the effect of derivative financial instruments in the Statement of Operations were as follows:
| ||||||||||||||||||||||||||||
Net Realized Gain (Loss) from: | Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||||
| ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | 5,111,169 | $ | — | $ | 3,904,900 | $ | — | $ | 9,016,069 | ||||||||||||||
Forward foreign currency exchange contracts | — | — | — | (1,796,820 | ) | — | — | (1,796,820 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | — | $ | 5,111,169 | $ | (1,796,820 | ) | $ | 3,904,900 | $ | — | $ | 7,219,249 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | (308,553 | ) | $ | — | $ | 719,560 | $ | — | $ | 411,007 | |||||||||||||
Forward foreign currency exchange contracts | — | — | — | 270,526 | — | — | 270,526 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | — | $ | (308,553 | ) | $ | 270,526 | $ | 719,560 | $ | — | $ | 681,533 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| ||||
Futures contracts: | ||||
Average notional value of contracts — long | $ | 151,753,305 | ||
Forward foreign currency exchange contracts: | ||||
Average amounts sold — in USD | 36,101,685 | |||
|
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Derivative Financial Instruments — Offsetting as of Period End
The Fund’s derivative assets and liabilities (by type) were as follows:
| ||||||||
Assets | Liabilities | |||||||
| ||||||||
Derivative Financial Instruments: | ||||||||
Futures contracts | $ | 520,736 | $ | 208,031 | ||||
Forward foreign currency exchange contracts | 158,619 | 30,658 | ||||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities | $ | 679,355 | $ | 238,689 | ||||
|
|
|
| |||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | (520,736 | ) | (208,031 | ) | ||||
|
|
|
| |||||
Total derivative assets and liabilities subject to an MNA | $ | 158,619 | $ | 30,658 | ||||
|
|
|
|
F U N D S C H E D U L E O F I N V E S T M E N T S | 9 |
Schedule of Investments (unaudited) (continued) March 31, 2019 | BlackRock Balanced Capital Fund, Inc. |
The following table presents the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:
Counterparty | Derivative Assets Subject to an MNA by |
| Derivatives Available for Offset |
| Non-cash Collateral Received |
| Cash Collateral Received |
| Net Amount Derivative | |||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||
HSBC Bank PLC | $ | 158,619 | $ | — | $ | — | $ | — | $ | 158,619 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Counterparty | Derivative Liabilities Subject to an MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Pledged | Cash Collateral Pledged | Net Amount of Derivative Liabilities(b) | |||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||
Goldman Sachs International | $ | 30,658 | $ | — | $ | — | $ | — | $ | 30,658 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(b) | Net amount represents the net amount payable due to the counterparty in the event of default. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments and derivative financial instruments. For more information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.
The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:
| ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| ||||||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Investment Companies(a) | $ | 35,748,674 | $ | — | $ | — | $ | 35,748,674 | ||||||||
Short-Term Securities | 102,331,260 | — | — | 102,331,260 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Subtotal | $ | 138,079,934 | $ | — | $ | — | 989,857,605 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Investments Valued at NAV(b) | 989,857,605 | |||||||||||||||
|
| |||||||||||||||
Total Investments | $ | 1,127,937,539 | ||||||||||||||
|
| |||||||||||||||
Derivative Financial Instruments(c) | ||||||||||||||||
Assets: | ||||||||||||||||
Equity contracts | $ | 2,495,143 | $ | — | $ | — | $ | 2,495,143 | ||||||||
Foreign currency exchange contracts | — | 158,619 | — | 158,619 | ||||||||||||
Interest rate contracts | 2,691,629 | — | — | 2,691,629 | ||||||||||||
Liabilities: | ||||||||||||||||
Foreign currency exchange contracts | — | (30,658 | ) | — | (30,658 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 5,186,772 | $ | 127,961 | $ | — | $ | 5,314,733 | |||||||||
|
|
|
|
|
|
|
|
(a) | See above Schedule of Investments for values in each security type. |
(b) | Certain investments of the Fund were fair valued using NAV per share or its equivalent as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |
(c) | Derivative financial instruments are futures contracts and forward foreign currency exchange contracts, which are valued at the unrealized appreciation (depreciation) on the instrument. |
During the six months ended March 31, 2019, there were no transfers between levels.
See notes to financial statements.
10 | 2 0 1 9 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Statement of Assets and Liabilities(unaudited)
March 31, 2019
BlackRock Balanced Capital Fund, Inc. | ||||
ASSETS | ||||
Investments at value — affiliated (cost — $1,059,145,235) | $ | 1,127,937,539 | ||
Cash pledged for futures contracts | 4,099,991 | |||
Foreign currency at value (cost — $1,578,056) | 1,554,253 | |||
Receivables: | ||||
Capital shares sold | 1,245,235 | |||
Dividends — affiliated | 193,981 | |||
Variation margin on futures contracts | 520,736 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 158,619 | |||
Prepaid expenses | 79,150 | |||
|
| |||
Total assets | 1,135,789,504 | |||
|
| |||
LIABILITIES | ||||
Payables: | ||||
Board realignment and consolidation | 12,012 | |||
Capital shares redeemed | 1,835,567 | |||
Investment advisory fees | 149,490 | |||
Officer’s fees | 9,539 | |||
Other accrued expenses | 214,169 | |||
Other affiliates | 37,027 | |||
Service and distribution fees | 214,648 | |||
Transfer agent fees | 240,893 | |||
Variation margin on futures contracts | 208,031 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 30,658 | |||
|
| |||
Total liabilities | 2,952,034 | |||
|
| |||
NET ASSETS | $ | 1,132,837,470 | ||
|
| |||
NET ASSETS CONSIST OF | ||||
Paid-in capital | $ | 1,039,952,403 | ||
Accumulated earnings | 92,885,067 | |||
|
| |||
NET ASSETS | $ | 1,132,837,470 | ||
|
| |||
NET ASSET VALUE | ||||
Institutional— Based on net assets of $441,335,511 and 19,667,940 shares outstanding, 400 million shares authorized, | $ | 22.44 | ||
|
| |||
Investor A— Based on net assets of $547,760,505 and 24,512,256 shares outstanding, 200 million shares authorized, | $ | 22.35 | ||
|
| |||
Investor C— Based on net assets of $117,546,030 and 6,096,830 shares outstanding, 200 million shares authorized, | $ | 19.28 | ||
|
| |||
Class K— Based on net assets of $13,056,797 and 581,852 shares outstanding, 2 billion shares authorized, $0.10 par value | $ | 22.44 | ||
|
| |||
Class R— Based on net assets of $13,138,627 and 641,276 shares outstanding, 500 million shares authorized, $0.10 par value | $ | 20.49 | ||
|
|
See notes to financial statements.
F U N D F I N A N C I A L S T A T E M E N T S | 11 |
Statement of Operations(unaudited)
Six Months Ended March 31, 2019
BlackRock Balanced Capital Fund, Inc. | ||||
INVESTMENT INCOME | ||||
Dividends — affiliated | $ | 1,430,553 | ||
Other income | 23,801 | |||
Net investment income allocated from the affiliated Master Portfolios: | ||||
Interest — unaffiliated | 6,604,209 | |||
Dividends — unaffiliated | 6,170,364 | |||
Dividends — affiliated | 344,829 | |||
Securities lending income — affiliated — net | 3,973 | |||
Other income — affiliated | 2,692 | |||
Foreign taxes withheld | (3,890 | ) | ||
Total expenses | (1,446,798 | ) | ||
Fees waived | 9,118 | |||
|
| |||
Total investment income | 13,138,851 | |||
|
| |||
FUND EXPENSES | ||||
Investment advisory | 2,269,746 | |||
Service and distribution — class specific | 1,200,815 | |||
Transfer agent — class specific | 499,692 | |||
Professional | 69,168 | |||
Registration | 54,467 | |||
Printing | 40,446 | |||
Officer | 14,164 | |||
Offering | 12,839 | |||
Board realignment and consolidation | 11,556 | |||
Custodian | 6,981 | |||
Accounting services | 3,304 | |||
Miscellaneous | 12,738 | |||
|
| |||
Total expenses | 4,195,916 | |||
Less fees waived and/or reimbursed by the Manager | (1,479,742 | ) | ||
|
| |||
Total expenses after fees waived and/or reimbursed | 2,716,174 | |||
|
| |||
Net investment income | 10,422,677 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) from: | ||||
Investments — affiliated | (445,213 | ) | ||
Capital gain distributions from investment companies — affiliated | 4,045 | |||
Foreign currency translations | (9,883 | ) | ||
Forward foreign currency exchange contracts | (1,796,820 | ) | ||
Futures contracts | 9,016,069 | |||
Net realized gain from investments, foreign currency transactions, forward foreign currency exchange contracts, futures contracts, options written and swaps allocated from the affiliated Master Portfolios | (9,089,526 | ) | ||
|
| |||
(2,321,328 | ) | |||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments — affiliated | 1,560,891 | |||
Futures contracts | 411,007 | |||
Forward foreign currency exchange contracts | 270,526 | |||
Foreign currency translations | 21,022 | |||
Net change in unrealized appreciation (depreciation) on investments, foreign currency translations, forward foreign currency exchange contracts, futures contracts, options written and swaps allocated from the affiliated Master Portfolios | (4,963,382 | ) | ||
|
| |||
(2,699,936 | ) | |||
|
| |||
Net realized and unrealized loss | (5,021,264 | ) | ||
|
| |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 5,401,413 | ||
|
|
See notes to financial statements.
12 | 2 0 1 9 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Statements of Changes in Net Assets
BlackRock Balanced Capital Fund, Inc. | ||||||||
Six Months Ended 03/31/19 (unaudited) | Year Ended 09/30/18 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 10,422,677 | $ | 18,133,499 | ||||
Net realized gain (loss) | (2,321,328 | ) | 68,914,362 | |||||
Net change in unrealized appreciation (depreciation) | (2,699,936 | ) | 12,997,339 | |||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 5,401,413 | 100,045,200 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS(a)(b) | ||||||||
Institutional | (25,935,543 | ) | (71,640,229 | ) | ||||
Investor A | (31,529,902 | ) | (89,456,015 | ) | ||||
Investor B | — | (5,569 | ) | |||||
Investor C | (6,535,039 | ) | (19,066,740 | ) | ||||
Class K | (586,940 | ) | (77,270 | ) | ||||
Class R | (892,080 | ) | (2,843,013 | ) | ||||
|
|
|
| |||||
Decrease in net assets resulting from distributions to shareholders | (65,479,504 | ) | (183,088,836 | ) | ||||
|
|
|
| |||||
CAPITAL SHARE TRANSACTIONS | ||||||||
Net increase in net assets derived from capital share transactions | 110,301,655 | 113,852,254 | ||||||
|
|
|
| |||||
NET ASSETS | ||||||||
Total increase in net assets | 50,223,564 | 30,808,618 | ||||||
Beginning of period | 1,082,613,906 | 1,051,805,288 | ||||||
|
|
|
| |||||
End of period | $ | 1,132,837,470 | $ | 1,082,613,906 | ||||
|
|
|
|
(a) | Distributions for annual periods determined in accordance with federal income tax regulations. |
(b) | Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year RegulationS-X presentation changes. Refer to Note 11 for this prior year information. |
See notes to financial statements.
F U N D F I N A N C I A L S T A T E M E N T S | 13 |
(For a share outstanding throughout each period)
BlackRock Balanced Capital Fund, Inc. | ||||||||||||||||||||||||
Institutional | ||||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
03/31/19 | Year Ended September 30, | |||||||||||||||||||||||
(unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||
Net asset value, beginning of period | $ | 23.95 | $ | 26.09 | $ | 23.86 | $ | 23.09 | $ | 26.07 | $ | 25.16 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net investment income(a) | 0.24 | 0.47 | 0.41 | 0.38 | 0.37 | 0.48 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.32 | ) | 1.89 | 3.01 | 1.64 | (0.03 | ) | 3.05 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) from investment operations | (0.08 | ) | 2.36 | 3.42 | 2.02 | 0.34 | 3.53 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Distributions:(b) | ||||||||||||||||||||||||
From net investment income | (0.21 | ) | (0.47 | ) | (0.40 | ) | (0.41 | ) | (0.43 | ) | (0.56 | ) | ||||||||||||
From net realized gain | (1.22 | ) | (4.03 | ) | (0.79 | ) | (0.84 | ) | (2.89 | ) | (2.06 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | (1.43 | ) | (4.50 | ) | (1.19 | ) | (1.25 | ) | (3.32 | ) | (2.62 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 22.44 | $ | 23.95 | $ | 26.09 | $ | 23.86 | $ | 23.09 | $ | 26.07 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return(c) | ||||||||||||||||||||||||
Based on net asset value | 0.33 | %(d) | 10.14 | % | 14.83 | %(e) | 8.93 | %(e) | 0.82 | % | 14.77 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Ratios to Average Net Assets(f) | ||||||||||||||||||||||||
Total expenses(g) | 0.82 | %(h) | 0.91 | % | 0.93 | % | 0.94 | % | 0.92 | % | 0.95 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total expenses after fees waived and/or reimbursed(g) | 0.54 | %(h) | 0.62 | % | 0.62 | % | 0.63 | % | 0.59 | % | 0.63 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net investment income(g) | 2.21 | %(h) | 1.97 | % | 1.67 | % | 1.64 | % | 1.52 | % | 1.88 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000) | $ | 441,336 | $ | 427,511 | $ | 395,850 | $ | 348,430 | $ | 341,225 | $ | 348,345 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Portfolio turnover rate of the Fund(i) | 4 | % | 140 | % | 109 | % | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Portfolio turnover rate of the Master Total Return Portfolio(j) | 372 | % | 734 | % | 806 | % | 841 | % | 1,015 | % | 750 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Portfolio turnover rate of the Master Advantage Large Cap Core Portfolio | 78 | % | 148 | % | 130 | % | 39 | % | 41 | % | 40 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
(a) Based on average shares outstanding. |
| |||||||||||||||||||||||
(b) Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| |||||||||||||||||||||||
(c) Where applicable, assumes the reinvestment of distributions. |
| |||||||||||||||||||||||
(d) Aggregate total return. |
| |||||||||||||||||||||||
(e) Includes proceeds received from a settlement of litigation, which had no impact on the Fund’s total return. |
| |||||||||||||||||||||||
(f) Includes the Fund’s share of the Master Portfolios’ allocated expenses and/or net investment income. |
| |||||||||||||||||||||||
(g) Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
| |||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
03/31/19 | Year Ended September 30, | |||||||||||||||||||||||
(unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||
Investments in underlying funds | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
(h) Annualized. |
| |||||||||||||||||||||||
(i) Excludes transactions in the Master Portfolios. |
| |||||||||||||||||||||||
(j) Includes mortgage dollar roll transactions. Additional information regarding portfolio turnover rate is as follows: |
| |||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
03/31/19 | Year Ended September 30, | |||||||||||||||||||||||
(unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||
Portfolio turnover rate (excluding mortgage dollar | 148 | % | 350 | % | 540 | % | 598 | % | 725 | % | 529 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
See notes to financial statements.
14 | 2 0 1 9 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Financial Highlights (continued)
(For a share outstanding throughout each period)
BlackRock Balanced Capital Fund, Inc. (continued) | ||||||||||||||||||||||||
Investor A | ||||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
03/31/19 | Year Ended September 30, | |||||||||||||||||||||||
(unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||
Net asset value, beginning of period | $ | 23.86 | $ | 26.00 | $ | 23.78 | $ | 23.03 | $ | 26.00 | $ | 25.11 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net investment income(a) | 0.21 | 0.40 | 0.34 | 0.31 | 0.30 | 0.40 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.32 | ) | 1.89 | 3.01 | 1.62 | (0.02 | ) | 3.03 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) from investment operations | (0.11 | ) | 2.29 | 3.35 | 1.93 | 0.28 | 3.43 | |||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Distributions:(b) | ||||||||||||||||||||||||
From net investment income | (0.18 | ) | (0.40 | ) | (0.34 | ) | (0.34 | ) | (0.36 | ) | (0.48 | ) | ||||||||||||
From net realized gain | (1.22 | ) | (4.03 | ) | (0.79 | ) | (0.84 | ) | (2.89 | ) | (2.06 | ) | ||||||||||||
|
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|
|
|
|
|
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|
|
|
| |||||||||||||
Total distributions | (1.40 | ) | (4.43 | ) | (1.13 | ) | (1.18 | ) | (3.25 | ) | (2.54 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 22.35 | $ | 23.86 | $ | 26.00 | $ | 23.78 | $ | 23.03 | $ | 26.00 | ||||||||||||
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|
|
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|
|
| |||||||||||||
Total Return(c) | ||||||||||||||||||||||||
Based on net asset value | 0.18 | %(d) | 9.86 | % | 14.52 | %(e) | 8.57 | %(e) | 0.57 | % | 14.39 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Ratios to Average Net Assets(f) | ||||||||||||||||||||||||
Total expenses(g) | 1.10 | %(h) | 1.20 | % | 1.21 | % | 1.22 | % | 1.20 | % | 1.25 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total expenses after fees waived and/or reimbursed(g) | 0.81 | %(h) | 0.91 | % | 0.90 | % | 0.91 | % | 0.88 | % | 0.92 | % | ||||||||||||
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|
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|
|
|
|
|
|
| |||||||||||||
Net investment income(g) | 1.93 | %(h) | 1.68 | % | 1.38 | % | 1.35 | % | 1.23 | % | 1.58 | % | ||||||||||||
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| |||||||||||||
Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000) | $ | 547,761 | $ | 528,701 | $ | 535,542 | $ | 491,889 | $ | 461,642 | $ | 476,919 | ||||||||||||
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|
|
|
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|
| |||||||||||||
Portfolio turnover rate of the Fund(i) | 4 | % | 140 | % | 109 | % | — | — | — | |||||||||||||||
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|
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|
|
|
|
|
|
| |||||||||||||
Portfolio turnover rate of the Master Total Return Portfolio(j) | 372 | % | 734 | % | 806 | % | 841 | % | 1,015 | % | 750 | % | ||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Portfolio turnover rate of the Master Advantage Large Cap Core Portfolio | 78 | % | 148 | % | 130 | % | 39 | % | 41 | % | 40 | % | ||||||||||||
|
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|
|
|
|
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|
|
| |||||||||||||
(a)Based on average shares outstanding. |
| |||||||||||||||||||||||
(b) Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| |||||||||||||||||||||||
(c) Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions. |
| |||||||||||||||||||||||
(d) Aggregate total return. |
| |||||||||||||||||||||||
(e) Includes proceeds received from a settlement of litigation, which had no impact on the Fund’s total return. |
| |||||||||||||||||||||||
(f) Includes the Fund’s share of the Master Portfolios’ allocated expenses and/or net investment income. |
| |||||||||||||||||||||||
(g) Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
| |||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
03/31/19 | Year Ended September 30, | |||||||||||||||||||||||
(unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||
Investments in underlying funds | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
(h) Annualized. |
| |||||||||||||||||||||||
(i) Excludes transactions in the Master Portfolios. |
| |||||||||||||||||||||||
(j) Includes mortgage dollar roll transactions. Additional information regarding portfolio turnover rate is as follows: |
| |||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
03/31/19 | Year Ended September 30, | |||||||||||||||||||||||
(unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||
Portfolio turnover rate (excluding mortgage dollar | 148 | % | 350 | % | 540 | % | 598 | % | 725 | % | 529 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
See notes to financial statements.
F U N D F I N A N C I A L H I G H L I G H T S | 15 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
BlackRock Balanced Capital Fund, Inc. (continued) | ||||||||||||||||||||||||
Investor C | ||||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
03/31/19 | Year Ended September 30, | |||||||||||||||||||||||
(unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||
Net asset value, beginning of period | $ | 20.79 | $ | 23.21 | $ | 21.34 | $ | 20.80 | $ | 23.80 | $ | 23.20 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net investment income(a) | 0.11 | 0.19 | 0.14 | 0.12 | 0.10 | 0.19 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.29 | ) | 1.67 | 2.68 | 1.47 | (0.01 | ) | 2.79 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) from investment operations | (0.18 | ) | 1.86 | 2.82 | 1.59 | 0.09 | 2.98 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Distributions:(b) | ||||||||||||||||||||||||
From net investment income | (0.11 | ) | (0.25 | ) | (0.16 | ) | (0.21 | ) | (0.20 | ) | (0.32 | ) | ||||||||||||
From net realized gain | (1.22 | ) | (4.03 | ) | (0.79 | ) | (0.84 | ) | (2.89 | ) | (2.06 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | (1.33 | ) | (4.28 | ) | (0.95 | ) | (1.05 | ) | (3.09 | ) | (2.38 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 19.28 | $ | 20.79 | $ | 23.21 | $ | 21.34 | $ | 20.80 | $ | 23.80 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return(c) | ||||||||||||||||||||||||
Based on net asset value | (0.19 | )%(d) | 9.03 | % | 13.62 | %(e) | 7.78 | %(e) | (0.21 | )% | 13.51 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Ratios to Average Net Assets(f) | ||||||||||||||||||||||||
Total expenses(g) | 1.85 | %(h) | 1.95 | % | 1.97 | % | 1.98 | % | 1.97 | % | 2.02 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total expenses after fees waived and/or reimbursed(g) | 1.57 | %(h) | 1.66 | % | 1.66 | % | 1.67 | % | 1.65 | % | 1.69 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net investment income(g) | 1.18 | %(h) | 0.93 | % | 0.63 | % | 0.60 | % | 0.47 | % | 0.81 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000) | $ | 117,546 | $ | 103,756 | $ | 104,113 | $ | 117,651 | $ | 86,397 | $ | 74,908 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Portfolio turnover rate of the Fund(i) | 4 | % | 140 | % | 109 | % | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Portfolio turnover rate of the Master Total Return Portfolio(j) | 372 | % | 734 | % | 806 | % | 841 | % | 1,015 | % | 750 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Portfolio turnover rate of the Master Advantage Large Cap Core Portfolio | 78 | % | 148 | % | 130 | % | 39 | % | 41 | % | 40 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
(a)Based on average shares outstanding. |
| |||||||||||||||||||||||
(b) Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| |||||||||||||||||||||||
(c) Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions. |
| |||||||||||||||||||||||
(d) Aggregate total return. |
| |||||||||||||||||||||||
(e) Includes proceeds received from a settlement of litigation, which had no impact on the Fund’s total return. |
| |||||||||||||||||||||||
(f) Includes the Fund’s share of the Master Portfolios’ allocated expenses and/or net investment income. |
| |||||||||||||||||||||||
(g) Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
| |||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
03/31/19 | Year Ended September 30, | |||||||||||||||||||||||
(unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||
Investments in underlying funds | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
(h) Annualized. |
| |||||||||||||||||||||||
(i) Excludes transactions in the Master Portfolios. |
| |||||||||||||||||||||||
(j) Includes mortgage dollar roll transactions. Additional information regarding portfolio turnover rate is as follows: |
| |||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
03/31/19 | Year Ended September 30, | |||||||||||||||||||||||
(unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||
Portfolio turnover rate (excluding mortgage dollar | 148 | % | 350 | % | 540 | % | 598 | % | 725 | % | 529 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
See notes to financial statements.
16 | 2 0 1 9 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Financial Highlights (continued)
(For a share outstanding throughout each period)
BlackRock Balanced Capital Fund, Inc. (continued) | ||||||||
Class K | ||||||||
Six Months | Period | |||||||
Ended | from | |||||||
03/31/19 | 01/25/18(a) to | |||||||
(unaudited) | 09/30/18 | |||||||
Net asset value, beginning of period | $ | 23.95 | $ | 23.61 | ||||
|
|
|
| |||||
Net investment income(b) | 0.25 | 0.33 | ||||||
Net realized and unrealized gain (loss) | (0.32 | ) | 0.25 | |||||
|
|
|
| |||||
Net increase (decrease) from investment operations | (0.07 | ) | 0.58 | |||||
|
|
|
| |||||
Distributions:(c) | ||||||||
From net investment income | (0.22 | ) | (0.24 | ) | ||||
Net realized gain | (1.22 | ) | — | |||||
|
|
|
| |||||
Total distributions | (1.44 | ) | (0.24 | ) | ||||
|
|
|
| |||||
Net asset value, end of period | $ | 22.44 | $ | 23.95 | ||||
|
|
|
| |||||
Total Return(d) | ||||||||
Based on net asset value(e) | 0.37 | % | 2.46 | % | ||||
|
|
|
| |||||
Ratios to Average Net Assets(f) | ||||||||
Total expenses(g)(h) | 0.75 | % | 0.81 | % | ||||
|
|
|
| |||||
Total expenses after fees waived and/or reimbursed(g)(h) | 0.47 | % | 0.51 | % | ||||
|
|
|
| |||||
Net investment income(g)(h) | 2.29 | % | 2.07 | % | ||||
|
|
|
| |||||
Supplemental Data | ||||||||
Net assets, end of period (000) | $ | 13,057 | $ | 8,283 | ||||
|
|
|
| |||||
Portfolio turnover rate of the Fund(i) | 4 | % | 140 | %(j) | ||||
|
|
|
| |||||
Portfolio turnover rate of the Master Total Return Portfolio(k) | 372 | % | 734 | %(j) | ||||
|
|
|
| |||||
Portfolio turnover rate of the Master Advantage Large Cap Core Portfolio | 78 | % | 148 | %(j) | ||||
|
|
|
| |||||
(a)Commencement of operations. |
| |||||||
(b) Based on average shares outstanding. |
| |||||||
(c) Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| |||||||
(d) Where applicable, assumes the reinvestment of distributions. |
| |||||||
(e) Aggregate total return. |
| |||||||
(f) Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income. |
| |||||||
(g) Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
| |||||||
Six Months | Period | |||||||
Ended | from | |||||||
03/31/19 | 01/25/18(a) to | |||||||
(unaudited) | 09/30/18 | |||||||
Investments in underlying funds | 0.01 | % | 0.01 | % | ||||
|
|
|
| |||||
(h) Annualized. |
| |||||||
(i) Excludes transactions in the Master Portfolios. |
| |||||||
(j) Portfolio turnover rate is representative of the Fund for the entire year. |
| |||||||
(k) Includes mortgage dollar roll transactions. Additional information regarding portfolio turnover rate is as follows: |
| |||||||
Six Months | Period | |||||||
Ended | from | |||||||
03/31/19 | 01/25/18(a) to | |||||||
(unaudited) | 09/30/18 | |||||||
Portfolio turnover rate (excluding mortgage dollar roll transactions) | 148 | % | 350 | %(h) | ||||
|
|
|
|
See notes to financial statements.
F U N D F I N A N C I A L H I G H L I G H T S | 17 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
BlackRock Balanced Capital Fund, Inc. (continued) | ||||||||||||||||||||||||
Class R | ||||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
03/31/19 | Year Ended September 30, | |||||||||||||||||||||||
(unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||
Net asset value, beginning of period | $ | 22.00 | $ | 24.30 | $ | 22.31 | $ | 21.70 | $ | 24.68 | $ | 23.96 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net investment income(a) | 0.16 | 0.29 | 0.24 | 0.22 | 0.21 | 0.30 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.31 | ) | 1.77 | 2.81 | 1.52 | (0.02 | ) | 2.89 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) from investment operations | (0.15 | ) | 2.06 | 3.05 | 1.74 | 0.19 | 3.19 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Distributions:(b) | ||||||||||||||||||||||||
From net investment income | (0.14 | ) | (0.33 | ) | (0.27 | ) | (0.29 | ) | (0.28 | ) | (0.41 | ) | ||||||||||||
From net realized gain | (1.22 | ) | (4.03 | ) | (0.79 | ) | (0.84 | ) | (2.89 | ) | (2.06 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | (1.36 | ) | (4.36 | ) | (1.06 | ) | (1.13 | ) | (3.17 | ) | (2.47 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 20.49 | $ | 22.00 | $ | 24.30 | $ | 22.31 | $ | 21.70 | $ | 24.68 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return(c) | ||||||||||||||||||||||||
Based on net asset value | 0.02 | %(d) | 9.51 | % | 14.11 | %(e) | 8.15 | %(e) | 0.23 | % | 14.03 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Ratios to Average Net Assets(f) | ||||||||||||||||||||||||
Total expenses(g) | 1.43 | %(h) | 1.55 | % | 1.56 | % | 1.58 | % | 1.53 | % | 1.59 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total expenses after fees waived and/or reimbursed(g) | 1.15 | %(h) | 1.26 | % | 1.25 | % | 1.27 | % | 1.21 | % | 1.27 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net investment income(g) | 1.60 | %(h) | 1.33 | % | 1.04 | % | 0.99 | % | 0.91 | % | 1.23 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000) | $ | 13,139 | $ | 14,363 | $ | 16,257 | $ | 12,731 | $ | 10,448 | $ | 9,322 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Portfolio turnover rate of the Fund(i) | 4 | % | 140 | % | 109 | % | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Portfolio turnover rate of the Master Total Return Portfolio(j) | 372 | % | 734 | % | 806 | % | 841 | % | 1,015 | % | 750 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Portfolio turnover rate of the Master Advantage Large Cap Core Portfolio | 78 | % | 148 | % | 130 | % | 39 | % | 41 | % | 40 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
(a)Based on average shares outstanding. |
| |||||||||||||||||||||||
(b) Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| |||||||||||||||||||||||
(c) Where applicable, assumes the reinvestment of distributions. |
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(d) Aggregate total return. |
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(e) Includes proceeds received from a settlement of litigation, which had no impact on the Fund’s total return. |
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(f) Includes the Fund’s share of the Master Portfolios’ allocated expenses and/or net investment income. |
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(g) Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
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Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
03/31/19 | Year Ended September 30, | |||||||||||||||||||||||
(unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||
Investments in underlying funds | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | — | — | ||||||||||||||
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(h) Annualized. |
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(i) Excludes transactions in the Master Portfolios. |
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(j) Includes mortgage dollar roll transactions. Additional information regarding portfolio turnover rate is as follows: |
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Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
03/31/19 | Year Ended September 30, | |||||||||||||||||||||||
(unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||
Portfolio turnover rate (excluding mortgage dollar | 148 | % | 350 | % | 540 | % | 598 | % | 725 | % | 529 | % | ||||||||||||
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See notes to financial statements.
18 | 2 0 1 9 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Financial Statements (unaudited) | BlackRock Balanced Capital Fund, Inc. |
1. | ORGANIZATION |
BlackRock Balanced Capital Fund, Inc. (the “Fund”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as anopen-end management investment company. The Fund is classified as diversified. The Fund is organized as a Maryland corporation. The Fund seeks to achieve its investment objective by investing directly in equity and fixed-income securities, indirectly through one or more funds that invest in such securities, or in a combination of securities and funds. The Fund intends to invest a significant portion of its fixed-income assets in Master Total Return Portfolio (the “Master Total Return Portfolio”) of Master Bond LLC, a mutual fund that has an investment objective and strategy consistent with that of the fixed-income portion of the Fund. The Fund intends to invest a significant portion of its equity assets in Master Advantage Large Cap Core Portfolio (the “Master Advantage Large Cap Core Portfolio”) of Master Large Cap Series LLC, a mutual fund that has an investment objective and strategy consistent with that of the equity portion of the Fund. Master Total Return Portfolio and Master Advantage Large Cap Core Portfolio, both affiliates of the Fund, are collectively referred to as the “Master Portfolios.” The value of the Fund’s investment in the Master Portfolios reflects the Fund’s proportionate interest in the net assets of the Master Portfolios. The performance of the Fund is directly affected by the performance of the Master Portfolios as well as the Fund’s direct investments. At March 31, 2019, the percentages of Master Advantage Large Cap Core Portfolio and Master Total Return Portfolio owned by the Fund were 18.3% and 2.7%, respectively. The financial statements of the Master Portfolios, including the Schedules of Investments, are included elsewhere in this report and should be read in conjunction with the Fund’s financial statements.
The Fund offers multiple classes of shares. All classes of shares have identical voting, dividend, liquidation and other rights and are subject to the same terms and conditions except that certain classes bear expenses related to the shareholder servicing and distribution of such shares. Institutional and Class K Shares are sold without a sales charge and only to certain eligible investors. Investor A Shares are generally sold with an initial sales charge, and may be subject to a contingent deferred sales charge (“CDSC”) for certain redemptions where no initial sales charge was paid at the time of purchase. Investor C Shares may be subject to a CDSC. 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. Class R Shares are sold without a sales charge and only to certain employer-sponsored retirement plans. Investor A, Investor C and Class R Shares bear certain expenses related to shareholder servicing of such shares, and Investor C and Class R Shares also bear certain expenses related to the distribution of such shares. Investor A and Investor C Shares are generally available through financial intermediaries. Effective November 8, 2018, the Fund adopted an automatic conversion feature whereby Investor C Shares held for approximately ten years will be automatically converted into Investor A Shares, and, thereafter, investors will be subject to lower ongoing fees. Each class has exclusive voting rights with respect to matters relating to its shareholder servicing and distribution expenditures (except that Investor C shareholders may vote on material changes to the Investor A distribution and service plan). The Board of Directors of the Fund and Boards of Directors of the Master Portfolios are referred to throughout this report as the “Board of Directors” or the “Board” and the members are referred to as “Directors.”
| ||||||||||||
Share Class | Initial Sales Charge | CDSC | Conversion Privilege | |||||||||
| ||||||||||||
Institutional, Class K and Class R Shares | No | No | None | |||||||||
Investor A Shares | Yes | No | (a) | None | ||||||||
Investor C Shares | No | Yes | To Investor A Shares after approximately 10 years | |||||||||
|
(a) | Investor A Shares may be subject to a CDSC for certain redemptions where no initial sales charge was paid at the time of purchase. |
The Fund, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, is included in a complex of equity, multi-asset, index and money market funds referred to as the BlackRock Multi-Asset Complex.
2. | SIGNIFICANT ACCOUNTING POLICIES |
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition:For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on theex-dividend date. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on an accrual basis. Contributions and withdrawals from the Master Portfolios are accounted for on a trade date basis. The Fund records its proportionate share of the Master Portfolios’ income, expenses and realized and unrealized gains and losses on a daily basis. Realized and unrealized gains and losses are adjusted utilizing partnership tax allocation rules. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.
Foreign Currency Translation:The Fund’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange (“NYSE”). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.
The Fund does not isolate the portion of the results of operations arising as a result of changes in the exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statement of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. The Fund reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.
Segregation and Collateralization:In cases where the Fund enters into certain investments (e.g., futures contracts and forward foreign currency exchange contracts) that
F U N D N O T E S T O F I N A N C I A L S T A T E M E N T S | 19 |
Notes to Financial Statements (unaudited) (continued) | BlackRock Balanced Capital Fund, Inc. |
would be treated as “senior securities” for 1940 Act purposes, the Fund may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments. Doing so allows the investment to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Fund may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.
Distributions:Distributions paid by the Fund are recorded on theex-dividend date. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
Net income and realized gains from investments held by the Master Total Return Portfolio’s investment in BlackRock Cayman Master Total Return Portfolio I, Ltd. (the “Subsidiary”) are treated as ordinary income for tax purposes. If a net loss is realized by the Subsidiary in any taxable year, the loss will generally not be available to offset the Fund’s ordinary income and/or capital gains for that year. Effective November 30, 2018, the Fund, through the Master Total Return Portfolio, no longer invests in the Subsidiary.
Offering Costs:Offering costs are amortized over a12-month period beginning with the commencement of operations of a class of shares.
Recent Accounting Standards:In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update2018-13 “Changes to the Disclosure Requirements for Fair Value Measurement” which modifies disclosure requirements for fair value measurements. The guidance is effective for fiscal years beginning after December 15, 2019 and for interim periods within those fiscal years. Management continues to evaluate the impact of this guidance to the Fund.
Indemnifications:In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against the Fund, which cannot be predicted with any certainty.
Other:Expenses directly related to the Fund or its classes are charged to the Fund or the applicable class. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods. Expenses directly related to the Fund and other shared expenses prorated to the Fund are allocated daily to each class based on its relative net assets or other appropriate methods.
The Fund has an arrangement with its custodian whereby credits are earned on uninvested cash balances, which could be used to reduce custody fees and/or overdraft charges. The Fund may incur charges on certain uninvested cash balances and overdrafts, subject to certain conditions.
3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies:The Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the NYSE (generally 4:00 p.m., Eastern time) (or if the reporting date falls on a day the NYSE is closed, investments are valued at fair value as of the period end). U.S. GAAP defines fair value as the price the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Fund determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.
Fair Value Inputs and Methodologies:The following methods and inputs are used to establish the fair value of the Fund’s assets and liabilities:
• | Exchange-traded funds (“ETFs”) traded on a recognized securities exchange are valued at the official closing price each day, if available. For ETFs traded on more than one exchange, the official closing price on the exchange where the stock is primarily traded is used. ETFs traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price. |
• | Investments inopen-end U.S. mutual funds are valued at net asset value (“NAV”) each business day. |
• | Futures contracts traded on exchanges are valued at their last sale price. |
• | Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. |
• | The Fund records its proportionate investment in Master Total Return Portfolio and Master Advantage Large Cap Core Portfolio at fair value, which is based upon its pro rata ownership in the net assets of Master Total Return Portfolio and Master Advantage Large Cap Core Portfolio. |
If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such investments, or in the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee will include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that the Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in anarm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.
Fair Value Hierarchy:Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:
• | Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access |
20 | 2 0 1 9 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Financial Statements (unaudited) (continued) | BlackRock Balanced Capital Fund, Inc. |
• | Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs) |
• | Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/ornon-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.
Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.
As of March 31, 2019, certain investments of the Fund were valued using NAV per share or its equivalent as no quoted market value is available and therefore have been excluded from the fair value hierarchy.
4. | DERIVATIVE FINANCIAL INSTRUMENTS |
The Fund engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Fund and/or to manage its exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedule of Investments. These contracts may be transacted on an exchange orover-the-counter (“OTC”).
Futures Contracts:Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Futures contracts are agreements between the Fund and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statement of Assets and Liabilities.
Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited, if any, is shown as cash pledged for futures contracts in the Statement of Assets and Liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statement of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.
Forward Foreign Currency Exchange Contracts:Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).
A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Fund are denominated and in some cases, may be used to obtain exposure to a particular market.
The contract ismarked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed.Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statement of Assets and Liabilities.
Master Netting Arrangements:In order to define its contractual rights and to secure rights that will help it mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events.
F U N D N O T E S T O F I N A N C I A L S T A T E M E N T S | 21 |
Notes to Financial Statements (unaudited) (continued) | BlackRock Balanced Capital Fund, Inc. |
Collateral Requirements:For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting themark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty.
Cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, is reported separately in the Statement of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively.Non-cash collateral pledged by the Fund, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Fund. Any additional required collateral is delivered to/pledged by the Fund on the next business day. Typically, the counterparty is not permitted to sell,re-pledge or use cash andnon-cash collateral it receives. The Fund generally agrees not to usenon-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Fund from its counterparties are not fully collateralized, it bears the risk of loss from counterpartynon-performance. Likewise, to the extent the Fund has delivered collateral to a counterparty and stands ready to perform under the terms of its agreement with such counterparty, it bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statement of Assets and Liabilities.
5. | INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
Investment Advisory:The Fund entered into an Investment Advisory Agreement with the Manager, the Fund’s investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of the Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Fund.
For such services, the Fund pays the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of the Fund’s net assets:
| ||||
Average Daily Net Assets | Investment Advisory Fee | |||
| ||||
First $250 million | 0.500 | % | ||
$250 million — $ 300 million | 0.450 | |||
$300 million — $ 400 million | 0.425 | |||
Greater than $400 million | 0.400 | |||
|
The Fund also pays an investment advisory fee to the Manager, which is the investment adviser of Master Total Return Portfolio and Master Advantage Large Cap Core Portfolio, to the extent it invests in the Master Total Return Portfolio and Master Advantage Large Cap Core Portfolio.
Service and Distribution Fees:The Fund entered into a Distribution Agreement and a Distribution and Service Plan with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager. Pursuant to the Distribution and Service Plan and in accordance with Rule12b-1 under the 1940 Act, the Fund pays BRIL ongoing service and distribution fees. The fees are accrued daily and paid monthly at annual rates based upon the average daily net assets of the relevant share class of the Fund as follows:
| ||||||||||||
Investor A | Investor C | Class R | ||||||||||
| ||||||||||||
Distribution Fee | — | % | 0.75 | % | 0.25 | % | ||||||
Service Fee | 0.25 | 0.25 | 0.25 | |||||||||
|
BRIL and broker-dealers, pursuant tosub-agreements with BRIL, provide shareholder servicing and distribution services to the Fund. The ongoing service and/or distribution fee compensates BRIL and each broker-dealer for providing shareholder servicing and/or distribution related services to shareholders.
For the six months ended March 31, 2019, the following table shows the class specific service and distribution fees borne directly by each share class of the Fund:
| ||||||
Investor A | Investor C | Class R | Total | |||
| ||||||
$644,670 | $522,396 | $33,749 | $1,200,815 | |||
|
Transfer Agent:Pursuant to written agreements, certain financial intermediaries, some of which may be affiliates, provide the Fund withsub-accounting, recordkeeping,sub-transfer agency and other administrative services with respect to servicing of underlying investor accounts. For these services, these entities receive an asset-based fee or an annual fee per shareholder account, which will vary depending on share class and/or net assets. For the six months ended March 31, 2019, the Fund’s Institutional Shares paid $3 to affiliates of BlackRock in return for these services, which are included in transfer agent — class specific in the Statement of Operations.
The Manager maintains a call center that is responsible for providing certain shareholder services to the Fund. Shareholder services include responding to inquiries and processing purchases and sales based upon instructions from shareholders. For the six months ended March 31, 2019, the Fund reimbursed the Manager the following amounts for costs incurred in running the call center, which are included in transfer agent — class specific in the Statement of Operations:
| ||||||||
Institutional | Investor A | Investor C | Class R | Total | ||||
| ||||||||
$8,741 | $12,888 | $4,798 | $63 | $26,490 | ||||
|
For the six months ended March 31, 2019, the following table shows the class specific transfer agent fees borne directly by each share class of the Fund:
| ||||||||||
Institutional | Investor A | Investor C | Class K | Class R | Total | |||||
| ||||||||||
$158,412 | $269,734 | $58,337 | $441 | $12,768 | $499,692 | |||||
|
22 | 2 0 1 9 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Financial Statements (unaudited) (continued) | BlackRock Balanced Capital Fund, Inc. |
Other Fees:For the six months ended March 31, 2019, affiliates earned underwriting discounts, direct commissions and dealer concessions on sales of the Fund’s Investor A Shares, which totaled $21,034.
For the six months ended March 31, 2019, affiliates received CDSCs as follows:
| ||||
Investor A | $ | 698 | ||
Investor C | 4,455 | |||
|
Expense Limitations, Waivers and Reimbursements:The Manager contractually agreed to waive its investment advisory fee by the amount of any management fees the Fund pays indirectly through its investments in the Master Portfolios. For the six months ended March 31, 2019, the Manager waived $1,366,100, which is included in fees waived and/or reimbursed by the Manager in the Statement of Operations.
With respect to the Fund, the Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”). This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended March 31, 2019, the amount waived and/or reimbursed was $22,791.
With the exception of the Fund’s investment in the Master Portfolios, the Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Fund’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through January 31, 2020. The contractual agreement may be terminated upon 90 days’ notice by a majority of the directors who are not “interested persons” of the Fund, as defined in the 1940 Act (“Independent Directors”), or by a vote of a majority of the outstanding voting securities of the Fund. For the six months ended March 31, 2019, the Manager waived $90,851 in investment advisory fees pursuant to this arrangement.
Interfund Lending:In accordance with an exemptive order (the “Order”) from the U.S. Securities and Exchange Commission (“SEC”), the Fund may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Fund’s investment policies and restrictions. The Fund is currently permitted to borrow and lend under the Interfund Lending Program.
A lending BlackRock fund may lend in aggregate up to 15% of its net assets, but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.
During the six months ended March 31, 2019, the Fund did not participate in the Interfund Lending Program.
Directors and Officers:Certain directors and/or officers of the Fund are directors and/or officers of BlackRock or its affiliates. The Fund reimburses the Manager for a portion of the compensation paid to the Fund’s Chief Compliance Officer, which is included in Officer in the Statement of Operations.
6. | PURCHASES AND SALES |
For the six months ended March 31, 2019, purchases and sales of investments, excluding short-term securities, were $1,592,763 and $23,634,519, respectively.
7. | INCOME TAX INFORMATION |
It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s U.S. federal tax returns generally remains open for each of the four years ended September 30, 2018. The statutes of limitations on the Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Fund as of March 31, 2019, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Fund’s financial statements.
As of March 31, 2019, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| ||||
Tax cost | $ | 1,037,387,973 | ||
|
| |||
Gross unrealized appreciation | $ | 95,894,957 | ||
Gross unrealized depreciation | (30,658 | ) | ||
|
| |||
Net unrealized appreciation | $ | 95,864,299 | ||
|
|
8. | BANK BORROWINGS |
The Fund, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is a party to a364-day, $2.25 billion credit agreement with a group of lenders. Under this agreement, the Fund may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Fund, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal
F U N D N O T E S T O F I N A N C I A L S T A T E M E N T S | 23 |
Notes to Financial Statements (unaudited) (continued) | BlackRock Balanced Capital Fund, Inc. |
to the higher of(a) one-month LIBOR (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum or (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed. The agreement expires in April 2019 unless extended or renewed. Participating Funds paid an upfront commitment fee of 0.02% on the total commitment amounts, in addition to administration, legal and arrangement fees, which are included in miscellaneous expenses in the Statement of Operations. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the six months ended March 31, 2019, the Fund did not borrow under the credit agreement.
9. | PRINCIPAL RISKS |
In the normal course of business, the Fund invests in securities or other instruments and may enter into certain transactions, and such activities subject the Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. The Fund’s prospectus provides details of the risks to which the Fund is subject.
Valuation Risk:The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Fund may invest in illiquid investments. An illiquid investment is any investment that the Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Fund may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause the Fund’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of the Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.
The price the Fund could receive upon the sale of any particular portfolio investment may differ from the Fund’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore the Fund’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by the Fund, and the Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. The Fund’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third party service providers.
Counterparty Credit Risk:The Fund may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Fund manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Fund to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Fund’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Fund.
A derivative contract may suffer amark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
With exchange-traded futures, there is less counterparty credit risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund.
10. | CAPITAL SHARE TRANSACTIONS |
Transactions in capital shares for each class were as follows:
| ||||||||||||||||||||
Six Months Ended 03/31/19 | Year Ended 09/30/18 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||
| ||||||||||||||||||||
Institutional | ||||||||||||||||||||
Shares sold | 3,071,768 | $ | 67,101,339 | 3,891,977 | $ | 94,491,584 | ||||||||||||||
Shares issued to shareholders in reinvestment of distributions | 1,072,612 | 21,580,952 | 2,640,420 | 60,106,609 | ||||||||||||||||
Shares redeemed | (2,327,730 | ) | (50,584,198 | ) | (3,856,251 | ) | (91,017,804 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase | 1,816,650 | $ | 38,098,093 | 2,676,146 | $ | 63,580,389 | ||||||||||||||
|
|
|
|
|
|
|
|
24 | 2 0 1 9 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Financial Statements (unaudited) (continued) | BlackRock Balanced Capital Fund, Inc. |
| ||||||||||||||||||||
Six Months Ended 03/31/19 | Year Ended 09/30/18 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||
| ||||||||||||||||||||
Investor A | ||||||||||||||||||||
Shares issued from conversion(a) | — | $ | — | 1,596 | $ | 36,159 | ||||||||||||||
Shares sold and automatic conversion of shares | 3,657,505 | 79,070,937 | 2,360,083 | 56,218,978 | ||||||||||||||||
Shares issued to shareholders in reinvestment of distributions | 1,434,345 | 28,758,674 | 3,515,858 | 79,773,902 | ||||||||||||||||
Shares redeemed | (2,742,237 | ) | (59,512,707 | ) | (4,314,897 | ) | (103,010,637 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase | 2,349,613 | $ | 48,316,904 | 1,562,640 | $ | 33,018,402 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Investor B | ||||||||||||||||||||
Shares sold | — | $ | — | 10 | $ | 201 | ||||||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 244 | 5,333 | ||||||||||||||||
Shares converted(a) | — | — | (1,660 | ) | (36,159 | ) | ||||||||||||||
Shares redeemed and automatic conversion of shares | — | — | (343 | ) | (8,215 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net decrease | — | $ | — | (1,749 | ) | $ | (38,840 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Investor C | ||||||||||||||||||||
Shares sold | 2,258,547 | $ | 41,793,668 | 1,316,679 | $ | 27,565,575 | ||||||||||||||
Shares issued to shareholders in reinvestment of distributions | 363,588 | 6,304,622 | 917,398 | 18,192,068 | ||||||||||||||||
Shares redeemed and automatic conversion of shares | (1,515,999 | ) | (28,948,775 | ) | (1,728,930 | ) | (35,893,373 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase | 1,106,136 | $ | 19,149,515 | 505,147 | $ | 9,864,270 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Period from 01/25/18(b) to 09/30/18 | ||||||||||||||||||||
|
| |||||||||||||||||||
Class K | ||||||||||||||||||||
Shares sold | 302,672 | $ | 6,533,105 | 392,363 | $ | 9,021,637 | ||||||||||||||
Shares issued to shareholders in reinvestment of distributions | 28,583 | 574,807 | 3,222 | 75,278 | ||||||||||||||||
Shares redeemed | (95,302 | ) | (2,074,196 | ) | (49,686 | ) | (1,168,163 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase | 235,953 | $ | 5,033,716 | 345,899 | $ | 7,928,752 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Year Ended 09/30/18 | ||||||||||||||||||||
|
| |||||||||||||||||||
Class R | ||||||||||||||||||||
Shares sold | 36,531 | $ | 732,279 | 105,339 | $ | 2,326,671 | ||||||||||||||
Shares issued to shareholders in reinvestment of distributions | 48,483 | 892,079 | 135,698 | 2,843,013 | ||||||||||||||||
Shares redeemed | (96,711 | ) | (1,920,931 | ) | (256,925 | ) | (5,670,403 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net decrease | (11,697 | ) | $ | (296,573 | ) | (15,888 | ) | $ | (500,719 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Net Increase | 5,496,655 | $ | 110,301,655 | 5,072,195 | $ | 113,852,254 | ||||||||||||||
|
|
|
|
|
|
|
|
(a) | On December 27, 2017, the Fund’s Investor B Shares converted into Investor A Shares. |
(b) | Commencement of operations. |
As of March 31, 2019, BlackRock Financial Management, Inc., an affiliate of the Fund, owned 8,471 Class K Shares of the Fund.
11. | REGULATIONS-X AMENDMENTS |
On August 17, 2018, the SEC adopted amendments to certain disclosure requirements in Securities Act ReleaseNo. 33-10532, Disclosure Update and Simplification. The Fund has adopted the amendments pertinent to RegulationS-X in this shareholder report. The amendments impacted certain disclosure presentation on the Statement of Assets and Liabilities, Statements of Changes in Net Assets and Notes to the Financial Statements.
Prior year distribution information and undistributed net investment income in the Statements of Changes in Net Assets has been modified to conform to the current year presentation in accordance with the RegulationS-X changes.
Distributions for the year ended September 30, 2018 were classified as follows:
| ||||||||
Share Class | Net Investment Income | Net Realized Gain | ||||||
| ||||||||
Institutional | $7,864,574 | $63,775,655 | ||||||
Investor A | 8,476,532 | 80,979,483 | ||||||
Investor B | — | 5,569 | ||||||
Investor C | 1,161,720 | 17,905,020 | ||||||
Class K | 77,270 | — | ||||||
Class R | 219,925 | 2,623,088 | ||||||
|
Undistributed net investment income as of September 30, 2018 was $4,320,444.
F U N D N O T E S T O F I N A N C I A L S T A T E M E N T S | 25 |
Notes to Financial Statements (unaudited) (continued) | BlackRock Balanced Capital Fund, Inc. |
12. | SUBSEQUENT EVENTS |
Management’s evaluation of the impact of all subsequent events on the Fund’s financial statements was completed through the date the financial statements were issued and the following item was noted:
Effective April 18, 2019, the credit agreement was extended until April 2020 under the same terms.
26 | 2 0 1 9 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Portfolio Information as of March 31, 2019 | Master Advantage Large Cap Core Portfolio |
TEN LARGEST HOLDINGS
| ||||
Security | Percent of Net Assets | |||
| ||||
Amazon.com, Inc. | 4% | |||
Apple Inc. | 3 | |||
Johnson & Johnson | 3 | |||
Microsoft Corp. | 2 | |||
Mastercard, Inc., Class A | 2 | |||
Merck & Co., Inc. | 2 | |||
UnitedHealth Group, Inc. | 2 | |||
PepsiCo, Inc. | 2 | |||
JPMorgan Chase & Co. | 2 | |||
Facebook, Inc., Class A | 1 | |||
|
SECTOR ALLOCATION
| ||||
Sector | Percent of Net Assets | |||
| ||||
Information Technology | 22% | |||
Health Care | 15 | |||
Financials | 14 | |||
Industrials | 11 | |||
Consumer Discretionary | 9 | |||
Communication Services | 8 | |||
Consumer Staples | 6 | |||
Real Estate | 5 | |||
Energy | 4 | |||
Utilities | 3 | |||
Materials | 2 | |||
Short-Term Securities | 1 | |||
Other Assets Less Liabilities | — | (a) | ||
|
(a) | Amount is greater than 0.05%. |
For Portfolio compliance purposes, the Portfolio’s sector classifications refer to one or more of the sectorsub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine sectorsub-classifications for reporting ease.
P O R T F O L I O I N F O R M A T I O N | 27 |
Schedule of Investments (unaudited) March 31, 2019 | Master Advantage Large Cap Core Portfolio (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||
Common Stocks — 99.0% | ||||||||
Aerospace & Defense — 2.0% | ||||||||
Boeing Co. | 67,614 | $ | 25,789,332 | |||||
General Dynamics Corp. | 27,850 | 4,714,448 | ||||||
Raytheon Co. | 201,767 | 36,737,735 | ||||||
|
| |||||||
67,241,515 | ||||||||
Airlines — 0.1% | ||||||||
Southwest Airlines Co. | 93,329 | 4,844,708 | ||||||
|
| |||||||
Banks — 5.6% | ||||||||
Bank of America Corp. | 1,448,519 | 39,964,639 | ||||||
BB&T Corp. | 842,372 | 39,195,569 | ||||||
Citizens Financial Group, Inc. | 793,752 | 25,796,940 | ||||||
Cullen/Frost Bankers, Inc. | 14,073 | 1,366,066 | ||||||
East West Bancorp, Inc. | 99,086 | 4,753,155 | ||||||
First Republic Bank | 24,731 | 2,484,476 | ||||||
IBERIABANK Corp. | 44,724 | 3,207,158 | ||||||
JPMorgan Chase & Co. | 540,089 | 54,673,209 | ||||||
PNC Financial Services Group, Inc. | 38,756 | 4,753,811 | ||||||
Regions Financial Corp. | 56,533 | 799,942 | ||||||
Wells Fargo & Co. | 278,264 | 13,445,716 | ||||||
Western Alliance Bancorp(a) | 42,675 | 1,751,382 | ||||||
|
| |||||||
192,192,063 | ||||||||
Beverages — 2.0% | ||||||||
Keurig Dr Pepper, Inc. | 22,969 | 642,443 | ||||||
Molson Coors Brewing Co., Class B | 22,196 | 1,323,991 | ||||||
Monster Beverage Corp.(a) | 158,901 | 8,672,817 | ||||||
PepsiCo, Inc. | 471,903 | 57,831,713 | ||||||
|
| |||||||
68,470,964 | ||||||||
Biotechnology — 4.1% | ||||||||
AbbVie, Inc. | 281,786 | 22,709,134 | ||||||
Amgen, Inc. | 224,199 | 42,593,326 | ||||||
Biogen, Inc.(a) | 15,829 | 3,741,659 | ||||||
Celgene Corp.(a) | 89,689 | 8,461,260 | ||||||
Genomic Health, Inc.(a) | 44,622 | 3,125,771 | ||||||
Gilead Sciences, Inc. | 679,302 | 44,161,423 | ||||||
Incyte Corp.(a) | 33,620 | 2,891,656 | ||||||
Regeneron Pharmaceuticals, Inc.(a) | 14,017 | 5,755,660 | ||||||
Vertex Pharmaceuticals, Inc.(a) | 35,396 | 6,511,094 | ||||||
|
| |||||||
139,950,983 | ||||||||
Building Products — 0.4% | ||||||||
Allegion PLC | 140,318 | 12,728,246 | ||||||
|
| |||||||
Capital Markets — 2.4% | ||||||||
Charles Schwab Corp. | 923,532 | 39,490,228 | ||||||
Evercore, Inc., Class A | 23,783 | 2,164,253 | ||||||
FactSet Research Systems, Inc. | 26,158 | 6,494,247 | ||||||
Moelis & Co., Class A | 190,943 | 7,945,138 | ||||||
Morgan Stanley | 397,557 | 16,776,905 | ||||||
TD Ameritrade Holding Corp. | 165,918 | 8,294,241 | ||||||
|
| |||||||
81,165,012 | ||||||||
Chemicals — 1.4% | ||||||||
Air Products & Chemicals, Inc. | 163,663 | 31,253,086 | ||||||
Eastman Chemical Co. | 62,716 | 4,758,890 | ||||||
Ecolab, Inc. | 62,940 | 11,111,428 | ||||||
|
| |||||||
47,123,404 | ||||||||
Commercial Services & Supplies — 0.3% | ||||||||
Republic Services, Inc. | 27,439 | 2,205,547 | ||||||
Waste Connections, Inc. | 8,931 | 791,197 | ||||||
Waste Management, Inc. | 65,106 | 6,765,164 | ||||||
|
| |||||||
9,761,908 | ||||||||
Communications Equipment — 1.2% | ||||||||
Ciena Corp.(a) | 107,008 | 3,995,679 | ||||||
Cisco Systems, Inc. | 512,340 | 27,661,237 |
Security | Shares | Value | ||||||
Communications Equipment (continued) | ||||||||
InterDigital, Inc. | 9 | $ | 594 | |||||
Motorola Solutions, Inc. | 71,401 | 10,026,128 | ||||||
|
| |||||||
41,683,638 | ||||||||
Construction & Engineering — 0.0% | ||||||||
Fluor Corp. | 33,140 | 1,219,552 | ||||||
|
| |||||||
Construction Materials — 0.1% | ||||||||
Vulcan Materials Co. | 16,722 | 1,979,885 | ||||||
|
| |||||||
Consumer Finance — 0.9% | ||||||||
American Express Co. | 209,926 | 22,944,912 | ||||||
Discover Financial Services | 97,765 | 6,956,957 | ||||||
|
| |||||||
29,901,869 | ||||||||
Containers & Packaging — 0.9% | ||||||||
Packaging Corp. of America | 36,266 | 3,604,115 | ||||||
Westrock Co. | 657,979 | 25,233,495 | ||||||
|
| |||||||
28,837,610 | ||||||||
Diversified Consumer Services — 0.1% | ||||||||
H&R Block, Inc. | 135,251 | 3,237,909 | ||||||
|
| |||||||
Diversified Financial Services — 1.4% | ||||||||
Berkshire Hathaway, Inc., Class B(a) | 238,124 | 47,836,730 | ||||||
|
| |||||||
Diversified Telecommunication Services — 1.2% | ||||||||
Verizon Communications, Inc. | 715,582 | 42,312,364 | ||||||
|
| |||||||
Electric Utilities — 1.6% | ||||||||
Evergy, Inc. | 110,285 | 6,402,044 | ||||||
IDACORP, Inc. | 131,876 | 13,126,937 | ||||||
OGE Energy Corp. | 14,094 | 607,733 | ||||||
Pinnacle West Capital Corp. | 223,186 | 21,332,118 | ||||||
Xcel Energy, Inc. | 257,112 | 14,452,265 | ||||||
|
| |||||||
55,921,097 | ||||||||
Electrical Equipment — 1.4% | ||||||||
AMETEK, Inc. | 110,546 | 9,172,002 | ||||||
Generac Holdings, Inc.(a) | 50,963 | 2,610,834 | ||||||
Rockwell Automation, Inc. | 213,849 | 37,521,945 | ||||||
|
| |||||||
49,304,781 | ||||||||
Electronic Equipment, Instruments & Components — 1.0% | ||||||||
CDW Corp. | 202,101 | 19,476,473 | ||||||
Corning, Inc. | 47,188 | 1,561,923 | ||||||
National Instruments Corp. | 327,749 | 14,538,946 | ||||||
|
| |||||||
35,577,342 | ||||||||
Energy Equipment & Services — 0.5% | ||||||||
Halliburton Co. | 550,451 | 16,128,214 | ||||||
Nabors Industries Ltd. | 298,019 | 1,025,185 | ||||||
|
| |||||||
17,153,399 | ||||||||
Entertainment — 0.8% | ||||||||
Netflix, Inc.(a) | 24,903 | 8,879,414 | ||||||
Viacom, Inc., Class A | 1,651 | 53,575 | ||||||
Viacom, Inc., Class B | 355,380 | 9,975,517 | ||||||
Walt Disney Co. | 74,138 | 8,231,542 | ||||||
Zynga, Inc., Class A(a) | 115,513 | 615,684 | ||||||
|
| |||||||
27,755,732 | ||||||||
Equity Real Estate Investment Trusts (REITs) — 4.7% | ||||||||
Equity LifeStyle Properties, Inc. | 231,673 | 26,480,224 | ||||||
First Industrial Realty Trust, Inc. | 354,492 | 12,534,837 | ||||||
Host Hotels & Resorts, Inc. | 305,182 | 5,767,940 | ||||||
Outfront Media, Inc. | 314,758 | 7,365,337 | ||||||
Park Hotels & Resorts, Inc. | 520,808 | 16,186,713 | ||||||
Prologis, Inc. | 590,193 | 42,464,386 | ||||||
Realty Income Corp. | 124,318 | 9,144,832 | ||||||
RLJ Lodging Trust | 481,379 | 8,457,829 |
28 | 2 0 1 9 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Advantage Large Cap Core Portfolio (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||
Equity Real Estate Investment Trusts (REITs) (continued) | ||||||||
Simon Property Group, Inc. | 174,194 | $ | 31,739,889 | |||||
|
| |||||||
160,141,987 | ||||||||
Food & Staples Retailing — 0.7% | ||||||||
Costco Wholesale Corp. | 94,685 | 22,927,026 | ||||||
Performance Food Group Co.(a) | 49,391 | 1,957,859 | ||||||
|
| |||||||
24,884,885 | ||||||||
Food Products — 1.8% | ||||||||
Archer-Daniels-Midland Co. | 586,024 | 25,275,215 | ||||||
Hershey Co. | 257,982 | 29,624,073 | ||||||
Lamb Weston Holdings, Inc. | 83,286 | 6,241,453 | ||||||
Tyson Foods, Inc., Class A | 16,360 | 1,135,875 | ||||||
|
| |||||||
62,276,616 | ||||||||
Gas Utilities — 0.4% | ||||||||
Atmos Energy Corp. | 132,076 | 13,594,583 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 2.3% | ||||||||
IDEXX Laboratories, Inc.(a) | 10,963 | 2,451,327 | ||||||
Masimo Corp.(a) | 40,848 | 5,648,461 | ||||||
Medtronic PLC | 297,444 | 27,091,200 | ||||||
STERIS PLC | 35,690 | 4,569,391 | ||||||
Stryker Corp. | 203,661 | 40,227,121 | ||||||
|
| |||||||
79,987,500 | ||||||||
Health Care Providers & Services — 2.8% | ||||||||
AmerisourceBergen Corp. | 127,572 | 10,144,525 | ||||||
Anthem, Inc. | 5,942 | 1,705,235 | ||||||
Cardinal Health, Inc. | 64,629 | 3,111,886 | ||||||
Humana, Inc. | 45,478 | 12,097,148 | ||||||
McKesson Corp. | 86,387 | 10,112,462 | ||||||
UnitedHealth Group, Inc. | 237,709 | 58,775,927 | ||||||
|
| |||||||
95,947,183 | ||||||||
Health Care Technology — 0.8% | ||||||||
Cerner Corp.(a) | 229,261 | 13,116,022 | ||||||
Veeva Systems, Inc., Class A(a) | 106,170 | 13,468,726 | ||||||
|
| |||||||
26,584,748 | ||||||||
Hotels, Restaurants & Leisure — 2.0% | ||||||||
Aramark | 181,897 | 5,375,056 | ||||||
Carnival Corp. | 400,531 | 20,314,932 | ||||||
Darden Restaurants, Inc. | 101,782 | 12,363,460 | ||||||
Domino’s Pizza, Inc. | 22,414 | 5,785,053 | ||||||
Extended Stay America, Inc. | 397,728 | 7,139,218 | ||||||
Las Vegas Sands Corp. | 205,473 | 12,525,634 | ||||||
Norwegian Cruise Line Holdings Ltd.(a) | 94,741 | 5,206,965 | ||||||
Royal Caribbean Cruises Ltd. | 5,541 | 635,109 | ||||||
|
| |||||||
69,345,427 | ||||||||
Household Durables — 0.1% | ||||||||
Garmin Ltd. | 14,536 | 1,255,184 | ||||||
Whirlpool Corp. | 12,358 | 1,642,255 | ||||||
|
| |||||||
2,897,439 | ||||||||
Household Products — 0.4% | ||||||||
Church & Dwight Co., Inc. | 188,486 | 13,425,858 | ||||||
Clorox Co. | 7,670 | 1,230,728 | ||||||
|
| |||||||
14,656,586 | ||||||||
Industrial Conglomerates — 0.9% | ||||||||
3M Co. | 113,281 | 23,537,526 | ||||||
Honeywell International, Inc. | 35,857 | 5,698,394 | ||||||
|
| |||||||
29,235,920 | ||||||||
Insurance — 3.3% | ||||||||
Aflac, Inc. | 16,388 | 819,400 | ||||||
Allstate Corp. | 205,274 | 19,332,705 | ||||||
American Financial Group, Inc. | 109,742 | 10,558,278 | ||||||
Arthur J. Gallagher & Co. | 143,081 | 11,174,626 | ||||||
Athene Holding Ltd., Class A(a) | 376,877 | 15,376,582 |
Security | Shares | Value | ||||||
Insurance (continued) | ||||||||
First American Financial Corp. | 72,685 | $ | 3,743,278 | |||||
Hartford Financial Services Group, Inc. | 263,545 | 13,103,457 | ||||||
Lincoln National Corp. | 114,962 | 6,748,269 | ||||||
Travelers Cos., Inc. | 169,617 | 23,264,668 | ||||||
Unum Group | 264,560 | 8,950,065 | ||||||
|
| |||||||
113,071,328 | ||||||||
Interactive Media & Services — 3.9% | ||||||||
Alphabet, Inc., Class A(a) | 19,604 | 23,071,752 | ||||||
Alphabet, Inc., Class C(a) | 38,925 | 45,671,092 | ||||||
Facebook, Inc., Class A(a) | 301,565 | 50,267,870 | ||||||
Twitter, Inc.(a) | 219,191 | 7,207,000 | ||||||
Yelp, Inc.(a) | 172,768 | 5,960,496 | ||||||
|
| |||||||
132,178,210 | ||||||||
Internet & Direct Marketing Retail — 3.6% | ||||||||
Amazon.com, Inc.(a) | 68,608 | 122,173,696 | ||||||
|
| |||||||
IT Services — 6.0% | ||||||||
Amdocs Ltd. | 81,665 | 4,418,893 | ||||||
Automatic Data Processing, Inc. | 241,995 | 38,656,281 | ||||||
Booz Allen Hamilton Holding Corp. | 180,629 | 10,501,770 | ||||||
Broadridge Financial Solutions, Inc. | 50,614 | 5,248,166 | ||||||
Fidelity National Information Services, Inc. | 146,423 | 16,560,441 | ||||||
First Data Corp., Class A(a) | 69,435 | 1,824,057 | ||||||
GoDaddy, Inc., Class A(a) | 99,320 | 7,467,871 | ||||||
Mastercard, Inc., Class A | 258,511 | 60,866,415 | ||||||
Paychex, Inc. | 324,447 | 26,020,649 | ||||||
PayPal Holdings, Inc.(a) | 12,858 | 1,335,175 | ||||||
Square, Inc., Class A(a) | 9,600 | 719,232 | ||||||
Total System Services, Inc. | 13,086 | 1,243,301 | ||||||
VeriSign, Inc.(a) | 117,112 | 21,262,855 | ||||||
Visa, Inc., Class A | 47,577 | 7,431,052 | ||||||
|
| |||||||
203,556,158 | ||||||||
Life Sciences Tools & Services — 0.1% | ||||||||
Agilent Technologies, Inc. | 40,703 | 3,271,707 | ||||||
|
| |||||||
Machinery — 3.7% | ||||||||
Crane Co. | 444,923 | 37,649,384 | ||||||
Illinois Tool Works, Inc. | 37,304 | 5,354,243 | ||||||
Ingersoll-Rand PLC | 247,427 | 26,709,745 | ||||||
PACCAR, Inc. | 499,525 | 34,037,634 | ||||||
Snap-on, Inc. | 144,332 | 22,590,845 | ||||||
|
| |||||||
126,341,851 | ||||||||
Media — 2.4% | ||||||||
AMC Networks, Inc., Class A(a) | 234,045 | 13,284,394 | ||||||
CBS Corp., Class B,Non-Voting Shares | 219,009 | 10,409,498 | ||||||
Comcast Corp., Class A | 257,847 | 10,308,723 | ||||||
Fox Corp., Class B(a) | 12,395 | 444,733 | ||||||
Interpublic Group of Cos., Inc. | 1,189,454 | 24,990,429 | ||||||
Liberty Media Corp. — Liberty SiriusXM, Class A(a) | 108,621 | 4,147,150 | ||||||
Liberty Media Corp. — Liberty SiriusXM, Class C(a) | 103,507 | 3,958,108 | ||||||
Sinclair Broadcast Group, Inc., Class A | 151,786 | 5,840,725 | ||||||
Sirius XM Holdings, Inc. | 1,509,194 | 8,557,130 | ||||||
Tribune Media Co., Class A | 11,176 | 515,661 | ||||||
|
| |||||||
82,456,551 | ||||||||
Metals & Mining — 0.2% | ||||||||
Steel Dynamics, Inc. | 143,653 | 5,066,641 | ||||||
|
| |||||||
Multiline Retail — 1.3% | ||||||||
Kohl’s Corp. | 86,798 | 5,969,098 | ||||||
Macy’s, Inc. | 52,075 | 1,251,362 | ||||||
Target Corp. | 446,120 | 35,805,591 | ||||||
|
| |||||||
43,026,051 |
P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S | 29 |
Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Advantage Large Cap Core Portfolio (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||
Multi-Utilities — 0.1% | ||||||||
Avista Corp. | 42,684 | $ | 1,733,824 | |||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.6% | ||||||||
Anadarko Petroleum Corp. | 322,129 | 14,650,427 | ||||||
Cabot Oil & Gas Corp. | 176,772 | 4,613,749 | ||||||
Chevron Corp. | 271,619 | 33,458,028 | ||||||
ConocoPhillips | 363,948 | 24,289,890 | ||||||
Continental Resources, Inc.(a) | 25,455 | 1,139,620 | ||||||
Encana Corp. | 68,641 | 496,961 | ||||||
Exxon Mobil Corp. | 78,996 | 6,382,877 | ||||||
Kinder Morgan, Inc. | 532,794 | 10,661,208 | ||||||
Occidental Petroleum Corp. | 122,566 | 8,113,869 | ||||||
Phillips 66 | 142,474 | 13,559,251 | ||||||
Suncor Energy, Inc. | 198,022 | 6,421,853 | ||||||
|
| |||||||
123,787,733 | ||||||||
Personal Products — 0.4% | ||||||||
Estee Lauder Cos., Inc., Class A | 44,889 | 7,431,374 | ||||||
Herbalife Nutrition Ltd.(a) | 10,125 | 536,524 | ||||||
Nu Skin Enterprises, Inc., Class A | 135,389 | 6,479,718 | ||||||
|
| |||||||
14,447,616 | ||||||||
Pharmaceuticals — 5.0% | ||||||||
Bristol-Myers Squibb Co. | 211,017 | 10,067,621 | ||||||
Johnson & Johnson | 615,220 | 86,001,604 | ||||||
Merck & Co., Inc. | 722,187 | 60,064,293 | ||||||
Pfizer, Inc. | 24,734 | 1,050,453 | ||||||
Zoetis, Inc. | 135,167 | 13,607,262 | ||||||
|
| |||||||
170,791,233 | ||||||||
Professional Services — 1.1% | ||||||||
IHS Markit Ltd.(a) | 36,089 | 1,962,520 | ||||||
Insperity, Inc. | 215,240 | 26,616,578 | ||||||
Robert Half International, Inc. | 145,043 | 9,451,002 | ||||||
|
| |||||||
38,030,100 | ||||||||
Road & Rail — 0.9% | ||||||||
Landstar System, Inc. | 174,370 | 19,074,334 | ||||||
Lyft, Inc., Class A(a) | 142,908 | 11,188,267 | ||||||
Schneider National, Inc., Class B | 34,612 | 728,583 | ||||||
|
| |||||||
30,991,184 | ||||||||
Semiconductors & Semiconductor Equipment — 2.4% | ||||||||
Broadcom, Inc. | 41,734 | 12,549,831 | ||||||
Cirrus Logic, Inc.(a) | 66,929 | 2,815,703 | ||||||
Intel Corp. | 681,056 | 36,572,707 | ||||||
QUALCOMM, Inc. | 56,357 | 3,214,040 | ||||||
Texas Instruments, Inc. | 118,413 | 12,560,067 | ||||||
Xilinx, Inc. | 110,483 | 14,008,140 | ||||||
|
| |||||||
81,720,488 | ||||||||
Software — 6.9% | ||||||||
ACI Worldwide, Inc.(a) | 162,446 | 5,339,600 | ||||||
Adobe, Inc.(a) | 56,205 | 14,978,070 | ||||||
Atlassian Corp. PLC, Class A(a) | 4,266 | 479,456 | ||||||
Dropbox, Inc., Class A(a)(b) | 319,081 | 6,955,966 | ||||||
Intuit, Inc. | 65,197 | 17,043,148 | ||||||
LogMeIn, Inc. | 46,658 | 3,737,306 | ||||||
Microsoft Corp. | 646,873 | 76,292,202 | ||||||
New Relic, Inc.(a) | 25,649 | 2,531,556 | ||||||
Oracle Corp. | 455,734 | 24,477,473 | ||||||
Palo Alto Networks, Inc.(a) | 10,310 | 2,504,093 | ||||||
RingCentral, Inc., Class A(a) | 13,961 | 1,504,996 | ||||||
salesforce.com, Inc.(a) | 309,188 | 48,966,104 | ||||||
ServiceNow, Inc.(a) | 31,576 | 7,783,168 | ||||||
Splunk, Inc.(a) | 25,557 | 3,184,402 | ||||||
Synopsys, Inc.(a) | 39,384 | 4,535,068 | ||||||
Tableau Software, Inc., Class A(a) | 104,034 | 13,241,448 | ||||||
Ultimate Software Group, Inc.(a) | 3,910 | 1,290,808 | ||||||
|
| |||||||
234,844,864 |
Security | Shares | Value | ||||||
Specialty Retail — 1.0% | ||||||||
Best Buy Co., Inc. | 38,213 | $ | 2,715,416 | |||||
Dick’s Sporting Goods, Inc. | 99,325 | 3,656,153 | ||||||
Home Depot, Inc. | 144,850 | 27,795,267 | ||||||
Murphy USA, Inc.(a) | 2,866 | 245,387 | ||||||
Penske Automotive Group, Inc. | 22,665 | 1,011,992 | ||||||
|
| |||||||
35,424,215 | ||||||||
Technology Hardware, Storage & Peripherals — 4.4% | ||||||||
Apple Inc. | 545,059 | 103,533,957 | ||||||
Dell Technologies, Inc., Class C(a) | 510,850 | 29,981,787 | ||||||
HP Inc. | 540,767 | 10,507,103 | ||||||
Pure Storage, Inc., Class A(a) | 249,161 | 5,429,218 | ||||||
|
| |||||||
149,452,065 | ||||||||
Textiles, Apparel & Luxury Goods — 1.3% | ||||||||
Lululemon Athletica, Inc.(a) | 46,088 | 7,552,441 | ||||||
NIKE, Inc., Class B | 332,195 | 27,974,141 | ||||||
VF Corp. | 103,872 | 9,027,515 | ||||||
|
| |||||||
44,554,097 | ||||||||
Thrifts & Mortgage Finance — 0.1% | ||||||||
Essent Group Ltd.(a) | 74,177 | 3,222,991 | ||||||
|
| |||||||
Tobacco — 0.3% | ||||||||
Philip Morris International, Inc. | 116,496 | 10,297,081 | ||||||
|
| |||||||
Trading Companies & Distributors — 0.1% | ||||||||
WESCO International, Inc.(a) | 83,305 | 4,415,998 | ||||||
|
| |||||||
Water Utilities — 0.5% | ||||||||
American Water Works Co., Inc. | 156,037 | 16,268,418 | ||||||
|
| |||||||
Wireless Telecommunication Services — 0.1% | ||||||||
Telephone & Data Systems, Inc. | 83,201 | 2,556,767 | ||||||
|
| |||||||
Total Long-Term Investments — 99.0% | 3,379,434,452 | |||||||
|
| |||||||
Short-Term Securities — 0.9% | ||||||||
BlackRock Liquidity Funds,T-Fund, Institutional Class, 2.37%(c)(e) | 32,652,469 | 32,652,469 | ||||||
SL Liquidity Series, LLC, Money Market Series, 2.67%(c)(d)(e) | 175,073 | 175,108 | ||||||
Total Short-Term Investments — 0.9% |
| 32,827,577 | ||||||
|
| |||||||
Total Investments — 99.9% | 3,412,262,029 | |||||||
|
| |||||||
Other Assets Less Liabilities — 0.1% | 1,914,351 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 3,414,176,380 | ||||||
|
|
30 | 2 0 1 9 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Advantage Large Cap Core Portfolio |
(a) | Non-income producing security. |
(b) | Security, or a portion of the security, is on loan. |
(c) | Annualized7-day yield as of period end. |
(d) | Security was purchased with the cash collateral from loaned securities. |
(e) | During the six months ended March 31, 2019, investments in issuers considered to be affiliates of the Portfolio for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
| ||||||||||||||||||||||||||||
Affiliate | Shares Held at | Net Activity | Shares Held at 03/31/19 | Value at 03/31/19 | Income | Net Realized Gain (Loss)(a) | Change in Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
| ||||||||||||||||||||||||||||
BlackRock Liquidity Funds,T-Fund, Institutional Class | 30,370,653 | 2,281,816 | 32,652,469 | $ | 32,652,469 | $ | 356,719 | $ | — | $ | — | |||||||||||||||||
SL Liquidity Series, LLC, Money Market Series | — | 175,073 | 175,073 | 175,108 | 10,872 | (b) | 1,697 | 53 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
$ | 32,827,577 | $ | 367,591 | $ | 1,697 | $ | 53 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
(a) | Includes net capital gain distributions, if applicable. |
(b) | Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
For Portfolio compliance purposes, the Portfolio’s industry classifications refer to one or more of the industrysub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industrysub-classifications for reporting ease.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
Description | Number of | Expiration Date | Notional Amount (000) | Value/ Unrealized Appreciation (Depreciation) | ||||||||||||
Long Contracts | ||||||||||||||||
S&P 500E-Mini Index | 270 | 06/21/19 | $ | 38,310 | $ | 721,296 | ||||||||||
|
|
|
|
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statement of Assets and Liabilities were as follows:
| ||||||||||||||||||||||||||||||||
Assets — Derivative Financial Instruments | Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Futures contracts |
| Net unrealized appreciation(a) | $ | — | $ | — | $ | 721,296 | $ | — | $ | — | $ | — | $ | 721,296 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Includes cumulative appreciation (depreciation) on futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
For the six months ended March 31, 2019, the effect of derivative financial instruments in the Statement of Operation was as follows:
| ||||||||||||||||||||||||||||
Net Realized Loss from: | Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||||
| ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | (1,179,119 | ) | $ | — | $ | — | $ | — | $ | (1,179,119 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: |
| |||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | 647,595 | $ | — | $ | — | $ | — | $ | 647,595 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| ||||
Futures contracts: | ||||
Average notional value of contracts — long | $ | 40,950,390 | ||
|
For more information about the Portfolio’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S | 31 |
Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Advantage Large Cap Core Portfolio |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Portfolio’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.
The following tables summarize the Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Long-Term Investments: | ||||||||||||||||
Common Stocks(a) | $ | 3,379,434,452 | $ | — | $ | — | $ | 3,379,434,452 | ||||||||
Short-Term Securities | 32,652,469 | — | — | 32,652,469 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 3,412,086,921 | $ | — | $ | — | $ | 3,412,086,921 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Investments Valued at NAV(b) | 175,108 | |||||||||||||||
|
| |||||||||||||||
Total Investments | $ | 3,412,262,029 | ||||||||||||||
|
| |||||||||||||||
Derivative Financial Instruments(c) | ||||||||||||||||
Assets: | ||||||||||||||||
Equity contracts | $ | 721,296 | $ | — | $ | — | $ | 721,296 | ||||||||
|
|
|
|
|
|
|
|
(a) | See above Schedule of Investments for values in each industry. |
(b) | Certain investments of the Portfolio were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |
(c) | Derivative financial instruments are futures contracts which are valued at the unrealized appreciation (depreciation) on the instrument. |
During the six months ended March 31, 2019, there were no transfers between levels.
See notes to financial statements.
32 | 2 0 1 9 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Statement of Assets and Liabilities (unaudited)
March 31, 2019
Master Advantage Large Cap Core | ||||
ASSETS | ||||
Investments at value — unaffiliated (including securities loaned at value of $172,220) (cost — $2,986,203,730) | $ | 3,379,434,452 | ||
Investments at value — affiliated (cost — $32,827,524) | 32,827,577 | |||
Cash pledged for financial futures contracts | 1,637,000 | |||
Receivables: | ||||
Investments sold | 47,028,948 | |||
Securities lending income — affiliated | 41 | |||
Dividends — affiliated | 61,217 | |||
Dividends — unaffiliated | 3,138,325 | |||
Variation margin on financial futures contracts | 226,800 | |||
Prepaid expenses | 21,335 | |||
|
| |||
Total assets | 3,464,375,695 | |||
|
| |||
LIABILITIES | ||||
Cash collateral on securities loaned at value | 172,686 | |||
Payables: | ||||
Investments purchased | 46,064,062 | |||
Directors’ fees | 16,467 | |||
Investment advisory fees | 2,339,326 | |||
Other accrued expenses | 271,642 | |||
Other affiliates | 6,013 | |||
Withdrawals to investors | 1,329,119 | |||
|
| |||
Total liabilities | 50,199,315 | |||
|
| |||
NET ASSETS | $ | 3,414,176,380 | ||
|
| |||
NET ASSETS CONSIST OF | ||||
Investors’ capital | $ | 3,020,224,309 | ||
Net unrealized appreciation (depreciation) | 393,952,071 | |||
|
| |||
NET ASSETS | $ | 3,414,176,380 | ||
|
|
See notes to financial statements.
PORTFOLIO FINANCIAL STATEMENTS | 33 |
Statement of Operations (unaudited)
Six Months Ended March 31, 2019
Master Advantage Large Cap Core | ||||
INVESTMENT INCOME | ||||
Dividends — affiliated | $ | 356,719 | ||
Dividends — unaffiliated | 33,036,908 | |||
Securities lending income — affiliated — net | 10,872 | |||
Other income — affiliated | 14,734 | |||
Foreign taxes withheld | (17,935 | ) | ||
|
| |||
Total investment income | 33,401,298 | |||
|
| |||
EXPENSES | ||||
Investment advisory | 6,774,223 | |||
Accounting services | 122,041 | |||
Custodian | 61,253 | |||
Professional | 24,897 | |||
Directors | 24,889 | |||
Printing | 5,511 | |||
Miscellaneous | 14,441 | |||
|
| |||
Total expenses | 7,027,255 | |||
Less fees waived and/or reimbursed by the Manager | (11,792 | ) | ||
|
| |||
Total expenses after fees waived and/or reimbursed | 7,015,463 | |||
|
| |||
Net investment income | 26,385,835 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) from: | ||||
Futures contracts | (1,179,119 | ) | ||
Investments — affiliated | 1,697 | |||
Investments — unaffiliated | (39,442,745 | ) | ||
Foreign currency transactions | 32 | |||
|
| |||
(40,620,135 | ) | |||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments — affiliated | 53 | |||
Investments — unaffiliated | (53,067,571 | ) | ||
Futures contracts | 647,595 | |||
|
| |||
(52,419,923 | ) | |||
|
| |||
Total realized and unrealized loss | $ | (93,040,058 | ) | |
|
| |||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (66,654,223 | ) | |
|
|
See notes to financial statements.
34 | 2019 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Statements of Changes in Net Assets
Master Advantage Large Cap Core Portfolio | ||||||||
Six Months Ended 03/31/19 | Year Ended 09/30/18 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 26,385,835 | $ | 40,946,243 | ||||
Net realized gain (loss) | (40,620,135 | ) | 265,541,520 | |||||
Net change in unrealized appreciation (depreciation) | (52,419,923 | ) | 128,614,300 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | (66,654,223 | ) | 435,102,063 | |||||
|
|
|
| |||||
CAPITAL TRANSACTIONS | ||||||||
Proceeds from contributions | 682,029,585 | 978,503,162 | ||||||
Value of withdrawals | (304,387,596 | ) | (572,959,466 | ) | ||||
|
|
|
| |||||
Net increase in net assets derived from capital transactions | 377,641,989 | 405,543,696 | ||||||
|
|
|
| |||||
NET ASSETS | ||||||||
Total increase in net assets | 310,987,766 | 840,645,759 | ||||||
Beginning of period | 3,103,188,614 | 2,262,542,855 | ||||||
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End of period | $ | 3,414,176,380 | $ | 3,103,188,614 | ||||
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See notes to financial statements.
PORTFOLIO FINANCIAL STATEMENTS | 35 |
Master Advantage Large Cap Core Portfolio | ||||||||||||||||||||||||||||
Six Months Ended 03/31/19 (unaudited) | Year Ended September 30, | |||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||||||
Total return | (2.86 | )%(a) | 17.40 | % | 24.06 | %(b) | 10.34 | %(b) | (0.89 | )% | 19.44 | % | ||||||||||||||||
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Ratios to Average Net Assets | ||||||||||||||||||||||||||||
Total expenses | 0.44 | %(c) | 0.45 | % | 0.49 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||
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Total expenses after fees waived and/or reimbursed | 0.44 | %(c) | 0.45 | % | 0.49 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||
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Net investment income | 1.67 | %(c) | 1.47 | % | 1.33 | % | 1.25 | % | 1.09 | % | 1.08 | % | ||||||||||||||||
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Supplemental Data | ||||||||||||||||||||||||||||
Net assets, end of period (000) | $ | 3,414,176 | $ | 3,103,189 | $ | 2,262,543 | $ | 2,132,705 | $ | 2,153,331 | $ | 2,335,503 | ||||||||||||||||
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Portfolio turnover rate | 78 | % | 148 | % | 130 | % | 39 | % | 41 | % | 40 | % | ||||||||||||||||
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(a) | Aggregate total return. |
(b) | Includes proceeds received from a settlement of litigation, which had no impact on the Portfolio’s total return. |
(c) | Annualized. |
See notes to financial statements.
36 | 2019 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) | Master Advantage Large Cap Core Portfolio |
1. | ORGANIZATION |
Master Advantage Large Cap Core Portfolio (the “Portfolio”) is a series of Master Large Cap Series LLC (the “Master LLC”). The Master LLC is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as anopen-end management investment company and is organized as a Delaware limited liability company. The Portfolio is classified as diversified. The Limited Liability Company Agreement of the Master LLC permits the Board of Directors of the Master LLC (the “Board”) to issuenon-transferable interests in the Master LLC, subject to certain limitations.
The Portfolio, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, is included in a complex of equity, multi-asset, index and money market funds referred to as the BlackRock Multi-Asset Complex.
Reorganization:The Board of Large Cap Series Fund, Inc. and the Board of Trustees of State Farm Mutual Fund Trust and shareholders of State Farm Equity Fund (the “Target Fund”) approved the reorganization of the Target Fund into BlackRock Advantage Large Cap Core Fund. As a result, BlackRock Advantage Large Cap Core Fund acquired all of the assets and assumed certain of the liabilities of the Target Fund in exchange for an equal aggregate value of newly-issued shares of BlackRock Advantage Large Cap Core Fund.
On November 19, 2018, all of the portfolio securities previously held by the Target Fund were subsequently contributed by BlackRock Advantage Large Cap Core Fund to the Portfolio in exchange for an investment in the Portfolio.
For financial reporting purposes, assets received and shares issued by BlackRock Advantage Large Cap Core Fund were recorded at fair value. However, the cost basis of the investments received from the Target Fund was carried forward by Master Advantage Large Cap Core Portfolio to align ongoing reporting of BlackRock Advantage Large Cap Core Fund realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.
The Target Fund’s fair value and cost of investments prior to the reorganization were as follows:
Target Fund | Fair Value of Investments | Cost of Investments | ||||||
State Farm Equity Fund | $ | 369,010,639 | $ | 345,412,676 |
2. | SIGNIFICANT ACCOUNTING POLICIES |
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Portfolio is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition:For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on theex-dividend date. Dividends from foreign securities where theex-dividend date may have passed are subsequently recorded when the Portfolio is informed of theex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain.
Segregation and Collateralization:In cases where the Portfolio enters into certain investments (e.g., futures contracts) that would be treated as “senior securities” for 1940 Act purposes, the Portfolio may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments. Doing so allows the investment to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Portfolio may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.
Recent Accounting Standards:In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update2018-13 “Changes to the Disclosure Requirements for Fair Value Measurement” which modifies disclosure requirements for fair value measurements. The guidance is effective for fiscal years beginning after December 15, 2019 and for interim periods within those fiscal years. Management continues to evaluate the impact of this guidance to the Portfolio.
Indemnifications:In the normal course of business, the Portfolio enters into contracts that contain a variety of representations that provide general indemnification. The Portfolio’s maximum exposure under these arrangements is unknown because it involves future potential claims against the Portfolio, which cannot be predicted with any certainty.
Other:Expenses directly related to the Portfolio are charged to the Portfolio. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.
The Portfolio has an arrangement with its custodian whereby credits are earned on uninvested cash balances, which could be used to reduce custody fees and/or overdraft charges. The Portfolio may incur charges on certain uninvested cash balances and overdrafts, subject to certain conditions.
3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies:The Portfolio’s investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time)(or if the reporting date falls on a day the NYSE is closed, investments are valued at fair value as of the period end). U.S. GAAP defines fair value as the price the Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction
PORTFOLIO NOTESTO FINANCIAL STATEMENTS | 37 |
Notes to Financial Statements (unaudited) (continued) | Master Advantage Large Cap Core Portfolio |
between market participants at the measurement date. The Portfolio determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board of Directors of the Portfolio (the “Board”). The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.
Fair Value Inputs and Methodologies:The following methods and inputs are used to establish the fair value of the Portfolio’s assets and liabilities:
• | Equity investments traded on a recognized securities exchange are valued at the official closing price each day, if available. For equity investments traded on more than one exchange, the official closing price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price. |
• | Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of trading on the NYSE that may not be reflected in the computation of the Funds’ net assets. Each business day, the Funds use a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded andover-the-counter (“OTC”): options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of trading on the NYSE, which follows the close of the local markets. |
• | Investments inopen-end U.S. mutual funds are valued at net asset value (“NAV”) each business day. |
• | The Portfolio values its investment in SL Liquidity Series, LLC, Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon its pro rata ownership in the underlying fund’s net assets. The Money Market Series seeks current income consistent with maintaining liquidity and preserving capital. Although the Money Market Series is not registered under the 1940 Act, its investments may follow the parameters of investments by a money market fund that is subject to Rule2a-7 under the 1940 Act. |
• | Futures contracts traded on exchanges are valued at their last sale price. |
If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such investments, or in the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee will include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that the Portfolio might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in anarm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.
Fair Value Hierarchy:Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:
• | Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Portfolio has the ability to access |
• | Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
• | Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Portfolio’s own assumptions used in determining the fair value of investments and derivative financial instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or portfolios. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/ornon-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.
Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Portfolio’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.
As of March 31, 2019, certain investments of the Portfolio were valued using NAV per share (or its equivalent) as no quoted market value is available and therefore have been excluded from the fair value hierarchy.
4. | SECURITIES AND OTHER INVESTMENTS |
Securities Lending:The Portfolio may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Portfolio collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by the Portfolio is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a
38 | 2019 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued) | Master Advantage Large Cap Core Portfolio |
value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Portfolio and any additional required collateral is delivered to the Portfolio, or excess collateral returned by the Portfolio, on the next business day. During the term of the loan, the Portfolio is entitled to all distributions made on or in respect of the loaned securities, but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
The market value of any securities on loan, all of which were classified as common stocks in the Portfolio’s Schedule of Investments, and the value of any related collateral are shown separately in the Statement of Assets and Liabilities as a component of investments at value – unaffiliated, and collateral on securities loaned at value, respectively. As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested by the securities lending agent, BlackRock Investment Management, LLC (“BIM”), if any, is disclosed in the Schedule of Investments.
Securities lending transactions are entered into by the Portfolio under Master Securities Lending Agreements (each, an “MSLA”), which provide the right, in the event of default (including bankruptcy or insolvency), for thenon-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Portfolio, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell orre-pledge the loaned securities, and the Portfolio can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties’ obligations to return the securities or collateral to the other party are extinguished, and the parties can resell orre-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.
As of period end, the following table is a summary of the Portfolio’s securities lending agreements by counterparty which are subject to offset under an MSLA:
Counterparty | Securities at Value | Cash Collateral | Net Amount | |||||||||
Citigroup Global Markets, Inc. | $ | 172,220 | $ | (172,220 | ) | $ | — | |||||
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(a) | Cash collateral with a value of $172,686 has been received in connection with securities lending agreements. Collateral received in excess of the value of securities loaned from the individual counterparty, if any, is not shown for financial reporting purposes in the table above. |
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Portfolio benefits from a borrower default indemnity provided by BIM. BIM’s indemnity allows for full replacement of the securities loaned if the collateral received does not cover the value on the securities loaned in the event of borrower default. The Portfolio could incur a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received.
5. | DERIVATIVE FINANCIAL INSTRUMENTS |
The Portfolio engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Portfolio and/or to manage its exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedule of Investments. These contracts may be transacted on an exchange or OTC.
Futures Contracts:Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Futures contracts are agreements between the Portfolio and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Portfolio is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statement of Assets and Liabilities.
Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited, if any, is shown as cash pledged for futures contracts in the Statement of Assets and Liabilities. Pursuant to the contract, the Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statement of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.
Collateral Requirements:For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting themark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Portfolio and the counterparty.
Cash collateral that has been pledged to cover obligations of the Portfolio and cash collateral received from the counterparty, if any, is reported separately in the Statement of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively.Non-cash collateral pledged by the Portfolio, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Portfolio. Any additional required collateral is delivered to/pledged by the Portfolio on the next business day.
PORTFOLIO NOTESTO FINANCIAL STATEMENTS | 39 |
Notes to Financial Statements (unaudited) (continued) | Master Advantage Large Cap Core Portfolio |
Typically, the counterparty is not permitted to sell,re-pledge or use cash andnon-cash collateral it receives. The Portfolio generally agrees not to usenon-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Portfolio from its counterparties are not fully collateralized, it bears the risk of loss from counterpartynon-performance. Likewise, to the extent the Portfolio has delivered collateral to a counterparty and stands ready to perform under the terms of its agreement with such counterparty, it bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.
For financial reporting purposes, the Portfolio does not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statement of Assets and Liabilities.
6. | INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
Investment Advisory:The Master LLC, on behalf of the Portfolio, entered into an Investment Advisory Agreement with the Manager, the Portfolio’s investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of the Portfolio’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Portfolio.
For such services, the Portfolio pays the Manager a monthly fee at an annual rate equal to the average daily value of the Portfolio’s net assets at the following annual rates:
Average Daily Net Assets | Investment Advisory Fee | |||
Not exceeding $1 Billion | 0.45 | % | ||
In excess of $1 Billion, but not exceeding $3 Billion | 0.42 | |||
In excess of $3 Billion, but not exceeding $5 Billion | 0.41 | |||
In excess of $5 Billion, but not exceeding $10 Billion | 0.39 | |||
In excess of $10 Billion | 0.38 |
Expense Limitations, Waivers and Reimbursements:With respect to the Portfolio, the Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the Portfolio pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”). This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended March 31, 2019, the amount waived was $11,792.
The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Portfolio’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through January 31, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of the independent directors who are not “interested persons” of the Master LLC, as defined in the 1940 Act (“Independent Directors”), or by a vote of a majority of the outstanding voting securities of a Portfolio. For the six months ended March 31, 2019, there were no fees waived and/or reimbursed by the Manager pursuant to this arrangement.
For the six months ended March 31, 2019, the Portfolio reimbursed the Manager $15,652 for certain accounting services, which is included in accounting services in the Statement of Operations.
Securities Lending:The U.S. Securities and Exchange Commission (“SEC”) has issued an exemptive order which permits BIM, an affiliate of the Manager, to serve as securities lending agent for the Portfolio, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to securities lending. The Portfolio is responsible for expenses in connection with the investment of cash collateral received for securities on loan (the “collateral investment expenses”). The cash collateral is invested in a private investment company managed by the Manager or its affiliates. However, BIM has agreed to cap the collateral investment expenses of the private investment company to an annual rate of 0.04%. The investment adviser to the private investment company will not charge any advisory fees with respect to shares purchased by the Portfolio. The private investment company in which the cash collateral has been invested may, under certain circumstances, impose a liquidity fee of up to 2% of the value withdrawn or temporarily restrict withdrawals for up to 10 business days during a 90 day period, in the event that the private investment company’s weekly liquid assets fall below certain thresholds.
Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment expenses. The Portfolio retains a portion of securities lending income and remits a remaining portion to BIM as compensation for its services as securities lending agent.
Pursuant to the current securities lending agreement, the Portfolio retains 73.5% of securities lending income (which excludes collateral investment expenses), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment expenses.
In addition, commencing the business day following the date that the aggregate securities lending income earned across the Multi-Asset Complex in a calendar year exceeds a specified threshold, the Portfolio, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income (which excludes collateral investment expenses) in an amount equal to 80% of securities lending income, and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment expenses.
Prior to January 1, 2019, the Portfolio was subject to a different securities lending fee arrangement.
The share of securities lending income earned by the Portfolio is shown as securities lending income — affiliated — net in the Statement of Operations. For the six months ended March 31, 2019, the Portfolio paid BIM $3,636 for securities lending agent services.
Interfund Lending:In accordance with an exemptive order (the “Order”) from the SEC, the Portfolio may participate in a joint lending and borrowing facility for temporary
40 | 2019 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued) | Master Advantage Large Cap Core Portfolio |
purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Portfolio’s investment policies and restrictions. The Portfolio is currently permitted to borrow under the Interfund Lending Program.
A lending BlackRock portfolio may lend in aggregate up to 15% of its net assets, but may not lend more than 5% of its net assets to any one borrowing portfolio through the Interfund Lending Program. A borrowing BlackRock portfolio may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the portfolio’s investment restrictions). If a borrowing BlackRock portfolio’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending portfolio and the bank loan rate, as calculated according to a formula established by the Board.
During the six months ended March 31, 2019, the Portfolio did not participate in the Interfund Lending Program.
Directors and Officers:Certain directors and/or officers of the Master LLC are directors and/or officers of BlackRock or its affiliates.
7. | PURCHASES AND SALES |
For the six months ended, March 31, 2019, purchases and sales of investments, excluding short-term securities, were $2,499,390,997 and $2,452,377,389, respectively.
8. | INCOME TAX INFORMATION |
It is the Portfolio’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
The Portfolio is classified as a partnership for U.S. federal income tax purposes. As such, each investor in the Portfolio is treated as the owner of its proportionate share of net assets, income, expenses and realized and unrealized gains and losses of the Portfolio. Therefore, no U.S. federal income tax provision is required. It is intended that the Portfolio’s assets will be managed so an investor in the Portfolio can satisfy the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended.
The Portfolio files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Portfolio’s U.S. federal tax returns generally remains open for each of the four years ended September 30, 2018. The statutes of limitations on the Portfolio’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Portfolio as of March 31, 2019, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Portfolio’s financial statements.
As of March 31, 2019, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
Tax cost | $ | 3,032,637,285 | ||
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Gross unrealized appreciation | $ | 445,386,524 | ||
Gross unrealized depreciation | (65,040,484 | ) | ||
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Net unrealized appreciation | $ | 380,346,040 | ||
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|
9. | BANK BORROWINGS |
The Master LLC, on behalf of the Portfolio, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is a party to a364-day, $2.25 billion credit agreement with a group of lenders. Under this agreement, the Portfolio may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Portfolio, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of(a) one-month LIBOR (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum or (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed. The agreement expires in April 2019 unless extended or renewed. Participating Funds paid an upfront commitment fee of 0.02% on the total commitment amounts, in addition to administration, legal and arrangement fees, which are included in miscellaneous expenses in the Statement of Operations. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the six months ended March 31, 2019, the Portfolio did not borrow under the credit agreement.
10. | PRINCIPAL RISKS |
In the normal course of business, the Portfolio invests in securities or other instruments and may enter into certain transactions, and such activities subject the Portfolio to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. The Portfolio’s prospectus provides details of the risks to which the Portfolio is subject.
The Portfolio may be exposed to additional risks when reinvesting cash collateral in money market funds that do not seek to maintain a stable NAV per share of $1.00, which may be subject to redemption gates or liquidity fees under certain circumstances.
PORTFOLIO NOTESTO FINANCIAL STATEMENTS | 41 |
Notes to Financial Statements (unaudited) (continued) | Master Advantage Large Cap Core Portfolio |
Valuation Risk:The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Portfolio may invest in illiquid investments. An illiquid investment is any investment that the Portfolio reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Portfolio may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause the Portfolio’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of the Portfolio may lose value, regardless of the individual results of the securities and other instruments in which the Portfolio invests.
Counterparty Credit Risk:The Portfolio may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Portfolio manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Portfolio to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Portfolio’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Portfolio.
A derivative contract may suffer amark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
With futures, there is less counterparty credit risk to the Portfolio since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Portfolio does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Portfolio.
11. | SUBSEQUENT EVENTS |
Management’s evaluation of the impact of all subsequent events on the Portfolio’s financial statements was completed through the date the financial statements were issued and the following items were noted:
Effective April 18, 2019, the credit agreement was extended until April 2020 under the same terms.
42 | 2019 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Director and Officer Information of the Fund and Master Large Cap Series LLC
Mark Stalnecker, Chair of the Board and Director
Bruce R. Bond, Director
Susan J. Carter, Director
Collette Chilton, Director
Neil A. Cotty, Director
Lena G. Goldberg, Director
Robert M. Hernandez, Director
Henry R. Keizer, Director
Cynthia A. Montgomery, Director
Donald C. Opatrny, Director
Joseph P. Platt, Director
Kenneth L. Urish, Director
Claire A. Walton, Director
Robert Fairbairn, Director
John M. Perlowski, Director
Jennifer McGovern, Vice President
Neal J. Andrews, Chief Financial Officer
Jay M. Fife, Treasurer
Charles Park, Chief Compliance Officer
John MacKessy, Anti-Money Laundering Compliance Officer
Benjamin Archibald, Secretary
At a special meeting of shareholders held on November 21, 2018, the Fund’s shareholders elected Directors who took office on January 1, 2019. The newly elected Directors include seven former Directors and eight individuals who served as directors/trustees of the funds in the BlackRock Equity-Liquidity Complex. Information regarding the individuals who began serving as Directors effective January 1, 2019 can be found in the proxy statement for the special meeting of shareholders, which is available on the SEC’s EDGAR Database at http://www.sec.gov.
At a special meeting of shareholders held on November 21, 2018, the Master LLC’s interestholders elected Directors who took office on January 1, 2019. The newly elected Directors include ten former Directors and five individuals who served as directors/trustees of the funds in the BlackRock Equity-Bond Complex. Information regarding the individuals who began serving as Directors effective January 1, 2019 can be found in the proxy statement for the special meeting of shareholders, which is available on the SEC’s EDGAR Database at http://www.sec.gov.
Investment Adviser and Administrator
BlackRock Advisors, LLC
Wilmington, DE 19809
Accounting Agent and Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
Wilmington, DE 19809
Custodian
The Bank of New York Mellon(a)
New York, NY 10286
Brown Brothers Harriman & Co.(b)
Boston, MA 02109
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
Boston, MA 02116
Distributor
BlackRock Investments, LLC
New York, NY 10022
Legal Counsel
Sidley Austin LLP
New York, NY 10019
Address of the Fund/Master LLC
100 Bellevue Parkway
Wilmington, DE 19809
(a) | For Balanced Capital Fund, Inc. |
(b) | For Master Advantage Large Cap Core Portfolio. |
DIRECTORAND OFFICER INFORMATIONOFTHE FUNDAND MASTER LARGE CAP SERIES LLC | 43 |
Master Portfolio Information | Master Total Return Portfolio |
As of March 31, 2019
PORTFOLIO COMPOSITION
|
| |||
Asset Type | Percent of Total Investments(a) | |||
U.S. Government Sponsored Agency Securities | 44 | % | ||
Corporate Bonds | 32 | |||
Asset-Backed Securities | 7 | |||
Non-Agency Mortgage-Backed Securities | 4 | |||
U.S. Treasury Obligations | 4 | |||
Taxable Municipal Bonds | 3 | |||
Foreign Government Obligations | 3 | |||
Floating Rate Loan Interests | 1 | |||
Preferred Securities. | 1 | |||
Foreign Agency Obligations | 1 | |||
Other(b) | — |
(a) | Total investments exclude short-term securities, options purchased, options written and TBA sale commitments. |
(b) | Includes Common Stocks, Investment Companies and Warrants, which are all less than 1%. |
CREDIT QUALITY ALLOCATION(a)
|
| |||
Credit Rating | Percent of Total Investments(b) | |||
AAA/Aaa | 53 | % | ||
AA/Aa | 4 | |||
A | 13 | |||
BBB/Baa | 19 | |||
BB/Ba | 2 | |||
B | 2 | |||
CCC/Caa | 1 | |||
CC/Ca | 1 | |||
N/R(c) | 5 |
(a) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings (“S&P”) or Moody’s Investors Service if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
(b) | Total investments exclude short-term securities, options purchased, options written and TBA sale commitments. |
(c) | The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuers. Using this approach, the investment adviser has deemed unrated U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations to be of similar credit quality as investments rated AAA/Aaa. |
44 | 2019 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Asset-Backed Securities — 9.7% |
| |||||||
Accredited Mortgage Loan Trust,Series 2006-1, Class M2, (1 mo. LIBOR US + 0.340%), 2.83%, 04/25/36(a) | USD | 5,510 | $ | 2,849,068 | ||||
ACE Securities Corp. Home Equity Loan Trust: | ||||||||
Series 2003-OP1, Class A2, (1 mo. LIBOR US + 0.720%), | 581 | 567,225 | ||||||
Series 2006-CW1, Class A2C, (1 mo. LIBOR US + 0.140%), | 414 | 329,756 | ||||||
Series 2007-HE4, Class A2A, (1 mo. LIBOR US + 0.130%), | 2,815 | 785,228 | ||||||
Adams Mill CLO Ltd.,Series 2014-1A, Class A2R, (3 mo. LIBOR US + 1.100%), 3.89%, 07/15/26(a)(b) | 4,102 | 4,102,267 | ||||||
Ajax Mortgage Loan Trust: | ||||||||
Series 2017-D, Class A, | 10,805 | 11,087,231 | ||||||
Series 2017-D, Class B, | 1,772 | 797,624 | ||||||
Series 2018-A, Class A, | 10,891 | 10,481,525 | ||||||
Series 2018-A, Class B, | 2,700 | 1,484,834 | ||||||
Series 2018-B, Class A, | 7,693 | 7,673,920 | ||||||
Series 2018-B, Class B, | 3,621 | 1,013,957 | ||||||
Series 2018-D, Class A, | 11,741 | 11,554,801 | ||||||
Series 2018-D, Class B, | 2,865 | 1,604,435 | ||||||
Series 2018-E, Class A, | 4,959 | 4,996,877 | ||||||
Series 2018-E, Class B, | 840 | 824,388 | ||||||
Series 2018-E, Class C, | 2,158 | 625,540 | ||||||
Series 2018-F, Class A, | 17,881 | 17,970,605 | ||||||
Series 2018-F, Class B, | 2,415 | 2,369,749 | ||||||
Series 2018-F, Class C, | 5,911 | 2,778,338 | ||||||
Series 2018-G, Class A, | 16,870 | 16,794,193 | ||||||
Series 2018-G, Class B, | 2,042 | 1,996,055 | ||||||
Series 2018-G, Class C, | 5,281 | 5,055,720 | ||||||
Series 2019-A, Class A, | 17,590 | 17,553,411 | ||||||
Series 2019-A, Class B, | 1,720 | 1,684,939 | ||||||
Series 2019-A, Class C, | 4,430 | 3,422,948 | ||||||
Series 2019-B, Class A, | 28,610 | 28,543,977 | ||||||
Series 2019-B, Class B, | 2,845 | 2,787,053 | ||||||
Series 2019-B, Class C, | 7,315 | 5,863,652 | ||||||
Allegro CLOII-S Ltd.,Series 2014-1RA, Class A1, (3 mo. LIBOR US + 1.080%), | 3,790 | 3,779,975 |
Security | Par (000) | Value | ||||||
Allegro CLO V Ltd.,Series 2017-1A, Class A, (3 mo. LIBOR US + 1.240%), 4.02%, 10/16/30(a)(b) | USD | 1,100 | $ | 1,098,736 | ||||
ALM V Ltd.: | ||||||||
Series 2012-5A, Class A1R3, (3 mo. LIBOR US + 0.910%), 3.69%, 10/18/27(a)(b) | 4,410 | 4,391,698 | ||||||
Series 2012-5A, Class A2R3, (3 mo. LIBOR US + 1.250%), 4.03%, 10/18/27(a)(b) | 1,600 | 1,571,488 | ||||||
Series 2012-5A, Class BR3, (3 mo. LIBOR US + 1.650%), 4.43%, 10/18/27(a)(b) | 2,140 | 2,095,424 | ||||||
ALM VI Ltd.,Series 2012-6A, Class A2R3, (3 mo. LIBOR US + 1.400%), 4.19%, 07/15/26(a)(b) | 1,264 | 1,248,372 | ||||||
ALM XII Ltd.: | ||||||||
Series 2015-12A, Class A1R2, (3 mo. LIBOR US + 0.890%), 3.67%, 04/16/27(a)(b) | 1,300 | 1,297,334 | ||||||
Series 2015-12A, Class BR2, (3 mo. LIBOR US + 1.650%), 4.43%, 04/16/27(a)(b) | 3,635 | 3,580,457 | ||||||
ALM XVI Ltd./ALM XVI LLC: | ||||||||
Series 2015-16A, Class A2R2, (3 mo. LIBOR US + 1.500%), 4.29%, 07/15/27(a)(b) | 6,284 | 6,232,604 | ||||||
Series 2015-16A, Class BR2, (3 mo. LIBOR US + 1.900%), 4.69%, 07/15/27(a)(b) | 2,060 | 2,019,987 | ||||||
ALM XVIII Ltd.,Series 2016-18A, Class A2R, (3 mo. LIBOR US + 1.650%), 4.44%, 01/15/28(a)(b) | 750 | 748,019 | ||||||
AMMC CLO 19 Ltd.,Series 2016-19A, Class C, (3 mo. LIBOR US + 2.800%), 5.59%, 10/15/28(a)(b) | 720 | 722,436 | ||||||
AMMC CLO 21 Ltd.,Series 2017-21A, Class A, (3 mo. LIBOR US + 1.250%), 3.99%, 11/02/30(a)(b) | 750 | 749,386 | ||||||
AMMC CLO XII Ltd.,Series 2013-12A, Class AR, (3 mo. LIBOR US + 1.200%), 3.90%, 11/10/30(a)(b) | 540 | 538,265 | ||||||
AMMC CLO XIII Ltd.,Series 2013-13A, Class A1LR, (3 mo. LIBOR US + 1.260%), 4.04%, 07/24/29(a)(b) | 2,620 | 2,624,583 | ||||||
AMMC CLO XIV Ltd.,Series 2014-14A, Class A1LR, (3 mo. LIBOR US + 1.250%), 4.02%, 07/25/29(a)(b) | 6,220 | 6,228,304 | ||||||
Anchorage Capital CLO3-R Ltd.: | ||||||||
Series 2014-3RA, Class A, (3 mo. LIBOR US + 1.050%), 3.82%, 01/28/31(a)(b) | 2,120 | 2,105,419 | ||||||
Series 2014-3RA, Class B, (3 mo. LIBOR US + 1.500%), 4.27%, 01/28/31(a)(b) | 3,600 | 3,531,154 | ||||||
Series 2014-3RA, Class C, (3 mo. LIBOR US + 1.850%), 4.62%, 01/28/31(a)(b) | 500 | 481,316 | ||||||
Anchorage Capital CLO4-R Ltd.: | ||||||||
Series 2014-4RA, Class A, (3 mo. LIBOR US + 1.050%), 3.82%, 01/28/31(a)(b) | 5,330 | 5,293,070 | ||||||
Series 2014-4RA, Class C, (3 mo. LIBOR US + 1.850%), 4.62%, 01/28/31(a)(b) | 3,760 | 3,626,141 | ||||||
Anchorage Capital CLO5-R Ltd.: | ||||||||
Series 2014-5RA, Class B, (3 mo. LIBOR US + 1.450%), 4.24%, 01/15/30(a)(b) | 9,200 | 9,060,094 |
MASTER PORTFOLIO CONSOLIDATED SCHEDULEOF INVESTMENTS | 45 |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Anchorage Capital CLO5-R Ltd.: (continued) | ||||||||
Series 2014-5RA, Class C, (3 mo. LIBOR US + 1.850%), 4.64%, 01/15/30(a)(b) | USD | 3,540 | $ | 3,432,814 | ||||
Anchorage Capital CLO 6 Ltd.,Series 2015-6A, Class AR, (3 mo. LIBOR US + 1.270%), 4.06%, 07/15/30(a)(b) | 4,010 | 4,012,726 | ||||||
Anchorage Capital CLO 7 Ltd.: | ||||||||
Series 2015-7A, Class B1R, (3 mo. LIBOR US + 1.300%), 4.09%, 10/15/27(a)(b) | 3,470 | 3,413,048 | ||||||
Series 2015-7A, Class CR, (3 mo. LIBOR US + 1.700%), 4.49%, 10/15/27(a)(b) | 2,880 | 2,828,427 | ||||||
Anchorage Capital CLO 8 Ltd.: | ||||||||
Series 2016-8A, Class AR, (3 mo. LIBOR US + 1.000%), 3.77%, 07/28/28(a)(b) | 2,430 | 2,418,908 | ||||||
Series 2016-8A, Class BR, (3 mo. LIBOR US + 1.600%), 4.37%, 07/28/28(a)(b) | 2,800 | 2,778,510 | ||||||
Anchorage Capital CLO Ltd.: | ||||||||
Series 2013-1A, Class A1R, (3 mo. LIBOR US + 1.250%), 4.05%, 10/13/30(a)(b) | 2,755 | 2,744,015 | ||||||
Series 2013-1A, Class BR, (3 mo. LIBOR US + 2.150%), 4.95%, 10/13/30(a)(b) | 1,410 | 1,384,041 | ||||||
Apidos CLO XII,Series 2013-12A, Class AR, (3 mo. LIBOR US + 1.080%), 3.87%, 04/15/31(a)(b) | 2,402 | 2,373,893 | ||||||
Apidos CLO XV,Series 2013-15A, Class A1RR, (3 mo. LIBOR US + 1.010%), 3.77%, 04/20/31(a)(b) | 1,080 | 1,063,913 | ||||||
Apidos CLO XVI,Series 2013-16A, Class A1R, (3 mo. LIBOR US + 0.980%), 3.74%, 01/19/25(a)(b) | 799 | 799,498 | ||||||
Apidos CLO XVIII,Series 2018-18A, Class A1, (3 mo. LIBOR US + 1.140%), 3.90%, 10/22/30(a)(b) | 880 | 870,808 | ||||||
Arbor Realty Collateralized Loan Obligation Ltd., Series2017-FL3, Class A, (1 mo. LIBOR US + 0.990%), 3.47%, 12/15/27(a)(b) | 3,740 | 3,724,466 | ||||||
Arbor Realty Commercial Real Estate Notes Ltd.: | ||||||||
Series 2016-FL1A, Class A, (1 mo. LIBOR US + 1.700%), 4.18%, 09/15/26(a)(b) | 3,940 | 3,970,548 | ||||||
Series 2017-FL2, Class A, (1 mo. LIBOR US + 0.990%), 3.47%, 08/15/27(a)(b) | 1,660 | 1,651,935 | ||||||
ARES XXXIII CLO Ltd.: | ||||||||
Series 2015-1A, Class A2R, (3 mo. LIBOR US + 1.950%), 4.55%, 12/05/25(a)(b) | 1,420 | 1,421,246 | ||||||
Series 2015-1A, Class B2R, (3 mo. LIBOR US + 2.800%), 5.40%, 12/05/25(a)(b) | 500 | 499,417 | ||||||
ARES XXXVII CLO Ltd.,Series 2015-4A, Class A1R, (3 mo. LIBOR US + 1.170%), 3.96%, 10/15/30(a)(b) | 1,150 | 1,142,986 | ||||||
Argent Mortgage Loan Trust,Series 2005-W1, Class A2, (1 mo. LIBOR US + 0.480%), 2.97%, 05/25/35(a) | 4,365 | 3,862,659 | ||||||
Atlas Senior Loan Fund IV Ltd.,Series 2013-2A, Class A2RR, (3 mo. LIBOR US + 1.300%), 3.98%, 02/17/26(a)(b) | 3,000 | 3,001,281 | ||||||
Atrium IX, Series 9A, Class AR, (3 mo. LIBOR US + 1.240%), 3.87%, 05/28/30(a)(b) | 4,010 | 3,992,732 | ||||||
Atrium XII: | ||||||||
Series 12A, Class AR, (3 mo. LIBOR US + 0.830%), 3.59%, 04/22/27(a)(b) | 1,620 | 1,608,905 | ||||||
Series 12A, Class CR, (3 mo. LIBOR US + 1.650%), 4.41%, 04/22/27(a)(b) | 2,381 | 2,342,760 | ||||||
Avery Point V CLO Ltd.: | ||||||||
Series 2014-5A, Class AR, (3 mo. LIBOR US + 0.980%), 3.75%, 07/17/26(a)(b) | 2,812 | 2,808,084 |
Security | Par (000) | Value | ||||||
Avery Point V CLO Ltd.: (continued) | ||||||||
Series 2014-5A, Class BR, (3 mo. LIBOR US + 1.500%), 4.27%, 07/17/26(a)(b) | USD | 2,250 | $ | 2,239,263 | ||||
Avery Point VI CLO Ltd.: | ||||||||
Series 2015-6A, Class AR, (3 mo. LIBOR US + 1.050%), 3.78%, 08/05/27(a)(b) | 3,960 | 3,952,110 | ||||||
Series 2015-6A, Class BR, (3 mo. LIBOR US + 1.500%), 4.23%, 08/05/27(a)(b) | 2,490 | 2,467,110 | ||||||
Avery Point VII CLO Ltd.,Series 2015-7A, Class A1, (3 mo. LIBOR US + 1.500%), 4.29%, 01/15/28(a)(b) | 7,916 | 7,921,935 | ||||||
B2R Mortgage Trust: | ||||||||
Series 2015-1, Class A1, 2.52%, 05/15/48(b) | 226 | 224,416 | ||||||
Series 2015-2, Class A, 3.34%, 11/15/48(b) | 615 | 614,095 | ||||||
Babson CLO Ltd.: | ||||||||
Series 2015-2A, Class AR, (3 mo. LIBOR US + 1.190%), 3.95%, 10/20/30(a)(b) | 2,590 | 2,575,277 | ||||||
Series 2015-IA, Class BR, (3 mo. LIBOR US + 1.400%), 4.16%, 01/20/31(a)(b) | 610 | 596,622 | ||||||
Bain Capital Credit CLO,Series 2018-2A, Class A1, (3 mo. LIBOR US + 1.080%), 3.84%, 07/19/31(a)(b) | 1,420 | 1,403,006 | ||||||
Ballyrock CLO Ltd.,Series 2016-1A, Class A, | 1,935 | 1,936,374 | ||||||
BankAmerica Manufactured Housing Contract Trust: | ||||||||
Series 1997-2, Class B1, 7.07%, 02/10/22(d) | 1,680 | 1,364,538 | ||||||
Series 1998-2, Class B1, 7.93%, 12/10/25(d) | 2,790 | 1,724,149 | ||||||
Barings CLO Ltd.,Series 2018-3A, Class A1, | 1,085 | 1,078,798 | ||||||
Battalion CLO VII Ltd.,Series 2014-7A, Class A1RR, (3 mo. LIBOR US + 1.040%), 3.81%, 07/17/28(a)(b) | 3,450 | 3,430,817 | ||||||
Bayview Financial Revolving Asset Trust: | ||||||||
Series 2004-B, Class A1, (1 mo. LIBOR US + 1.000%), 3.50%, 05/28/39(a)(b) | 6,675 | 5,796,698 | ||||||
Series 2004-B, Class A2, (1 mo. LIBOR US + 1.300%), 3.80%, 05/28/39(a)(b) | 641 | 509,751 | ||||||
Series 2005-A, Class A1, (1 mo. LIBOR US + 1.000%), 3.50%, 02/28/40(a)(b) | 2,871 | 2,768,946 | ||||||
Series 2005-E, Class A1, (1 mo. LIBOR US + 1.000%), 3.50%, 12/28/40(a)(b) | 1,150 | 1,079,799 | ||||||
BCMSC Trust: | ||||||||
Series 2000-A, Class A2, 7.58%, 06/15/30(d) | 1,674 | 554,934 | ||||||
Series 2000-A, Class A3, 7.83%, 06/15/30(d) | 1,554 | 532,388 | ||||||
Series 2000-A, Class A4, 8.29%, 06/15/30(d) | 2,661 | 965,275 | ||||||
BDS Ltd.,Series 2019-FL3, Class A, (1 mo. LIBOR US + 1.400%), 3.88%, 12/15/35(a)(b) | 4,680 | 4,692,475 | ||||||
Bear Stearns Asset-Backed Securities I Trust: | ||||||||
Series 2004-HE7, Class M2, (1 mo. LIBOR US + 1.725%), 4.21%, 08/25/34(a) | 245 | 243,647 | ||||||
Series 2006-HE1, Class 1M4, (1 mo. LIBOR US + 0.680%), 3.17%, 12/25/35(a) | 1,891 | 2,251,103 | ||||||
Series 2006-HE7, Class 1A2, (1 mo. LIBOR US + 0.170%), 2.66%, 09/25/36(a) | 3,510 | 4,039,053 |
46 | 2019 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Bear Stearns Asset-Backed Securities I Trust: (continued) |
| |||||||
Series 2007-FS1, Class 1A3, (1 mo. LIBOR US + 0.170%), | USD 1,188 | $ | 1,249,569 | |||||
Series 2007-HE1, Class 21A2, (1 mo. LIBOR US + 0.160%), | 715 | 700,554 | ||||||
Series 2007-HE2, Class 1A4, (1 mo. LIBOR US + 0.320%), | 1,060 | 754,753 | ||||||
Series 2007-HE2, Class 22A, (1 mo. LIBOR US + 0.140%), | 1,026 | 1,009,220 | ||||||
Series 2007-HE2, Class 23A, (1 mo. LIBOR US + 0.140%), | 1,983 | 2,038,527 | ||||||
Series 2007-HE3, Class 1A3, (1 mo. LIBOR US + 0.250%), | 1,121 | 1,179,759 | ||||||
Series 2007-HE3, Class 1A4, (1 mo. LIBOR US + 0.350%), | 6,224 | 5,224,612 | ||||||
Bear Stearns Asset-Backed Securities Trust,Series 2005-4, Class M2, (1 mo. LIBOR US + 1.200%), | 143 | 142,424 | ||||||
Bear Stearns Second Lien Trust, Series 2007-SV1A, Class M1, (1 mo. LIBOR US + 1.200%), | 144 | 143,461 | ||||||
Benefit Street Partners CLO IV Ltd.,Series 2014-IVA, Class A1R, (3 mo. LIBOR US + 1.490%), | 4,020 | 4,023,368 | ||||||
Benefit Street Partners CLOV-B Ltd.,Series 2018-5BA, Class A1A, (3 mo. LIBOR US + 1.090%), | 1,450 | 1,435,621 | ||||||
Benefit Street Partners CLO VI Ltd.: | ||||||||
Series 2015-VIA, Class A1R, (3 mo. LIBOR US + 1.240%), | 12,030 | 12,041,794 | ||||||
Series 2015-VIA, Class A2R, (3 mo. LIBOR US + 1.720%), | 3,320 | 3,301,602 | ||||||
Benefit Street Partners CLO VII Ltd., Series 2015-VIIA, Class A1AR, (3 mo. LIBOR US + 0.780%), | 2,790 | 2,772,542 | ||||||
Benefit Street Partners CLO VIII Ltd.,Series 2015-8A, Class A1AR, (3 mo. LIBOR US + 1.100%), | 1,250 | 1,237,049 | ||||||
BlueMountain CLO Ltd.: | ||||||||
Series 2013-2A, Class A1R, (3 mo. LIBOR US + 1.180%), | 6,370 | 6,328,538 | ||||||
Series 2015-3A, Class A1R, (3 mo. LIBOR US + 1.000%), | 2,550 | 2,517,483 | ||||||
Bowman Park CLO Ltd.,Series 2014-1A, Class AR, (3 mo. LIBOR US + 1.180%), | 5,468 | 5,475,252 | ||||||
BSPRT Issuer Ltd.,Series 2018-FL3, Class A, (1 mo. LIBOR US + 1.050%), | 1,215 | 1,212,463 | ||||||
Carlyle Global Market Strategies CLO Ltd.: | ||||||||
Series 2012-4A, Class AR, (3 mo. LIBOR US + 1.450%), | 6,630 | 6,633,794 | ||||||
Series 2013-2A, Class AR, (3 mo. LIBOR US + 0.890%), | 1,490 | 1,477,685 | ||||||
Series 2013-4A, Class A1RR, (3 mo. LIBOR US + 1.000%), | 1,880 | 1,853,701 |
Security | Par (000) | Value | ||||||
Carlyle Global Market Strategies CLO Ltd.: (continued) |
| |||||||
Series 2014-1A, Class A1R2, (3 mo. LIBOR US + 0.970%), | USD 3,170 | $ | 3,124,340 | |||||
Series 2015-1A, Class BR, (3 mo. LIBOR US + 1.500%), | 750 | 745,664 | ||||||
Series 2015-1A, Class CR, (3 mo. LIBOR US + 2.000%), | 1,160 | 1,158,259 | ||||||
Series 2015-3A, Class A2R, (3 mo. LIBOR US + 1.600%), | 2,220 | 2,209,572 | ||||||
Carlyle U.S. CLO Ltd.: | ||||||||
Series 2016-4A, Class A2R, (3 mo. LIBOR US + 1.450%), | 750 | 742,442 | ||||||
Series 2017-4A, Class A1, (3 mo. LIBOR US + 1.180%), | 4,620 | 4,589,517 | ||||||
Carrington Mortgage Loan Trust: | ||||||||
Series 2006-FRE2, Class A2, (1 mo. LIBOR US + 0.120%), | 935 | 704,251 | ||||||
Series 2006-FRE2, Class A3, (1 mo. LIBOR US + 0.160%), | 3,111 | 2,354,350 | ||||||
Series 2006-FRE2, Class A5, (1 mo. LIBOR US + 0.080%), | 790 | 591,961 | ||||||
Series 2006-NC1, Class M2, (1 mo. LIBOR US + 0.420%), | 610 | 468,477 | ||||||
Series 2006-NC3, Class A4, (1 mo. LIBOR US + 0.240%), | 2,003 | 1,511,882 | ||||||
Series 2006-NC4, Class A3, (1 mo. LIBOR US + 0.160%), | 1,002 | 937,263 | ||||||
Series 2006-NC5, Class A3, (1 mo. LIBOR US + 0.150%), | 3,978 | 3,182,790 | ||||||
Series 2007-RFC1, Class A4, (1 mo. LIBOR US + 0.220%), | 1,440 | 981,040 | ||||||
CBAM Ltd.: | ||||||||
Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.250%), | 6,050 | 6,023,752 | ||||||
Series 2017-2A, Class B1, (3 mo. LIBOR US + 1.750%), | 2,955 | 2,926,708 | ||||||
Series 2017-3A, Class A, (3 mo. LIBOR US + 1.230%), | 3,780 | 3,766,281 | ||||||
Series 2017-3A, Class B1, (3 mo. LIBOR US + 1.700%), | 1,000 | 987,506 | ||||||
C-BASS Trust: | ||||||||
Series 2006-CB7, Class A4, (1 mo. LIBOR US + 0.160%), | 657 | 499,093 | ||||||
Series 2007-CB1, Class AF4, 3.57%, 01/25/37(e) | 438 | 193,541 | ||||||
Cedar Funding II CLO Ltd.,Series 2013-1A, Class BR, (3 mo. LIBOR US + 1.750%), | 2,450 | 2,437,135 | ||||||
Cedar Funding IV CLO Ltd.,Series 2014-4A, Class AR, (3 mo. LIBOR US + 1.230%), | 1,200 | 1,196,993 | ||||||
Cedar Funding IX CLO Ltd.,Series 2018-9A, Class A1, (3 mo. LIBOR US + 0.980%), | 940 | 922,852 | ||||||
Cedar Funding V CLO Ltd.,Series 2016-5A, Class A1R, (3 mo. LIBOR US + 1.100%), | 1,880 | 1,864,009 |
MASTER PORTFOLIO CONSOLIDATED SCHEDULEOF INVESTMENTS | 47 |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Cedar Funding VI CLO Ltd.,Series 2016-6A, Class AR, (3 mo. LIBOR US + 1.090%), | USD | 13,045 | $ | 12,981,211 | ||||||||
Cedar Funding VIII CLO Ltd.: | ||||||||||||
Series 2017-8A, Class A1, (3 mo. LIBOR US + 1.250%), | 16,520 | 16,487,883 | ||||||||||
Series 2017-8A, Class B, (3 mo. LIBOR US + 1.700%), | 2,628 | 2,590,110 | ||||||||||
Series 2017-8A, Class C, (3 mo. LIBOR US + 2.250%), | 750 | 733,709 | ||||||||||
Cent CLO Ltd.: | ||||||||||||
Series 2015-24A, Class A1R, (3 mo. LIBOR US + 1.070%), | 4,000 | 3,992,463 | ||||||||||
Series C17A, Class A1AR, (3 mo. LIBOR US + 1.030%), | 7,620 | 7,514,541 | ||||||||||
CIFC Funding Ltd.: | ||||||||||||
Series 2013-1A, Class A2R, (3 mo. LIBOR US + 1.750%), 4.53%, 07/16/30(a)(b) | 500 | 500,361 | ||||||||||
Series 2014-4RA, Class A1A, (3 mo. LIBOR US + 1.130%), 3.90%, 10/17/30(a)(b) | 15,810 | 15,753,111 | ||||||||||
Series 2015-2A, Class AR, (3 mo. LIBOR US + 0.780%), 3.57%, 04/15/27(a)(b) | 770 | 767,029 | ||||||||||
Series 2015-2A, Class CR, (3 mo. LIBOR US + 1.700%), 4.49%, 04/15/27(a)(b) | 4,620 | 4,549,464 | ||||||||||
Series 2018-1A, Class A, (3 mo. LIBOR US + 1.000%), 3.78%, 04/18/31(a)(b) | 1,834 | 1,805,062 | ||||||||||
Citicorp Residential Mortgage Trust,Series 2007-2, Class M1, 5.12%, 06/25/37(e) | 2,830 | 2,657,891 | ||||||||||
Citigroup Mortgage Loan Trust, Inc.: | ||||||||||||
Series 2006-WFH4, Class M3, (1 mo. LIBOR US + 0.320%), 2.81%, 11/25/36(a) | 3,007 | 2,578,702 | ||||||||||
Series 2007-AHL2, Class A3B, (1 mo. LIBOR US + 0.200%), 2.69%, 05/25/37(a) | 7,336 | 5,351,120 | ||||||||||
Series 2007-AHL2, Class A3C, (1 mo. LIBOR US + 0.270%), 2.76%, 05/25/37(a) | 3,333 | 2,452,693 | ||||||||||
Conseco Finance Corp.: | ||||||||||||
Series 1997-3, Class M1, 7.53%, 03/15/28(d) | 1,856 | 1,840,165 | ||||||||||
Series 1997-6, Class M1, 7.21%, 01/15/29(d) | 345 | 343,628 | ||||||||||
Series 1998-4, Class M1, 6.83%, 04/01/30(d) | 356 | 318,298 | ||||||||||
Series 1998-8, Class A1, 6.28%, 09/01/30 | 933 | 982,644 | ||||||||||
Series 1998-8, Class M1, 6.98%, 09/01/30(d) | 2,631 | 2,265,901 | ||||||||||
Series 1999-5, Class A5, 7.86%, 03/01/30(d) | 1,512 | 1,059,323 | ||||||||||
Series 1999-5, Class A6, 7.50%, 03/01/30(d) | 1,106 | 750,160 | ||||||||||
Series 2001-D, Class B1, (1 mo. LIBOR US + 2.500%), | 2,038 | 2,036,360 | ||||||||||
Conseco Finance Securitizations Corp.: | ||||||||||||
Series 2000-1, Class A5, 8.06%, 09/01/29(d) | 1,614 | 727,595 | ||||||||||
Series 2000-4, Class A5, 7.97%, 05/01/32 | 5,484 | 2,328,472 | ||||||||||
Series 2000-4, Class A6, 8.31%, 05/01/32(d) | 1,377 | 608,902 | ||||||||||
Series 2000-5, Class A6, 7.96%, 05/01/31 | 2,312 | 1,315,714 | ||||||||||
Series 2000-5, Class A7, 8.20%, 05/01/31 | 4,217 | 2,466,012 |
Security | Par (000) | Value | ||||||||||
Countrywide Asset-Backed Certificates: | ||||||||||||
Series 2003-BC3, Class A2, (1 mo. LIBOR US + 0.620%), 3.11%, 09/25/33(a) | USD | 593 | $ | 580,964 | ||||||||
Series 2004-5, Class A, (1 mo. LIBOR US + 0.900%), 3.39%, 10/25/34(a) | 597 | 595,522 | ||||||||||
Series 2005-16, Class 1AF, 5.69%, 05/25/36(d) | 4,047 | 3,927,679 | ||||||||||
Series 2005-16, Class 2AF3, | 912 | 918,407 | ||||||||||
Series 2005-17, Class 1AF4, | 2,893 | 2,822,021 | ||||||||||
Series 2006-11, Class 3AV2, (1 mo. LIBOR US + 0.160%), 2.65%, 09/25/46(a) | 277 | 271,674 | ||||||||||
Series 2006-17, Class 2A2, (1 mo. LIBOR US + 0.150%), 2.64%, 03/25/47(a) | 293 | 285,953 | ||||||||||
Series 2006-8, Class 2A3, (1 mo. LIBOR US + 0.160%), 2.65%, 12/25/35(a) | 719 | 708,261 | ||||||||||
Series 2006-S10, Class A3, (1 mo. LIBOR US + 0.320%), 2.81%, 10/25/36(a) | 6,241 | 5,972,885 | ||||||||||
Series 2006-S3, Class A4, 6.66%, 01/25/29(e) | 549 | 579,719 | ||||||||||
Series 2006-SPS1, Class A, (1 mo. LIBOR US + 0.220%), 2.71%, 12/25/25(a) | 180 | 199,501 | ||||||||||
Countrywide Asset-Backed Certificates Revolving Home Equity Loan Trust, | ||||||||||||
Series 2004-U, Class 2A, (1 mo. LIBOR US + 0.270%), 2.75%, 03/15/34(a) | 872 | 827,761 | ||||||||||
Credit Suisse First Boston Mortgage Securities Corp., Series 2001-MH29, Class B1, 8.10%, 09/25/31(d) | 1,750 | 1,848,145 | ||||||||||
Credit-Based Asset Servicing & Securitization LLC: | ||||||||||||
Series 2006-CB2, Class AF4, | 480 | 432,696 | ||||||||||
Series 2006-MH1, Class B1, | 852 | 852,988 | ||||||||||
Series 2006-SL1, Class A2, | 3,190 | 492,754 | ||||||||||
Series 2007-CB6, Class A4, (1 mo. LIBOR US + 0.340%), 2.83%, 07/25/37(a)(b) | 700 | 471,279 | ||||||||||
Series 2007-RP1, Class A, (1 mo. LIBOR US + 0.310%), 2.80%, 05/25/46(a)(b) | 686 | 597,369 | ||||||||||
Cumberland Park CLO Ltd.,Series 2015-2A, Class CR, (3 mo. LIBOR US + 1.800%), 4.56%, 07/20/28(a)(b) | 1,190 | 1,160,936 | ||||||||||
CVC Cordatus Loan Fund VI DAC, Series 6X, Class SUB, 0.00%, 04/15/32(d) | EUR | 2,385 | 1,843,935 | |||||||||
CWHEQ Home Equity Loan Trust: | ||||||||||||
Series 2006-S5, Class A4, 5.84%, 06/25/35 | USD | 2 | 7,317 | |||||||||
Series 2006-S5, Class A5, 6.16%, 06/25/35 | 621 | 660,527 | ||||||||||
CWHEQ Revolving Home Equity Loan Resuritization Trust: | ||||||||||||
Series 2006-RES, Class 4Q1B, (1 mo. LIBOR US + 0.300%), 2.78%, 12/15/33(a)(b) | 968 | 899,862 | ||||||||||
Series 2006-RES, Class 5B1A, (1 mo. LIBOR US + 0.190%), 2.67%, 05/15/35(a)(b) | 481 | 449,975 | ||||||||||
Series 2006-RES, Class 5B1B, (1 mo. LIBOR US + 0.190%), 2.67%, 05/15/35(a)(b)(c) | 279 | 269,405 |
48 | 2019 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
CWHEQ Revolving Home Equity Loan Resuritization Trust: (continued) | ||||||||
Series 2006-RES, Class 5F1A, (1 mo. LIBOR US + 0.240%), | USD | 1,179 | $ | 1,157,427 | ||||
CWHEQ Revolving Home Equity Loan Trust: | ||||||||
Series 2005-B, Class 2A, (1 mo. LIBOR US + 0.180%), 2.66%, 05/15/35(a) | 711 | 685,824 | ||||||
Series 2006-C, Class 2A, (1 mo. LIBOR US + 0.180%), 2.66%, 05/15/36(a) | 3,739 | 3,603,369 | ||||||
Series 2006-H, Class 1A, (1 mo. LIBOR US + 0.150%), 2.63%, 11/15/36(a) | 2,112 | 1,727,945 | ||||||
DCP Rights LLC,Series 2014-1A, Class A, 5.46%, 10/25/44(b) | 7,723 | 8,039,160 | ||||||
Deer Creek CLO Ltd.,Series 2017-1A, Class A, (3 mo. LIBOR US + 1.180%), | 1,000 | 994,285 | ||||||
Dorchester Park CLO DAC,Series 2015-1A, Class BR, (3 mo. LIBOR US + 1.450%), 4.21%, 04/20/28(a)(b) | 3,064 | 3,030,359 | ||||||
Dryden 53 CLO Ltd.,Series 2017-53A, Class A, (3 mo. LIBOR US + 1.120%), 3.91%, 01/15/31(a)(b) | 18,720 | 18,542,448 | ||||||
Dryden 55 CLO Ltd.,Series 2018-55A, Class A1, (3 mo. LIBOR US + 1.020%), 3.81%, 04/15/31(a)(b) | 250 | 246,419 | ||||||
Dryden XXV Senior Loan Fund: | ||||||||
Series 2012-25A, Class ARR, (3 mo. LIBOR US + 0.900%), | 11,030 | 10,980,473 | ||||||
Series 2012-25A, Class CRR, (3 mo. LIBOR US + 1.850%), | 1,340 | 1,333,541 | ||||||
Dryden XXVI Senior Loan Fund,Series 2013-26A, Class AR, (3 mo. LIBOR US + 0.900%), 3.69%, 04/15/29(a)(b) | 1,170 | 1,158,735 | ||||||
Dryden XXVIII Senior Loan Fund,Series 2013-28A, Class A1LR, (3 mo. LIBOR US + 1.200%), 3.88%, 08/15/30(a)(b) | 9,085 | 9,049,182 | ||||||
Emerson Park CLO Ltd.,Series 2013-1A, Class B1R, (3 mo. LIBOR US + 1.450%), 4.24%, 07/15/25(a)(b) | 1,000 | 999,182 | ||||||
Finance of America Structured Securities Trust,Series 2018-HB1, Class M5, 6.00%, 09/25/28(b)(c)(d) | 1,451 | 1,422,415 | ||||||
First Franklin Mortgage Loan Trust: | ||||||||
Series 2004-FFH3, Class M3, (1 mo. LIBOR US + 1.050%), | 1,000 | 896,228 | ||||||
Series 2006-FF16, Class 2A3, (1 mo. LIBOR US + 0.140%), | 13,530 | 7,809,668 | ||||||
Series 2006-FF17, Class A5, (1 mo. LIBOR US + 0.150%), | 19,484 | 16,909,367 | ||||||
Series 2006-FFH1, Class M2, (1 mo. LIBOR US + 0.400%), | 2,916 | 1,646,777 | ||||||
Flatiron CLO Ltd.,Series 2015-1A, Class AR, (3 mo. LIBOR US + 0.890%), 3.68%, 04/15/27(a)(b) | 2,750 | 2,744,308 | ||||||
Fremont Home Loan Trust,Series 2006-3, Class 1A1, (1 mo. LIBOR US + 0.140%), 2.63%, 02/25/37(a) | 7,237 | 5,528,021 | ||||||
Galaxy XV CLO Ltd.,Series 2013-15A, Class AR, (3 mo. LIBOR US + 1.200%), 3.99%, 10/15/30(a)(b) | 1,350 | 1,345,741 |
Security | Par (000) | Value | ||||||
Galaxy XXIX CLO Ltd.: | ||||||||
Series 2018-29A, Class B, (3 mo. LIBOR US + 1.400%), 4.08%, 11/15/26(a)(b) | USD | 250 | $ | 247,246 | ||||
Series 2018-29A, Class C, (3 mo. LIBOR US + 1.680%), 4.36%, 11/15/26(a)(b) | 1,470 | 1,447,676 | ||||||
GE-WMC Asset-Backed Pass-Through Certificates: | ||||||||
Series 2005-2, Class A2C, (1 mo. LIBOR US + 0.250%), 2.74%, 12/25/35(a) | 403 | 400,540 | ||||||
Series 2005-2, Class M1, (1 mo. LIBOR US + 0.440%), 2.93%, 12/25/35(a) | 5,030 | 2,904,870 | ||||||
GoldenTree Loan Opportunities IX Ltd.,Series 2014-9A, Class AR2, (3 mo. LIBOR US + 1.110%), 3.86%, 10/29/29(a)(b) | 1,830 | 1,826,280 | ||||||
Greenpoint Manufactured Housing: | ||||||||
Series 1999-5, Class M1B, | 870 | 918,727 | ||||||
Series 1999-5, Class M2, | 1,177 | 967,314 | ||||||
Greystone Commercial Real Estate Notes Ltd., Series 2017-FL1A, Class A, (1 mo. LIBOR US + 1.550%), 4.03%, 03/15/27(a)(b) | 1,010 | 1,006,187 | ||||||
Greywolf CLO IV Ltd.,Series 2014-2A, Class BR, (3 mo. LIBOR US + 2.350%), 5.12%, 01/17/27(a)(b) | 930 | 930,084 | ||||||
GSAA Home Equity Trust: | ||||||||
Series 2006-5, Class 2A1, (1 mo. LIBOR US + 0.070%), 2.56%, 03/25/36(a) | 16 | 7,935 | ||||||
Series 2007-2, Class AF3, | 526 | 179,593 | ||||||
GSAMP Trust: | ||||||||
Series 2007-H1, Class A1B, (1 mo. LIBOR US + 0.200%), 2.69%, 01/25/47(a) | 1,051 | 651,126 | ||||||
Series 2007-HS1, Class M6, (1 mo. LIBOR US + 2.250%), 4.74%, 02/25/47(a) | 1,300 | 1,317,791 | ||||||
Halcyon Loan Advisors Funding Ltd.,Series 2015-2A, Class AR, (3 mo. LIBOR US + 1.080%), 3.85%, 07/25/27(a)(b) | 13,070 | 13,062,774 | ||||||
Highbridge Loan Management Ltd.: | ||||||||
Series 12A-18, Class A1B, (3 mo. LIBOR US + 1.250%), 4.03%, 07/18/31(a)(b) | 750 | 746,486 | ||||||
Series 6A-2015, Class A1R, (3 mo. LIBOR US + 1.000%), 3.73%, 02/05/31(a)(b) | 11,390 | 11,246,848 | ||||||
Home Equity Asset Trust,Series 2007-1, Class 2A3, (1 mo. LIBOR US + 0.150%), 2.64%, 05/25/37(a) | 2,490 | 2,043,270 | ||||||
Home Equity Mortgage Loan Asset-Backed Trust: | ||||||||
Series 2004-A, Class M2, (1 mo. LIBOR US + 2.025%), 4.51%, 07/25/34(a) | 620 | 614,171 | ||||||
Series 2007-A, Class 2A2, (1 mo. LIBOR US + 0.190%), 2.68%, 04/25/37(a) | 2,111 | 1,550,206 | ||||||
Series 2007-B, Class 2A3, (1 mo. LIBOR US + 0.200%), 2.69%, 07/25/37(a) | 3,418 | 2,247,260 | ||||||
Home Equity Mortgage Trust,Series 2006-2, Class 1A1, 5.87%, 07/25/36(e) | 2,619 | 844,740 | ||||||
Home Loan Mortgage Loan Trust,Series 2005-1, Class A3, (1 mo. LIBOR US + 0.720%), 3.20%, 04/15/36(a) | 1,279 | 1,177,562 | ||||||
Home Partners of America Trust,Series 2016-2, Class A, (1 mo. LIBOR US + 1.150%), 3.63%, 10/17/33(a)(b) | 811 | 810,001 | ||||||
ICG U.S. CLO Ltd.,Series 2015-1A, Class A1R, (3 mo. LIBOR US + 1.140%), | 3,820 | 3,808,362 |
MASTER PORTFOLIO CONSOLIDATED SCHEDULEOF INVESTMENTS | 49 |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Invitation Homes Trust: | ||||||||
Series 2018-SFR1, Class F, (1 mo. LIBOR US + 2.500%), 4.98%, 03/17/37(a)(b) | USD | 1,330 | $ | 1,326,509 | ||||
Series 2018-SFR3, Class A, (1 mo. LIBOR US + 1.000%), 3.48%, 07/17/37(a)(b) | 2,921 | 2,914,821 | ||||||
Series 2018-SFR3, Class E, (1 mo. LIBOR US + 2.000%), 4.48%, 07/17/37(a)(b) | 2,468 | 2,464,332 | ||||||
Irwin Home Equity Loan Trust,Series 2006-3, Class 2A3, 6.53%, 09/25/37(b)(e) | 696 | 680,510 | ||||||
JPMorgan Mortgage Acquisition Trust,Series 2006-CW1, Class M1, (1 mo. LIBOR US + 0.270%), 2.76%, 05/25/36(a) | 1,170 | 1,123,054 | ||||||
Kayne CLO II Ltd.: | ||||||||
Series 2018-2A, Class A, (3 mo. LIBOR US + 1.240%), 3.89%, 10/15/31(a)(b) | 750 | 744,854 | ||||||
Series 2018-2A, Class B, (3 mo. LIBOR US + 1.900%), 4.55%, 10/15/31(a)(b) | 250 | 247,733 | ||||||
LCM 26 Ltd., Series 26A, Class A1, (3 mo. LIBOR US + 1.070%), 3.83%, 01/20/31(a)(b) | 8,120 | 8,043,156 | ||||||
LCM XX LP: | ||||||||
Series 20A, Class AR, (3 mo. LIBOR US + 1.040%), 3.80%, 10/20/27(a)(b) | 3,740 | 3,730,483 | ||||||
Series 20A, Class BR, (3 mo. LIBOR US + 1.550%), 4.31%, 10/20/27(a)(b) | 250 | 248,276 | ||||||
LCM XXI LP, Series 21A, Class AR, (3 mo. LIBOR US + 0.880%), 3.64%, 04/20/28(a)(b) | 3,430 | 3,405,450 | ||||||
LCM XXIV Ltd., Series 24A, Class A, (3 mo. LIBOR US + 1.310%), 4.07%, 03/20/30(a)(b) | 500 | 499,355 | ||||||
Legacy Mortgage Asset Trust, | 2,860 | 2,861,877 | ||||||
Lehman ABS Manufactured Housing Contract Trust: | ||||||||
Series 2001-B, Class M1, | 4,790 | 5,009,574 | ||||||
Series 2002-A, Class C, 0.00%, 06/15/33 | 471 | 373,377 | ||||||
Lehman ABS Mortgage Loan Trust,Series 2007-1, Class 2A1, (1 mo. LIBOR US + 0.090%), 2.58%, 06/25/37(a)(b) | 488 | 346,556 | ||||||
Lendmark Funding Trust,Series 2017-1A, Class A, 2.83%, 12/22/25(b) | 14,780 | 14,652,981 | ||||||
Litigation Fee Residual Funding LLC,Series 2015-1, Class A, | 3,763 | 3,746,898 | ||||||
LoanCore Issuer Ltd., Series 2018-CRE1, Class A, (1 mo. LIBOR US + 1.130%), 3.61%, 05/15/28(a)(b) | 7,580 | 7,577,903 | ||||||
Long Beach Mortgage Loan Trust: | ||||||||
Series 2006-10, Class 2A3, (1 mo. LIBOR US + 0.160%), 2.65%, 11/25/36(a) | 3,741 | 1,666,430 | ||||||
Series 2006-10, Class 2A4, (1 mo. LIBOR US + 0.220%), 2.71%, 11/25/36(a) | 2,223 | 999,843 | ||||||
Series 2006-2, Class 1A, (1 mo. LIBOR US + 0.180%), 2.67%, 03/25/46(a) | 7,010 | 5,618,969 | ||||||
Series 2006-3, Class 2A3, (1 mo. LIBOR US + 0.180%), 2.67%, 05/25/46(a) | 10,819 | 4,266,195 | ||||||
Series 2006-3, Class 2A4, (1 mo. LIBOR US + 0.270%), 2.76%, 05/25/46(a) | 1,038 | 418,351 | ||||||
Series 2006-4, Class 2A3, (1 mo. LIBOR US + 0.160%), 2.65%, 05/25/36(a) | 11,066 | 4,900,580 | ||||||
Series 2006-4, Class 2A4, (1 mo. LIBOR US + 0.260%), 2.75%, 05/25/36(a) | 8,290 | 3,750,285 | ||||||
Series 2006-5, Class 2A3, (1 mo. LIBOR US + 0.150%), 2.64%, 06/25/36(a) | 4,078 | 2,232,626 | ||||||
Series 2006-7, Class 2A3, (1 mo. LIBOR US + 0.160%), 2.65%, 08/25/36(a) | 6,810 | 3,550,743 | ||||||
Series 2006-8, Class 2A3, (1 mo. LIBOR US + 0.160%), 2.65%, 09/25/36(a) | 3,048 | 1,165,906 |
Security | Par (000) | Value | ||||||
Long Beach Mortgage Loan Trust: (continued) | ||||||||
Series 2006-9, Class 2A2, (1 mo. LIBOR US + 0.110%), 2.60%, 10/25/36(a) | USD | 1,610 | $ | 683,500 | ||||
Series 2006-9, Class 2A3, (1 mo. LIBOR US + 0.160%), 2.65%, 10/25/36(a) | 10,255 | 4,385,466 | ||||||
Series 2006-9, Class 2A4, (1 mo. LIBOR US + 0.230%), 2.72%, 10/25/36(a) | 1,621 | 700,525 | ||||||
Madison Avenue Manufactured Housing Contract Trust,Series 2002-A, Class B2, (1 mo. LIBOR US + 3.250%), 5.74%, 03/25/32(a) | 1,510 | 1,539,017 | ||||||
Madison Park Funding XI Ltd.,Series 2013-11A, Class AR, (3 mo. LIBOR US + 1.160%), 3.93%, 07/23/29(a)(b) | 1,000 | 1,000,307 | ||||||
Madison Park Funding XIII Ltd.,Series 2014-13A, Class AR2, (3 mo. LIBOR US + 0.950%), 3.71%, 04/19/30(a)(b) | 4,540 | 4,504,388 | ||||||
Madison Park Funding XVIII Ltd.,Series 2015-18A, Class A1R, (3 mo. LIBOR US + 1.190%), 3.95%, 10/21/30(a)(b) | 14,970 | 14,901,626 | ||||||
Madison Park Funding XXIII Ltd.,Series 2017-23A, Class A, (3 mo. LIBOR US + 1.210%), 3.98%, 07/27/30(a)(b) | 250 | 249,187 | ||||||
Madison Park Funding XXVI Ltd.,Series 2017-26A, Class AR, (3 mo. LIBOR US + 1.200%), 3.95%, 07/29/30(a)(b) | 11,115 | 11,071,403 | ||||||
Marathon CRE Ltd.,Series 2018-FL1, Class A, (1 mo. LIBOR US + 1.150%), | 1,780 | 1,779,558 | ||||||
Marble Point CLO XI Ltd.,Series 2017-2A, Class A, (3 mo. LIBOR US + 1.180%), 3.96%, 12/18/30(a)(b) | 2,000 | 1,982,467 | ||||||
Mariner CLO 5 Ltd.,Series 2018-5A, Class A, (3 mo. LIBOR US + 1.110%), | 3,550 | 3,501,491 | ||||||
MASTR Asset-Backed Securities Trust: | ||||||||
Series 2006-AM2, Class A4, (1 mo. LIBOR US + 0.260%), 2.75%, 06/25/36(a)(b) | 1,894 | 1,692,485 | ||||||
Series 2006-HE2, Class A3, (1 mo. LIBOR US + 0.150%), 2.64%, 06/25/36(a) | 6,039 | 3,260,562 | ||||||
Series 2007-HE1, Class A4, (1 mo. LIBOR US + 0.280%), 2.77%, 05/25/37(a) | 1,318 | 1,128,460 | ||||||
MASTR Specialized Loan Trust,Series 2006-3, Class A, (1 mo. LIBOR US + 0.260%), 2.75%, 06/25/46(a)(b) | 605 | 569,349 | ||||||
Merrill Lynch First Franklin Mortgage Loan Trust,Series 2007-2, Class A2C, (1 mo. LIBOR US + 0.240%), 2.73%, 05/25/37(a) | 2,085 | 1,381,088 | ||||||
Merrill Lynch Mortgage Investors Trust: | ||||||||
Series 2006-OPT1, Class M1, (1 mo. LIBOR US + 0.260%), 2.75%, 08/25/37(a) | 426 | 199,464 | ||||||
Series 2006-RM3, Class A2B, (1 mo. LIBOR US + 0.090%), 2.58%, 06/25/37(a) | 962 | 286,750 | ||||||
MidOcean Credit CLO III,Series 2014-3A, Class A3A2, (3 mo. LIBOR US + 0.970%), 3.73%, 04/21/31(a)(b) | 2,020 | 1,983,320 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust: | ||||||||
Series 2005-HE1, Class A2MZ, (1 mo. LIBOR US + 0.600%), 3.09%, 12/25/34(a) | 820 | 807,445 | ||||||
Series 2005-HE5, Class M4, (1 mo. LIBOR US + 0.870%), 3.36%, 09/25/35(a) | 4,061 | 1,755,692 |
50 | 2019 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Morgan Stanley ABS Capital I, Inc. Trust: (continued) |
| |||||||
Series 2007-NC1, Class A1, (1 mo. LIBOR US + 0.130%), 2.62%, 11/25/36(a) | USD13,702 | $ | 8,015,047 | |||||
Morgan Stanley Mortgage Loan Trust,Series 2007-9SL, Class A, (1 mo. LIBOR US + 0.320%), 2.81%, 07/25/37(a) | 1,364 | 1,295,087 | ||||||
Mountain Hawk II CLO Ltd.,Series 2013-2A, Class BR, (3 mo. LIBOR US + 1.600%), 4.36%, 07/20/24(a)(b) | 4,047 | 4,049,078 | ||||||
MP CLO III Ltd.,Series 2013-1A, Class AR, (3 mo. LIBOR US + 1.250%), | 2,820 | 2,809,184 | ||||||
MP CLO VII Ltd.,Series 2015-1A, Class ARR, (3 mo. LIBOR US + 1.080%), 3.86%, 10/18/28(a)(b) | 490 | 486,817 | ||||||
MP CLO VIII Ltd.: | ||||||||
Series 2015-2A, Class AR, (3 mo. LIBOR US + 0.910%), 3.68%, 10/28/27(a)(b) | 5,910 | 5,884,731 | ||||||
Series 2015-2A, Class BR, (3 mo. LIBOR US + 1.420%), 4.19%, 10/28/27(a)(b) | 3,250 | 3,188,625 | ||||||
Nationstar Home Equity Loan Trust,Series 2007-C, Class 2AV3, (1 mo. LIBOR US + 0.180%), 2.67%, 06/25/37(a) | 240 | 238,400 | ||||||
Navient Private Education Loan Trust: | ||||||||
Series 2014-AA, Class B, | 6,000 | 5,986,867 | ||||||
Series 2014-CTA, Class B, (1 mo. LIBOR US + 1.750%), 4.23%, 10/17/44(a)(b) | 8,550 | 8,641,371 | ||||||
Neuberger Berman CLOXVI-S Ltd., Series 2017-16SA, Class A, (3 mo. LIBOR US + 0.850%), 3.64%, 01/15/28(a)(b) | 1,200 | 1,191,673 | ||||||
Neuberger Berman CLO XX Ltd.,Series 2015-20A, Class AR, (3 mo. LIBOR US + 0.800%), 3.59%, 01/15/28(a)(b) | 1,000 | 991,891 | ||||||
Neuberger Berman Loan Advisers CLO Ltd.,Series 2017-26A, Class A, (3 mo. LIBOR US + 1.170%), 3.95%, 10/18/30(a)(b) | 5,520 | 5,497,797 | ||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust,Series 2006-S5, Class A1, (1 mo. LIBOR US + 0.400%), 2.89%, 10/25/36(a)(b) | 322 | 288,922 | ||||||
Oaktree CLO Ltd.,Series 2015-1A, Class A1R, (3 mo. LIBOR US + 0.870%), 3.63%, 10/20/27(a)(b) | 500 | 499,545 | ||||||
Oakwood Mortgage Investors, Inc.: | ||||||||
Series 2001-D, Class A2, | 793 | 585,706 | ||||||
Series 2001-D, Class A4, | 505 | 424,027 | ||||||
Series 2002-B, Class M1, | 4,454 | 3,697,948 | ||||||
OCP CLO Ltd.: | ||||||||
Series 2014-5A, Class A1R, (3 mo. LIBOR US + 1.080%), 3.85%, 04/26/31(a)(b) | 660 | 650,953 | ||||||
Series 2015-10A, Class A1R, (3 mo. LIBOR US + 0.820%), | 820 | 814,236 | ||||||
Series 2015-10A, Class BR, (3 mo. LIBOR US + 1.850%), 4.62%, 10/26/27(a)(b) | 1,120 | 1,089,114 | ||||||
Series 2016-12A, Class A1R, (3 mo. LIBOR US + 1.120%), | 7,806 | 7,775,290 | ||||||
Series 2016-12A, Class A2R, (3 mo. LIBOR US + 1.600%), | 500 | 492,796 |
Security | Par (000) | Value | ||||||
OCP CLO Ltd.: (continued) |
| |||||||
Series 2017-13A, Class A1A, (3 mo. LIBOR US + 1.260%), | USD | 9,170 | $ | 9,135,761 | ||||
Series 2017-14A, Class B, (3 mo. LIBOR US + 1.950%), 4.59%, 11/20/30(a)(b) | 500 | 479,988 | ||||||
Octagon Investment Partners18-R Ltd.,Series 2018-18A, Class A1A, (3 mo. LIBOR US + 0.960%), 3.74%, 04/16/31(a)(b) | 7,300 | 7,169,988 | ||||||
Octagon Investment Partners 33 Ltd.,Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.190%), 3.95%, 01/20/31(a)(b) | 1,310 | 1,301,895 | ||||||
Octagon Investment Partners XIX Ltd.,Series 2014-1A, Class AR, (3 mo. LIBOR US + 1.100%), 3.89%, 04/15/26(a)(b) | 1,579 | 1,579,098 | ||||||
Octagon Investment Partners XVI Ltd.,Series 2013-1A, Class A1R, (3 mo. LIBOR US + 1.020%), 3.79%, 07/17/30(a)(b) | 3,580 | 3,525,037 | ||||||
Octagon Investment Partners XVII Ltd.,Series 2013-1A, Class A1R2, (3 mo. LIBOR US + 1.000%), 3.77%, 01/25/31(a)(b) | 7,240 | 7,133,434 | ||||||
Octagon Investment Partners XXIII Ltd.,Series 2015-1A, Class CR, (3 mo. LIBOR US + 1.850%), 4.64%, 07/15/27(a)(b) | 1,380 | 1,347,669 | ||||||
OFSI Fund VI Ltd., | 11,430 | 11,325,748 | ||||||
OHA Credit Partners IX Ltd.,Series 2013-9A, Class DR, (3 mo. LIBOR US + 1.010%), 3.77%, 10/20/25(a)(b) | 221 | 221,421 | ||||||
OHA Loan Funding Ltd.,Series 2013-2A, Class AR, (3 mo. LIBOR US + 1.040%), 3.69%, 05/23/31(a)(b) | 5,315 | 5,246,906 | ||||||
OneMain Financial Issuance Trust: | ||||||||
Series 2015-2A, Class C, 4.32%, 07/18/25(b) | 3,968 | 3,974,436 | ||||||
Series 2016-2A, Class A, 4.10%, 03/20/28(b) | 336 | 336,191 | ||||||
Option One Mortgage Acceptance Corp. Asset-Backed Certificates,Series 2003-4, Class A2, (1 mo. LIBOR US + 0.640%), | 927 | 918,044 | ||||||
Option One Mortgage Loan Trust: | ||||||||
Series 2006-3, Class 1A1, (1 mo. LIBOR US + 0.140%), 2.63%, 02/25/37(a) | 1,356 | 981,950 | ||||||
Series 2007-CP1, Class 2A3, | 2,360 | 1,570,733 | ||||||
Series 2007-FXD1, | 3,068 | 2,861,693 | ||||||
Series 2007-FXD1, | 7,770 | 7,262,959 | ||||||
Series 2007-FXD2, | 12,951 | 12,815,796 | ||||||
Origen Manufactured Housing Contract Trust: | ||||||||
Series 2001-A, Class M1, 7.82%, 03/15/32(d) | 1,529 | 1,507,073 | ||||||
Series 2007-B, Class A1, (1 mo. LIBOR US + 1.200%), 3.68%, 10/15/37(a)(b)(c) | 2,418 | 2,358,873 | ||||||
Ownit Mortgage Loan Trust Series,Series 2006-2, Class A2C, 6.00%, 01/25/37(e) | 1,990 | 1,829,650 | ||||||
OZLM Funding IV Ltd.: | ||||||||
Series 2013-4A, Class A1R, | 13,035 | 12,926,147 |
MASTER PORTFOLIO CONSOLIDATED SCHEDULEOF INVESTMENTS | 51 |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
OZLM Funding IV Ltd.: (continued) | ||||||||||||
Series 2013-4A, Class A2R, (3 mo. LIBOR US + 1.700%), 4.46%, 10/22/30(a)(b) | USD | 2,120 | $ | 2,098,599 | ||||||||
OZLM VIII Ltd.,Series 2014-8A, Class BRR, (3 mo. LIBOR US + 2.200%), 4.66%, 10/17/29(a)(b) | 1,160 | 1,133,870 | ||||||||||
OZLM XIV Ltd.,Series 2015-14A, Class A2AR, (3 mo. LIBOR US + 1.700%), 4.49%, 01/15/29(a)(b) | 4,770 | 4,741,164 | ||||||||||
OZLM XIX Ltd.,Series 2017-19A, Class A1, (3 mo. LIBOR US + 1.220%), 4.01%, 11/22/30(a)(b) | 2,160 | 2,151,035 | ||||||||||
OZLM XV Ltd.: | ||||||||||||
Series 2016-15A, Class A1, (3 mo. LIBOR US + 1.490%), 4.25%, 01/20/29(a)(b) | 4,740 | 4,743,806 | ||||||||||
Series 2016-15A, Class A2A, (3 mo. LIBOR US + 2.100%), 4.86%, 01/20/29(a)(b) | 1,940 | 1,939,625 | ||||||||||
OZLM XXI Ltd.,Series 2017-21A, Class B, (3 mo. LIBOR US + 1.900%), 4.66%, 01/20/31(a)(b) | 930 | 897,299 | ||||||||||
Palmer Square CLO Ltd.: | ||||||||||||
Series 2014-1A, Class A1R2, (3 mo. LIBOR US + 1.130%), 3.90%, 01/17/31(a)(b) | 4,548 | 4,525,409 | ||||||||||
Series 2018-1A, Class A1, (3 mo. LIBOR US + 1.030%), 3.81%, 04/18/31(a)(b) | 3,360 | 3,318,817 | ||||||||||
Series 2018-3A, Class A2, (3 mo. LIBOR US + 1.350%), 4.03%, 08/15/26(a)(b) | 3,323 | 3,271,850 | ||||||||||
Palmer Square Loan Funding Ltd.,Series 2017-1A, Class A2, (3 mo. LIBOR US + 1.300%), 4.09%, 10/15/25(a)(b) | 6,400 | 6,325,051 | ||||||||||
Parallel Ltd.: | ||||||||||||
Series 2015-1A, Class AR, (3 mo. LIBOR US + 0.850%), 3.61%, 07/20/27(a)(b) | 3,990 | 3,967,487 | ||||||||||
Series 2015-1A, Class C1R, (3 mo. LIBOR US + 1.750%), 4.51%, 07/20/27(a)(b) | 1,150 | 1,112,664 | ||||||||||
Park Avenue Institutional Advisers CLO Ltd.: | ||||||||||||
Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.220%), 3.91%, 11/14/29(a)(b) | 6,970 | 6,943,520 | ||||||||||
Series 2017-1A, Class A2, (3 mo. LIBOR US + 1.700%), 4.39%, 11/14/29(a)(b) | 2,940 | 2,906,382 | ||||||||||
Preston Ridge Partners Mortgage LLC, | 201 | 202,374 | ||||||||||
Progress Residential Trust: | ||||||||||||
Series 2015-SFR2, Class A, 2.74%, 06/12/32(b) | 1,719 | 1,707,606 | ||||||||||
Series 2015-SFR3, Class F, 6.64%, 11/12/32(b) | 500 | 507,907 | ||||||||||
Series 2016-SFR2, Class E, (1 mo. LIBOR US + 3.550%), 6.03%, 01/17/34(a)(b) | 816 | 817,403 | ||||||||||
Series 2017-SFR1, Class A, 2.77%, 08/17/34(b) | 2,642 | 2,618,519 | ||||||||||
Series 2018-SFR1, Class F, 4.78%, 03/17/35(b) | 1,620 | 1,618,906 | ||||||||||
Series 2018-SFR2, Class E, 4.66%, 08/17/35(b) | 870 | 884,117 | ||||||||||
Series 2018-SFR2, Class F, 4.95%, 08/17/35(b) | 1,030 | 1,034,473 | ||||||||||
Race Point IX CLO Ltd.,Series 2015-9A, | 3,730 | 3,714,700 |
Security | Par (000) | Value | ||||||||||
Race Point X CLO Ltd.,Series 2016-10A, Class A1R, (3 mo. LIBOR US + 1.100%), 3.87%, 07/25/31(a)(b) | USD | 5,550 | $ | 5,485,157 | ||||||||
RAMP Trust,Series 2007-RS1, Class A3, | 2,118 | 1,079,009 | ||||||||||
Regatta VI Funding Ltd.,Series 2016-1A, Class AR, (3 mo. LIBOR US + 1.080%), 3.84%, 07/20/28(a)(b) | 10,290 | 10,242,493 | ||||||||||
Rockford Tower CLO Ltd.: | ||||||||||||
Series 2017-1A, Class A, (3 mo. LIBOR US + 1.370%), 4.16%, 04/15/29(a)(b) | 9,130 | 9,154,832 | ||||||||||
Series 2017-1A, Class B, (3 mo. LIBOR US + 1.800%), 4.59%, 04/15/29(a)(b) | 3,870 | 3,845,748 | ||||||||||
Series 2017-2A, Class B, (3 mo. LIBOR US + 1.750%), 4.54%, 10/15/29(a)(b) | 6,049 | 5,990,041 | ||||||||||
Series 2017-2A, Class C, (3 mo. LIBOR US + 2.300%), 5.09%, 10/15/29(a)(b) | 940 | 926,151 | ||||||||||
Series 2017-3A, Class A, (3 mo. LIBOR US + 1.190%), 3.95%, 10/20/30(a)(b) | 8,720 | 8,647,172 | ||||||||||
RomarkWM-R Ltd.,Series 2018-1A, Class A1, (3 mo. LIBOR US + 1.030%), 3.79%, 04/20/31(a)(b) | 2,910 | 2,858,072 | ||||||||||
RR 3 Ltd.,Series 2018-3A, Class A1R2, (3 mo. LIBOR US + 1.090%), 3.88%, 01/15/30(a)(b) | 2,020 | 1,998,847 | ||||||||||
SACO I Trust,Series 2006-9, Class A1, (1 mo. LIBOR US + 0.300%), 2.79%, 08/25/36(a) | 460 | 449,395 | ||||||||||
Securitized Asset-Backed Receivables LLC Trust: | ||||||||||||
Series 2006-WM4, Class A1, (1 mo. LIBOR US + 0.190%), 2.68%, 11/25/36(a)(b) | 2,937 | 1,713,893 | ||||||||||
Series 2006-WM4, Class A2A, (1 mo. LIBOR US + 0.080%), 2.57%, 11/25/36(a) | 1,410 | 537,826 | ||||||||||
Series 2006-WM4, Class A2C, (1 mo. LIBOR US + 0.160%), 2.65%, 11/25/36(a) | 4,224 | 1,631,314 | ||||||||||
Security National Mortgage Loan Trust,Series 2007-1A, Class 2A, (1 mo. LIBOR US + 0.350%), 2.84%, 04/25/37(a)(b) | 786 | 774,703 | ||||||||||
SG Mortgage Securities Trust, | 990 | 300,053 | ||||||||||
Silver Creek CLO Ltd.: | ||||||||||||
Series 2014-1A, Class AR, (3 mo. LIBOR US + 1.240%), 4.00%, 07/20/30(a)(b) | 3,920 | 3,911,537 | ||||||||||
Series 2014-1A, Class CR, (3 mo. LIBOR US + 2.300%), 5.06%, 07/20/30(a)(b) | 500 | 493,947 | ||||||||||
SLM Private Credit Student Loan Trust: | ||||||||||||
Series 2004-A, Class A3, (3 mo. LIBOR US + 0.400%), 3.01%, 06/15/33(a) | 2,419 | 2,389,870 | ||||||||||
Series 2004-B, Class A3, (3 mo. LIBOR US + 0.330%), 2.94%, 03/15/24(a) | 10,493 | 10,408,078 | ||||||||||
Series 2006-B, Class A5, (3 mo. LIBOR US + 0.270%), 2.88%, 12/15/39(a) | 598 | 585,391 | ||||||||||
SLM Private Education Loan Trust: | ||||||||||||
Series 2013-A, Class B, 2.50%, 03/15/47(b) | 616 | 615,273 | ||||||||||
Series 2013-B, Class B, 3.00%, 05/16/44(b) | 2,095 | 2,090,509 | ||||||||||
Series 2013-C, Class A2B, (1 mo. LIBOR US + 1.400%), 3.88%, 10/15/31(a)(b) | 79 | 79,587 | ||||||||||
SMB Private Education Loan Trust,Series 2015-B, Class B, | 2,480 | 2,492,502 |
52 | 2019 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Sound Point CLO II Ltd.,Series 2013-1A, | USD | 500 | $ | 494,068 | ||||||||
Sound Point CLO XIV Ltd.: | ||||||||||||
Series 2016-3A, Class A, (3 mo. LIBOR US + 1.530%), 4.30%, 01/23/29(a)(b) | 7,330 | 7,334,239 | ||||||||||
Series 2016-3A, Class C, (3 mo. LIBOR US + 2.650%), 5.42%, 01/23/29(a)(b) | 1,000 | 1,001,020 | ||||||||||
Sound Point CLO XV Ltd.,Series 2017-1A, Class A, (3 mo. LIBOR US + 1.390%), 4.16%, 01/23/29(a)(b) | 1,240 | 1,240,696 | ||||||||||
Sound Point CLO XVIII Ltd.,Series 2017-4A, Class B, (3 mo. LIBOR US + 1.800%), 4.56%, 01/21/31(a)(b) | 500 | 480,028 | ||||||||||
Soundview Home Loan Trust, | 62 | 59,474 | ||||||||||
SpringCastle America Funding LLC,Series 2016-AA, Class A, | 6,374 | 6,366,219 | ||||||||||
Springleaf Funding Trust,Series 2015-AA, Class B, 3.62%, 11/15/24(b) | 3,952 | 3,953,322 | ||||||||||
Steele Creek CLO Ltd.,Series 2017-1A, Class A, (3 mo. LIBOR US + 1.250%), 4.04%, 01/15/30(a)(b) | 4,140 | 4,127,041 | ||||||||||
Stewart Park CLO Ltd.,Series 2015-1A, Class CR, (3 mo. LIBOR US + 1.800%), 4.59%, 01/15/30(a)(b) | 1,630 | 1,568,380 | ||||||||||
Structured Asset Securities Corp. Assistance Loan Trust,Series 2003-AL2, Class A, 3.36%, 01/25/31(b) | 351 | 345,263 | ||||||||||
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2004-23XS, Class 2A1, (1 mo. LIBOR US + 0.300%), 2.79%, 01/25/35(a) | 592 | 581,842 | ||||||||||
Symphony CLO XII Ltd.,Series 2013-12A, Class AR, (3 mo. LIBOR US + 1.030%), 3.82%, 10/15/25(a)(b) | 2,632 | 2,631,832 | ||||||||||
Symphony CLO XIX Ltd.,Series 2018-19A, Class A, (3 mo. LIBOR US + 0.960%), 3.74%, 04/16/31(a)(b) | 2,670 | 2,625,392 | ||||||||||
Symphony CLO XVII Ltd.,Series 2016-17A, Class AR, (3 mo. LIBOR US + 0.880%), 3.67%, 04/15/28(a)(b) | 3,620 | 3,601,960 | ||||||||||
TCI-Flatiron CLO Ltd.,Series 2017-1A, Class A, (3 mo. LIBOR US + 1.200%), 3.88%, 11/17/30(a)(b) | 3,290 | 3,278,750 | ||||||||||
Thacher Park CLO Ltd.,Series 2014-1A, Class AR, (3 mo. LIBOR US + 1.160%), 3.92%, 10/20/26(a)(b) | 493 | 493,581 | ||||||||||
THL Credit Wind River CLO Ltd.,Series 2016-1A, Class AR, (3 mo. LIBOR US + 1.050%), 3.84%, 07/15/28(a) | 4,880 | 4,864,791 | ||||||||||
TIAA CLO II Ltd.,Series 2017-1A, Class A, | 2,340 | 2,338,027 | ||||||||||
TIAA CLO III Ltd.,Series 2017-2A, Class A, | 1,467 | 1,452,297 | ||||||||||
TICP CLO I Ltd.,Series 2015-1A, Class AR, | 1,000 | 994,045 | ||||||||||
Towd Point Mortgage Trust: | ||||||||||||
Series 2019-SJ2, Class A2, 4.25%, 11/25/58(b)(c)(d) | 3,280 | 3,299,616 | ||||||||||
Series 2019-SJ2, Class M1, 4.50%, 11/25/58(b)(c)(d) | 8,260 | 8,314,218 |
Security | Par (000) | Value | ||||||||||
Tricon American Homes Trust: | ||||||||||||
Series 2017-SFR2, Class F, | USD | 2,010 | $ | 2,024,118 | ||||||||
Series 2018-SFR1, Class E, 4.56%, 05/17/37(b) | 890 | 890,682 | ||||||||||
Series 2018-SFR1, Class F, 4.96%, 05/17/37(b) | 610 | 608,881 | ||||||||||
Venture CLO Ltd.: | ||||||||||||
Series 2018-32A, Class A2A, (3 mo. LIBOR US + 1.070%), | 1,480 | 1,462,789 | ||||||||||
Series 2018-35A, Class AS, (3 mo. LIBOR US + 1.150%), | 2,810 | 2,837,276 | ||||||||||
Venture XVIII CLO Ltd.,Series 2014-18A, Class AR, (3 mo. LIBOR US + 1.220%), 4.01%, 10/15/29(a)(b) | 9,820 | 9,822,236 | ||||||||||
Vericrest Opportunity Loan Trust: | ||||||||||||
Series 2019-NPL2, Class A1, 3.97%, 02/25/49(b)(e) | 1,616 | 1,618,433 | ||||||||||
Series 2019-NPL3, Class A1, 3.97%, 03/25/49(b)(e) | 9,740 | 9,740,000 | ||||||||||
Vibrant CLO V Ltd.,Series 2016-5A, Class A, (3 mo. LIBOR US + 1.550%), 4.31%, 01/20/29 (a)(b) | 2,480 | 2,483,011 | ||||||||||
Vibrant CLO VII Ltd.,Series 2017-7A, Class A1, (3 mo. LIBOR US + 1.270%), 4.03%, 09/15/30(a)(b) | 1,750 | 1,743,692 | ||||||||||
Voya CLO Ltd.: | ||||||||||||
Series 2017-4A, Class A1, (3 mo. LIBOR US + 1.130%), 3.92%, 10/15/30(a)(b) | 6,640 | 6,583,531 | ||||||||||
Series 2019-1A, Class A, (3 mo. LIBOR US + 1.170%), 3.81%, 04/15/29(a)(b) | 450 | 450,009 | ||||||||||
Wachovia Asset Securitization Issuance II LLC Trust, Series 2007-HE2A, Class A, | 1,913 | 1,827,199 | ||||||||||
Washington Mutual Asset-Backed Certificates Trust: | ||||||||||||
Series 2006-HE4, Class 2A2, (1 mo. LIBOR US + 0.180%), | 5,339 | 2,491,955 | ||||||||||
Series 2006-HE5, Class 1A, (1 mo. LIBOR US + 0.155%), | 2,157 | 1,737,324 | ||||||||||
Series 2007-HE2, Class 2A2, (1 mo. LIBOR US + 0.220%), | 5,543 | 2,419,340 | ||||||||||
Series 2007-HE2, Class 2A3, (1 mo. LIBOR US + 0.250%), | 9,879 | 5,027,402 | ||||||||||
Series 2007-HE2, Class 2A4, (1 mo. LIBOR US + 0.360%), | 1,061 | 547,233 | ||||||||||
Wellfleet CLO Ltd.: | ||||||||||||
Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.320%), 4.08%, 04/20/29(a)(b) | 2,160 | 2,156,882 | ||||||||||
Series 2017-3A, Class B, (3 mo. LIBOR US + 1.950%), 4.72%, 01/17/31(a)(b) | 750 | 719,042 | ||||||||||
West CLO Ltd.,Series 2013-1A, Class A1AR, (3 mo. LIBOR US + 1.160%), 3.90%, 11/07/25(a)(b) | 1,745 | 1,745,260 | ||||||||||
Westcott Park CLO Ltd.,Series 2016-1A, Class A, (3 mo. LIBOR US + 1.530%), 4.29%, 07/20/28(a)(b) | 5,250 | 5,249,888 | ||||||||||
World Financial Network Credit Card Master Trust,Series 2012-D, Class B, 3.34%, 04/17/23 | 3,551 | 3,551,950 |
MASTER PORTFOLIO CONSOLIDATED SCHEDULEOF INVESTMENTS | 53 |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Yale Mortgage Loan Trust,Series 2007-1, Class A, (1 mo. LIBOR US + 0.400%), 2.89%, 06/25/37(a)(b) | USD | 2,574 | $ | 1,063,346 | ||||||||
YorkCLO-3 Ltd.,Series 2016-1A, Class BR, (3 mo. LIBOR US + 1.750%), 4.51%, 10/20/29(a)(b) | 2,480 | 2,458,230 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities — 9.7% |
| 1,311,777,773 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
Common Stocks — 0.2% | ||||||||||||
Air Freight & Logistics — 0.0% | ||||||||||||
Platinum Eagle Acquisition Corp. (Acquired 11/19/18, | 215,436 | 2,046,642 | ||||||||||
|
| |||||||||||
Capital Markets — 0.0% | ||||||||||||
Sentinel Energy Services, Inc., | 436,269 | 4,397,592 | ||||||||||
|
| |||||||||||
Diversified Financial Services — 0.0% | ||||||||||||
Leisure Acquisition Corp.(g) | 52,528 | 535,786 | ||||||||||
Pure Acquisition Corp.(g)(h) | 41,254 | 433,580 | ||||||||||
Pure Acquisition Corp.(g) | 40,676 | 407,574 | ||||||||||
|
| |||||||||||
1,376,940 | ||||||||||||
Energy Equipment & Services — 0.0% | ||||||||||||
Liberty Oilfield Services, Inc., Class A | 105,933 | 1,630,309 | ||||||||||
Vantage Drilling Co.(g) | 311,000 | 3,903 | ||||||||||
|
| |||||||||||
1,634,212 | ||||||||||||
Hotels, Restaurants & Leisure — 0.0% | ||||||||||||
Caesars Entertainment Corp.(g) | 154,181 | 1,339,833 | ||||||||||
Golden Entertainment, Inc.(g) | 35,439 | 501,816 | ||||||||||
International Game Technology PLC | 43,375 | 563,441 | ||||||||||
Scientific Games Corp.(g) | 17,182 | 350,856 | ||||||||||
|
| |||||||||||
2,755,946 | ||||||||||||
Household Durables — 0.1% | ||||||||||||
Century Communities, Inc.(g) | 78,526 | 1,882,268 | ||||||||||
M/I Homes, Inc.(g) | 26,738 | 711,766 | ||||||||||
Taylor Morrison Home Corp.(g) | 133,681 | 2,372,838 | ||||||||||
William Lyon Homes, Class A(g) | 93,411 | 1,435,727 | ||||||||||
|
| |||||||||||
6,402,599 | ||||||||||||
Independent Power and Renewable Electricity Producers — 0.0% | ||||||||||||
Vistra Energy Corp. | 44,033 | 1,146,179 | ||||||||||
|
| |||||||||||
IT Services — 0.0% | ||||||||||||
Everi Holdings, Inc.(g) | 51,332 | 540,013 | ||||||||||
|
| |||||||||||
Media — 0.0% | ||||||||||||
Altice USA, Inc., Class A | 114,636 | 2,462,381 | ||||||||||
|
| |||||||||||
Metals & Mining — 0.0% | ||||||||||||
Northern Graphite Corp.(g) | 99,612 | 12,672 | ||||||||||
|
| |||||||||||
Oil, Gas & Consumable Fuels — 0.1% | ||||||||||||
Centennial Resource Development, Inc.(g) | 41,400 | 363,906 | ||||||||||
Diamondback Energy, Inc. | 30,633 | 3,110,168 | ||||||||||
Matador Resources Co.(g) | 53,423 | 1,032,667 | ||||||||||
Sunoco LP | 136,638 | 4,257,640 | ||||||||||
|
| |||||||||||
8,764,381 | ||||||||||||
Real Estate Management & Development — 0.0% | ||||||||||||
Target Hospitality Corp.(g)(h) | 24,842 | 235,999 | ||||||||||
|
| |||||||||||
Road & Rail — 0.0% | ||||||||||||
Lyft, Inc., Class A(g) | 2,209 | 172,943 | ||||||||||
|
| |||||||||||
Total Common Stocks — 0.2% | 31,948,499 | |||||||||||
|
|
Security | Par (000) | Value | ||||||||||
Corporate Bonds — 40.2% | ||||||||||||
Aerospace & Defense — 1.2% | ||||||||||||
Arconic, Inc.: | ||||||||||||
6.15%, 08/15/20 | USD | 4,555 | $ | 4,708,959 | ||||||||
5.40%, 04/15/21 | 312 | 321,766 | ||||||||||
BAE Systems Holdings, Inc.: | ||||||||||||
2.85%, 12/15/20(b) | 8,102 | 8,075,767 | ||||||||||
3.80%, 10/07/24(b) | 595 | 606,974 | ||||||||||
3.85%, 12/15/25(b) | 6,255 | 6,319,017 | ||||||||||
4.75%, 10/07/44(b) | 259 | 273,197 | ||||||||||
Boeing Co.: | ||||||||||||
3.83%, 03/01/59 | 1,410 | 1,362,405 | ||||||||||
3.38%, 06/15/46 | 980 | 894,151 | ||||||||||
General Dynamics Corp., 3.75%, 05/15/28 | 3,690 | 3,887,423 | ||||||||||
L3 Technologies, Inc.: | ||||||||||||
4.95%, 02/15/21 | 1,575 | 1,627,170 | ||||||||||
3.85%, 06/15/23 | 13,855 | 14,278,781 | ||||||||||
3.85%, 12/15/26 | 6,460 | 6,574,274 | ||||||||||
4.40%, 06/15/28 | 1,200 | 1,259,173 | ||||||||||
Leonardo U.S. Holdings, Inc., | 117 | 107,640 | ||||||||||
Lockheed Martin Corp.: | ||||||||||||
2.90%, 03/01/25 | 2,570 | 2,563,121 | ||||||||||
3.55%, 01/15/26 | 1,596 | 1,647,190 | ||||||||||
3.60%, 03/01/35 | 21,122 | 20,862,905 | ||||||||||
4.50%, 05/15/36 | 632 | 685,438 | ||||||||||
4.07%, 12/15/42 | 7,840 | 7,986,189 | ||||||||||
3.80%, 03/01/45 | 2,555 | 2,524,312 | ||||||||||
Northrop Grumman Corp.: | ||||||||||||
2.93%, 01/15/25 | 10,230 | 10,089,314 | ||||||||||
3.25%, 01/15/28 | 10,733 | 10,553,779 | ||||||||||
3.85%, 04/15/45 | 2,310 | 2,215,946 | ||||||||||
4.03%, 10/15/47 | 5,035 | 4,967,740 | ||||||||||
Raytheon Co., 7.20%, 08/15/27 | 1,890 | 2,437,163 | ||||||||||
TransDigm, Inc., 6.00%, 07/15/22 | 252 | 256,095 | ||||||||||
United Technologies Corp.: | ||||||||||||
1.95%, 11/01/21 | 13,880 | 13,601,102 | ||||||||||
4.13%, 11/16/28 | 14,025 | 14,570,799 | ||||||||||
5.40%, 05/01/35 | 2,411 | 2,708,305 | ||||||||||
4.50%, 06/01/42 | 8,625 | 8,914,919 | ||||||||||
|
| |||||||||||
156,881,014 | ||||||||||||
Air Freight & Logistics — 0.2% | ||||||||||||
FedEx Corp.: | ||||||||||||
3.40%, 01/14/22 | 3,280 | 3,323,805 | ||||||||||
3.90%, 02/01/35 | 5,324 | 4,989,494 | ||||||||||
3.88%, 08/01/42 | 14,790 | 13,014,994 | ||||||||||
4.10%, 04/15/43 | 2,350 | 2,134,453 | ||||||||||
GLP China Holdings Ltd., 4.97%, 02/26/24 | 925 | 947,537 | ||||||||||
XPO Logistics, Inc., 6.50%, 06/15/22(b) | 100 | 101,875 | ||||||||||
|
| |||||||||||
24,512,158 | ||||||||||||
Airlines — 0.7% | ||||||||||||
Air Canada Pass-Through Trust: | ||||||||||||
Series 2015, Class 2B, 5.00%, 12/15/23(b) | 1,518 | 1,552,910 | ||||||||||
Series 2017-1, Class B, | 24 | 23,028 | ||||||||||
Series 2017, Class 1AA, | 2,143 | 2,081,897 | ||||||||||
American Airlines Group, Inc.: | ||||||||||||
5.50%, 10/01/19(b) | 312 | 315,869 | ||||||||||
4.63%, 03/01/20(b) | 3,144 | 3,161,764 | ||||||||||
American Airlines Pass-Through Trust: | ||||||||||||
Series 2014-1, Class B, 4.38%, 04/01/24 | 84 | 84,011 | ||||||||||
Series 2015-1, Class B, 3.70%, 11/01/24 | 817 | 806,473 | ||||||||||
Series 2015-2, Class B, 4.40%, 03/22/25 | 6,656 | 6,705,235 | ||||||||||
Series 2016-1, Class B, 5.25%, 07/15/25 | 4,281 | 4,413,127 | ||||||||||
Series 2016-3, Class B, 3.75%, 10/15/25 | 87 | 84,925 | ||||||||||
Series 2017-1, Class B, 4.95%, 08/15/26 | 732 | 752,527 | ||||||||||
Series 2017-2, Class B, 3.70%, 04/15/27 | 1,794 | 1,751,624 | ||||||||||
Series 2015-2, Class AA, 3.60%, 09/22/27 | 858 | 859,380 |
54 | 2019 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Airlines (continued) | ||||||||||||
American Airlines Pass-Through Trust: (continued) | ||||||||||||
Series 2016-3, Class AA, 3.00%, 10/15/28 | USD | 4,189 | $ | 4,049,141 | ||||||||
Series 2017-2, Class AA, 3.35%, 10/15/29 | 2,013 | 1,966,366 | ||||||||||
Series 2017-1, Class AA, 3.65%, 08/15/30 | 916 | 920,457 | ||||||||||
American Airlines, Inc.,Series 2011-1B, 4.87%, 04/22/25(c) | 1,473 | 1,473,000 | ||||||||||
ANA Holdings, Inc.: | ||||||||||||
0.00%, 09/16/22(i)(j) | JPY | 10,000 | 91,198 | |||||||||
0.00%, 09/19/24(i)(j) | 60,000 | 553,500 | ||||||||||
Avianca Holdings SA/Avianca Leasing LLC/Grupo Taca Holdings Ltd., 8.38%, 05/10/20 | | USD 383 | | 382,106 | ||||||||
Continental Airlines Pass-Through Trust, 6.25%, 04/11/20 | 33 | 33,776 | ||||||||||
Delta Air Lines Pass-Through Trust, 3.20%, 04/25/24 | 4,595 | 4,656,854 | ||||||||||
Delta Air Lines, Inc.: | ||||||||||||
2.88%, 03/13/20 | 26,462 | 26,413,566 | ||||||||||
2.60%, 12/04/20 | 10,240 | 10,150,089 | ||||||||||
3.40%, 04/19/21 | 945 | 948,861 | ||||||||||
Gol Finance, Inc., 7.00%, 01/31/25(b) | 3,369 | 3,111,592 | ||||||||||
Turkish Airlines Pass-Through Trust,Series 2015-1, Class A, | 1,507 | 1,322,923 | ||||||||||
United Airlines Pass-Through Trust: | ||||||||||||
Series 2014-2, Class B, 4.63%, 09/03/22 | 311 | 316,118 | ||||||||||
Series 2014-1, Class B, 4.75%, 10/11/23 | 454 | 461,224 | ||||||||||
Series 2016-2, Class B, 3.65%, 10/07/25 | 279 | 275,236 | ||||||||||
Series Airlines2016-1, Class B, 3.65%, 07/07/27 | 311 | 306,948 | ||||||||||
Series 2018-1, Class B, 4.60%, 09/01/27 | 2,223 | 2,257,125 | ||||||||||
Series 2016-1, Class AA, 3.10%, 07/07/28 | 299 | 292,355 | ||||||||||
Series Airlines2015-1, Class AA, 3.45%, 06/01/29 | 738 | 734,694 | ||||||||||
Series 2018-1, Class AA, 3.50%, 03/01/30 | 1,317 | 1,298,505 | ||||||||||
Series 2016-2, Class AA, 2.88%, 04/07/30 | 1,239 | 1,187,320 | ||||||||||
Series 2019-1, Class AA, 4.15%, 08/25/31 | 2,760 | 2,857,583 | ||||||||||
US Airways Pass-Through Trust: | ||||||||||||
Series 2012-2, Class B, 6.75%, 12/03/22 | 152 | 159,331 | ||||||||||
Series 2013-1, Class B, 5.38%, 05/15/23 | 588 | 606,398 | ||||||||||
|
| |||||||||||
89,419,036 | ||||||||||||
Auto Components — 0.1% | ||||||||||||
Aptiv PLC, 4.25%, 01/15/26 | 1,322 | 1,361,920 | ||||||||||
GKN Holdings Ltd., 3.38%, 05/12/32 | GBP | 5,200 | 6,642,845 | |||||||||
ZF North America Capital, Inc., 4.75%, 04/29/25(b) | USD | 10,878 | 10,565,162 | |||||||||
|
| |||||||||||
18,569,927 | ||||||||||||
Automobiles — 0.5% | ||||||||||||
BMW US Capital LLC, 2.80%, 04/11/26(b) | 3,205 | 3,074,138 | ||||||||||
Daimler Finance North America LLC: | ||||||||||||
3.10%, 05/04/20(b) | 10,030 | 10,048,045 | ||||||||||
2.30%, 02/12/21(b) | 9,320 | 9,207,727 | ||||||||||
3.35%, 05/04/21(b) | 12,800 | 12,878,751 | ||||||||||
3.75%, 11/05/21(b) | 1,290 | 1,312,600 | ||||||||||
Fiat Chrysler Automobiles NV, 4.50%, 04/15/20 | 336 | 338,940 | ||||||||||
General Motors Co.: | ||||||||||||
5.00%, 04/01/35 | 1,600 | 1,451,386 | ||||||||||
6.60%, 04/01/36 | 905 | 946,777 | ||||||||||
6.25%, 10/02/43 | 1,070 | 1,064,711 | ||||||||||
5.40%, 04/01/48 | 1,280 | 1,170,027 | ||||||||||
Volkswagen Group of America Finance LLC: | ||||||||||||
2.40%, 05/22/20(b) | 6,950 | 6,900,958 | ||||||||||
3.88%, 11/13/20(b) | 10,970 | 11,110,876 | ||||||||||
4.00%, 11/12/21(b) | 5,945 | 6,064,938 | ||||||||||
|
| |||||||||||
65,569,874 | ||||||||||||
Banks — 7.2% | ||||||||||||
ABN AMRO Bank NV, 2.65%, 01/19/21(b) | 8,940 | 8,911,580 |
Security | Par (000) | Value | ||||||||||
Banks (continued) | ||||||||||||
Banco Espirito Santo SA: | ||||||||||||
2.63%, 05/08/17(g)(k) | EUR | 400 | $ | 123,393 | ||||||||
4.75%, 01/15/18(g)(k) | 2,200 | 709,510 | ||||||||||
4.00%, 01/21/19(g)(k) | 6,300 | 1,978,776 | ||||||||||
Banco Santander SA, 3.85%, 04/12/23 | USD | 7,200 | 7,261,313 | |||||||||
Bank of America Corp.: | ||||||||||||
2.63%, 10/19/20 | 5,775 | 5,760,615 | ||||||||||
(3 mo. LIBOR US + 0.660%), 2.37%, 07/21/21(l) | 14,085 | 13,988,950 | ||||||||||
(3 mo. LIBOR US + 0.630%), 2.33%, 10/01/21(l) | 37,283 | 36,936,232 | ||||||||||
(3 mo. LIBOR US + 0.630%), 3.50%, 05/17/22(l) | 8,260 | 8,356,703 | ||||||||||
3.30%, 01/11/23 | 1,307 | 1,323,593 | ||||||||||
4.00%, 04/01/24 | 2,085 | 2,174,820 | ||||||||||
4.20%, 08/26/24 | 4,667 | 4,830,216 | ||||||||||
(3 mo. LIBOR US + 0.970%), 3.46%, 03/15/25(l) | 5,985 | 6,044,570 | ||||||||||
3.95%, 04/21/25 | 3,272 | 3,328,163 | ||||||||||
3.88%, 08/01/25 | 9,563 | 9,901,221 | ||||||||||
(3 mo. LIBOR US + 0.810%), 3.37%, 01/23/26(l) | 4,150 | 4,152,910 | ||||||||||
4.45%, 03/03/26 | 10,671 | 11,120,858 | ||||||||||
3.50%, 04/19/26 | 5,111 | 5,154,504 | ||||||||||
Series L, 4.18%, 11/25/27 | 4,220 | 4,285,371 | ||||||||||
(3 mo. LIBOR US + 1.575%), 3.82%, 01/20/28(l) | 16,380 | 16,601,728 | ||||||||||
(3 mo. LIBOR US + 1.512%), 3.71%, 04/24/28(l) | 14,355 | 14,419,303 | ||||||||||
(3 mo. LIBOR US + 1.040%), 3.42%, 12/20/28(l) | 27,480 | 26,871,291 | ||||||||||
(3 mo. LIBOR US + 1.070%), 3.97%, 03/05/29(l) | 2,250 | 2,290,938 | ||||||||||
Barclays PLC: | ||||||||||||
(3 mo. LIBOR US + 1.902%), 4.97%, 05/16/29(l) | 9,280 | 9,593,358 | ||||||||||
4.95%, 01/10/47 | 4,378 | 4,378,844 | ||||||||||
BNP Paribas SA: | ||||||||||||
2.95%, 05/23/22(b) | 8,225 | 8,170,447 | ||||||||||
3.80%, 01/10/24(b) | 5,947 | 5,993,895 | ||||||||||
(3 mo. LIBOR US + 2.235%), 4.71%, 01/10/25(b)(l) | 4,115 | 4,268,206 | ||||||||||
BPCE SA, 3.00%, 05/22/22(b) | 9,005 | 8,909,547 | ||||||||||
Chong Hing Bank Ltd., (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 2.030%), 3.88%, 07/26/27(l) | 670 | 656,905 | ||||||||||
Citibank NA: | ||||||||||||
3.40%, 07/23/21 | 10,990 | 11,133,247 | ||||||||||
3.65%, 01/23/24 | 26,105 | 26,934,966 | ||||||||||
Citigroup, Inc.: | ||||||||||||
2.50%, 07/29/19 | 10,612 | 10,606,634 | ||||||||||
2.90%, 12/08/21 | 17,940 | 17,935,252 | ||||||||||
(3 mo. LIBOR US + 0.950%), 2.88%, 07/24/23(l) | 4,389 | 4,361,005 | ||||||||||
4.40%, 06/10/25 | 4,740 | 4,907,263 | ||||||||||
3.20%, 10/21/26 | 18,435 | 18,055,879 | ||||||||||
(3 mo. LIBOR US + 1.563%), 3.89%, 01/10/28(l) | 6,665 | 6,768,203 | ||||||||||
(3 mo. LIBOR US + 1.390%), 3.67%, 07/24/28(l) | 17,590 | 17,544,639 | ||||||||||
Citizens Bank N.A.: | ||||||||||||
2.25%, 03/02/20 | 14,776 | 14,707,144 | ||||||||||
2.65%, 05/26/22 | 15,070 | 14,942,972 | ||||||||||
Danske Bank A/S: | ||||||||||||
5.00%, 01/12/22(b) | 9,060 | 9,291,374 | ||||||||||
5.38%, 01/12/24(b) | 8,820 | 9,173,330 | ||||||||||
Fifth Third BanCorp., 3.65%, 01/25/24 | 9,840 | 10,077,093 | ||||||||||
Fifth Third Bank, 2.25%, 06/14/21 | 7,204 | 7,127,306 |
MASTER PORTFOLIO CONSOLIDATED SCHEDULEOF INVESTMENTS | 55 |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Banks (continued) | ||||||||||||
HSBC Holdings PLC: | ||||||||||||
5.10%, 04/05/21 | USD | 5,089 | $ | 5,305,876 | ||||||||
2.65%, 01/05/22 | 10,400 | 10,306,614 | ||||||||||
(3 mo. LIBOR US + 0.987%), 3.95%, 05/18/24(l) | 4,875 | 4,971,680 | ||||||||||
(3 mo. LIBOR US + 1.546%), 4.04%, 03/13/28(l) | 15,500 | 15,618,480 | ||||||||||
HSBC USA, Inc., 2.35%, 03/05/20 | 18,862 | 18,806,818 | ||||||||||
Huntington National Bank, 3.25%, 05/14/21 | 4,630 | 4,673,691 | ||||||||||
ING Bank NV, 5.80%, 09/25/23(b) | 4,879 | 5,260,242 | ||||||||||
ING Groep NV, 4.10%, 10/02/23 | 13,135 | 13,500,543 | ||||||||||
Intesa Sanpaolo SpA, 6.50%, 02/24/21(b) | 3,034 | 3,174,447 | ||||||||||
JPMorgan Chase & Co.: | ||||||||||||
2.55%, 03/01/21 | 7,110 | 7,086,424 | ||||||||||
4.63%, 05/10/21 | 5,176 | 5,369,531 | ||||||||||
(3 mo. LIBOR US + 0.610%), 3.51%, 06/18/22(l) | 9,145 | 9,272,561 | ||||||||||
2.97%, 01/15/23 | 4,688 | 4,686,042 | ||||||||||
(3 mo. LIBOR US + 0.730%), 3.56%, 04/23/24(l) | 2,560 | 2,603,677 | ||||||||||
(3 mo. LIBOR US + 0.890%), 3.80%, 07/23/24(l) | 13,546 | 13,908,896 | ||||||||||
(3 mo. LIBOR US + 1.000%), 4.02%, 12/05/24(l) | 22,830 | 23,692,584 | ||||||||||
(3 mo. LIBOR US + 1.337%), 3.78%, 02/01/28(l) | 14,100 | 14,363,742 | ||||||||||
(3 mo. LIBOR US + 1.380%), 3.54%, 05/01/28(l) | 28,080 | 28,099,228 | ||||||||||
(3 mo. LIBOR US + 1.260%), 4.20%, 07/23/29(l) | 9,640 | 10,056,189 | ||||||||||
(3 mo. LIBOR US + 1.330%), 4.45%, 12/05/29(l) | 9,530 | 10,143,649 | ||||||||||
(3 mo. LIBOR US + 1.360%), 3.88%, 07/24/38(l) | 11,240 | 11,017,166 | ||||||||||
KeyBank NA, 3.35%, 06/15/21 | 1,500 | 1,522,582 | ||||||||||
Keycorp, 4.15%, 10/29/25 | 3,045 | 3,205,551 | ||||||||||
Lloyds Banking Group PLC: | ||||||||||||
4.45%, 05/08/25 | 6,170 | 6,403,762 | ||||||||||
3.75%, 01/11/27 | 5,024 | 4,941,128 | ||||||||||
Mitsubishi UFJ Financial Group, Inc.: | ||||||||||||
3.54%, 07/26/21 | 1,810 | 1,836,551 | ||||||||||
3.00%, 02/22/22 | 3,776 | 3,783,852 | ||||||||||
3.46%, 03/02/23 | 27,130 | 27,501,406 | ||||||||||
3.76%, 07/26/23 | 8,650 | 8,884,724 | ||||||||||
Mizuho Financial Group, Inc.: | ||||||||||||
2.63%, 04/12/21(b) | 7,250 | 7,206,706 | ||||||||||
2.27%, 09/13/21 | 3,139 | 3,085,321 | ||||||||||
2.95%, 02/28/22 | 35,390 | 35,329,405 | ||||||||||
Nordea Bank Abp: | ||||||||||||
2.13%, 05/29/20(b) | 9,883 | 9,811,870 | ||||||||||
3.75%, 08/30/23(b) | 10,445 | 10,525,088 | ||||||||||
Royal Bank of Scotland Group PLC: | ||||||||||||
(3 mo. LIBOR US + 1.480%), 3.50%, 05/15/23(l) | 4,685 | 4,651,721 | ||||||||||
(3 mo. LIBOR US + 1.754%), | 1,100 | 1,142,028 | ||||||||||
(3 mo. LIBOR US + 1.905%), 5.08%, 01/27/30(l) | 1,380 | 1,452,773 | ||||||||||
Santander UK Group Holdings PLC, 2.88%, 08/05/21 | 14,289 | 14,165,829 | ||||||||||
Santander UK PLC, 5.00%, 11/07/23(b) | 12,770 | 13,076,046 | ||||||||||
Shizuoka Bank Ltd., (3 mo. LIBOR US + 0.500%), 2.27%, 01/25/23(a)(i) | 200 | 189,166 | ||||||||||
Standard Chartered PLC, (3 mo. LIBOR US + 1.150%), 4.25%, 01/20/23(b)(l) | 17,600 | 17,879,470 | ||||||||||
Sumitomo Mitsui Trust Bank Ltd., 1.95%, 09/19/19(b) | 15,285 | 15,223,738 |
Security | Par (000) | Value | ||||||||||
Banks (continued) | ||||||||||||
SunTrust Banks, Inc., 4.00%, 05/01/25 | USD | 2,065 | $ | 2,160,533 | ||||||||
Synchrony Bank, 3.65%, 05/24/21 | 9,060 | 9,143,522 | ||||||||||
Toronto-Dominion Bank, 3.50%, 07/19/23 | 3,580 | 3,679,672 | ||||||||||
U.S. Bancorp, 2.95%, 07/15/22 | 7,244 | 7,273,512 | ||||||||||
U.S. Bank NA, (3 mo. LIBOR US + 0.290%), 3.10%, 05/21/21(l) | 3,410 | 3,423,822 | ||||||||||
UniCredit SpA, 6.57%, 01/14/22(b) | 24,975 | 26,134,292 | ||||||||||
Washington Mutual Escrow Bonds: | ||||||||||||
0.00%(c)(g)(k)(m) | 2,570 | — | ||||||||||
0.00%(c)(g)(k)(m) | 13,308 | 1 | ||||||||||
0.00%(c)(g)(k)(m) | 3,115 | — | ||||||||||
0.00%(c)(g)(k)(m) | 11,911 | 1 | ||||||||||
Wells Fargo & Co.: | ||||||||||||
2.60%, 07/22/20 | 4,233 | 4,226,566 | ||||||||||
2.55%, 12/07/20 | 3,376 | 3,365,068 | ||||||||||
2.50%, 03/04/21 | 13,915 | 13,847,545 | ||||||||||
3.50%, 03/08/22 | 4,852 | 4,942,530 | ||||||||||
2.63%, 07/22/22 | 12,645 | 12,551,955 | ||||||||||
3.75%, 01/24/24 | 20,560 | 21,157,830 | ||||||||||
(3 mo. LIBOR US + 1.310%), 3.58%, 05/22/28(l) | 11,450 | 11,494,115 | ||||||||||
Wells Fargo Bank NA: | ||||||||||||
(3 mo. LIBOR US + 0.490%), 3.33%, 07/23/21(l) | 14,400 | 14,499,352 | ||||||||||
3.55%, 08/14/23 | 2,540 | 2,606,123 | ||||||||||
Woori Bank, 5.13%, 08/06/28 | 600 | 639,892 | ||||||||||
Yamaguchi Financial Group, Inc., (3 mo. LIBOR US + 0.500%), 2.11%, 03/26/20(a)(i) | 1,000 | 956,250 | ||||||||||
Yes Bank Ifsc Banking Unit Branch, 3.75%, 02/06/23 | 300 | 286,565 | ||||||||||
|
| |||||||||||
978,190,010 | ||||||||||||
Beverages — 0.5% | ||||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc.: | ||||||||||||
4.70%, 02/01/36(b) | 25,065 | 25,039,595 | ||||||||||
4.90%, 02/01/46(b) | 6,450 | 6,478,281 | ||||||||||
Anheuser-Busch InBev Worldwide, Inc., 4.75%, 01/23/29 | 16,700 | 17,792,143 | ||||||||||
Constellation Brands, Inc., (3 mo. LIBOR US + 0.700%), 3.38%, 11/15/21(a) | 6,500 | 6,503,344 | ||||||||||
Keurig Dr Pepper, Inc., 4.06%, 05/25/23(b) | 4,190 | 4,310,367 | ||||||||||
PepsiCo, Inc., 4.00%, 05/02/47 | 4,830 | 5,086,256 | ||||||||||
|
| |||||||||||
65,209,986 | ||||||||||||
Biotechnology — 0.5% | ||||||||||||
AbbVie, Inc.: | ||||||||||||
2.30%, 05/14/21 | 2,920 | 2,887,301 | ||||||||||
3.60%, 05/14/25 | 5,555 | 5,567,451 | ||||||||||
4.50%, 05/14/35 | 9,440 | 9,234,031 | ||||||||||
4.40%, 11/06/42 | 2,270 | 2,098,278 | ||||||||||
Amgen, Inc., 4.40%, 05/01/45 | 5,396 | 5,289,533 | ||||||||||
Baxalta, Inc., 5.25%, 06/23/45 | 1,131 | 1,239,201 | ||||||||||
Celgene Corp.: | ||||||||||||
3.95%, 10/15/20 | 840 | 854,600 | ||||||||||
3.25%, 08/15/22 | 4,110 | 4,151,371 | ||||||||||
3.55%, 08/15/22 | 3,980 | 4,063,402 | ||||||||||
2.75%, 02/15/23 | 5,595 | 5,541,188 | ||||||||||
3.25%, 02/20/23 | 7,005 | 7,062,895 | ||||||||||
Gilead Sciences, Inc.: | ||||||||||||
3.50%, 02/01/25 | 9,335 | 9,526,987 | ||||||||||
4.60%, 09/01/35 | 4,180 | 4,387,375 | ||||||||||
4.00%, 09/01/36 | 3,080 | 3,022,785 | ||||||||||
|
| |||||||||||
64,926,398 | ||||||||||||
Building Products — 0.0% | ||||||||||||
Johnson Controls International PLC, 5.13%, 09/14/45 | 1,750 | 1,826,189 |
56 | 2019 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Building Products (continued) | ||||||||||||
LIXIL Group Corp.: | ||||||||||||
0.00%, 03/04/20(i)(j) | JPY | 80,000 | $ | 704,014 | ||||||||
0.00%, 03/04/22(i)(j) | 30,000 | 259,966 | ||||||||||
Masonite International Corp.: | ||||||||||||
5.63%, 03/15/23(b) | USD | 2,418 | 2,472,405 | |||||||||
5.75%, 09/15/26(b) | 120 | 122,400 | ||||||||||
|
| |||||||||||
5,384,974 | ||||||||||||
Capital Markets — 2.7% | ||||||||||||
Bagan Capital Ltd., 0.00%, 09/23/21(i)(j) | 1,800 | 1,784,259 | ||||||||||
Bank of New York Mellon Corp., (3 mo. LIBOR US + 1.069%), 3.44%, 02/07/28(l) | 3,313 | 3,365,396 | ||||||||||
CCTI 2017 Ltd., 3.63%, 08/08/22 | 1,675 | 1,613,301 | ||||||||||
Charles Schwab Corp., 3.20%, 03/02/27 | 4,655 | 4,681,908 | ||||||||||
Cindai Capital Ltd., 0.00%, 02/08/23(i)(j) | 2,461 | 2,497,913 | ||||||||||
CME Group, Inc., 3.75%, 06/15/28 | 295 | 310,258 | ||||||||||
Credit Suisse Group AG: | ||||||||||||
(3 mo. LIBOR US + 1.200%), 3.00%, 12/14/23(b)(l) | 15,500 | 15,230,491 | ||||||||||
(3 mo. LIBOR US + 1.240%), 4.21%, 06/12/24(b)(l) | 9,600 | 9,834,081 | ||||||||||
Credit Suisse Group Funding Guernsey Ltd.: | ||||||||||||
2.75%, 03/26/20 | 11,121 | 11,105,949 | ||||||||||
3.13%, 12/10/20 | 26,140 | 26,206,468 | ||||||||||
3.80%, 09/15/22 | 5,000 | 5,093,500 | ||||||||||
Deutsche Bank AG: | ||||||||||||
2.70%, 07/13/20 | 13,510 | 13,369,363 | ||||||||||
2.95%, 08/20/20 | 8,408 | 8,335,504 | ||||||||||
4.25%, 02/04/21 | 14,200 | 14,254,437 | ||||||||||
4.25%, 10/14/21 | 3,652 | 3,668,396 | ||||||||||
Goldman Sachs Group, Inc.: | ||||||||||||
2.00%, 04/25/19 | 2,308 | 2,306,883 | ||||||||||
2.55%, 10/23/19 | 17,220 | 17,194,355 | ||||||||||
2.75%, 09/15/20 | 2,492 | 2,489,064 | ||||||||||
2.35%, 11/15/21 | 14,988 | 14,756,762 | ||||||||||
(3 mo. LIBOR US + 1.170%), 3.85%, 05/15/26(a) | 10,315 | 10,118,616 | ||||||||||
3.85%, 01/26/27 | 9,750 | 9,788,040 | ||||||||||
(3 mo. LIBOR US + 1.510%), 3.69%, 06/05/28(l) | 14,380 | 14,242,717 | ||||||||||
(3 mo. LIBOR US + 1.301%), 4.22%, 05/01/29(l) | 9,570 | 9,780,535 | ||||||||||
(3 mo. LIBOR US + 1.373%), 4.02%, 10/31/38(l) | 4,160 | 3,972,199 | ||||||||||
Intercontinental Exchange, Inc.: | ||||||||||||
4.00%, 10/15/23 | 5,460 | 5,733,786 | ||||||||||
3.75%, 12/01/25 | 2,600 | 2,700,191 | ||||||||||
3.75%, 09/21/28 | 5,050 | 5,231,527 | ||||||||||
Lehman Brothers Holdings, Inc., 6.75%, 12/28/17(c)(g)(k) | 7,360 | 1 | ||||||||||
Moody’s Corp., 2.75%, 12/15/21 | 2,536 | 2,535,698 | ||||||||||
Morgan Stanley: | ||||||||||||
2.75%, 05/19/22 | 16,910 | 16,807,789 | ||||||||||
6.25%, 08/09/26 | 7,358 | 8,522,566 | ||||||||||
3.63%, 01/20/27 | 26,095 | 26,155,979 | ||||||||||
(3 mo. LIBOR US + 1.340%), 3.59%, 07/22/28(l) | 20,490 | 20,335,110 | ||||||||||
(3 mo. LIBOR US + 1.140%), 3.77%, 01/24/29(l) | 23,835 | 23,921,697 | ||||||||||
(3 mo. LIBOR US + 1.628%), 4.43%, 01/23/30(l) | 3,835 | 4,039,126 | ||||||||||
Northern Trust Corp., (3 mo. LIBOR US + 1.131%), 3.38%, 05/08/32(l) | 5,200 | 5,095,093 | ||||||||||
Nuveen LLC, 4.00%, 11/01/28(b) | 3,255 | 3,472,293 | ||||||||||
Poseidon Finance 1 Ltd., | 2,140 | 2,047,980 | ||||||||||
State Street Corp., 2.65%, 05/19/26 | 3,056 | 2,988,818 | ||||||||||
UBS Group Funding Switzerland AG: | ||||||||||||
2.95%, 09/24/20(b) | 13,400 | 13,395,571 |
Security | Par (000) | Value | ||||||||||
Capital Markets (continued) | ||||||||||||
UBS Group Funding Switzerland AG: (continued) | ||||||||||||
(3 mo. LIBOR US + 0.954%), | USD | 14,300 | $ | 14,088,308 | ||||||||
4.13%, 09/24/25(b) | 8,464 | 8,738,495 | ||||||||||
|
| |||||||||||
371,810,423 | ||||||||||||
Chemicals — 0.4% | ||||||||||||
Air Liquide Finance SA, | 1,970 | 1,873,064 | ||||||||||
Cydsa SAB de CV, 6.25%, 10/04/27(b) | 2,845 | 2,724,130 | ||||||||||
Dow Chemical Co.: | ||||||||||||
9.00%, 04/01/21 | 3,960 | 4,391,363 | ||||||||||
4.55%, 11/30/25(b) | 1,710 | 1,804,373 | ||||||||||
4.38%, 11/15/42 | 3,442 | 3,289,965 | ||||||||||
DowDuPont, Inc.: | ||||||||||||
4.49%, 11/15/25 | 18,670 | 19,886,944 | ||||||||||
5.42%, 11/15/48 | 12,930 | 14,749,152 | ||||||||||
Kansai Paint Co. Ltd., | JPY | 80,000 | 730,413 | |||||||||
LG Chem Ltd., 0.00%, 04/16/21(i)(j) | EUR | 300 | 341,574 | |||||||||
Mitsubishi Chemical Holdings Corp.: | ||||||||||||
0.00%, 03/30/22(i)(j) | JPY | 150,000 | 1,354,416 | |||||||||
0.00%, 03/29/24(i)(j) | 40,000 | 363,277 | ||||||||||
Rock International Investment, Inc., 6.63%, 03/27/20 | USD | 700 | 532,234 | |||||||||
Sherwin-Williams Co.: | ||||||||||||
4.00%, 12/15/42 | 971 | 876,295 | ||||||||||
4.50%, 06/01/47 | 2,050 | 2,017,413 | ||||||||||
UPL Corp. Ltd., 4.50%, 03/08/28 | 1,040 | 1,014,477 | ||||||||||
|
| |||||||||||
55,949,090 | ||||||||||||
Commercial Services & Supplies — 0.2% | ||||||||||||
Beijing Environment Bvi Co. Ltd., 5.30%, 10/18/21 | 680 | 682,155 | ||||||||||
Republic Services, Inc.: | ||||||||||||
4.75%, 05/15/23 | 5,960 | 6,353,500 | ||||||||||
2.90%, 07/01/26 | 2,804 | 2,744,120 | ||||||||||
3.95%, 05/15/28 | 5,620 | 5,891,208 | ||||||||||
S&P Global, Inc., 4.00%, 06/15/25 | 1,055 | 1,110,160 | ||||||||||
University of Notre Dame du Lac, 3.39%, 02/15/48 | 2,480 | 2,417,303 | ||||||||||
University of Southern California, 3.03%, 10/01/39 | 366 | 343,697 | ||||||||||
Waste Management, Inc.: | ||||||||||||
3.13%, 03/01/25 | 1,035 | 1,041,793 | ||||||||||
3.90%, 03/01/35 | 3,336 | 3,342,766 | ||||||||||
|
| |||||||||||
23,926,702 | ||||||||||||
Communications Equipment — 0.2% | ||||||||||||
Cisco Systems, Inc., 2.95%, 02/28/26 | 2,190 | 2,196,120 | ||||||||||
Harris Corp.: | ||||||||||||
2.70%, 04/27/20 | 1,299 | 1,294,136 | ||||||||||
4.40%, 06/15/28 | 10,295 | 10,827,052 | ||||||||||
5.05%, 04/27/45 | 3,945 | 4,351,019 | ||||||||||
Juniper Networks, Inc., 3.30%, 06/15/20 | 2,728 | 2,738,604 | ||||||||||
|
| |||||||||||
21,406,931 | ||||||||||||
Construction & Engineering — 0.0% | ||||||||||||
China City Construction International Co. Ltd., 5.35%, 07/03/17(c)(g)(k) | CNH | 340 | 35,371 | |||||||||
China Singyes Solar Technologies Holdings Ltd., 7.95%, 02/15/19(g)(k) | USD | 350 | 213,657 | |||||||||
Great Lakes Dredge & Dock Corp., 8.00%, 05/15/22 | 2,048 | 2,145,280 | ||||||||||
Shimizu Corp., 0.00%, 10/16/20(i)(j) | JPY | 50,000 | 450,606 | |||||||||
Wijaya Karya Persero Tbk PT, 7.70%, 01/31/21 | IDR | 6,160,000 | 414,783 | |||||||||
Zhaohai Investment BVI Ltd., 4.00%, 07/23/20 | USD | 400 | 393,380 | |||||||||
|
| |||||||||||
3,653,077 |
MASTER PORTFOLIO CONSOLIDATED SCHEDULEOF INVESTMENTS | 57 |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Construction Materials — 0.0% | ||||||||||||
Summit Materials LLC/Summit Materials Finance Corp., 6.13%, 07/15/23 | USD | 134 | $ | 136,794 | ||||||||
|
| |||||||||||
Consumer Finance — 1.6% | ||||||||||||
American Express Co.: | ||||||||||||
2.50%, 08/01/22 | 2,215 | 2,189,113 | ||||||||||
3.70%, 08/03/23 | 6,245 | 6,399,650 | ||||||||||
4.20%, 11/06/25 | 5,450 | 5,763,302 | ||||||||||
American Express Credit Corp., 2.25%, 08/15/19 | 6,261 | 6,251,093 | ||||||||||
Capital One Financial Corp.: | ||||||||||||
2.40%, 10/30/20 | 7,757 | 7,712,586 | ||||||||||
3.45%, 04/30/21 | 2,085 | 2,110,305 | ||||||||||
3.90%, 01/29/24 | 12,400 | 12,676,595 | ||||||||||
3.75%, 03/09/27 | 2,310 | 2,272,244 | ||||||||||
Credivalores-Crediservicios SAS, 9.75%, 07/27/22(b) | 1,882 | 1,799,992 | ||||||||||
Discover Bank, 4.65%, 09/13/28 | 1,835 | 1,917,029 | ||||||||||
Discover Financial Services, 4.10%, 02/09/27 | 3,062 | 3,060,270 | ||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||
2.43%, 06/12/20 | 2,180 | 2,151,385 | ||||||||||
3.16%, 08/04/20 | 3,920 | 3,892,235 | ||||||||||
3.20%, 01/15/21 | 4,641 | 4,574,441 | ||||||||||
5.75%, 02/01/21 | 9,558 | 9,843,204 | ||||||||||
3.34%, 03/18/21 | 214 | 210,740 | ||||||||||
5.88%, 08/02/21 | 2,275 | 2,355,608 | ||||||||||
3.22%, 01/09/22 | 31,365 | 30,485,944 | ||||||||||
2.98%, 08/03/22 | 7,725 | 7,383,084 | ||||||||||
3.10%, 05/04/23 | 6,840 | 6,414,058 | ||||||||||
5.58%, 03/18/24 | 2,395 | 2,429,179 | ||||||||||
3.82%, 11/02/27 | 4,300 | 3,754,357 | ||||||||||
General Motors Financial Co., Inc.: | ||||||||||||
4.20%, 03/01/21 | 2,711 | 2,749,757 | ||||||||||
3.20%, 07/06/21 | 20,017 | 19,927,124 | ||||||||||
4.20%, 11/06/21 | 26,045 | 26,498,086 | ||||||||||
3.15%, 06/30/22 | 15,215 | 15,063,980 | ||||||||||
4.00%, 01/15/25 | 10,062 | 9,857,376 | ||||||||||
4.00%, 10/06/26 | 1,360 | 1,302,747 | ||||||||||
Hyundai Capital Services, Inc., 3.00%, 08/29/22(b) | 7,790 | 7,694,378 | ||||||||||
Synchrony Financial: | ||||||||||||
2.70%, 02/03/20 | 1,986 | 1,983,361 | ||||||||||
4.38%, 03/19/24 | 1,940 | 1,965,015 | ||||||||||
Tarjeta Naranja SA, (30 to 35 Days Argentina Deposit Rates Badlar Private Banks + 3.500%), 47.08%, 04/11/22(a)(b) | 3,141 | 1,142,110 | ||||||||||
Toyota Motor Credit Corp.: | ||||||||||||
3.05%, 01/11/28 | 3,390 | 3,387,472 | ||||||||||
3.65%, 01/08/29 | 1,860 | 1,936,784 | ||||||||||
Unifin Financiera SAB de CV SOFOM ENR: | ||||||||||||
(5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 6.308%), 8.88%(b)(l)(m) | 727 | 630,582 | ||||||||||
7.25%, 09/27/23(b) | 903 | 910,924 | ||||||||||
|
| |||||||||||
220,696,110 | ||||||||||||
Containers & Packaging — 0.1% | ||||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 4.25%, 09/15/22(b) | 336 | 336,000 | ||||||||||
Graphic Packaging International LLC, 4.75%, 04/15/21 | 104 | 105,300 | ||||||||||
International Paper Co., 6.00%, 11/15/41 | 4,020 | 4,485,586 | ||||||||||
Klabin Finance SA, | 3,015 | 2,919,440 | ||||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg: | ||||||||||||
6.88%, 02/15/21 | 545 | 547,147 |
Security | Par (000) | Value | ||||||||||
Containers & Packaging (continued) | ||||||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg: (continued) | ||||||||||||
7.00%, 07/15/24(b) | USD | 155 | $ | 159,669 | ||||||||
|
| |||||||||||
8,553,142 | ||||||||||||
Diversified Consumer Services — 0.1% | ||||||||||||
China Education Group Holdings Ltd., 2.00%, 03/28/24(i) | HKD | 8,000 | 1,061,153 | |||||||||
George Washington University, 4.13%, 09/15/48 | USD | 4,389 | 4,600,222 | |||||||||
Massachusetts Institute of Technology, 3.96%, 07/01/38 | 1,385 | 1,480,410 | ||||||||||
Pepperdine University, 3.95%, 12/01/57 | 2,000 | 2,054,189 | ||||||||||
Wesleyan University, 4.78%, 07/01/2116 | 2,249 | 2,369,643 | ||||||||||
|
| |||||||||||
11,565,617 | ||||||||||||
Diversified Financial Services — 1.1% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust: | ||||||||||||
4.63%, 10/30/20 | 10,420 | 10,664,860 | ||||||||||
4.50%, 05/15/21 | 3,660 | 3,739,118 | ||||||||||
AXA Equitable Holdings, Inc.: | ||||||||||||
3.90%, 04/20/23 | 880 | 901,520 | ||||||||||
5.00%, 04/20/48 | 2,480 | 2,425,628 | ||||||||||
Azul Investments LLP, | 234 | 221,012 | ||||||||||
Baoxin Auto Finance I Ltd.: | ||||||||||||
(3 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 8.909%), 5.63%(l)(m) | 700 | 654,500 | ||||||||||
7.90%, 02/09/20 | 290 | 288,912 | ||||||||||
BAT International Finance PLC, 3.95%, 06/15/25(b) | 12,755 | 12,782,207 | ||||||||||
Bayer US Finance II LLC, 2.85%, 04/15/25(b) | 2,800 | 2,576,031 | ||||||||||
BHP Billiton Finance USA Ltd., 4.13%, 02/24/42 | 2,600 | 2,728,920 | ||||||||||
BP Capital Markets PLC, 2.32%, 02/13/20 | 1,834 | 1,829,754 | ||||||||||
CC Holdings GS V LLC/Crown Castle GS III Corp., 3.85%, 04/15/23 | 2,919 | 2,988,626 | ||||||||||
CK Hutchison International 17 II Ltd., 3.25%, 09/29/27 | 600 | 586,215 | ||||||||||
Deutsche Telekom International Finance BV, 3.60%, 01/19/27(b) | 3,640 | 3,589,969 | ||||||||||
Easy Tactic Ltd.: | ||||||||||||
7.00%, 04/25/21 | 200 | 202,250 | ||||||||||
9.13%, 07/28/22 | 630 | 666,225 | ||||||||||
8.63%, 02/27/24 | 1,000 | 1,017,500 | ||||||||||
Energuate Trust, 5.88%, 05/03/27(b) | 747 | 732,138 | ||||||||||
Eurochem Finance DAC, 5.50%, 03/13/24(b) | 930 | 937,552 | ||||||||||
GE Capital International Funding Co. Unlimited Co., 4.42%, 11/15/35 | 10,800 | 9,984,454 | ||||||||||
GlaxoSmithKline Capital, Inc., 3.88%, 05/15/28 | 2,795 | 2,930,692 | ||||||||||
Gohl Capital Ltd., 4.25%, 01/24/27 | 725 | 720,719 | ||||||||||
Guojing Capital BVI Ltd., 3.95%, 12/11/22 | 498 | 486,743 | ||||||||||
Holcim U.S. Finance Sarl & Cie SCS, 5.15%, 09/12/23(b) | 4,445 | 4,686,140 | ||||||||||
Huarong Universe Investment Holding Ltd., 1.63%, 12/05/22 | EUR | 775 | 812,152 | |||||||||
Hyundai Capital America: | ||||||||||||
2.55%, 04/03/20(b) | USD | 21,316 | 21,167,747 | |||||||||
3.95%, 02/01/22(b) | 11,376 | 11,541,464 | ||||||||||
IBM Credit LLC, 3.45%, 11/30/20 | 4,870 | 4,927,857 | ||||||||||
Intelsat Connect Finance SA, 9.50%, 02/15/23(b) | 653 | 578,101 | ||||||||||
Keurig Dr Pepper, Inc., 3.55%, 05/25/21(b) | 2,760 | 2,789,707 | ||||||||||
Latam Finance Ltd., 7.00%, 03/01/26(b) | 2,051 | 2,086,380 | ||||||||||
New Lion Bridge Co. Ltd., 9.75%, 10/10/20 | 430 | 386,677 |
58 | 2019 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Diversified Financial Services (continued) | ||||||||||||
Oman Sovereign Sukuk SAOC, 5.93%, 10/31/25(b) | USD | 5,795 | $ | 5,802,215 | ||||||||
ORIX Corp., 2.90%, 07/18/22 | 4,455 | 4,454,554 | ||||||||||
Pacific National Finance Pty Ltd., 4.75%, 03/22/28 | 1,100 | 1,075,908 | ||||||||||
Pearl Holding III Ltd., 9.50%, 12/11/22 | 600 | 488,922 | ||||||||||
Prime Bloom Holdings Ltd., 6.95%, 07/05/22 | 890 | 695,757 | ||||||||||
QIIB Senior Sukuk Ltd., 4.26%, 03/05/24 | 650 | 658,798 | ||||||||||
RELX Capital, Inc.: | ||||||||||||
3.50%, 03/16/23 | 6,730 | 6,818,696 | ||||||||||
4.00%, 03/18/29 | 5,420 | 5,530,209 | ||||||||||
Santos Finance Ltd., 5.25%, 03/13/29 | 2,200 | 2,210,756 | ||||||||||
Shell International Finance BV: | ||||||||||||
3.25%, 05/11/25 | 3,000 | 3,055,165 | ||||||||||
4.13%, 05/11/35 | 1,648 | 1,755,079 | ||||||||||
3.63%, 08/21/42 | 2,135 | 2,082,523 | ||||||||||
4.55%, 08/12/43 | 1,250 | 1,394,690 | ||||||||||
Silversea Cruise Finance Ltd., 7.25%, 02/01/25(b) | 2,647 | 2,862,730 | ||||||||||
Vertex Capital Investment Ltd., 4.75%, 04/03/24 | 575 | 575,000 | ||||||||||
Woodside Finance Ltd., 3.65%, 03/05/25(b) | 562 | 558,393 | ||||||||||
Yunnan Energy Investment Overseas Finance Co. Ltd., 6.25%, 11/29/21 | 395 | 404,677 | ||||||||||
|
| |||||||||||
153,055,842 | ||||||||||||
Diversified Telecommunication Services — 1.4% | ||||||||||||
AT&T Inc.: | ||||||||||||
0.00%, 11/27/22(b)(j) | 15,000 | 13,396,856 | ||||||||||
3.40%, 05/15/25 | 2,215 | 2,191,778 | ||||||||||
4.13%, 02/17/26 | 1,385 | 1,415,777 | ||||||||||
4.30%, 02/15/30 | 27,335 | 27,648,757 | ||||||||||
6.00%, 08/15/40 | 6,384 | 7,173,572 | ||||||||||
4.35%, 06/15/45 | 15,220 | 13,965,153 | ||||||||||
5.15%, 02/15/50 | 6,810 | 6,956,866 | ||||||||||
Axtel SAB de CV, 6.38%, 11/14/24(b) | 3,763 | 3,753,592 | ||||||||||
C&W Senior Financing DAC, 6.88%, 09/15/27(b) | 3,437 | 3,445,593 | ||||||||||
Intelsat Jackson Holdings SA, 8.00%, 02/15/24(b) | 155 | 161,588 | ||||||||||
Intelsat SA, 4.50%, 06/15/25(b)(i) | 503 | 598,591 | ||||||||||
Level 3 Financing, Inc.: | ||||||||||||
6.13%, 01/15/21 | 462 | 465,557 | ||||||||||
5.38%, 08/15/22 | 4,662 | 4,685,310 | ||||||||||
5.63%, 02/01/23 | 574 | 580,457 | ||||||||||
Oi SA, 10.00% (10.00% Cash or 12.00% PIK), 07/27/25(n) | 2,246 | 2,366,161 | ||||||||||
Telecom Italia Capital SA, 7.18%, 06/18/19 | 540 | 543,559 | ||||||||||
Telefonica Emisiones SAU, 4.67%, 03/06/38 | 7,790 | 7,435,226 | ||||||||||
TELUS Corp., 4.60%, 11/16/48 | 825 | 868,583 | ||||||||||
Verizon Communications, Inc.: | ||||||||||||
(3 mo. LIBOR US + 0.550%), 3.21%, 05/22/20(a) | 9,865 | 9,906,482 | ||||||||||
4.13%, 03/16/27 | 36,595 | 38,322,790 | ||||||||||
4.33%, 09/21/28 | 5,823 | 6,158,035 | ||||||||||
4.50%, 08/10/33 | 8,930 | 9,438,954 | ||||||||||
4.40%, 11/01/34 | 2,549 | 2,651,721 | ||||||||||
4.27%, 01/15/36 | 23,570 | 23,839,772 | ||||||||||
4.13%, 08/15/46 | 3,960 | 3,837,050 | ||||||||||
|
| |||||||||||
191,807,780 | ||||||||||||
Electric Utilities — 1.7% | ||||||||||||
Adani Transmission Ltd., 4.00%, 08/03/26 | 662 | 613,949 | ||||||||||
AEP Texas, Inc., 3.95%, 06/01/28 | 9,030 | 9,407,684 | ||||||||||
AEP Transmission Co. LLC, 4.25%, 09/15/48 | 4,930 | 5,231,143 | ||||||||||
Alabama Power Co.: | ||||||||||||
4.15%, 08/15/44 | 1,050 | 1,087,639 | ||||||||||
Series A, 4.30%, 07/15/48 | 5,435 | 5,761,884 | ||||||||||
Baltimore Gas & Electric Co.: | ||||||||||||
3.50%, 08/15/46 | 4,327 | 4,065,398 |
Security | Par (000) | Value | ||||||||||
Electric Utilities (continued) | ||||||||||||
Baltimore Gas & Electric Co.: (continued) | ||||||||||||
3.75%, 08/15/47 | USD | 2,530 | $ | 2,443,767 | ||||||||
4.25%, 09/15/48 | 2,925 | 3,073,891 | ||||||||||
Bi Hai Co. Ltd., 6.25%, 03/05/22 | 400 | 410,126 | ||||||||||
CenterPoint Energy Houston Electric LLC: | ||||||||||||
3.55%, 08/01/42 | 2,240 | 2,164,318 | ||||||||||
3.95%, 03/01/48 | 1,350 | 1,382,441 | ||||||||||
DTE Electric Co., 4.05%, 05/15/48 | 5,910 | 6,160,309 | ||||||||||
Duke Energy Carolinas LLC: | ||||||||||||
3.95%, 11/15/28 | 5,755 | 6,127,728 | ||||||||||
4.00%, 09/30/42 | 1,150 | 1,182,761 | ||||||||||
3.88%, 03/15/46 | 1,550 | 1,559,709 | ||||||||||
3.70%, 12/01/47 | 2,530 | 2,468,229 | ||||||||||
Duke Energy Florida LLC: | ||||||||||||
3.80%, 07/15/28 | 2,780 | 2,902,247 | ||||||||||
6.40%, 06/15/38 | 3,550 | 4,754,648 | ||||||||||
4.20%, 07/15/48 | 2,060 | 2,165,995 | ||||||||||
Duke Energy Progress LLC: | ||||||||||||
3.00%, 09/15/21 | 1,710 | 1,723,060 | ||||||||||
3.25%, 08/15/25 | 4,025 | 4,114,380 | ||||||||||
3.70%, 09/01/28 | 10,090 | 10,524,929 | ||||||||||
Emera U.S. Finance LP: | ||||||||||||
2.15%, 06/15/19 | 4,838 | 4,828,502 | ||||||||||
2.70%, 06/15/21 | 7,299 | 7,232,822 | ||||||||||
Entergy Corp., 2.95%, 09/01/26 | 6,108 | 5,868,917 | ||||||||||
Entergy Louisiana LLC: | ||||||||||||
5.40%, 11/01/24 | 1,470 | 1,652,246 | ||||||||||
4.20%, 09/01/48 | 5,580 | 5,802,671 | ||||||||||
Eversource Energy, 2.90%, 10/01/24 | 8,685 | 8,617,621 | ||||||||||
Exelon Corp.: | ||||||||||||
2.45%, 04/15/21 | 1,306 | 1,290,847 | ||||||||||
4.95%, 06/15/35 | 1,409 | 1,496,034 | ||||||||||
4.45%, 04/15/46 | 5,835 | 6,012,973 | ||||||||||
FirstEnergy Transmission LLC, 4.35%, 01/15/25(b) | 13,860 | 14,446,748 | ||||||||||
Florida Power & Light Co.: | ||||||||||||
3.95%, 03/01/48 | 4,873 | 5,051,888 | ||||||||||
4.13%, 06/01/48 | 4,485 | 4,793,620 | ||||||||||
Generacion Mediterranea SA/Generacion Frias SA/Central Termica Roca SA, 9.63%, 07/27/23(b) | 1,880 | 1,598,000 | ||||||||||
Huachen Energy Co. Ltd., | 600 | 401,550 | ||||||||||
ITC Holdings Corp., 2.70%, 11/15/22 | 4,730 | 4,644,596 | ||||||||||
Kansas City Power & Light Co., 4.20%, 03/15/48 | 6,840 | 7,102,741 | ||||||||||
LLPL Capital Pte Ltd., 6.88%, 02/04/39 | 650 | 702,000 | ||||||||||
MidAmerican Energy Co., 4.40%, 10/15/44 | 2,689 | 2,934,800 | ||||||||||
Mid-Atlantic Interstate Transmission LLC, 4.10%, 05/15/28(b) | 1,950 | 1,999,939 | ||||||||||
Northern States Power Co.: | ||||||||||||
3.40%, 08/15/42 | 4,895 | 4,649,512 | ||||||||||
4.00%, 08/15/45 | 2,800 | 2,877,824 | ||||||||||
4.20%, 09/01/48 | 2,160 | 2,214,941 | ||||||||||
Ohio Power Co., 6.60%, 02/15/33 | 3,415 | 4,396,610 | ||||||||||
Oncor Electric Delivery Co LLC, 3.70%, 11/15/28 | 570 | 594,904 | ||||||||||
Oncor Electric Delivery Co. LLC, 4.55%, 12/01/41 | 2,575 | 2,857,539 | ||||||||||
Pacificorp: | ||||||||||||
4.10%, 02/01/42 | 6,000 | 6,184,429 | ||||||||||
4.13%, 01/15/49 | 1,910 | 1,974,151 | ||||||||||
Public Service Electric & Gas Co., 3.65%, 09/01/28 | 6,260 | 6,464,764 | ||||||||||
Southwestern Electric Power Co., 4.10%, 09/15/28 | 3,190 | 3,316,763 | ||||||||||
Tampa Electric Co.: | ||||||||||||
2.60%, 09/15/22 | 2,580 | 2,561,978 | ||||||||||
4.30%, 06/15/48 | 885 | 889,081 |
MASTER PORTFOLIO CONSOLIDATED SCHEDULEOF INVESTMENTS | 59 |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Electric Utilities (continued) | ||||||||||||
Tampa Electric Co.: (continued) 4.45%, 06/15/49 | USD | 2,500 | $ | 2,580,337 | ||||||||
Tohoku Electric Power Co., Inc., 0.00%, 12/03/20(i)(j) | JPY | 110,000 | 981,133 | |||||||||
Trans-Allegheny Interstate Line Co., 3.85%, 06/01/25(b) | USD | 6,547 | 6,691,806 | |||||||||
Union Electric Co., 3.50%, 03/15/29 | 3,935 | 4,032,656 | ||||||||||
Vistra Energy Corp.: | ||||||||||||
7.38%, 11/01/22 | 10,896 | 11,304,600 | ||||||||||
7.63%, 11/01/24 | 311 | 328,889 | ||||||||||
|
| |||||||||||
230,706,667 | ||||||||||||
Electrical Equipment — 0.0% | ||||||||||||
Bizlink Holding, Inc., 0.00%, 02/01/23(i)(j) | 750 | 775,095 | ||||||||||
Suzlon Energy Ltd., 5.75%, 07/16/19(e)(i) | 500 | 414,375 | ||||||||||
|
| |||||||||||
1,189,470 | ||||||||||||
Electronic Equipment, Instruments & Components — 0.1% | ||||||||||||
Amphenol Corp.: | ||||||||||||
3.20%, 04/01/24 | 3,096 | 3,094,105 | ||||||||||
4.35%, 06/01/29 | 825 | 872,130 | ||||||||||
Corning, Inc.: | ||||||||||||
3.70%, 11/15/23 | 775 | 784,878 | ||||||||||
4.38%, 11/15/57 | 6,000 | 5,564,221 | ||||||||||
Hon Hai Precision Industry Co. Ltd., 0.00%, 11/06/22(i)(j) | 600 | 556,953 | ||||||||||
Zhen Ding Technology Holding Ltd., 0.00%, 06/26/19(i)(j) | 200 | 204,000 | ||||||||||
|
| |||||||||||
11,076,287 | ||||||||||||
Energy Equipment & Services — 0.4% | ||||||||||||
Anton Oilfield Services Group/Hong Kong, 9.75%, 12/05/20 | 410 | 418,405 | ||||||||||
Bristow Group, Inc., 8.75%, 03/01/23(b) | 5,877 | 4,231,440 | ||||||||||
Halliburton Co.: | ||||||||||||
3.80%, 11/15/25 | 17,405 | 17,788,799 | ||||||||||
5.00%, 11/15/45 | 1,146 | 1,218,598 | ||||||||||
Nabors Industries, Inc., 5.50%, 01/15/23 | 2 | 1,909 | ||||||||||
Odebrecht Drilling Norbe VIII/IX Ltd., 6.35%, 12/01/21(b) | 1,118 | 1,071,691 | ||||||||||
Schlumberger Holdings Corp., 3.00%, 12/21/20(b) | 5,877 | 5,901,761 | ||||||||||
SEACOR Holdings, Inc., | 4,204 | 3,802,312 | ||||||||||
Transocean Guardian Ltd., 5.88%, 01/15/24(b) | 1,124 | 1,140,459 | ||||||||||
Transocean Phoenix 2 Ltd., 7.75%, 10/15/24(b) | 9,299 | 9,787,408 | ||||||||||
Transocean Proteus Ltd., 6.25%, 12/01/24(b) | 934 | 958,107 | ||||||||||
Weatherford International Ltd., 5.13%, 09/15/20 | 1,125 | 990,000 | ||||||||||
|
| |||||||||||
47,310,889 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) — 0.5% | ||||||||||||
American Tower Corp.: | ||||||||||||
3.30%, 02/15/21 | 2,758 | 2,783,716 | ||||||||||
3.45%, 09/15/21 | 2,787 | 2,817,692 | ||||||||||
3.50%, 01/31/23 | 783 | 793,747 | ||||||||||
3.00%, 06/15/23 | 17,415 | 17,355,654 | ||||||||||
5.00%, 02/15/24 | 785 | 844,813 | ||||||||||
4.40%, 02/15/26 | 541 | 564,610 | ||||||||||
Cromwell SPV Finance Pty Ltd., 2.50%, 03/29/25(i) | EUR | 500 | 553,166 | |||||||||
Crown Castle International Corp.: | ||||||||||||
3.40%, 02/15/21 | USD | 1,628 | 1,641,444 | |||||||||
2.25%, 09/01/21 | 5,986 | 5,899,880 | ||||||||||
3.20%, 09/01/24 | 11,755 | 11,665,151 | ||||||||||
4.30%, 02/15/29 | 1,120 | 1,154,387 | ||||||||||
Equinix, Inc.: | ||||||||||||
5.38%, 01/01/22 | 620 | 636,275 | ||||||||||
5.38%, 04/01/23 | 156 | 158,730 | ||||||||||
ESH Hospitality, Inc., 5.25%, 05/01/25(b) | 300 | 297,999 | ||||||||||
GLP Capital LP/GLP Financing II, Inc.: | ||||||||||||
4.88%, 11/01/20 | 8,141 | 8,295,679 |
Security | Par (000) | Value | ||||||||||
Equity Real Estate Investment Trusts (REITs) (continued) | ||||||||||||
GLP Capital LP/GLP Financing II, Inc.: (continued) | ||||||||||||
5.38%, 11/01/23 | USD | 156 | $ | 164,220 | ||||||||
5.25%, 06/01/25 | 5,124 | 5,367,390 | ||||||||||
5.38%, 04/15/26 | 410 | 428,409 | ||||||||||
5.75%, 06/01/28 | 310 | 332,847 | ||||||||||
Iron Mountain, Inc.: | ||||||||||||
4.38%, 06/01/21(b) | 312 | 313,560 | ||||||||||
6.00%, 08/15/23 | 153 | 157,016 | ||||||||||
MGM Growth Properties Operating Partnership LP/MGP FinanceCo-Issuer, Inc., 5.63%, 05/01/24 | 4,130 | 4,295,200 | ||||||||||
Realty Income Corp., 4.13%, 10/15/26 | 2,860 | 2,995,971 | ||||||||||
|
| |||||||||||
69,517,556 | ||||||||||||
Food & Staples Retailing — 0.7% | ||||||||||||
CVS Health Corp.: | ||||||||||||
3.70%, 03/09/23 | 15,500 | 15,749,246 | ||||||||||
4.00%, 12/05/23 | 6,885 | 7,074,820 | ||||||||||
4.10%, 03/25/25 | 9,645 | 9,901,986 | ||||||||||
4.78%, 03/25/38 | 2,410 | 2,386,606 | ||||||||||
5.13%, 07/20/45 | 18,545 | 18,847,079 | ||||||||||
5.05%, 03/25/48 | 8,200 | 8,260,719 | ||||||||||
Kroger Co., 2.65%, 10/15/26 | 7,820 | 7,197,388 | ||||||||||
Walgreens Boots Alliance, Inc.: | ||||||||||||
3.45%, 06/01/26 | 21,470 | 21,011,676 | ||||||||||
4.80%, 11/18/44 | 267 | 255,888 | ||||||||||
Walmart, Inc.: | ||||||||||||
3.55%, 06/26/25 | 4,680 | 4,857,553 | ||||||||||
4.00%, 04/11/43 | 2,215 | 2,300,021 | ||||||||||
|
| |||||||||||
97,842,982 | ||||||||||||
Food Products — 0.2% | ||||||||||||
Campbell Soup Co., 8.88%, 05/01/21 | 2,350 | 2,596,648 | ||||||||||
Conagra Brands, Inc., 3.80%, 10/22/21 | 1,463 | 1,490,414 | ||||||||||
Ezaki Glico Co. Ltd., 0.00%, 01/30/24(i)(j) | JPY | 10,000 | 92,642 | |||||||||
General Mills, Inc.: | ||||||||||||
3.20%, 04/16/21 | USD | 2,960 | 2,985,667 | |||||||||
4.00%, 04/17/25 | 3,442 | 3,561,557 | ||||||||||
Knight Castle Investments Ltd., 7.99%, 01/23/21 | 700 | 509,488 | ||||||||||
Marfrig Holdings Europe BV, | 1,600 | 1,648,000 | ||||||||||
SSMS Plantation Holdings Pte Ltd., 7.75%, 01/23/23 | 600 | 589,116 | ||||||||||
Tyson Foods, Inc.: | ||||||||||||
3.90%, 09/28/23 | 885 | 911,705 | ||||||||||
3.95%, 08/15/24 | 5,440 | 5,601,945 | ||||||||||
3.55%, 06/02/27 | 4,990 | 4,905,755 | ||||||||||
5.10%, 09/28/48 | 1,020 | 1,038,121 | ||||||||||
|
| |||||||||||
25,931,058 | ||||||||||||
Gas Utilities — 0.0% | ||||||||||||
Atmos Energy Corp., 4.13%, 03/15/49 | 1,400 | 1,449,129 | ||||||||||
|
| |||||||||||
Health Care Equipment & Supplies — 0.7% | ||||||||||||
Abbott Laboratories: | ||||||||||||
3.40%, 11/30/23 | 1,212 | 1,236,944 | ||||||||||
3.75%, 11/30/26 | 20,090 | 20,884,006 | ||||||||||
Baxter International, Inc., 1.70%, 08/15/21 | 500 | 486,667 | ||||||||||
Becton Dickinson and Co.: | ||||||||||||
2.13%, 06/06/19 | 16,315 | 16,292,492 | ||||||||||
2.68%, 12/15/19 | 6,989 | 6,966,435 | ||||||||||
2.89%, 06/06/22 | 11,575 | 11,520,971 | ||||||||||
3.30%, 03/01/23 | 5,026 | 4,976,036 | ||||||||||
4.69%, 12/15/44 | 703 | 725,464 | ||||||||||
Covidien International Finance SA, 2.95%, 06/15/23 | 3,090 | 3,116,470 | ||||||||||
Edwards Lifesciences Corp., 4.30%, 06/15/28 | 1,660 | 1,740,922 | ||||||||||
Medtronic, Inc.: | ||||||||||||
3.50%, 03/15/25 | 6,520 | 6,723,351 |
60 | 2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Health Care Equipment & Supplies (continued) | ||||||||||||
Medtronic, Inc.: (continued) 4.38%, 03/15/35 | USD | 15,540 | $ | 16,967,015 | ||||||||
|
| |||||||||||
91,636,773 | ||||||||||||
Health Care Providers & Services — 1.5% | ||||||||||||
Aetna, Inc.: | ||||||||||||
4.50%, 05/15/42 | 2,824 | 2,672,102 | ||||||||||
4.13%, 11/15/42 | 1,329 | 1,190,771 | ||||||||||
4.75%, 03/15/44 | 1,703 | 1,661,457 | ||||||||||
AHS Hospital Corp., 5.02%, 07/01/45 | 1,432 | 1,676,332 | ||||||||||
Anthem, Inc.: | ||||||||||||
3.50%, 08/15/24 | 1,045 | 1,058,060 | ||||||||||
4.10%, 03/01/28 | 3,335 | 3,431,661 | ||||||||||
Baylor Scott & White Holdings, 4.19%, 11/15/45 | 1,525 | 1,582,328 | ||||||||||
Catholic Health Initiatives, 4.35%, 11/01/42 | 1,075 | 1,031,890 | ||||||||||
CHRISTUS Health, 4.34%, 07/01/28 | 7,761 | 8,295,095 | ||||||||||
Cigna Corp., 3.20%, 09/17/20(b) | 26,345 | 26,487,009 | ||||||||||
Cigna Holding Co., 3.25%, 04/15/25 | 8,469 | 8,394,284 | ||||||||||
Dignity Health, 2.64%, 11/01/19 | 2,493 | 2,491,783 | ||||||||||
HCA, Inc.: | ||||||||||||
4.25%, 10/15/19 | 924 | 928,742 | ||||||||||
6.50%, 02/15/20 | 18,267 | 18,797,909 | ||||||||||
5.88%, 03/15/22 | 15,140 | 16,242,043 | ||||||||||
4.75%, 05/01/23 | 3,194 | 3,346,921 | ||||||||||
5.00%, 03/15/24 | 4,586 | 4,862,044 | ||||||||||
5.25%, 04/15/25 | 11,806 | 12,677,033 | ||||||||||
5.25%, 06/15/26 | 668 | 715,741 | ||||||||||
4.50%, 02/15/27 | 305 | 313,228 | ||||||||||
Kaiser Foundation Hospitals: | ||||||||||||
3.50%, 04/01/22 | 2,749 | 2,824,515 | ||||||||||
4.15%, 05/01/47 | 669 | 709,150 | ||||||||||
Laboratory Corp. of America Holdings, 2.63%, 02/01/20 | 2,946 | 2,939,691 | ||||||||||
Mercy Health, 4.30%, 07/01/28 | 1,286 | 1,383,280 | ||||||||||
Montefiore Obligated Group, 5.25%, 11/01/48 | 3,838 | 4,010,050 | ||||||||||
Ochsner Clinic Foundation, 5.90%, 05/15/45 | 1,215 | 1,523,277 | ||||||||||
PeaceHealth Obligated Group, 4.79%, 11/15/48 | 1,028 | 1,172,675 | ||||||||||
Providence St Joseph Health Obligated Group, 3.93%, 10/01/48 | 2,843 | 2,852,165 | ||||||||||
Redco Group, 13.50%, 01/21/20 | 490 | 501,150 | ||||||||||
Southern Baptist Hospital of Florida, Inc., 4.86%, 07/15/45 | 1,250 | 1,413,529 | ||||||||||
SSM Health Care Corp., 3.69%, 06/01/23 | 8,263 | 8,476,977 | ||||||||||
Sutter Health, 3.70%, 08/15/28 | 3,484 | 3,634,871 | ||||||||||
Tenet Healthcare Corp.: | ||||||||||||
6.00%, 10/01/20 | 11,655 | 12,077,494 | ||||||||||
4.50%, 04/01/21 | 205 | 208,075 | ||||||||||
Toledo Hospital, 5.75%, 11/15/38 | 5,835 | 6,418,575 | ||||||||||
Trinity Health Corp., 4.13%, 12/01/45 | 1,522 | 1,535,003 | ||||||||||
UnitedHealth Group, Inc.: | ||||||||||||
3.75%, 07/15/25 | 16,830 | 17,567,626 | ||||||||||
3.70%, 12/15/25 | 4,035 | 4,198,316 | ||||||||||
3.10%, 03/15/26 | 2,125 | 2,122,344 | ||||||||||
3.85%, 06/15/28 | 1,575 | 1,648,303 | ||||||||||
4.63%, 07/15/35 | 689 | 772,381 | ||||||||||
4.63%, 11/15/41 | 3,410 | 3,732,903 | ||||||||||
3.75%, 10/15/47 | 3,390 | 3,292,148 | ||||||||||
4.45%, 12/15/48 | 1,285 | 1,393,558 | ||||||||||
|
| |||||||||||
204,264,489 | ||||||||||||
Hotels, Restaurants & Leisure — 0.3% | ||||||||||||
1011778 BC ULC/New Red Finance, Inc., | 2,067 | 2,076,736 | ||||||||||
Carlson Travel, Inc., 9.50%, 12/15/24(b) | 215 | 206,938 | ||||||||||
Eldorado Resorts, Inc., 7.00%, 08/01/23 | 296 | 309,737 | ||||||||||
HIS Co. Ltd.: | ||||||||||||
0.00%, 08/30/19(i)(j) | JPY | 10,000 | 90,048 |
Security | Par (000) | Value | ||||||||||
Hotels, Restaurants & Leisure (continued) | ||||||||||||
HIS Co. Ltd.: (continued) | JPY | 40,000 | $ | 382,478 | ||||||||
International Game Technology PLC, 6.25%, 02/15/22(b) | USD | 4,246 | 4,410,533 | |||||||||
McDonald’s Corp.: | ||||||||||||
3.70%, 01/30/26 | 5,015 | 5,177,125 | ||||||||||
4.70%, 12/09/35 | 6,025 | 6,457,611 | ||||||||||
3.70%, 02/15/42 | 2,000 | 1,829,207 | ||||||||||
3.63%, 05/01/43 | 2,565 | 2,322,996 | ||||||||||
4.88%, 12/09/45 | 3,880 | 4,196,897 | ||||||||||
4.45%, 03/01/47 | 595 | 606,481 | ||||||||||
MGM Resorts International, 5.25%, 03/31/20 | 156 | 158,925 | ||||||||||
REXLot Holdings Ltd., | HKD | 1,161 | 118,304 | |||||||||
Scientific Games International, Inc., 10.00%, 12/01/22 | USD | 9,256 | 9,726,668 | |||||||||
Studio City Finance Ltd., 7.25%, 02/11/24 | 1,000 | 1,045,000 | ||||||||||
Vinpearl JSC, 3.50%, 06/14/23(i) | 800 | 856,090 | ||||||||||
|
| |||||||||||
39,971,774 | ||||||||||||
Household Durables — 0.3% | ||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co.: | ||||||||||||
6.88%, 02/15/21(b) | 5,422 | 5,428,778 | ||||||||||
6.75%, 08/01/25(b) | 1,069 | 972,790 | ||||||||||
9.88%, 04/01/27(b) | 3,448 | 3,516,960 | ||||||||||
Beazer Homes USA, Inc., 8.75%, 03/15/22 | 3,654 | 3,822,084 | ||||||||||
Brookfield Residential Properties, Inc., 6.50%, 12/15/20(b) | 3,581 | 3,581,000 | ||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp., 6.13%, 07/01/22(b) | 467 | 469,335 | ||||||||||
Century Communities, Inc., 6.88%, 05/15/22 | 1,021 | 1,038,868 | ||||||||||
Controladora Mabe SA de CV, | 1,489 | 1,509,035 | ||||||||||
GLP Capital LP/GLP Financing II, Inc., 4.38%, 04/15/21 | 539 | 546,713 | ||||||||||
Harvest International Co., | HKD | 8,000 | 1,032,786 | |||||||||
Iida Group Holdings Co. Ltd., 0.00%, 06/18/20(i)(j) | JPY | 100,000 | 897,816 | |||||||||
KB Home: | ||||||||||||
8.00%, 03/15/20 | USD | 165 | 171,848 | |||||||||
7.63%, 05/15/23 | 1,769 | 1,925,999 | ||||||||||
Lennar Corp.: | ||||||||||||
4.50%, 06/15/19 | 1,557 | 1,557,000 | ||||||||||
4.50%, 11/15/19 | 1,105 | 1,106,381 | ||||||||||
2.95%, 11/29/20 | 20 | 19,875 | ||||||||||
8.38%, 01/15/21 | 755 | 815,400 | ||||||||||
4.75%, 04/01/21 | 447 | 455,381 | ||||||||||
5.88%, 11/15/24 | 4,092 | 4,342,635 | ||||||||||
5.25%, 06/01/26 | 60 | 61,725 | ||||||||||
LGI Homes, Inc., 6.88%, 07/15/26(b) | 600 | 598,500 | ||||||||||
PulteGroup, Inc.: | ||||||||||||
4.25%, 03/01/21 | 152 | 153,710 | ||||||||||
5.00%, 01/15/27 | 204 | 202,470 | ||||||||||
6.00%, 02/15/35 | 53 | 50,814 | ||||||||||
Shea Homes LP/Shea Homes Funding Corp., 5.88%, 04/01/23(b) | 58 | 57,130 | ||||||||||
Toll Brothers Finance Corp., 4.38%, 04/15/23 | 3,100 | 3,103,875 | ||||||||||
TRI Pointe Group, Inc., 5.25%, 06/01/27 | 253 | 232,760 | ||||||||||
TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 4.38%, 06/15/19 | 976 | 977,220 | ||||||||||
Weekley Homes LLC/Weekley Finance Corp., 6.00%, 02/01/23 | 2,280 | 2,194,500 | ||||||||||
|
| |||||||||||
40,843,388 | ||||||||||||
Independent Power and Renewable Electricity Producers — 0.1% | ||||||||||||
AES Panama SRL, 6.00%, 06/25/22(b) | 527 | 544,128 | ||||||||||
Inkia Energy Ltd., 5.88%, 11/09/27(b) | 1,009 | 984,093 |
MASTER PORTFOLIO CONSOLIDATED SCHEDULE OF INVESTMENTS | 61 |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Independent Power and Renewable Electricity Producers (continued) | ||||||||||||
NRG Energy, Inc.: | ||||||||||||
6.25%, 05/01/24 | USD | 155 | $ | 160,037 | ||||||||
2.75%, 06/01/48(b)(i) | 2,906 | 3,304,783 | ||||||||||
Orazul Energy Egenor S en C por A, | 1,497 | 1,474,545 | ||||||||||
ReNew Power Synthetic, 6.67%, 03/12/24 | 800 | 804,000 | ||||||||||
Stoneway Capital Corp., | 6,295 | 6,027,735 | ||||||||||
Talen Energy Supply LLC, 6.50%, 06/01/25 | 3,071 | 2,702,480 | ||||||||||
Vistra Energy Corp., 5.88%, 06/01/23 | 350 | 357,875 | ||||||||||
|
| |||||||||||
16,359,676 | ||||||||||||
Industrial Conglomerates — 0.1% | ||||||||||||
Eaton Corp., 2.75%, 11/02/22 | 3,529 | 3,515,689 | ||||||||||
General Electric Co., 4.50%, 03/11/44 | 1,923 | 1,756,745 | ||||||||||
Grupo KUO SAB de CV, 5.75%, 07/07/27(b) | 3,203 | 3,083,288 | ||||||||||
Honeywell International, Inc., 3.81%, 11/21/47 | 1,550 | 1,574,177 | ||||||||||
KOC Holding AS, 6.50%, 03/11/25(b) | 2,325 | 2,243,857 | ||||||||||
Tyco Electronics Group SA: | ||||||||||||
3.45%, 08/01/24 | 865 | 876,352 | ||||||||||
3.13%, 08/15/27 | 1,860 | 1,794,664 | ||||||||||
|
| |||||||||||
14,844,772 | ||||||||||||
Insurance — 0.6% | ||||||||||||
Ambac Assurance Corp., | 462 | 649,395 | ||||||||||
Ambac LSNI LLC, (3 mo. LIBOR US + 5.000%), 7.59%, 02/12/23(a)(b) | 2,956 | 2,978,063 | ||||||||||
Aon Corp., 4.50%, 12/15/28 | 10,460 | 11,039,734 | ||||||||||
Aon PLC, 4.75%, 05/15/45 | 1,475 | 1,531,276 | ||||||||||
Berkshire Hathaway Finance Corp., 4.25%, 01/15/49 | 625 | 654,195 | ||||||||||
China Reinsurance Finance Corp. Ltd., 3.38%, 03/09/22 | 1,311 | 1,289,205 | ||||||||||
Marsh & McLennan Cos, Inc., 3.88%, 03/15/24 | 9,430 | 9,780,852 | ||||||||||
Marsh & McLennan Cos., Inc.: | ||||||||||||
4.05%, 10/15/23 | 2,451 | 2,548,665 | ||||||||||
3.50%, 06/03/24 | 8,930 | 9,104,469 | ||||||||||
3.50%, 03/10/25 | 3,180 | 3,260,191 | ||||||||||
3.75%, 03/14/26 | 177 | 182,290 | ||||||||||
4.35%, 01/30/47 | 751 | 761,130 | ||||||||||
4.20%, 03/01/48 | 4,465 | 4,429,051 | ||||||||||
MetLife, Inc., 4.13%, 08/13/42 | 960 | 968,533 | ||||||||||
Prudential Financial, Inc., 3.88%, 03/27/28 | 7,190 | 7,546,025 | ||||||||||
QBE Insurance Group Ltd., (10 yr. Swap Semi 30/360 US + 4.395%), 5.88%, 06/17/46(l) | 450 | 459,196 | ||||||||||
T&D Holdings, Inc., 0.00%, 06/05/20(i)(j) | JPY | 80,000 | 715,852 | |||||||||
Travelers Cos., Inc., 4.60%, 08/01/43 | USD | 3,289 | 3,651,513 | |||||||||
Trinity Acquisition PLC, 4.40%, 03/15/26 | 1,850 | 1,919,512 | ||||||||||
Union Life Insurance Co. Ltd., 3.00%, 09/19/21 | . 229 | 200,843 | ||||||||||
Willis North America, Inc., 3.60%, 05/15/24 | 11,860 | 11,935,629 | ||||||||||
|
| |||||||||||
75,605,619 | ||||||||||||
Interactive Media & Services — 0.0% | ||||||||||||
Baidu, Inc., 4.38%, 05/14/24 | 3,320 | 3,447,584 | ||||||||||
|
| |||||||||||
Internet & Direct Marketing Retail — 0.0% | ||||||||||||
Alibaba Group Holding Ltd., 3.60%, 11/28/24 | 5,095 | 5,204,421 | ||||||||||
Ctrip.com International Ltd., 1.25%, 09/15/22(i) | 162 | 163,700 | ||||||||||
|
| |||||||||||
5,368,121 | ||||||||||||
IT Services — 0.5% | ||||||||||||
DXC Technology Co., 2.88%, 03/27/20 | 3,053 | 3,051,105 | ||||||||||
Fidelity National Information Services, Inc.: | ||||||||||||
3.63%, 10/15/20 | 277 | 279,911 | ||||||||||
3.00%, 08/15/26 | 15,110 | 14,476,134 | ||||||||||
4.50%, 08/15/46 | 1,179 | 1,115,119 | ||||||||||
4.75%, 05/15/48 | 4,550 | 4,515,768 | ||||||||||
Fiserv, Inc.: | ||||||||||||
3.85%, 06/01/25 | 1,580 | 1,621,150 | ||||||||||
4.20%, 10/01/28 | 8,990 | 9,260,250 | ||||||||||
International Business Machines Corp., 2.90%, 11/01/21 | 2,285 | 2,295,529 |
Security | Par (000) | Value | ||||||||||
IT Services (continued) | ||||||||||||
LINE Corp., 0.00%, 09/19/25(i)(j) | JPY | 70,000 | $ | 577,777 | ||||||||
Sabre GLBL, Inc., 5.25%, 11/15/23(b) | USD | 300 | 306,000 | |||||||||
Total System Services, Inc.: | ||||||||||||
3.80%, 04/01/21 | 1,910 | 1,939,217 | ||||||||||
3.75%, 06/01/23 | 2,350 | 2,385,606 | ||||||||||
4.80%, 04/01/26 | 8,040 | 8,446,989 | ||||||||||
Transcosmos, Inc., 0.00%, 12/22/20(i)(j) | JPY | 40,000 | 355,499 | |||||||||
VeriSign, Inc., 4.63%, 05/01/23 | USD | 9,359 | 9,487,686 | |||||||||
Visa, Inc.: | ||||||||||||
3.15%, 12/14/25 | 4,625 | 4,695,273 | ||||||||||
4.15%, 12/14/35 | 3,084 | 3,361,230 | ||||||||||
4.30%, 12/14/45 | 2,265 | 2,499,377 | ||||||||||
|
| |||||||||||
70,669,620 | ||||||||||||
Life Sciences Tools & Services — 0.2% | ||||||||||||
Thermo Fisher Scientific, Inc.: | ||||||||||||
4.50%, 03/01/21 | 6,360 | 6,567,177 | ||||||||||
3.00%, 04/15/23 | 3,150 | 3,150,596 | ||||||||||
4.15%, 02/01/24 | 7,300 | 7,628,668 | ||||||||||
2.95%, 09/19/26 | 8,644 | 8,339,022 | ||||||||||
|
| |||||||||||
25,685,463 | ||||||||||||
Machinery — 0.0% | ||||||||||||
China Conch Venture Holdings International Ltd., 0.00%, 09/05/23(i)(j) | HKD | 6,000 | 776,857 | |||||||||
Gates Global LLC/Gates Global Co., | USD | 445 | 446,740 | |||||||||
|
| |||||||||||
1,223,597 | ||||||||||||
Media — 1.6% | ||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.: | ||||||||||||
5.25%, 09/30/22 | 561 | 571,519 | ||||||||||
5.13%, 02/15/23 | 307 | 312,373 | ||||||||||
5.13%, 05/01/23(b) | 305 | 312,164 | ||||||||||
5.75%, 01/15/24 | 153 | 157,016 | ||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital: | ||||||||||||
3.58%, 07/23/20 | 13,315 | 13,411,793 | ||||||||||
4.46%, 07/23/22 | 2,721 | 2,815,177 | ||||||||||
(3 mo. LIBOR US + 1.650%), 4.39%, 02/01/24(a) | 208 | 208,002 | ||||||||||
4.50%, 02/01/24 | 7,170 | 7,457,590 | ||||||||||
4.91%, 07/23/25 | 9,864 | 10,408,273 | ||||||||||
6.38%, 10/23/35 | 13,680 | 15,253,381 | ||||||||||
5.38%, 04/01/38 | 1,960 | 1,970,524 | ||||||||||
6.48%, 10/23/45 | 7,805 | 8,749,429 | ||||||||||
Comcast Corp.: | ||||||||||||
3.30%, 10/01/20 | 14,015 | 14,147,001 | ||||||||||
3.38%, 02/15/25 | 1,054 | 1,073,600 | ||||||||||
3.15%, 03/01/26 | 10,540 | 10,486,607 | ||||||||||
2.35%, 01/15/27 | 740 | 691,451 | ||||||||||
4.15%, 10/15/28 | 3,230 | 3,399,697 | ||||||||||
4.25%, 10/15/30 | 3,175 | 3,373,061 | ||||||||||
4.40%, 08/15/35 | 2,849 | 2,974,764 | ||||||||||
3.20%, 07/15/36 | 19,415 | 17,653,451 | ||||||||||
3.40%, 07/15/46 | 7,286 | 6,453,540 | ||||||||||
4.95%, 10/15/58 | 2,645 | 2,917,432 | ||||||||||
Cox Communications, Inc.: | ||||||||||||
3.15%, 08/15/24(b) | 13,811 | 13,748,305 | ||||||||||
3.35%, 09/15/26(b) | 849 | 827,312 | ||||||||||
CSC Holdings LLC, 10.88%, 10/15/25(b) | 777 | 897,046 | ||||||||||
Discovery Communications LLC: | ||||||||||||
4.38%, 06/15/21 | 4,940 | 5,075,171 | ||||||||||
3.80%, 03/13/24 | 4,497 | 4,533,522 | ||||||||||
5.20%, 09/20/47 | 2,355 | 2,288,726 | ||||||||||
DISH DBS Corp., 7.88%, 09/01/19 | 307 | 310,838 | ||||||||||
Fox Corp.: | ||||||||||||
4.03%, 01/25/24(b) | 2,145 | 2,223,688 | ||||||||||
4.71%, 01/25/29(b) | 3,650 | 3,913,506 | ||||||||||
Historic TW, Inc., 6.63%, 05/15/29 | 420 | 511,192 |
62 | 2019 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Media (continued) | ||||||||||||
Interpublic Group of Cos., Inc.: | ||||||||||||
3.50%, 10/01/20 | USD | 1,680 | $ | 1,694,480 | ||||||||
3.75%, 10/01/21 | 905 | 920,728 | ||||||||||
Kakao Corp., 0.00%, 05/11/21(i)(j) | KRW | 400,000 | 357,172 | |||||||||
Lamar Media Corp., 5.38%, 01/15/24 | USD | 463 | 474,575 | |||||||||
NBCUniversal Media LLC: | ||||||||||||
5.95%, 04/01/41 | 4,270 | 5,250,423 | ||||||||||
4.45%, 01/15/43 | 3,047 | 3,155,746 | ||||||||||
Outfront Media Capital LLC/Outfront Media Capital Corp., 5.25%, 02/15/22 | 520 | 525,200 | ||||||||||
Time Warner Cable LLC: | ||||||||||||
5.00%, 02/01/20 | 2,900 | 2,948,057 | ||||||||||
4.13%, 02/15/21 | 5,862 | 5,953,550 | ||||||||||
4.00%, 09/01/21 | 911 | 925,887 | ||||||||||
5.50%, 09/01/41 | 3,125 | 3,072,883 | ||||||||||
4.50%, 09/15/42 | 314 | 274,444 | ||||||||||
Unitymedia GmbH, 6.13%, 01/15/25(b) | 819 | 850,040 | ||||||||||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 5.00%, 01/15/25(b) | 539 | 549,780 | ||||||||||
Viacom, Inc.: | ||||||||||||
4.50%, 03/01/21 | 3,389 | 3,476,318 | ||||||||||
6.88%, 04/30/36 | 2,460 | 2,886,457 | ||||||||||
Warner Media LLC: | ||||||||||||
2.10%, 06/01/19 | 9,144 | 9,131,393 | ||||||||||
3.55%, 06/01/24 | 2,480 | 2,502,881 | ||||||||||
3.60%, 07/15/25 | 2,168 | 2,162,563 | ||||||||||
3.80%, 02/15/27 | 1,895 | 1,887,291 | ||||||||||
7.63%, 04/15/31 | 630 | 825,391 | ||||||||||
4.65%, 06/01/44 | 1,620 | 1,563,451 | ||||||||||
4.85%, 07/15/45 | 5,725 | 5,778,578 | ||||||||||
|
| |||||||||||
216,294,439 | ||||||||||||
Metals & Mining — 0.3% | ||||||||||||
Anglo American Capital PLC: | ||||||||||||
3.63%, 09/11/24(b) | 7,445 | 7,377,449 | ||||||||||
4.75%, 04/10/27(b) | 4,150 | 4,229,038 | ||||||||||
ArcelorMittal: | ||||||||||||
5.25%, 08/05/20 | 200 | 205,498 | ||||||||||
4.55%, 03/11/26 | 2,080 | 2,125,606 | ||||||||||
Barrick Gold Corp., 5.25%, 04/01/42 | 2,470 | 2,671,009 | ||||||||||
Evraz PLC, 5.25%, 04/02/24(b) | 1,886 | 1,888,358 | ||||||||||
Freeport-McMoRan, Inc., 5.40%, 11/14/34 | 2,350 | 2,138,500 | ||||||||||
Kaiser Aluminum Corp., 5.88%, 05/15/24 | 82 | 84,255 | ||||||||||
Largo Resources Ltd., 9.25%, 06/01/21(b) | 328 | 343,990 | ||||||||||
Newmont Mining Corp.: | ||||||||||||
3.50%, 03/15/22 | 6,890 | 6,985,314 | ||||||||||
4.88%, 03/15/42 | 95 | 99,185 | ||||||||||
Nucor Corp., 5.20%, 08/01/43 | 1,640 | 1,861,322 | ||||||||||
Shandong Iron And Steel Xinheng International Co. Ltd., 6.50%, 06/14/21 | 285 | 282,649 | ||||||||||
Steel Dynamics, Inc.: | ||||||||||||
5.13%, 10/01/21 | 8,823 | 8,900,201 | ||||||||||
5.25%, 04/15/23 | 312 | 317,070 | ||||||||||
5.50%, 10/01/24 | 155 | 160,037 | ||||||||||
Vale Overseas Ltd., 4.38%, 01/11/22 | 1,494 | 1,520,937 | ||||||||||
Vedanta Resources PLC, 6.38%, 07/30/22 | 1,000 | 965,495 | ||||||||||
Zekelman Industries, Inc., 9.88%, 06/15/23(b) | 379 | 402,687 | ||||||||||
|
| |||||||||||
42,558,600 | ||||||||||||
Multi-Utilities — 0.3% | ||||||||||||
Alliant Energy Finance LLC, 3.75%, 06/15/23(b) | 1,795 | 1,830,622 | ||||||||||
Ameren Illinois Co., 3.80%, 05/15/28 | 3,730 | 3,918,880 | ||||||||||
Consumers Energy Co., 4.05%, 05/15/48 | 1,325 | 1,401,404 | ||||||||||
DTE Energy Co., 3.70%, 08/01/23 | 2,960 | 3,030,234 | ||||||||||
NiSource, Inc.: | ||||||||||||
2.65%, 11/17/22 | 850 | 836,936 | ||||||||||
3.49%, 05/15/27 | 5,615 | 5,595,982 | ||||||||||
Virginia Electric & Power Co.: | ||||||||||||
Series C, 2.75%, 03/15/23 | 6,530 | 6,516,525 |
Security | Par (000) | Value | ||||||||||
Multi-Utilities (continued) | ||||||||||||
Virginia Electric & Power Co.: (continued) | ||||||||||||
Series A, 3.50%, 03/15/27 | USD | 7,943 | $ | 8,087,831 | ||||||||
4.00%, 01/15/43 | 5,720 | 5,668,040 | ||||||||||
4.45%, 02/15/44 | 1,674 | 1,776,513 | ||||||||||
Series B, 4.20%, 05/15/45 | 2,462 | 2,520,401 | ||||||||||
Series C, 4.00%, 11/15/46 | 3,275 | 3,286,195 | ||||||||||
4.60%, 12/01/48 | 110 | 121,418 | ||||||||||
WEC Energy Group, Inc., 3.38%, 06/15/21 | 1,330 | 1,345,712 | ||||||||||
|
| |||||||||||
45,936,693 | ||||||||||||
Oil, Gas & Consumable Fuels — 5.0% | ||||||||||||
Anadarko Petroleum Corp.: | ||||||||||||
0.00%, 10/10/36(j) | 8,000 | 3,550,332 | ||||||||||
6.20%, 03/15/40 | 2,150 | 2,413,312 | ||||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp.: | ||||||||||||
5.50%, 10/15/19 | 16,323 | 16,486,766 | ||||||||||
6.38%, 05/01/24 | 207 | 216,832 | ||||||||||
5.25%, 01/15/25 | 850 | 882,362 | ||||||||||
4.25%, 12/01/27 | 19,315 | 19,408,117 | ||||||||||
5.20%, 12/01/47 | 4,355 | 4,360,974 | ||||||||||
Antero Resources Corp.: | ||||||||||||
5.38%, 11/01/21 | 6,681 | 6,706,054 | ||||||||||
5.13%, 12/01/22 | 2,999 | 3,014,895 | ||||||||||
5.63%, 06/01/23 | 2,430 | 2,463,413 | ||||||||||
5.00%, 03/01/25 | 2,042 | 2,006,265 | ||||||||||
Apache Corp., 2.63%, 01/15/23 | 2,997 | 2,921,078 | ||||||||||
Blackstone CQP Holdco LP, | 23 | 22,885 | ||||||||||
BP Capital Markets America, Inc.: | ||||||||||||
3.79%, 02/06/24 | 3,955 | 4,104,390 | ||||||||||
3.80%, 09/21/25 | 8,507 | 8,819,055 | ||||||||||
3.12%, 05/04/26 | 2,440 | 2,434,469 | ||||||||||
Bruin E&P Partners LLC, 8.88%, 08/01/23(b) | 3,397 | 3,252,628 | ||||||||||
Buckeye Partners LP, 4.88%, 02/01/21 | 11,110 | 11,382,803 | ||||||||||
Bukit Makmur Mandiri Utama PT, 7.75%, 02/13/22 | 500 | 522,500 | ||||||||||
Carrizo Oil & Gas, Inc., 6.25%, 04/15/23 | 844 | 830,285 | ||||||||||
Centennial Resource Production LLC: | ||||||||||||
5.38%, 01/15/26(b) | 297 | 284,749 | ||||||||||
6.88%, 04/01/27(b) | 1,460 | 1,474,308 | ||||||||||
Chaparral Energy, Inc., 8.75%, 07/15/23(b) | 866 | 593,210 | ||||||||||
Cheniere Corpus Christi Holdings LLC: | ||||||||||||
7.00%, 06/30/24 | 517 | 583,590 | ||||||||||
5.88%, 03/31/25 | 205 | 222,938 | ||||||||||
Cheniere Energy Partners LP, 5.25%, 10/01/25 . | 156 | 159,510 | ||||||||||
Cheniere Energy, Inc., 4.88% (4.88 Cash or 4.88% PIK), 05/28/21(b)(i)(n) | 14,936 | 15,518,249 | ||||||||||
Chesapeake Energy Corp.: | ||||||||||||
(3 mo. LIBOR US + 3.250%), 6.04%, 04/15/19(a) | 842 | 841,158 | ||||||||||
6.63%, 08/15/20 | 623 | 639,354 | ||||||||||
6.13%, 02/15/21 | 260 | 267,800 | ||||||||||
7.00%, 10/01/24 | 2,567 | 2,560,583 | ||||||||||
5.50%, 09/15/26(i) | 5,756 | 5,333,476 | ||||||||||
Cimarex Energy Co.: | ||||||||||||
4.38%, 06/01/24 | 9,040 | 9,390,410 | ||||||||||
3.90%, 05/15/27 | 6,100 | 6,080,974 | ||||||||||
Concho Resources, Inc.: | ||||||||||||
4.38%, 01/15/25 | 19,030 | 19,561,546 | ||||||||||
3.75%, 10/01/27 | 10,795 | 10,706,891 | ||||||||||
Continental Resources, Inc.: | ||||||||||||
5.00%, 09/15/22 | 6,113 | 6,156,564 | ||||||||||
4.50%, 04/15/23 | 16,028 | 16,591,891 | ||||||||||
3.80%, 06/01/24 | 4,950 | 4,982,373 | ||||||||||
CVR Refining LLC/Coffeyville Finance, Inc., 6.50%, 11/01/22 | 311 | 314,110 | ||||||||||
DCP Midstream Operating LP: | ||||||||||||
2.70%, 04/01/19 | 1,996 | 1,996,000 |
MASTER PORTFOLIO CONSOLIDATED SCHEDULEOF INVESTMENTS | 63 |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
DCP Midstream Operating LP: (continued) 5.35%, 03/15/20(b) | USD | 2,852 | $ | 2,902,395 | ||||||||
Devon Energy Corp.: | ||||||||||||
4.00%, 07/15/21 | 2,889 | 2,947,878 | ||||||||||
5.85%, 12/15/25 | 4,500 | 5,106,139 | ||||||||||
Diamondback Energy, Inc.: | ||||||||||||
4.75%, 11/01/24 | 1,020 | 1,042,746 | ||||||||||
5.38%, 05/31/25 | 4,436 | 4,630,075 | ||||||||||
Enbridge, Inc.: | ||||||||||||
2.90%, 07/15/22 | 5,945 | 5,927,681 | ||||||||||
3.70%, 07/15/27 | 4,740 | 4,726,208 | ||||||||||
Energen Corp., 4.63%, 09/01/21 | 377 | 380,299 | ||||||||||
Energy Resources LLC, 8.00%, 09/30/22(d) | 152 | 158,914 | ||||||||||
Energy Transfer Operating LP: | ||||||||||||
7.50%, 10/15/20 | 5,092 | 5,421,276 | ||||||||||
5.88%, 01/15/24 | 11,495 | 12,547,454 | ||||||||||
4.90%, 02/01/24 | 1,170 | 1,233,594 | ||||||||||
4.50%, 04/15/24 | 2,500 | 2,606,617 | ||||||||||
6.50%, 02/01/42 | 10,400 | 11,552,969 | ||||||||||
6.13%, 12/15/45 | 3,975 | 4,322,882 | ||||||||||
Energy Transfer Partners LP/Regency Energy Finance Corp.: | ||||||||||||
5.75%, 09/01/20 | 740 | 763,194 | ||||||||||
5.88%, 03/01/22 | 12,000 | 12,826,942 | ||||||||||
5.00%, 10/01/22 | 2,290 | 2,414,053 | ||||||||||
Ensco Jersey Finance Ltd., | 1,020 | 786,735 | ||||||||||
Enterprise Products Operating LLC: | ||||||||||||
3.90%, 02/15/24 | 8,200 | 8,513,047 | ||||||||||
4.45%, 02/15/43 | 5,273 | 5,295,152 | ||||||||||
5.10%, 02/15/45 | 1,248 | 1,366,773 | ||||||||||
4.80%, 02/01/49 | 1,090 | 1,159,460 | ||||||||||
EOG Resources, Inc.: | ||||||||||||
4.15%, 01/15/26 | 2,601 | 2,753,612 | ||||||||||
3.90%, 04/01/35 | 1,670 | 1,703,043 | ||||||||||
EQT Corp., 8.13%, 06/01/19 | 581 | 585,843 | ||||||||||
Frontera Energy Corp., 9.70%, 06/25/23(b) | 1,316 | 1,378,510 | ||||||||||
Hammerhead Resources, Inc., | 4,789 | 4,381,935 | ||||||||||
Hess Corp., 5.80%, 04/01/47 | 2,600 | 2,706,131 | ||||||||||
Kinder Morgan Energy Partners LP: | ||||||||||||
5.80%, 03/15/35 | 2,195 | 2,418,964 | ||||||||||
6.38%, 03/01/41 | 910 | 1,056,297 | ||||||||||
5.00%, 03/01/43 | 2,095 | 2,097,566 | ||||||||||
Kinder Morgan, Inc.: | ||||||||||||
3.05%, 12/01/19 | 7,370 | 7,377,348 | ||||||||||
3.15%, 01/15/23 | 12,130 | 12,153,343 | ||||||||||
4.30%, 06/01/25 | 2,190 | 2,284,140 | ||||||||||
4.30%, 03/01/28 | 8,900 | 9,193,681 | ||||||||||
5.55%, 06/01/45 | 530 | 578,033 | ||||||||||
5.05%, 02/15/46 | 11,410 | 11,670,409 | ||||||||||
Marathon Oil Corp.: | ||||||||||||
2.70%, 06/01/20 | 10,000 | 9,953,363 | ||||||||||
2.80%, 11/01/22 | 12,220 | 12,067,518 | ||||||||||
Marathon Petroleum Corp.: | ||||||||||||
5.13%, 03/01/21 | 11,940 | 12,440,530 | ||||||||||
4.75%, 12/15/23(b) | 17,860 | 18,799,319 | ||||||||||
5.85%, 12/15/45 | 1,915 | 2,051,491 | ||||||||||
Medco Straits Services Pte Ltd., 8.50%, 08/17/22 | 1,250 | 1,325,231 | ||||||||||
MPLX LP: | ||||||||||||
4.88%, 12/01/24 | 9,040 | 9,646,414 | ||||||||||
4.00%, 02/15/25 | 3,950 | 4,023,296 | ||||||||||
4.88%, 06/01/25 | 2,731 | 2,906,924 | ||||||||||
4.13%, 03/01/27 | 16,130 | 16,231,603 | ||||||||||
5.20%, 03/01/47 | 1,844 | 1,871,082 | ||||||||||
Newfield Exploration Co., 5.38%, 01/01/26 | 2,070 | 2,230,660 | ||||||||||
NGPL PipeCo LLC, 4.38%, 08/15/22(b) | 4,784 | 4,843,800 | ||||||||||
Northern Oil and Gas, Inc., 9.50% (8.50% Cash or 9.50% PIK), 05/15/23(n) | 1,395 | 1,444,322 | ||||||||||
Northwest Pipeline LLC, 4.00%, 04/01/27 | 9,485 | 9,564,286 |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
Oasis Petroleum, Inc.: | ||||||||||||
6.50%, 11/01/21 | USD | 1,547 | $ | 1,527,662 | ||||||||
6.88%, 03/15/22 | 2,361 | 2,384,610 | ||||||||||
Odebrecht Offshore Drilling Finance Ltd.: | ||||||||||||
6.72%, 12/01/22(b) | 1,100 | 1,046,529 | ||||||||||
7.72% (7.72% Cash or 7.72% PIK), 12/01/26(b)(n) | 38 | 9,442 | ||||||||||
Odebrecht Oil & Gas Finance Ltd., | 193 | 1,676 | ||||||||||
Pacific Drilling SA, 8.38%, 10/01/23(b) | 4,348 | 4,414,003 | ||||||||||
Parsley Energy LLC/Parsley Finance Corp.: | ||||||||||||
6.25%, 06/01/24(b) | 2,004 | 2,071,635 | ||||||||||
5.25%, 08/15/25(b) | 500 | 492,500 | ||||||||||
Pioneer Natural Resources Co., 3.95%, 07/15/22 | 1,000 | 1,028,833 | ||||||||||
Plains All American Pipeline LP/PAA Finance Corp.: | ||||||||||||
2.60%, 12/15/19 | 1,050 | 1,046,304 | ||||||||||
3.65%, 06/01/22 | 955 | 961,018 | ||||||||||
Puma International Financing SA, 5.00%, 01/24/26(b) | 3,148 | 2,738,760 | ||||||||||
Resolute Energy Corp., 8.50%, 05/01/20 | 6,539 | 6,539,000 | ||||||||||
Rockies Express Pipeline LLC, 5.63%, 04/15/20(b) | 10,242 | 10,459,642 | ||||||||||
Sabine Pass Liquefaction LLC: | ||||||||||||
6.25%, 03/15/22 | 300 | 324,202 | ||||||||||
5.63%, 04/15/23 | 7,431 | 8,054,167 | ||||||||||
5.75%, 05/15/24 | 11,909 | 13,124,077 | ||||||||||
5.63%, 03/01/25 | 12,820 | 14,089,165 | ||||||||||
5.88%, 06/30/26 | 10,084 | 11,216,255 | ||||||||||
5.00%, 03/15/27 | 4,845 | 5,137,719 | ||||||||||
Sable Permian Resources Land LLC/AEPB Finance Corp., 13.00%, 11/30/20(b) | 1,080 | 1,069,200 | ||||||||||
Spectra Energy Partners LP, 4.50%, 03/15/45 | 6,470 | 6,551,434 | ||||||||||
Sunoco Logistics Partners Operations LP: | ||||||||||||
5.35%, 05/15/45 | 2,249 | 2,199,908 | ||||||||||
5.40%, 10/01/47 | 3,756 | 3,751,439 | ||||||||||
Talos Production LLC/Talos Production Finance, Inc., 11.00%, 04/03/22 | 5,130 | 5,399,325 | ||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | ||||||||||||
5.13%, 02/01/25 | 154 | 157,080 | ||||||||||
6.50%, 07/15/27(b) | 666 | 718,447 | ||||||||||
Texas Eastern Transmission LP: | ||||||||||||
3.50%, 01/15/28(b) | 4,350 | 4,249,401 | ||||||||||
4.15%, 01/15/48(b) | 2,200 | 2,110,876 | ||||||||||
TransCanada PipeLines Ltd.: | ||||||||||||
4.88%, 01/15/26 | 11,120 | 12,024,410 | ||||||||||
4.25%, 05/15/28 | 3,315 | 3,459,918 | ||||||||||
5.85%, 03/15/36 | 1,026 | 1,169,197 | ||||||||||
6.10%, 06/01/40 | 3,754 | 4,437,478 | ||||||||||
Transcontinental Gas Pipe Line Co. LLC: | ||||||||||||
7.85%, 02/01/26 | 3,073 | 3,842,195 | ||||||||||
4.00%, 03/15/28 | 6,240 | 6,367,421 | ||||||||||
4.60%, 03/15/48 | 1,270 | 1,293,603 | ||||||||||
Valero Energy Corp.: | ||||||||||||
3.65%, 03/15/25 | 5,346 | 5,421,769 | ||||||||||
3.40%, 09/15/26 | 3,409 | 3,335,271 | ||||||||||
Western Midstream Operating LP: | ||||||||||||
4.00%, 07/01/22 | 18,940 | 19,208,722 | ||||||||||
4.65%, 07/01/26 | 2,305 | 2,334,905 | ||||||||||
Whiting Petroleum Corp., 1.25%, 04/01/20(i) | 1,056 | 1,020,795 | ||||||||||
Williams Cos, Inc., 3.75%, 06/15/27 | 6,610 | 6,562,143 | ||||||||||
Williams Cos., Inc.: | ||||||||||||
4.13%, 11/15/20 | 5,420 | 5,505,978 | ||||||||||
7.88%, 09/01/21 | 3,390 | 3,746,438 | ||||||||||
4.00%, 11/15/21 | 2,380 | 2,442,625 | ||||||||||
3.70%, 01/15/23 | 3,762 | 3,829,841 | ||||||||||
4.55%, 06/24/24 | 2,090 | 2,206,187 |
64 | 2019 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
Williams Cos., Inc.: (continued) 7.50%, 01/15/31 | USD | 2,400 | $ | 3,014,481 | ||||||||
5.75%, 06/24/44 | 2,630 | 2,892,793 | ||||||||||
Yankuang Group Cayman Ltd., 4.75%, 11/30/20 | 770 | 767,112 | ||||||||||
|
| |||||||||||
678,187,867 | ||||||||||||
Paper & Forest Products — 0.2% | ||||||||||||
Daio Paper Corp., 0.00%, 09/17/20(i)(j) | JPY | 140,000 | 1,271,289 | |||||||||
Eldorado Intl. Finance GmbH, 8.63%, 06/16/21(b) | USD | 1,939 | 2,022,154 | |||||||||
Georgia-Pacific LLC: | ||||||||||||
5.40%, 11/01/20(b) | 3,385 | 3,518,741 | ||||||||||
3.73%, 07/15/23(b) | 3,907 | 4,008,781 | ||||||||||
7.38%, 12/01/25 | 3,288 | 4,031,823 | ||||||||||
7.75%, 11/15/29 | 1,275 | 1,732,302 | ||||||||||
Klabin Austria GmbH: | ||||||||||||
5.75%, 04/03/29(b) | 1,635 | 1,622,737 | ||||||||||
7.00%, 04/03/49(b) | 3,065 | 3,054,272 | ||||||||||
Suzano Austria GmbH, 6.00%, 01/15/29(b) | 3,096 | 3,297,890 | ||||||||||
|
| |||||||||||
24,559,989 | ||||||||||||
Personal Products — 0.0% | ||||||||||||
Top Glove Labuan Ltd., 2.00%, 03/01/24(i) | 800 | 782,000 | ||||||||||
|
| |||||||||||
Pharmaceuticals — 1.2% | ||||||||||||
Allergan Finance LLC, 3.25%, 10/01/22 | 7,075 | 7,075,037 | ||||||||||
Allergan Funding SCS: | ||||||||||||
3.45%, 03/15/22 | 11,840 | 11,946,620 | ||||||||||
3.80%, 03/15/25 | 20,261 | 20,525,121 | ||||||||||
4.55%, 03/15/35 | 6,100 | 5,974,100 | ||||||||||
Bausch Health Cos., Inc.: | ||||||||||||
6.50%, 03/15/22(b) | 5,656 | 5,853,960 | ||||||||||
7.00%, 03/15/24(b) | 1,594 | 1,686,452 | ||||||||||
Bayer US Finance II LLC: | ||||||||||||
3.38%, 07/15/24(b) | 733 | 714,274 | ||||||||||
3.60%, 07/15/42(b) | 2,845 | 2,183,039 | ||||||||||
Bayer US Finance LLC, | 2,902 | 2,837,243 | ||||||||||
Eli Lilly & Co., 4.15%, 03/15/59 | 3,890 | 4,001,635 | ||||||||||
Johnson & Johnson: | ||||||||||||
2.45%, 03/01/26 | 6,263 | 6,122,217 | ||||||||||
3.63%, 03/03/37 | 1,075 | 1,086,284 | ||||||||||
Jubilant Pharma Ltd., 6.00%, 03/05/24 | 700 | 703,500 | ||||||||||
Merck & Co., Inc., 3.60%, 09/15/42 | 835 | 813,791 | ||||||||||
Shire Acquisitions Investments Ireland DAC: | ||||||||||||
1.90%, 09/23/19 | 35,985 | 35,829,547 | ||||||||||
2.40%, 09/23/21 | 2,500 | 2,469,148 | ||||||||||
2.88%, 09/23/23 | 4,400 | 4,342,301 | ||||||||||
3.20%, 09/23/26 | 9,877 | 9,551,128 | ||||||||||
Takeda Pharmaceutical Co. Ltd.: | ||||||||||||
3.80%, 11/26/20(b) | 4,825 | 4,894,983 | ||||||||||
4.40%, 11/26/23(b) | 8,515 | 8,939,123 | ||||||||||
5.00%, 11/26/28(b) | 12,030 | 13,041,201 | ||||||||||
Teva Pharmaceutical Finance Netherlands III BV, 1.70%, 07/19/19 | 521 | 517,215 | ||||||||||
Wyeth LLC: | ||||||||||||
6.45%, 02/01/24 | 985 | 1,148,105 | ||||||||||
5.95%, 04/01/37 | 5,860 | 7,455,834 | ||||||||||
|
| |||||||||||
159,711,858 | ||||||||||||
Professional Services — 0.0% | ||||||||||||
Nielsen Finance LLC/Nielsen Finance Co., 4.50%, 10/01/20 | 110 | 109,862 | ||||||||||
|
| |||||||||||
Real Estate Management & Development — 0.3% | ||||||||||||
Agile Group Holdings Ltd., 8.50%, 07/18/21 | 400 | 423,000 | ||||||||||
Arrow Bidco LLC, 9.50%, 03/15/24(b) | 2,177 | 2,157,951 | ||||||||||
Central China Real Estate Ltd.: | ||||||||||||
7.33%, 01/27/20 | 455 | 457,844 |
Security | Par (000) | Value | ||||||||||
Real Estate Management & Development (continued) | ||||||||||||
Central China Real Estate Ltd.: (continued) 6.88%, 10/23/20 | USD | 1,000 | $ | 998,750 | ||||||||
CFLD Cayman Investment Ltd., 8.63%, 02/28/21 | 900 | 921,375 | ||||||||||
China Aoyuan Group Ltd.: | ||||||||||||
7.95%, 09/07/21 | 630 | 648,900 | ||||||||||
8.50%, 01/23/22 | 640 | 672,000 | ||||||||||
7.95%, 02/19/23 | 600 | 619,422 | ||||||||||
China Evergrande Group: | ||||||||||||
7.00%, 03/23/20 | 1,200 | 1,191,954 | ||||||||||
6.25%, 06/28/21 | 213 | 202,828 | ||||||||||
4.25%, 02/14/23(i) | HKD | 15,000 | 1,857,212 | |||||||||
7.50%, 06/28/23 | USD | 800 | 753,700 | |||||||||
8.75%, 06/28/25 | 1,500 | 1,413,750 | ||||||||||
China SCE Group Holdings Ltd.: | ||||||||||||
8.75%, 01/15/21 | 800 | 827,000 | ||||||||||
7.45%, 04/17/21 | 400 | 409,016 | ||||||||||
CIFI Holdings Group Co. Ltd.: | ||||||||||||
6.38%, 05/02/20 | 700 | 700,875 | ||||||||||
6.88%, 04/23/21 | 980 | 999,600 | ||||||||||
5.50%, 01/23/22 | 1,300 | 1,277,250 | ||||||||||
Country Garden Holdings Co. Ltd., 6.50%, 04/08/24 | 800 | 800,000 | ||||||||||
Fantasia Holdings Group Co. Ltd.: | ||||||||||||
8.38%, 03/08/21 | 510 | 479,400 | ||||||||||
7.38%, 10/04/21 | 645 | 580,800 | ||||||||||
7.95%, 07/05/22 | 530 | 465,957 | ||||||||||
Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, 11/15/25(b) | 3,380 | 3,236,350 | ||||||||||
Future Land Development Holdings Ltd.: | ||||||||||||
5.00%, 02/16/20 | 400 | 397,370 | ||||||||||
6.50%, 09/12/20 | 700 | 707,000 | ||||||||||
7.50%, 01/22/21 | 700 | 715,750 | ||||||||||
Global Prime Capital Pte Ltd., 7.25%, 04/26/21 | . 440 | 452,100 | ||||||||||
Greenland Global Investment Ltd., 6.75%, 05/22/19 | 300 | 300,375 | ||||||||||
Jingrui Holdings Ltd., 9.45%, 04/23/21 | 700 | 675,290 | ||||||||||
Kaisa Group Holdings Ltd., 8.50%, 06/30/22 | 254 | 234,626 | ||||||||||
KWG Group Holdings Ltd., 7.88%, 09/01/23 | 400 | 407,273 | ||||||||||
Logan Property Holdings Co. Ltd.: | ||||||||||||
6.88%, 04/24/21 | 285 | 288,206 | ||||||||||
7.50%, 08/25/22 | 600 | 619,500 | ||||||||||
New Metro Global Ltd., 6.50%, 04/23/21 | 600 | 605,486 | ||||||||||
No Va Land Investment Group Corp., 5.50%, 04/27/23(i) | 1,500 | 1,376,250 | ||||||||||
Poly Real Estate Finance Ltd., 4.75%, 09/17/23 | 850 | 877,723 | ||||||||||
Powerlong Real Estate Holdings Ltd., 6.95%, 04/17/21 | 600 | 602,666 | ||||||||||
Realogy Group LLC/RealogyCo-Issuer Corp., 9.38%, 04/01/27(b) | 410 | 419,737 | ||||||||||
RKPF Overseas 2019 A Ltd., 7.88%, 02/01/23 | 310 | 325,293 | ||||||||||
Ronshine China Holdings Ltd.: | ||||||||||||
11.25%, 08/22/21 | 265 | 279,588 | ||||||||||
10.50%, 03/01/22 | 335 | 349,243 | ||||||||||
Shui On Development Holding Ltd., (5 yr. Swap Semi 30/360 US + 8.809%), 7.50%(i)(l)(m) | 500 | 496,327 | ||||||||||
Singha Estate PCL, 2.00%, 07/20/22(i) | 1,000 | 985,105 | ||||||||||
Sunac China Holdings Ltd.: | ||||||||||||
8.63%, 07/27/20 | 400 | 410,000 | ||||||||||
6.88%, 08/08/20 | 607 | 609,631 | ||||||||||
8.38%, 01/15/21 | 720 | 738,342 | ||||||||||
Taylor Morrison Communities, Inc./Taylor | ||||||||||||
Morrison Holdings II, Inc., 5.25%, 04/15/21(b) | 2,305 | 2,302,810 | ||||||||||
Times China Holdings Ltd.: | ||||||||||||
6.25%, 01/17/21 | 400 | 399,310 | ||||||||||
7.63%, 02/21/22 | 800 | 819,416 |
MASTER PORTFOLIO CONSOLIDATED SCHEDULEOF INVESTMENTS | 65 |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Real Estate Management & Development (continued) | ||||||||||||
Times China Holdings Ltd.: (continued) | USD | 500 | $ | 487,620 | ||||||||
VLL International, Inc., 5.75%, 11/28/24 | 375 | 371,229 | ||||||||||
Xinyuan Real Estate Co. Ltd., 9.88%, 03/19/20 | . 410 | 403,348 | ||||||||||
Yuzhou Properties Co. Ltd.: | ||||||||||||
7.90%, 05/11/21 | 1,200 | 1,235,742 | ||||||||||
8.63%, 01/23/22 | 700 | 733,250 | ||||||||||
8.50%, 02/26/24 | 700 | 716,131 | ||||||||||
|
| |||||||||||
42,436,671 | ||||||||||||
Road & Rail — 0.5% | ||||||||||||
Burlington Northern Santa Fe LLC: | ||||||||||||
3.00%, 04/01/25 | 625 | 630,184 | ||||||||||
6.15%, 05/01/37 | 1,656 | 2,118,947 | ||||||||||
4.15%, 04/01/45 | 5,499 | 5,739,526 | ||||||||||
4.70%, 09/01/45 | 1,265 | 1,412,157 | ||||||||||
4.15%, 12/15/48 | 720 | 757,575 | ||||||||||
CSX Corp.: | ||||||||||||
4.25%, 03/15/29 | 1,995 | 2,118,231 | ||||||||||
6.15%, 05/01/37 | 875 | 1,070,598 | ||||||||||
4.75%, 11/15/48 | 1,800 | 1,947,874 | ||||||||||
4.25%, 11/01/66 | 2,578 | 2,396,177 | ||||||||||
Hertz Corp., 7.38%, 01/15/21 | 3,267 | 3,262,916 | ||||||||||
Norfolk Southern Corp.: | ||||||||||||
3.65%, 08/01/25 | 4,095 | 4,219,154 | ||||||||||
2.90%, 06/15/26 | 5,595 | 5,478,848 | ||||||||||
4.05%, 08/15/52 | 3,247 | 3,150,593 | ||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp., 3.40%, 11/15/26(b) | 7,682 | 7,351,959 | ||||||||||
Ryder System, Inc., 3.75%, 06/09/23 | 455 | 465,842 | ||||||||||
Union Pacific Corp.: | ||||||||||||
3.15%, 03/01/24 | 2,885 | 2,927,847 | ||||||||||
2.75%, 03/01/26 | 4,737 | 4,616,163 | ||||||||||
3.38%, 02/01/35 | 5,334 | 4,997,136 | ||||||||||
3.60%, 09/15/37 | 5,060 | 4,839,461 | ||||||||||
3.80%, 10/01/51 | 1,440 | 1,351,179 | ||||||||||
3.88%, 02/01/55 | 4,114 | 3,790,958 | ||||||||||
Union Pacific Railroad Co. Pass-Through Trust,Series 2014-1, 3.23%, 05/14/26 | 2,893 | 2,894,190 | ||||||||||
|
| |||||||||||
67,537,515 | ||||||||||||
Semiconductors & Semiconductor Equipment — 2.0% | ||||||||||||
Analog Devices, Inc.: | ||||||||||||
2.50%, 12/05/21 | 6,304 | 6,245,903 | ||||||||||
3.90%, 12/15/25 | 680 | 692,282 | ||||||||||
3.50%, 12/05/26 | 3,570 | 3,539,570 | ||||||||||
5.30%, 12/15/45 | 2,074 | 2,317,157 | ||||||||||
Applied Materials, Inc.: | ||||||||||||
3.90%, 10/01/25 | 2,435 | 2,561,627 | ||||||||||
3.30%, 04/01/27 | 5,560 | 5,615,104 | ||||||||||
5.10%, 10/01/35 | 4,030 | 4,575,392 | ||||||||||
5.85%, 06/15/41 | 645 | 797,966 | ||||||||||
4.35%, 04/01/47 | 7,598 | 7,978,903 | ||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd.: | ||||||||||||
2.38%, 01/15/20 | 16,809 | 16,719,076 | ||||||||||
2.20%, 01/15/21 | 4,190 | 4,124,301 | ||||||||||
3.00%, 01/15/22 | 28,179 | 28,042,679 | ||||||||||
3.88%, 01/15/27 | 2,050 | 1,958,415 | ||||||||||
Broadcom, Inc.: | ||||||||||||
3.13%, 04/15/21(b) | 32,732 | 32,693,376 | ||||||||||
3.13%, 10/15/22(b) | 9,830 | 9,785,077 | ||||||||||
3.63%, 10/15/24(b) | 18,200 | 18,057,676 | ||||||||||
4.25%, 04/15/26(b) | 4,540 | 4,506,449 | ||||||||||
4.75%, 04/15/29(b) | 4,540 | 4,518,435 | ||||||||||
KLA-Tencor Corp.: | ||||||||||||
4.10%, 03/15/29 | 10,120 | 10,299,587 | ||||||||||
5.00%, 03/15/49 | 5,020 | 5,313,510 |
Security | Par (000) | Value | ||||||||||
Semiconductors & Semiconductor Equipment (continued) | ||||||||||||
Lam Research Corp.: | ||||||||||||
2.75%, 03/15/20 | USD | 3,359 | $ | 3,356,050 | ||||||||
2.80%, 06/15/21 | 2,410 | 2,410,344 | ||||||||||
3.75%, 03/15/26 | 4,980 | 5,070,169 | ||||||||||
4.88%, 03/15/49 | 6,970 | 7,322,749 | ||||||||||
NVIDIA Corp., 3.20%, 09/16/26 | 7,615 | 7,583,740 | ||||||||||
NXP BV/NXP Funding LLC: | ||||||||||||
4.13%, 06/15/20(b) | 9,408 | 9,526,613 | ||||||||||
4.13%, 06/01/21(b) | 15,517 | 15,814,926 | ||||||||||
4.63%, 06/15/22(b) | 2,745 | 2,839,977 | ||||||||||
3.88%, 09/01/22(b) | 15,055 | 15,267,727 | ||||||||||
4.63%, 06/01/23(b) | 9,245 | 9,600,932 | ||||||||||
4.88%, 03/01/24(b) | 120 | 126,698 | ||||||||||
QUALCOMM, Inc.: | ||||||||||||
2.90%, 05/20/24 | 7,895 | 7,760,785 | ||||||||||
3.45%, 05/20/25 | 2,515 | 2,533,498 | ||||||||||
4.65%, 05/20/35 | 8,715 | 8,980,188 | ||||||||||
4.80%, 05/20/45 | 3,119 | 3,166,412 | ||||||||||
Texas Instruments, Inc.: | ||||||||||||
2.25%, 05/01/23 | 2,000 | 1,972,750 | ||||||||||
4.15%, 05/15/48 | 2,275 | 2,441,665 | ||||||||||
|
| |||||||||||
276,117,708 | ||||||||||||
Software — 0.6% | ||||||||||||
Autodesk, Inc., 3.50%, 06/15/27 | 12,270 | 11,873,474 | ||||||||||
CDK Global, Inc., 3.80%, 10/15/19 | 2,000 | 2,000,000 | ||||||||||
Microsoft Corp.: | ||||||||||||
3.50%, 02/12/35 | 7,523 | 7,624,860 | ||||||||||
3.45%, 08/08/36 | 14,080 | 14,217,069 | ||||||||||
3.70%, 08/08/46 | 14,915 | 15,219,503 | ||||||||||
Oracle Corp.: | ||||||||||||
2.50%, 10/15/22 | 853 | 848,352 | ||||||||||
3.40%, 07/08/24 | 4,300 | 4,397,292 | ||||||||||
2.65%, 07/15/26 | 4,215 | 4,077,421 | ||||||||||
3.25%, 11/15/27 | 2,549 | 2,563,236 | ||||||||||
3.90%, 05/15/35 | 5,276 | 5,393,601 | ||||||||||
4.13%, 05/15/45 | 1,100 | 1,122,112 | ||||||||||
4.00%, 07/15/46 | 5,854 | 5,884,036 | ||||||||||
4.00%, 11/15/47 | 2,015 | 2,026,937 | ||||||||||
VMware, Inc., 2.30%, 08/21/20 | 6,036 | 5,980,130 | ||||||||||
|
| |||||||||||
83,228,023 | ||||||||||||
Specialty Retail — 0.1% | ||||||||||||
Home Depot, Inc.: | ||||||||||||
3.90%, 12/06/28 | 1,840 | 1,955,209 | ||||||||||
5.88%, 12/16/36 | 2,385 | 3,001,039 | ||||||||||
3.50%, 09/15/56 | 1,810 | 1,662,260 | ||||||||||
Lowe’s Cos., Inc., 4.38%, 09/15/45 | 4,380 | 4,292,592 | ||||||||||
|
| |||||||||||
10,911,100 | ||||||||||||
Technology Hardware, Storage & Peripherals — 0.4% | ||||||||||||
Apple Inc.: | ||||||||||||
3.00%, 02/09/24 | 7,371 | 7,471,433 | ||||||||||
4.50%, 02/23/36 | 1,890 | 2,118,902 | ||||||||||
3.85%, 05/04/43 | 15,865 | 16,024,133 | ||||||||||
3.45%, 02/09/45 | 6,784 | 6,454,365 | ||||||||||
Dell International LLC/EMC Corp.: | ||||||||||||
4.42%, 06/15/21(b) | 2,940 | 3,016,323 | ||||||||||
5.88%, 06/15/21(b) | 463 | 471,679 | ||||||||||
7.13%, 06/15/24(b) | 356 | 377,485 | ||||||||||
4.90%, 10/01/26(b) | 7,000 | 7,105,073 | ||||||||||
8.35%, 07/15/46(b) | 1,058 | 1,276,970 | ||||||||||
Dell, Inc., 5.88%, 06/15/19 | 771 | 774,084 | ||||||||||
EMC Corp., 2.65%, 06/01/20 | 310 | 307,660 | ||||||||||
Seagate HDD Cayman, 4.25%, 03/01/22 | 2,330 | 2,336,355 | ||||||||||
|
| |||||||||||
47,734,462 |
66 | 2019 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Thrifts & Mortgage Finance — 0.0% | ||||||||||||
Mongolian Mortgage Corp. Hfc LLC, 9.75%, 01/29/22 | USD | 800 | $ | 811,732 | ||||||||
|
| |||||||||||
Tobacco — 0.4% | ||||||||||||
Altria Group, Inc.: | ||||||||||||
6.20%, 02/14/59 | 610 | 656,704 | ||||||||||
3.49%, 02/14/22 | 2,415 | 2,452,901 | ||||||||||
2.85%, 08/09/22 | 1,750 | 1,745,851 | ||||||||||
4.00%, 01/31/24 | 8,815 | 9,096,458 | ||||||||||
4.40%, 02/14/26 | 800 | 822,270 | ||||||||||
4.80%, 02/14/29 | 2,800 | 2,886,533 | ||||||||||
4.25%, 08/09/42 | 4,900 | 4,261,033 | ||||||||||
5.38%, 01/31/44 | 5,350 | 5,338,491 | ||||||||||
5.95%, 02/14/49 | 1,800 | 1,931,499 | ||||||||||
Reynolds American, Inc.: | ||||||||||||
4.45%, 06/12/25 | 17,240 | 17,721,540 | ||||||||||
5.85%, 08/15/45 | 817 | 838,588 | ||||||||||
|
| |||||||||||
47,751,868 | ||||||||||||
Trading Companies & Distributors — 0.1% | ||||||||||||
Ashtead Capital, Inc.: | ||||||||||||
5.63%, 10/01/24(b) | 2,016 | 2,084,040 | ||||||||||
4.13%, 08/15/25(b) | 998 | 980,535 | ||||||||||
5.25%, 08/01/26(b) | 330 | 337,425 | ||||||||||
Beacon Roofing Supply, Inc., | 134 | 139,360 | ||||||||||
GATX Corp., 2.60%, 03/30/20 | 2,962 | 2,952,779 | ||||||||||
Herc Rentals, Inc.: | ||||||||||||
7.50%, 06/01/22(b) | 6,635 | 6,908,694 | ||||||||||
7.75%, 06/01/24(b) | 5,197 | 5,515,316 | ||||||||||
|
| |||||||||||
18,918,149 | ||||||||||||
Transportation Infrastructure — 0.0% | ||||||||||||
Adani Ports & Special Economic Zone Ltd., 4.00%, 07/30/27 | 203 | 193,310 | ||||||||||
Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29(b) | 706 | 719,238 | ||||||||||
Jasa Marga Persero Tbk PT, 7.50%, 12/11/20 | IDR | 6,700,000 | 449,709 | |||||||||
Newcastle Coal Infrastructure Group Pty Ltd., 4.40%, 09/29/27 | USD | 102 | 94,820 | |||||||||
Rumo Luxembourg Sarl, 5.88%, 01/18/25(b) | 2,174 | 2,191,544 | ||||||||||
|
| |||||||||||
3,648,621 | ||||||||||||
Wireless Telecommunication Services — 0.6% | ||||||||||||
Digicel Group Two Ltd.: | ||||||||||||
8.25%, 09/30/22(b) | 862 | 285,863 | ||||||||||
9.13% (7.13% Cash or 9.13% PIK), 04/01/24(b)(n) | 520 | 133,778 | ||||||||||
Digicel Ltd., 6.75%, 03/01/23(b) | 233 | 149,120 | ||||||||||
Millicom International Cellular SA, 6.63%, 10/15/26(b) | 1,100 | 1,151,925 | ||||||||||
Rogers Communications, Inc., 5.00%, 03/15/44 | 775 | 860,924 | ||||||||||
Sprint Capital Corp., 6.90%, 05/01/19 | 675 | 676,687 | ||||||||||
Sprint Communications, Inc., 7.00%, 03/01/20(b) | 1,024 | 1,050,880 | ||||||||||
Sprint Corp.: | ||||||||||||
7.88%, 09/15/23 | 312 | 326,820 | ||||||||||
7.13%, 06/15/24 | 156 | 158,340 | ||||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC: | ||||||||||||
3.36%, 03/20/23(b) | 20,475 | 20,468,857 | ||||||||||
4.74%, 09/20/29(b) | 26,675 | 26,975,094 | ||||||||||
Vodafone Group PLC: | ||||||||||||
3.75%, 01/16/24 | 17,943 | 18,093,602 | ||||||||||
4.13%, 05/30/25 | 4,285 | 4,366,898 | ||||||||||
6.15%, 02/27/37 | 6,410 | 7,108,986 | ||||||||||
5.25%, 05/30/48 | 4,650 | 4,609,902 | ||||||||||
|
| |||||||||||
86,417,676 | ||||||||||||
|
| |||||||||||
Total Corporate Bonds — 40.2% | 5,459,824,632 | |||||||||||
|
|
Security | Par (000) | Value | ||||||||||
Floating Rate Loan Interests(a)— 2.0% |
| |||||||||||
Airlines — 0.1% | ||||||||||||
Allegiant Travel Co., Class B Term Loan (3 mo. LIBOR US + 4.500%, 0.000% Floor), 7.23%, 02/05/24 | USD | 7,318 | $ | 7,281,410 | ||||||||
Gol Luxco SA, Term Loan (6 mo. FIXED US + 6.500%, 0.000% Floor), | 7,462 | 7,480,655 | ||||||||||
|
| |||||||||||
14,762,065 | ||||||||||||
Banks — 0.1% | ||||||||||||
Goldman Sachs Bank USA, Term Loan B (MFA), (3 mo. LIBOR US + 0.000%, 0.25% Floor), 12/29/18(c) | 12,306 | 12,275,641 | ||||||||||
|
| |||||||||||
Capital Markets — 0.3% | ||||||||||||
LSTAR Securities Investment Ltd., Term Loan, (1 mo. LIBOR US + 2.000%), 2.000%, 04/01/21(a)(c) | 36,998 | 36,868,370 | ||||||||||
|
| |||||||||||
Commercial Services & Supplies — 0.1% | ||||||||||||
NRC U.S. Holding Co. LLC, Initial Term Loan | 7,877 | 7,842,668 | ||||||||||
|
| |||||||||||
Construction & Engineering — 0.0% | ||||||||||||
PLH Infrastructure Services, Inc., Term Loan (3 mo. LIBOR US + 6.000%, 0.000% Floor), 8.74%, 08/07/23(c) | 2,807 | 2,750,534 | ||||||||||
Ply Gem Midco, Inc., Initial Term Loan (3 mo. LIBOR US + 3.750%, 0.000% Floor), 6.55%, 04/12/25 | 3,143 | 3,005,438 | ||||||||||
|
| |||||||||||
5,755,972 | ||||||||||||
Diversified Financial Services — 0.2% | ||||||||||||
BSREP II Houston Office 1HC Owner LLC, Mezzanine Loan (1 mo. LIBOR US + 2.500%, 0.000% Floor), 4.99%, 12/09/22 | 13,000 | 13,000,000 | ||||||||||
Goldman Sachs Lending Partners LLC, Term Loan A (MFA), (3 mo. LIBOR US + 0.000%, 0.25% Floor), 12/29/18(c) | 5,119 | 5,106,130 | ||||||||||
Intelsat Jackson Holdings SA, TrancheB-3 Term Loan (1 mo. LIBOR US + 3.750%, 1.000% Floor), 6.24%, 11/27/23 | 1,275 | 1,254,676 | ||||||||||
Stars Group Holdings BV, USD Term Loan | 10,887 | 10,856,910 | ||||||||||
|
| |||||||||||
30,217,716 | ||||||||||||
Electronic Equipment, Instruments & Components — 0.0% | ||||||||||||
Robertshaw U.S. Holding Corp. (FKA Fox U.S. Bidco Corp.), Initial Term Loan (Second Lien) (1 mo. LIBOR US + 8.000%, 1.000% Floor), 10.50%, 02/28/26(c) | 1,795 | 1,552,675 | ||||||||||
|
| |||||||||||
Energy Equipment & Services — 0.1% | ||||||||||||
Pioneer Energy Services Corp. (FKA Pioneer Drilling Co.), Term Loan (1 mo. LIBOR US + 7.750%, 1.000% Floor), | 6,928 | 6,858,909 | ||||||||||
|
| |||||||||||
Hotels, Restaurants & Leisure — 0.1% | ||||||||||||
MGM Growth Properties Operating Partnership LP, Term B Loan (1 mo. LIBOR US + 2.000%, 0.000% Floor), | 3,790 | 3,734,742 | ||||||||||
Wynn Resorts Ltd., Term Facility Loan | 3,960 | 3,872,761 | ||||||||||
|
| |||||||||||
7,607,503 |
MASTER PORTFOLIO CONSOLIDATED SCHEDULEOF INVESTMENTS | 67 |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Machinery — 0.0% | ||||||||||||
Gates Global LLC, InitialB-2 Dollar Term Loan (1 mo. LIBOR US + 2.750%, 1.000% Floor), 5.25%, 04/01/24 | USD | 994 | $ | 979,983 | ||||||||
|
| |||||||||||
Media — 0.1% | ||||||||||||
Charter Communications Operating LLC (AKA CCO Safari LLC), TermA-2 Loan | 7,272 | 7,156,488 | ||||||||||
|
| |||||||||||
Metals & Mining — 0.0% | ||||||||||||
Samarco Mineracao SA, Term Loan, 12/02/18(c)(p) | 1,846 | 1,042,990 | ||||||||||
|
| |||||||||||
Mortgage Real Estate Investment Trusts (REITs) — 0.3% | ||||||||||||
ATX Office Owner, Term Loan (1 mo. LIBOR US + 2.247%, 0.000% Floor), | 5,000 | 5,000,000 | ||||||||||
Chimera Special Holding LLC, Term Loan,, 10/06/19(c)(p) | 34,739 | 34,738,565 | ||||||||||
|
| |||||||||||
39,738,565 | ||||||||||||
Oil, Gas & Consumable Fuels — 0.2% | ||||||||||||
BCP Raptor II LLC, Initial Term Loan (3 mo. LIBOR US + 4.750%, 0.000% Floor), 7.37%, 11/03/25 | 9,547 | 9,002,821 | ||||||||||
California Resources Corp.: | ||||||||||||
Initial Loan (1 mo. LIBOR US + 4.750%, 1.000% Floor), 7.25%, 12/31/22 | 5,498 | 5,398,376 | ||||||||||
Loan (1 mo. LIBOR US + 10.375%, 1.000% Floor), 12.87%, 12/31/21 | 7,760 | 8,172,289 | ||||||||||
Midcoast Energy LLC, Tranche B Term Loan (3 mo. LIBOR US + 5.500%, 0.000% Floor), 8.10%, 08/01/25 | 3,826 | 3,800,257 | ||||||||||
|
| |||||||||||
26,373,743 | ||||||||||||
Real Estate Management & Development — 0.1% | ||||||||||||
MT II LLC, Term Loan (1 mo. LIBOR US + 2.800%, 1.250% Floor), | 12,120 | 12,089,314 | ||||||||||
VICI Properties 1 LLC, Term B Loan (1 mo. LIBOR US + 2.000%, 0.000% Floor), 4.49%, 12/20/24 | 1,670 | 1,639,134 | ||||||||||
|
| |||||||||||
13,728,448 | ||||||||||||
Specialty Retail — 0.0% | ||||||||||||
Peer Holdings III BV (AKA Action Holding), Facility B (3 mo. EURIBOR + 3.250%, 0.000% Floor), 3.25%, 03/07/25 | EUR | 1,000 | 1,099,634 | |||||||||
|
| |||||||||||
Technology Hardware, Storage & Peripherals — 0.1% | ||||||||||||
Aligned Energy Data Centers (SLC) Propco LLC, Term Loan, 3.50%, 10/09/20(p) | USD | 15,000 | 15,000,000 | |||||||||
|
| |||||||||||
Thrifts & Mortgage Finance — 0.2% | ||||||||||||
Caliber Home Loans, Inc., Term Loan (1 mo. LIBOR US + 3.250%, 0.000% Floor), 5.74%, 04/24/21(c) | 12,479 | 12,447,349 | ||||||||||
Roundpoint Mortgage Servicing Corp., Closing Date Term Loan, (1 mo. LIBOR US + 3.375%, 0.000% Floor), 5.87%, 08/27/20(c) | 21,400 | 21,197,159 | ||||||||||
|
| |||||||||||
33,644,508 |
Security | Par (000) | Value | ||||||||||
Trading Companies & Distributors — 0.0% | ||||||||||||
Foundation Building Materials Holding Company LLC, Term Loan (1 mo. LIBOR US + 3.000%, 0.000% Floor), 5.50%, 08/13/25 | USD | 4,000 | $ | 3,914,976 | ||||||||
|
| |||||||||||
Total Floating Rate Loan Interests — 2.0% |
| 266,420,854 | ||||||||||
|
| |||||||||||
Foreign Agency Obligations — 0.7% |
| |||||||||||
Brazil — 0.0% | �� | |||||||||||
Petrobras Global Finance BV, 7.38%, 01/17/27 . | 2,701 | 2,972,045 | ||||||||||
|
| |||||||||||
China — 0.1% | ||||||||||||
Caiyun International Investment Ltd., 5.50%, 04/08/22 | 1,000 | 993,000 | ||||||||||
Chalco Hong Kong Investment Co. Ltd., 4.88%, 09/07/21 | 775 | 792,383 | ||||||||||
Chang Development International Ltd., 3.63%, 01/20/20 | 750 | 742,431 | ||||||||||
Chengdu Xingcheng Investment Group Co. Ltd., 2.50%, 03/20/21 | EUR | 800 | 831,786 | |||||||||
China Cinda Finance 2017 I Ltd., 4.75%, 02/21/29 | USD | 710 | 738,702 | |||||||||
China Construction Bank Corp., (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.880%), 4.25%, 02/27/29(l) | 805 | 813,714 | ||||||||||
China Minmetals Corp., (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 4.717%), 3.75%(l)(m) | 339 | 331,005 | ||||||||||
China Railway Construction Corp. Ltd., 1.50%, 12/21/21(i) | CNH | 4,000 | 594,790 | |||||||||
China Resources Land Ltd., 4.13%, 02/26/29 | USD | 395 | 401,018 | |||||||||
Chinalco Capital Holdings Ltd., 4.25%, 04/21/22 | 1,025 | 1,008,754 | ||||||||||
CNAC HK Finbridge Co. Ltd.: | ||||||||||||
4.63%, 03/14/23 | 1,675 | 1,733,952 | ||||||||||
5.13%, 03/14/28 | 200 | 215,329 | ||||||||||
CNAC HK Synbridge Co. Ltd., 5.00%, 05/05/20 | 2,857 | 2,885,570 | ||||||||||
Guangxi Financial Investment Group Co. Ltd., | 500 | 479,875 | ||||||||||
HBIS Group Hong Kong Co. Ltd., 4.25%, 04/07/20 | 492 | 488,849 | ||||||||||
Hubei Science & Technology Investment Group Hong Kong Ltd., 4.38%, 03/05/21 | 255 | 251,621 | ||||||||||
Inner Mongolia High-Grade High Way Construction And Development Co. Ltd., 4.38%, 12/04/20 | 300 | 291,850 | ||||||||||
Leader Goal International Ltd., (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 6.919%), 4.25%(l)(m) | 700 | 694,564 | ||||||||||
Sino-Ocean Land Treasure IV Ltd., | 480 | 491,322 | ||||||||||
|
| |||||||||||
14,780,515 | ||||||||||||
Colombia — 0.0% | ||||||||||||
Transportadora de Gas Internacional SA ESP, 5.55%, 11/01/28(b) | 1,501 | 1,622,724 | ||||||||||
|
| |||||||||||
Hong Kong — 0.0% | ||||||||||||
Joy Treasure Assets Holdings, Inc., | 470 | 476,611 | ||||||||||
|
|
68 | 2019 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
India — 0.0% | ||||||||||||
Greenko Investment Co., 4.88%, 08/16/23 | USD | 789 | $ | 751,471 | ||||||||
Oil India Ltd., 5.13%, 02/04/29 | 880 | 920,172 | ||||||||||
Power Finance Corp. Ltd., 3.75%, 12/06/27 | 1,530 | 1,427,192 | ||||||||||
REC Ltd., 4.63%, 03/22/28 | 670 | 662,084 | ||||||||||
|
| |||||||||||
3,760,919 | ||||||||||||
Indonesia — 0.0% | ||||||||||||
Indonesia Asahan Aluminium Persero PT, 5.71%, 11/15/23 | 1,925 | 2,077,778 | ||||||||||
Pertamina Persero PT, 6.45%, 05/30/44 | 200 | 228,293 | ||||||||||
Perusahaan Listrik Negara PT: | ||||||||||||
5.45%, 05/21/28 | 300 | 320,569 | ||||||||||
5.38%, 01/25/29 | 300 | 318,439 | ||||||||||
6.15%, 05/21/48 | 200 | 221,841 | ||||||||||
|
| |||||||||||
3,166,920 | ||||||||||||
Malaysia — 0.0% | ||||||||||||
1MDB Energy Ltd., 5.99%, 05/11/22 | 1,500 | 1,546,875 | ||||||||||
|
| |||||||||||
Mexico — 0.5% | ||||||||||||
Petroleos Mexicanos: | ||||||||||||
6.38%, 02/04/21 | 1,912 | 1,973,184 | ||||||||||
6.88%, 08/04/26 | 5,811 | 6,056,805 | ||||||||||
6.50%, 03/13/27 | 40,781 | 41,005,295 | ||||||||||
5.35%, 02/12/28 | 5,240 | 4,862,720 | ||||||||||
5.63%, 01/23/46 | 7,726 | 6,366,224 | ||||||||||
6.75%, 09/21/47 | 958 | 877,959 | ||||||||||
|
| |||||||||||
61,142,187 | ||||||||||||
Saudi Arabia — 0.0% | ||||||||||||
SABIC Capital II BV, 4.00%, 10/10/23(b) | 1,864 | 1,901,280 | ||||||||||
|
| |||||||||||
South Africa — 0.1% | ||||||||||||
Eskom Holdings SOC Ltd.: | ||||||||||||
5.75%, 01/26/21(b) | 2,400 | 2,370,000 | ||||||||||
6.75%, 08/06/23(b) | 2,325 | 2,295,938 | ||||||||||
7.13%, 02/11/25(b) | 656 | 648,620 | ||||||||||
|
| |||||||||||
5,314,558 | ||||||||||||
Total Foreign Agency Obligations — 0.7% |
| 96,684,634 | ||||||||||
|
| |||||||||||
Foreign Government Obligations — 3.3% |
| |||||||||||
Argentina — 0.2% | ||||||||||||
Argentina Bonar Bonds: | ||||||||||||
8.00%, 10/08/20 | 4,478 | 4,079,956 | ||||||||||
8.75%, 05/07/24 | 4,418 | 3,913,175 | ||||||||||
Bonos de la Nacion Argentina con Ajuste por CER, 4.00%, 03/06/20 | ARS | 62,405 | 1,380,473 | |||||||||
Republic of Argentina: | ||||||||||||
3.38%, 10/12/20 | CHF | 385 | 360,326 | |||||||||
6.88%, 04/22/21 | USD | 3,053 | 2,784,336 | |||||||||
4.63%, 01/11/23 | 7,485 | 6,130,215 | ||||||||||
7.63%, 04/22/46 | 4,498 | 3,530,548 | ||||||||||
|
| |||||||||||
22,179,029 | ||||||||||||
Brazil — 0.1% | ||||||||||||
Federative Republic of Brazil, | 16,913 | 16,574,740 | ||||||||||
|
| |||||||||||
China — 0.0% | ||||||||||||
People’s Republic of China, 3.30%, 07/04/23 | CNH | 3,500 | 525,734 | |||||||||
|
| |||||||||||
Colombia — 0.4% | ||||||||||||
Republic of Colombia: | ||||||||||||
3.88%, 04/25/27 | USD | 30,816 | 31,324,464 |
Security | Par (000) | Value | ||||||||||
Colombia (continued) | ||||||||||||
Republic of Colombia: (continued) | ||||||||||||
7.00%, 06/30/32 | COP | 79,885,100 | $ | 25,357,016 | ||||||||
|
| |||||||||||
56,681,480 | ||||||||||||
Egypt — 0.1% | ||||||||||||
Arab Republic of Egypt: | ||||||||||||
5.75%, 04/29/20 | USD | 4,105 | 4,130,656 | |||||||||
6.13%, 01/31/22 | 2,220 | 2,247,750 | ||||||||||
5.58%, 02/21/23(b) | 1,011 | 999,626 | ||||||||||
4.75%, 04/16/26(b) | EUR | 1,712 | 1,891,638 | |||||||||
6.88%, 04/30/40 | USD | 3,055 | 2,810,600 | |||||||||
7.90%, 02/21/48(b) | 1,190 | 1,151,325 | ||||||||||
8.70%, 03/01/49(b) | 1,978 | 2,052,175 | ||||||||||
|
| |||||||||||
15,283,770 | ||||||||||||
Hungary — 0.1% | ||||||||||||
Republic of Hungary, 5.38%, 03/25/24 | 8,710 | 9,522,861 | ||||||||||
|
| |||||||||||
Indonesia — 0.5% | ||||||||||||
Perusahaan Penerbit SBSN Indonesia III, 4.45%, 02/20/29 | 1,650 | 1,697,413 | ||||||||||
Republic of Indonesia: | ||||||||||||
4.10%, 04/24/28 | 5,130 | 5,206,950 | ||||||||||
8.25%, 05/15/29 | IDR | 650,949,000 | 47,676,300 | |||||||||
8.38%, 03/15/34 | 106,527,000 | 7,669,720 | ||||||||||
8.38%, 04/15/39 | 94,906,000 | 6,781,380 | ||||||||||
5.35%, 02/11/49 | USD | 875 | 970,178 | |||||||||
|
| |||||||||||
70,001,941 | ||||||||||||
Maldives — 0.0% | ||||||||||||
Republic of Maldives, 7.00%, 06/07/22 | 775 | 756,206 | ||||||||||
|
| |||||||||||
Mexico — 0.6% | ||||||||||||
United Mexican States: | ||||||||||||
5.75%, 03/05/26 | MXN | 78,245 | 3,558,981 | |||||||||
4.15%, 03/28/27 | USD | 47,338 | 48,095,408 | |||||||||
7.50%, 06/03/27 | MXN | 66,794 | 3,332,484 | |||||||||
8.50%, 05/31/29 | 241,537 | 12,757,815 | ||||||||||
7.75%, 11/23/34 | 62,493 | 3,068,634 | ||||||||||
10.00%, 11/20/36 | 74,000 | 4,384,964 | ||||||||||
5.75%, 10/12/2110 | USD | 5,018 | 5,143,450 | |||||||||
|
| |||||||||||
80,341,736 | ||||||||||||
Nigeria — 0.0% | ||||||||||||
Federal Republic of Nigeria, 9.25%, 01/21/49(b) | 2,288 | 2,533,960 | ||||||||||
|
| |||||||||||
Panama — 0.1% | ||||||||||||
Republic of Panama, 3.88%, 03/17/28 | 12,440 | 12,935,796 | ||||||||||
|
| |||||||||||
Peru — 0.1% | ||||||||||||
Republic of Peru, 4.13%, 08/25/27 | 10,672 | 11,643,152 | ||||||||||
|
| |||||||||||
Philippines — 0.2% | ||||||||||||
Republic of the Philippines, 3.00%, 02/01/28 | 22,148 | 21,871,150 | ||||||||||
|
| |||||||||||
Qatar — 0.1% | ||||||||||||
State of Qatar: | ||||||||||||
4.00%, 03/14/29(b) | 8,555 | 8,821,103 | ||||||||||
4.82%, 03/14/49(b) | 5,324 | 5,596,855 | ||||||||||
|
| |||||||||||
14,417,958 | ||||||||||||
Russia — 0.3% | ||||||||||||
Russian Federation, 6.90%, 05/23/29 | RUB | 2,691,851 | 37,254,742 | |||||||||
|
| |||||||||||
South Africa — 0.4% | ||||||||||||
Republic of South Africa: | ||||||||||||
6.25%, 03/31/36 | ZAR | 688,395 | 34,639,211 | |||||||||
9.00%, 01/31/40 | 123,011 | 7,938,969 | ||||||||||
8.75%, 01/31/44 | 121,314 | 7,623,493 |
MASTER PORTFOLIO CONSOLIDATED SCHEDULEOF INVESTMENTS | 69 |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
South Africa (continued) | ||||||||||||
Republic of South Africa: (continued) 8.75%, 02/28/48 | ZAR | 85,561 | $ | 5,375,930 | ||||||||
|
| |||||||||||
55,577,603 | ||||||||||||
Sri Lanka — 0.0% | ||||||||||||
Republic of Sri Lanka: | ||||||||||||
6.85%, 03/14/24 | USD | 425 | 435,625 | |||||||||
7.85%, 03/14/29 | 1,450 | 1,519,056 | ||||||||||
|
| |||||||||||
1,954,681 | ||||||||||||
Turkey — 0.0% | ||||||||||||
Republic of Turkey, 7.63%, 04/26/29 | 4,710 | 4,651,125 | ||||||||||
|
| |||||||||||
Ukraine — 0.0% | ||||||||||||
Ukraine Government, 9.75%, 11/01/28 | 1,680 | 1,730,089 | ||||||||||
|
| |||||||||||
Uruguay — 0.1% | ||||||||||||
Republic of Uruguay, 4.38%, 10/27/27 | 14,750 | 15,539,472 | ||||||||||
|
| |||||||||||
Total Foreign Government Obligations — 3.3% |
| 451,977,225 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
Investment Companies — 0.1% | ||||||||||||
iShares iBoxx High Yield Corporate Bond ETF(v) | 141,644 | 12,247,957 | ||||||||||
|
| |||||||||||
Total Investment Companies — 0.1% |
| 12,247,957 | ||||||||||
|
| |||||||||||
Par (000) | ||||||||||||
Non-Agency Mortgage-Backed Securities — 4.8% | ||||||||||||
Collateralized Mortgage Obligations — 1.6% |
| |||||||||||
American Home Mortgage Assets Trust: | ||||||||||||
Series 2006-3, Class 2A11, (12 mo. Federal Reserve Cumulative Average US + 0.940%), 3.34%, 10/25/46(a) | USD | 981 | 866,362 | |||||||||
Series 2006-4, Class 1A12, (1 mo. LIBOR US + 0.210%), 2.70%, 10/25/46(a) | 2,856 | 2,053,207 | ||||||||||
Series 2006-5, Class A1, (12 mo. Federal Reserve Cumulative Average US + 0.920%), 3.32%, 11/25/46(a) | 3,736 | 1,880,272 | ||||||||||
Series 2007-1, Class A1, (12 mo. Federal Reserve Cumulative Average US + 0.700%), 3.10%, 02/25/47(a) | 863 | 528,097 | ||||||||||
APS Resecuritization Trust: | ||||||||||||
Series 2016-1, Class 1MZ, 4.39%, 07/31/57(b)(d) | 6,883 | 2,134,653 | ||||||||||
Series 2016-3, Class 3A, (1 mo. LIBOR US + 2.850%), | 6,437 | 6,517,109 | ||||||||||
Series 2016-3, Class 4A, (1 mo. LIBOR US + 2.600%), | 1,481 | 1,440,932 | ||||||||||
ARI Investments LLC,Series 2017-1, Class A, 4.48%, 01/06/25(c)(d) | 3,134 | 3,134,037 | ||||||||||
Banc of America Funding Trust: | ||||||||||||
Series 2014-R2, Class 1C, 0.00%, 11/26/36(b)(d) | 4,234 | 917,336 | ||||||||||
Series 2016-R2, Class 1A1, 4.70%, 05/01/33(b)(c)(d) | 1,578 | 1,621,558 | ||||||||||
Bear Stearns Asset-Backed Securities I Trust,Series 2005-AC9, Class A5, 6.25%, 12/25/35(e) | 269 | 253,648 |
Security | Par (000) | Value | ||||||||||
Collateralized Mortgage Obligations (continued) | ||||||||||||
Bear Stearns Mortgage Funding Trust: | ||||||||||||
Series 2006-SL1, Class A1, (1 mo. LIBOR US + 0.280%), 2.77%, 08/25/36(a) | USD | 1,809 | $ | 1,803,253 | ||||||||
Series 2007-AR2, Class A1, (1 mo. LIBOR US + 0.170%), 2.66%, 03/25/37(a) | 506 | 461,531 | ||||||||||
Series 2007-AR3, Class 1A1, (1 mo. LIBOR US + 0.140%), 2.63%, 03/25/37(a) | 761 | 733,631 | ||||||||||
Series 2007-AR4, Class 2A1, (1 mo. LIBOR US + 0.210%), 2.70%, 06/25/37(a) | 833 | 786,818 | ||||||||||
BlackRock Capital Finance LP,Series 1997-R2, Class AP, | 3 | 2,998 | ||||||||||
Chase Mortgage Finance Trust,Series 2007-S6, Class 1A1, 6.00%, 12/25/37 | 28,004 | 20,581,262 | ||||||||||
CIM Trust: | ||||||||||||
Series 17-6, Class A1, | 1,738 | 1,699,883 | ||||||||||
Series 2019-INV1, Class A1, 4.00%, 02/25/49(b)(d) | 6,980 | 7,094,179 | ||||||||||
Citicorp Mortgage Securities Trust: | ||||||||||||
Series 2007-9, Class 1A1, 6.25%, 12/25/37 | 2,350 | 2,075,614 | ||||||||||
Series 2008-2, Class 1A1, 6.50%, 06/25/38 | 6,908 | 5,892,635 | ||||||||||
Citigroup Mortgage Loan Trust, Inc.,Series 2007-2, Class 2A, 6.00%, 11/25/36 | 23 | 22,914 | ||||||||||
Countrywide Alternative Loan Trust: | ||||||||||||
Series 2005-22T1, Class A1, (1 mo. LIBOR US + 0.350%), 2.84%, 06/25/35(a) | 4,780 | 4,178,164 | ||||||||||
Series 2005-72, Class A3, (1 mo. LIBOR US + 0.600%), 3.09%, 01/25/36(a) | 776 | 663,145 | ||||||||||
Series 2005-76, Class 2A1, (12 mo. Federal Reserve Cumulative Average US + 1.000%), 3.40%, 02/25/36(a) | 954 | 876,345 | ||||||||||
Series 2006-11CB, Class 3A1, 6.50%, 05/25/36 | 1,963 | 1,529,896 | ||||||||||
Series 2006-15CB, Class A1, 6.50%, 06/25/36 | 452 | 339,304 | ||||||||||
Series 2006-23CB, Class 2A5, (1 mo. LIBOR US + 0.400%), 2.89%, 08/25/36(a) | 6,453 | 2,368,970 | ||||||||||
Series 2006-OA14, Class 1A1, (12 mo. Federal Reserve Cumulative Average US + 1.730%), 4.13%, 11/25/46(a) | 3,989 | 3,450,185 | ||||||||||
Series 2006-OA16, Class A4C, (1 mo. LIBOR US + 0.340%), 2.83%, 10/25/46(a) | 4,357 | 2,849,284 | ||||||||||
Series 2006-OA21, Class A1, (1 mo. LIBOR US + 0.190%), 2.68%, 03/20/47(a) | 10,767 | 9,121,604 | ||||||||||
Series 2006-OA6, Class 1A2, (1 mo. LIBOR US + 0.210%), 2.70%, 07/25/46(a) | 3,927 | 3,741,635 | ||||||||||
Series 2006-OA8, Class 1A1, (1 mo. LIBOR US + 0.190%), 2.68%, 07/25/46(a) | 574 | 542,807 | ||||||||||
Series 2006-OC10, Class 2A3, (1 mo. LIBOR US + 0.230%), 2.72%, 11/25/36(a) | 1,701 | 1,350,518 | ||||||||||
Series 2006-OC7, Class 2A3, (1 mo. LIBOR US + 0.250%), 2.74%, 07/25/46(a) | 2,519 | 2,005,495 | ||||||||||
Series 2007-3T1, Class 1A1, 6.00%, 04/25/37 | 440 | 312,555 | ||||||||||
Series 2007-OA3, Class 1A1, (1 mo. LIBOR US + 0.140%), 2.63%, 04/25/47(a) | 1,250 | 1,187,839 | ||||||||||
Series 2007-OA3, Class 2A2, (1 mo. LIBOR US + 0.180%), 2.67%, 04/25/47(a) | 229 | 35,203 | ||||||||||
Series 2007-OA8, Class 2A1, (1 mo. LIBOR US + 0.180%), 2.67%, 06/25/47(a) | 437 | 339,231 |
70 | 2019 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Collateralized Mortgage Obligations (continued) | ||||||||||||
Countrywide Alternative Loan Trust: (continued) |
| |||||||||||
Series 2007-OH2, Class A2A, (1 mo. LIBOR US + 0.240%), 2.73%, 08/25/47(a) | USD | 629 | $ | 479,582 | ||||||||
Countrywide Home Loan Mortgage Pass-Through Trust: | ||||||||||||
Series 2004-29, Class 1A1, (1 mo. LIBOR US + 0.540%), 3.03%, 02/25/35(a) | 313 | 297,066 | ||||||||||
Series 2006-OA4, Class A1, (12 mo. Federal Reserve Cumulative Average US + 0.960%), 3.36%, 04/25/46(a) | 1,564 | 780,373 | ||||||||||
Series 2006-OA5, Class 3A1, (1 mo. LIBOR US + 0.200%), 2.69%, 04/25/46(a) | 793 | 734,411 | ||||||||||
Series 2007-15, Class 2A2, 6.50%, 09/25/37 | 11,095 | 8,165,047 | ||||||||||
Credit Suisse Commercial Mortgage Trust,Series 2014-4R, Class 16A3, (1 mo. LIBOR US + 0.200%), 2.69%, 02/27/36(a)(b)(c) | 830 | 756,357 | ||||||||||
Credit Suisse Mortgage Capital Certificates: | ||||||||||||
Series 2011-5R, Class 3A1, 4.16%, 09/27/47(b)(d) | 498 | 495,652 | ||||||||||
Series 2014-11R, Class 16A1, 4.07%, 09/27/47(b)(d) | 1,905 | 1,926,425 | ||||||||||
Series 2015-6R, Class 5A1, (1 mo. LIBOR US + 0.180%), 2.85%, 03/27/36(a)(b) | 236 | 233,461 | ||||||||||
Series 2015-6R, Class 5A2, (1 mo. LIBOR US + 0.180%), 2.85%, 03/27/36(a)(b)(c) | 2,721 | 1,524,729 | ||||||||||
Credit Suisse Mortgage Trust: | ||||||||||||
Series 2009-12R, Class 3A1, 6.50%, 10/27/37(b) | 8,103 | 4,612,477 | ||||||||||
Series 2009-5R, Class 4A4, 3.92%, 06/25/36(b)(d) | 2,005 | 1,848,134 | ||||||||||
Series 2014-9R, Class 9A1, (1 mo. LIBOR US + 0.120%), 2.61%, 08/27/36(a)(b)(c) | 1,610 | 1,414,805 | ||||||||||
CSFB Mortgage-Backed Pass-Through Certificates,Series 2005-10, Class 10A1, (1 mo. LIBOR US + 1.350%), 3.84%, 11/25/35(a) | 1,361 | 466,814 | ||||||||||
DeutscheAlt-A Securities Mortgage Loan Trust,Series 2007-OA4, Class A2A, (1 mo. LIBOR US + 0.170%), 2.66%, 08/25/47(a) | 1,642 | 1,136,960 | ||||||||||
DeutscheAlt-A Securities, Inc., | ||||||||||||
Series 2007-RS1, Class A2, (1 mo. LIBOR US + 0.500%), 2.98%, 01/27/37(a)(b)(c) | 170 | 168,116 | ||||||||||
DeutscheAlt-B Securities Mortgage Loan Trust: |
| |||||||||||
Series 2006-AB3, Class A3, 6.51%, 07/25/36(d) | 576 | 510,489 | ||||||||||
Series 2006-AB3, Class A8, 6.36%, 07/25/36(d) | 367 | 325,538 | ||||||||||
GreenPoint Mortgage Funding Trust, | ||||||||||||
Series 2006-AR2, Class 4A1, (12 mo. Federal Reserve Cumulative Average US + 2.000%), 4.40%, 03/25/36(a) | 967 | 934,442 | ||||||||||
GSR Mortgage Loan Trust,Series 2007-1F, Class 2A4, 5.50%, 01/25/37 | 352 | 374,013 | ||||||||||
HarborView Mortgage Loan Trust: | ||||||||||||
Series 2007-3, Class 2A1B, (1 mo. LIBOR US + 0.230%), 2.71%, 05/19/47(a) | 631 | 506,916 | ||||||||||
Series 2007-4, Class 2A2, (1 mo. LIBOR US + 0.250%), 2.73%, 07/19/47(a) | 921 | 818,697 | ||||||||||
Impac CMB Trust: | ||||||||||||
Series 2004-11, Class 1A2, (1 mo. LIBOR US + 0.520%), 3.01%, 03/25/35(a) | 1,633 | 1,566,107 | ||||||||||
Series 2005-6, Class 1A1, (1 mo. LIBOR US + 0.500%), 2.99%, 10/25/35(a) | 1,172 | 1,130,959 |
Security | Par (000) | Value | ||||||||||
Collateralized Mortgage Obligations (continued) | ||||||||||||
IndyMac INDX Mortgage Loan Trust: |
| |||||||||||
Series 2007-AR19, Class 3A1, 3.74%, 09/25/37(d) | USD | 3,578 | $ | 2,513,844 | ||||||||
Series 2007-FLX5, Class 2A2, (1 mo. LIBOR US + 0.240%), 2.73%, 08/25/37(a) | 1,251 | 1,106,443 | ||||||||||
JPMorgan Alternative Loan Trust: | ||||||||||||
Series 2007-A1, Class 1A4, (1 mo. LIBOR US + 0.210%), 2.70%, 03/25/37(a) | 1,859 | 1,721,831 | ||||||||||
Series 2007-A2, Class 2A1, 4.26%, 05/25/37(d) | 433 | 387,461 | ||||||||||
Legacy Mortgage Asset Trust,Series 2019-SL1, Class A 4.00%, 12/25/54 | 12,190 | 12,186,898 | ||||||||||
Lehman XS Trust,Series 2007-20N, Class A1, (1 mo. LIBOR US + 1.150%), 3.64%, 12/25/37(a) | 1,186 | 1,094,342 | ||||||||||
LSTAR Securities Investment Ltd.,Series 2019-1, Class A1, (1 mo. LIBOR US + 1.700%), 4.19%, 03/01/24(a)(b) | 5,120 | 5,120,000 | ||||||||||
MASTR Resecuritization Trust,Series 2008-3, Class A1, | 1,395 | 1,089,706 | ||||||||||
MCM: | ||||||||||||
Series 18-NPL1, Class A, | 6,790 | 6,684,522 | ||||||||||
Series 18-NPL1, Class B, | 13,100 | 2,096,000 | ||||||||||
Series 18-NPL2, Class A, | 12,441 | 12,310,512 | ||||||||||
Series 18-NPL2, Class B, | 18,679 | 5,323,583 | ||||||||||
Merrill Lynch Alternative Note Asset Trust, Series 2007-OAR2, Class A2, (1 mo. LIBOR US + 0.210%), 2.70%, 04/25/37(a) | 2,651 | 2,275,741 | ||||||||||
Merrill Lynch Mortgage Investors Trust, | ||||||||||||
Series 2006-A3, Class 6A1, 3.97%, 05/25/36(d) | 1,908 | 1,752,172 | ||||||||||
Mortgage Loan Resecuritization Trust, | ||||||||||||
Series 2009-RS1, Class A85, (1 mo. LIBOR US + 0.340%), 2.83%, 04/16/36(a)(b) | 9,029 | 8,022,751 | ||||||||||
New Residential Mortgage Loan Trust, Series 2019-RPL1, Class A1, 4.34%, 02/26/24(b)(e) | 7,243 | 7,301,572 | ||||||||||
Nomura Asset Acceptance Corp. Alternative | ||||||||||||
Loan Trust: | ||||||||||||
Series 2001-R1A, Class A, | 541 | 546,372 | ||||||||||
Series 2006-AF1, Class 1A4, 6.63%, 05/25/36(e) | 623 | 225,197 | ||||||||||
Series 2007-2, Class A4, (1 mo. LIBOR US + 0.420%), 2.91%, 06/25/37(a) | 491 | 405,770 | ||||||||||
Paragon Mortgages No. 13 PLC, Series 13X, Class A2C, (3 mo. LIBOR US + 0.180%), 2.97%, 01/15/39(a) | 344 | 322,103 | ||||||||||
RALI Trust,Series 2007-QH9, Class A1, 3.67%, 11/25/37(d) | 933 | 833,608 | ||||||||||
Reperforming Loan REMIC Trust: | ||||||||||||
Series 2005-R2, Class 1AF1, (1 mo. LIBOR US + 0.340%), 2.83%, 06/25/35(a)(b) | 576 | 553,229 | ||||||||||
Series 2005-R3, Class AF, (1 mo. LIBOR US + 0.400%), 2.89%, 09/25/35(a)(b) | 195 | 179,619 | ||||||||||
Seasoned Credit Risk Transfer Trust: | ||||||||||||
Series 2017-3, Class M2, | 1,550 | 1,498,781 |
MASTER PORTFOLIO CONSOLIDATED SCHEDULEOF INVESTMENTS | 71 |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Collateralized Mortgage Obligations (continued) | ||||||||||||
Seasoned Credit Risk Transfer Trust: (continued) |
| |||||||||||
Series 2018-1, Class BX, | USD | 559 | $ | 283,584 | ||||||||
Series 2018-1, Class M, | 500 | 487,444 | ||||||||||
Series 2018-3, Class M, | 2,700 | 2,574,295 | ||||||||||
STACR Trust, Series 2018-DNA2, Class M2, (1 mo. LIBOR US + 2.150%), 4.64%, 12/25/30(a)(b) | 1,430 | 1,420,193 | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust,Series 2006-3, Class 4A, 3.96%, 04/25/36(d) | 1,131 | 942,273 | ||||||||||
Structured Asset Mortgage Investments II Trust: | ||||||||||||
Series 2006-AR4, Class 3A1, (1 mo. LIBOR US + 0.190%), 2.68%, 06/25/36(a)(c) | 3,222 | 2,786,604 | ||||||||||
Series 2006-AR5, Class 2A1, (1 mo. LIBOR US + 0.210%), 2.70%, 05/25/46(a) | 646 | 548,337 | ||||||||||
Thornburg Mortgage Securities Trust,Series 2007-3, Class 4A1, (12 mo. LIBOR US + 1.250%), 4.04%, 06/25/47(a) | 515 | 466,181 | ||||||||||
Washington Mutual Mortgage Pass-Through Certificates Trust: |
| |||||||||||
Series 2005-AR2, Class B1, (1 mo. LIBOR US + 0.530%), 3.02%, 01/25/45(a) | 655 | 517,642 | ||||||||||
Series 2006-4, Class 1A1, 6.00%, 04/25/36 | 4,886 | 4,451,723 | ||||||||||
Series 2006-4, Class 3A1, 6.50%, 05/25/36(e) | 1,625 | 1,404,756 | ||||||||||
Series 2006-4, Class 3A5, 6.35%, 05/25/36(e) | 630 | 544,678 | ||||||||||
|
| |||||||||||
Total Collateralized Mortgage Obligations — 1.6% |
| 220,581,446 | ||||||||||
Commercial Mortgage-Backed Securities — 3.0% |
| |||||||||||
245 Park Avenue Trust, Series 2017-245P, Class E, 3.78%, 06/05/37(b)(d) | 1,699 | 1,615,012 | ||||||||||
280 Park Avenue Mortgage Trust, Series 2017-280P, Class E, (1 mo. LIBOR US + 2.119%), 4.60%, 09/15/34(a)(b) | 5,475 | 5,492,093 | ||||||||||
Americold LLC, Series 2010-ARTA, Class C, 6.81%, 01/14/29(b) | 700 | 733,925 | ||||||||||
AOA Mortgage Trust, Series 2015-1177, Class C, 3.01%, 12/13/29(b)(d) | 1,340 | 1,317,710 | ||||||||||
AREIT Trust, Series 2018-CRE1, Class A, (1 mo. LIBOR US + 0.850%), 3.33%, 02/14/35(a)(b)(c) | 540 | 534,600 | ||||||||||
Ashford Hospitality Trust, Series 2018-ASHF, Class D, (1 mo. LIBOR US + 2.100%), 4.58%, 04/15/35(a)(b) | 3,450 | 3,449,978 | ||||||||||
Asset Securitization Corp.,Series 1997-D5, Class B2, 6.93%, 02/14/43 | 209 | 213,153 | ||||||||||
Atrium Hotel Portfolio Trust: | ||||||||||||
Series 2017-ATRM, Class D, (1 mo. LIBOR US + 1.950%), | 4,840 | 4,833,890 | ||||||||||
Series 2017-ATRM, Class E, (1 mo. LIBOR US + 3.050%), | 1,490 | 1,495,579 | ||||||||||
Series 2018-ATRM, Class E, (1 mo. LIBOR US + 3.400%), | 1,640 | 1,646,142 | ||||||||||
Aventura Mall Trust,Series 2013-AVM, Class D, 3.87%, 12/05/32(b)(d) | 300 | 303,428 |
Security | Par (000) | Value | ||||||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||||||
BAMLL Commercial Mortgage Securities Trust: Series 2018-DSNY, Class D, (1 mo. LIBOR US + 1.700%), 4.18%, 09/15/34(a)(b) | USD | 2,375 | $ | 2,370,908 | ||||||||
Series2019-AHT, Class C, (1 mo. LIBOR US + 2.000%), 4.50%, 03/15/34(a)(b) | 1,867 | 1,867,000 | ||||||||||
Banc of America Commercial Mortgage Trust, Series2007-1, Class AMFX, | 158 | 158,185 | ||||||||||
Banc of America Merrill Lynch Commercial Mortgage Securities Trust: | ||||||||||||
Series 2015-200P, Class F, | 1,241 | 1,199,286 | ||||||||||
Series2016-ISQ, Class E, | 6,140 | 5,730,743 | ||||||||||
Series2017-SCH, Class CL, (1 mo. LIBOR US + 1.500%), 3.98%, 11/15/32(a)(b) | 970 | 970,000 | ||||||||||
Series2017-SCH, Class DL, (1 mo. LIBOR US + 2.000%), 4.48%, 11/15/32(a)(b) | 1,930 | 1,930,000 | ||||||||||
Bancorp Commercial Mortgage Trust, Series2018-CR3, Class A, (1 mo. LIBOR US + 0.850%), 3.33%, 01/15/33(a)(b) | 2,114 | 2,096,244 | ||||||||||
BANK, Series 2018-BN13, Class A5, 4.22%, 08/15/61(d) | 680 | 732,071 | ||||||||||
Barclays Commercial Mortgage Trust: | ||||||||||||
Series2015-STP, Class E, | 100 | 97,854 | ||||||||||
Series 2018-TALL, Class A, (1 mo. LIBOR US + 0.722%), 3.21%, 03/15/37(a)(b) | 918 | 909,374 | ||||||||||
Series 2018-TALL, Class D, (1 mo. LIBOR US + 1.449%), 3.93%, 03/15/37(a)(b) | 1,120 | 1,112,982 | ||||||||||
Bayview Commercial Asset Trust: | ||||||||||||
Series 2005-2A, Class A1, (1 mo. LIBOR US + 0.310%), 2.80%, 08/25/35(a)(b) | 1,425 | 1,357,126 | ||||||||||
Series 2005-4A, Class A1, (1 mo. LIBOR US + 0.300%), 2.79%, 01/25/36(a)(b) | 354 | 338,446 | ||||||||||
Series 2005-4A, Class A2, (1 mo. LIBOR US + 0.390%), 2.88%, 01/25/36(a)(b) | 100 | 95,831 | ||||||||||
Series 2005-4A, Class M1, (1 mo. LIBOR US + 0.450%), 2.94%, 01/25/36(a)(b) | 266 | 254,351 | ||||||||||
Series 2006-1A, Class A2, (1 mo. LIBOR US + 0.360%), 2.85%, 04/25/36(a)(b) | 356 | 342,957 | ||||||||||
Series 2006-3A, Class A1, (1 mo. LIBOR US + 0.250%), 2.74%, 10/25/36(a)(b) | 659 | 625,015 | ||||||||||
Series 2006-3A, Class A2, (1 mo. LIBOR US + 0.300%), 2.79%, 10/25/36(a)(b) | 460 | 436,880 | ||||||||||
Series 2006-4A, Class A1, (1 mo. LIBOR US + 0.230%), 2.72%, 12/25/36(a)(b) | 968 | 933,831 | ||||||||||
Series 2007-6A, Class A4A, (1 mo. LIBOR US + 1.500%), 3.99%, 12/25/37(a)(b) | 1,980 | 1,666,828 | ||||||||||
BBCMS Mortgage Trust, Series 2018-CHRS, Class E, 4.41%, 08/05/38(b)(d) | 980 | 864,796 | ||||||||||
BBCMS Trust, Series 2015-SRCH, Class A1, 3.31%, 08/10/35(b) | 2,730 | 2,766,376 | ||||||||||
BB-UBS Trust, Series 2012-SHOW, Class E, 4.16%, 11/05/36(b)(d) | 790 | 769,666 | ||||||||||
Bear Stearns Commercial Mortgage Securities Trust,Series 2007-T26, Class AM, 5.46%, 01/12/45(d) | 960 | 955,642 | ||||||||||
Benchmark Mortgage Trust: | ||||||||||||
Series 2018-B3, Class D, 3.06%, 04/10/51(b) | 210 | 183,029 |
72 | 2019 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||||||
Benchmark Mortgage Trust: (continued) |
| |||||||||||
Series 2018-B5, Class A4, 4.21%, 07/15/51 | USD | 1,390 | $ | 1,494,635 | ||||||||
Series 2019-B10, Class 3CCA, 3.90%, 03/15/62(b)(d) | 4,860 | 4,800,868 | ||||||||||
Series 2019-B9, Class A5, 4.02%, 03/15/52 | 342 | 362,961 | ||||||||||
Series 2019-B9, Class C, | 2,908 | 3,113,594 | ||||||||||
BHMS: | ||||||||||||
Series 2018-ATLS, Class A, (1 mo. LIBOR US + 1.250%), | 7,050 | 7,038,864 | ||||||||||
Series 2018-ATLS, Class C, (1 mo. LIBOR US + 1.900%), | 950 | 948,205 | ||||||||||
BWAY Mortgage Trust: | ||||||||||||
Series 2013-1515, Class A2, 3.45%, 03/10/33(b) | 2,920 | 2,976,733 | ||||||||||
Series 2013-1515, Class D, 3.63%, 03/10/33(b) | 1,400 | 1,395,090 | ||||||||||
Series 2013-1515, Class E, 3.72%, 03/10/33(b) | 250 | 247,365 | ||||||||||
Series 2013-1515, Class F, 3.93%, 03/10/33(b)(d) | 250 | 246,493 | ||||||||||
BX Commercial Mortgage Trust,Series 2018-IND, Class H, (1 mo. LIBOR US + 3.000%), 5.48%, 11/15/35(a)(b) | 12,823 | 12,862,776 | ||||||||||
BXP Trust: | ||||||||||||
Series 2017-CC, Class D, 3.55%, 08/13/37(b)(d) | 750 | 729,054 | ||||||||||
Series 2017-CC, Class E, 3.55%, 08/13/37(b)(d) | 1,450 | 1,332,181 | ||||||||||
Series 2017-GM, Class D, 3.43%, 06/13/39(b)(d) | 590 | 573,094 | ||||||||||
Series 2017-GM, Class E, 3.43%, 06/13/39(b)(d) | 1,240 | 1,158,287 | ||||||||||
CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class D, (1 mo. LIBOR US + 1.750%), 4.23%, 12/15/37(a)(b) | 5,121 | 5,133,257 | ||||||||||
CCRESG Commercial Mortgage Trust, Series 2016-HEAT, Class D, 5.49%, 04/10/29(b)(d) | 560 | 570,389 | ||||||||||
CCUBS Commercial Mortgage Trust,Series 2017-C1, Class A4, 3.54%, 11/15/50 | 632 | 643,290 | ||||||||||
CD Mortgage Trust,Series 2017-CD4, Class A4, 3.51%, 05/10/50(d) | 50 | 51,027 | ||||||||||
CFCRE Commercial Mortgage Trust: | ||||||||||||
Series 2016-C3, Class A3, 3.87%, 01/10/48 | 410 | 426,081 | ||||||||||
Series 2018-TAN, Class C, 5.30%, 02/15/33(b) | 1,160 | 1,196,758 | ||||||||||
CFK Trust,Series 2019-FAX, Class D, 4.64%, 01/15/39(b) | 2,643 | 2,784,762 | ||||||||||
CGBAM Commercial Mortgage Trust: | ||||||||||||
Series 2015-SMRT, Class E, 3.79%, 04/10/28(b)(d) | 1,880 | 1,896,381 | ||||||||||
Series 2015-SMRT, Class F, 3.79%, 04/10/28(b)(d) | 230 | 231,796 | ||||||||||
CGDBB Commercial Mortgage Trust: | ||||||||||||
Series 2017-BIOC, Class A, (1 mo. LIBOR US + 0.790%), 3.27%, 07/15/32(a)(b) | 4,330 | 4,330,005 | ||||||||||
Series 2017-BIOC, Class D, (1 mo. LIBOR US + 1.600%), | 3,190 | 3,194,005 | ||||||||||
Series 2017-BIOC, Class E, (1 mo. LIBOR US + 2.150%), 4.63%, 07/15/32(a)(b) | 7,000 | 6,999,994 | ||||||||||
Citigroup Commercial Mortgage Trust: | ||||||||||||
Series 2014-GC19, Class C, 5.10%, 03/10/47(d) | 440 | 465,370 |
Security | Par (000) | Value | ||||||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||||||
Citigroup Commercial Mortgage Trust: (continued) |
| |||||||||||
Series 2015-SHP2, Class F, (1 mo. LIBOR US + 5.200%), 7.68%, 07/15/27(a)(b) | USD | 370 | $ | 370,046 | ||||||||
Series2016-C1, Class C, | 1,290 | 1,372,420 | ||||||||||
Series2016-C1, Class D, | 450 | 438,862 | ||||||||||
Series 2016-GC37, Class C, | 640 | 668,990 | ||||||||||
Series2016-P3, Class C, | 120 | 126,041 | ||||||||||
Series2016-P3, Class D, | 1,040 | 861,488 | ||||||||||
Series2017-C4, Class A4, | 1,220 | 1,245,528 | ||||||||||
Series 2019-SMRT, Class D, | 4,870 | 5,057,685 | ||||||||||
Series 2019-SMRT, Class E, | 419 | 426,093 | ||||||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust: | ||||||||||||
Series2006-CD3, Class AM, | 4,453 | 4,599,949 | ||||||||||
Series2017-CD3, Class A4, | 850 | 878,114 | ||||||||||
CLNS Trust, Series 2017-IKPR, Class E, (1 mo. LIBOR US + 3.500%), | 1,554 | 1,559,829 | ||||||||||
Commercial Mortgage Pass-Through Certificates: | ||||||||||||
Series2005-C6, Class F, 5.64%, 06/10/44(b)(d) | 444 | 450,335 | ||||||||||
Series2013-GAM, Class A2, 3.37%, 02/10/28(b) | 1,656 | 1,653,988 | ||||||||||
Series 2014-CR14, Class A4, 4.24%, 02/10/47(d) | 855 | 902,555 | ||||||||||
Series 2014-CR15, Class C, 4.74%, 02/10/47(d) | 260 | 276,175 | ||||||||||
Series 2014-CR16, Class A4, 4.05%, 04/10/47 | 4,806 | 5,035,766 | ||||||||||
Series 2014-CR17, Class A5, 3.98%, 05/10/47 | 2,642 | 2,766,172 | ||||||||||
Series 2014-CR18, Class A4, 3.55%, 07/15/47 | 390 | 399,620 | ||||||||||
Series 2014-CR19, Class A5, 3.80%, 08/10/47 | 1,391 | 1,447,057 | ||||||||||
Series 2014-CR21, Class C, 4.42%, 12/10/47(d) | 1,010 | 1,036,676 | ||||||||||
Series2014-TWC, Class B, (1 mo. LIBOR US + 1.600%), | 3,190 | 3,190,000 | ||||||||||
Series 2015-CR23, Class CMC, 3.69%, 05/10/48(b)(d) | 210 | 209,705 | ||||||||||
Series 2015-CR23, Class CMD, 3.69%, 05/10/48(b)(d) | 10,150 | 10,117,616 | ||||||||||
Series 2015-CR23, Class CME, 3.69%, 05/10/48(b)(d) | 2,600 | 2,582,459 | ||||||||||
Series 2015-CR25, Class A4, 3.76%, 08/10/48 | 2,850 | 2,958,181 | ||||||||||
Series 2015-CR25, Class C, 4.54%, 08/10/48(d) | 1,010 | 1,025,769 | ||||||||||
Series 2015-LC19, Class A4, 3.18%, 02/10/48 | 1,785 | 1,801,834 | ||||||||||
Series 2015-LC19, Class C, 4.26%, 02/10/48(d) | 450 | 460,194 | ||||||||||
Series 2015-LC19, Class D, 2.87%, 02/10/48(b) | 890 | 786,648 |
MASTER PORTFOLIO CONSOLIDATED SCHEDULEOF INVESTMENTS | 73 |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||
Commercial Mortgage Pass-Through Certificates: (continued) | ||||||||
Series 2015-LC21, Class C, | USD 1,600 | $ | 1,628,334 | |||||
Series 2017-COR2, Class A3, | 1,180 | 1,202,230 | ||||||
Series 2017-COR2, Class D, | 860 | 753,196 | ||||||
Series 2018-HCLV, Class B, | 1,420 | 1,420,000 | ||||||
Commercial Mortgage Trust: | ||||||||
Series 2014-LC15, Class A4, | 2,350 | 2,461,086 | ||||||
Series2014-TWC, Class A, | 1,715 | 1,715,002 | ||||||
Series 2014-UBS4, Class C, | 2,395 | 2,426,274 | ||||||
Series 2015-LC23, Class A4, | 380 | 395,055 | ||||||
Series 2016-667M, Class D, 3.18%, 10/10/36(b)(d) | 630 | 584,456 | ||||||
Core Industrial Trust: | ||||||||
Series 2015-CALW, Class G, 3.85%, 02/10/34(b)(d) | 1,971 | 1,962,099 | ||||||
Series 2015-TEXW, Class A, 3.08%, 02/10/34(b) | 2,948 | 2,969,229 | ||||||
Series 2015-TEXW, Class D, 3.85%, 02/10/34(b)(d) | 1,330 | 1,340,982 | ||||||
Series 2015-TEXW, Class E, 3.85%, 02/10/34(b)(d) | 250 | 250,055 | ||||||
Series 2015-TEXW, Class F, 3.85%, 02/10/34(b)(d) | 5,869 | 5,826,697 | ||||||
Credit Suisse First Boston Mortgage Securities Corp., | 167 | 168,747 | ||||||
Credit Suisse Mortgage Capital Certificates: | ||||||||
Series 2015-GLPB, Class A, 3.64%, 11/15/34(b) | 2,330 | 2,392,722 | ||||||
Series 2017-PFHP, Class A, | 900 | 896,871 | ||||||
Series 2017-TIME, Class A, 3.65%, 11/13/39(b) | 850 | 857,307 | ||||||
Credit Suisse Mortgage Trust, | 478 | 480,175 | ||||||
CSAIL Commercial Mortgage Trust: | ||||||||
Series 2015-C2, Class A4, 3.50%, 06/15/57 | 1,160 | 1,186,478 | ||||||
Series 2018-CX11, Class A5, 4.03%, 04/15/51(d) | 3,163 | 3,331,422 | ||||||
Series 2019-C15, Class A4, 4.05%, 03/15/52 | 3,683 | 3,894,186 | ||||||
Series 2019-C15, Class C, | 2,755 | 2,891,279 | ||||||
Series 2019-C15, Class D, | 1,285 | 1,047,446 | ||||||
CSWF,Series 2018-TOP, Class A, | 1,388 | 1,384,166 | ||||||
Deutsche Bank JPMorgan Mortgage Trust,Series 2016-C1, Class A4, 3.28%, 02/10/26 | 370 | 373,889 | ||||||
Deutsche Bank UBS Mortgage Trust: | ||||||||
Series 2017-BRBK, Class A, 3.45%, 10/10/34(b) | 2,540 | 2,592,937 | ||||||
Series 2017-BRBK, Class E, 3.53%, 10/10/34(b)(d) | 4,290 | 4,144,111 |
Security | Par (000) | Value | ||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||
Deutsche Bank UBS Mortgage Trust: (continued) | ||||||||
Series 2017-BRBK, Class F, | USD 880 | $ | 804,593 | |||||
Eleven Madison Trust Mortgage Trust, Series 2015-11MD, Class A, | 1,190 | 1,222,026 | ||||||
FREMF Mortgage Trust: | ||||||||
Series 2016-K54, Class B, 4.05%, 04/25/48(b)(d) | 1,280 | 1,307,564 | ||||||
Series 2017-K64, Class B, 3.98%, 05/25/50(b)(d) | 766 | 776,943 | ||||||
Series 2018-K74, Class B, 4.09%, 02/25/51(b)(d) | 120 | 122,239 | ||||||
Series 2018-K77, Class B, 4.16%, 05/25/51(b) | 770 | 784,360 | ||||||
Series 2018-K80, Class B, 4.23%, 08/25/50(b)(d) | 1,510 | 1,546,113 | ||||||
FRESB Mortgage Trust: | ||||||||
Series 2018-SB52, Class A10F, 3.48%, 06/25/28(d) | 2,506 | 2,576,663 | ||||||
Series 2018-SB53, Class A10F, 3.66%, 06/25/28(d) | 1,474 | 1,524,249 | ||||||
GAHR Commercial Mortgage Trust,Series 2015-NRF, Class EFX, | 585 | 579,097 | ||||||
GPMT Ltd.,Series 2018-FL1, Class A, | 2,270 | 2,265,273 | ||||||
Grace Mortgage Trust, Series 2014-GRCE, Class F, 3.59%, 06/10/28(b)(d) | 1,662 | 1,645,077 | ||||||
GS Mortgage Securities Corp Trust: | ||||||||
Series 2017-500K, Class D, | 230 | 229,065 | ||||||
Series 2017-500K, Class E, | 480 | 478,647 | ||||||
Series 2017-500K, Class F, | 549 | 547,460 | ||||||
Series 2017-500K, Class G, | 170 | 169,111 | ||||||
GS Mortgage Securities Corp. II: | ||||||||
Series 2005-ROCK, Class A, | 2,750 | 3,092,697 | ||||||
Series 2013-KING, Class E, | 2,990 | 2,969,178 | ||||||
GS Mortgage Securities Corp. Trust: | ||||||||
Series 2017-GPTX, Class A, | 2,290 | 2,276,710 | ||||||
Series 2018-HULA, Class D, | 1,212 | 1,212,730 | ||||||
GS Mortgage Securities Trust: | ||||||||
Series 2010-C1, Class A1, 3.68%, 08/10/43(b) | 177 | 177,840 | ||||||
Series 2014-GC20, Class B, 4.53%, 04/10/47(d) | 140 | 141,711 | ||||||
Series 2014-GC24, Class A5, 3.93%, 09/10/47 | 882 | 924,279 | ||||||
Series 2015-GC32, Class C, 4.41%, 07/10/48(d) | 1,370 | 1,410,089 | ||||||
Series 2015-GS1, Class A3, 3.73%, 11/10/48 | 670 | 694,428 | ||||||
Series 2016-RENT, Class C, | 1,070 | 1,077,883 |
74 | 2019 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||
GS Mortgage Securities Trust: (continued) |
| |||||||
Series 2017-GS6, Class A3, 3.43%, 05/10/50 | USD 1,290 | $ | 1,307,316 | |||||
Series 2017-GS7, Class A4, 3.43%, 08/10/50 | 3,001 | 3,038,190 | ||||||
Series 2017-GS7, Class D, | 530 | 470,101 | ||||||
Series 2017-GS7, Class E, | 180 | 154,110 | ||||||
HMH Trust,Series 2017-NSS, Class A, 3.06%, 07/05/31(b) | 3,390 | 3,382,561 | ||||||
Hudson Yards Mortgage Trust, | 2,640 | 2,581,049 | ||||||
IMT Trust: | ||||||||
Series 2017-APTS, Class AFX, 3.48%, 06/15/34(b) | 1,540 | 1,573,302 | ||||||
Series 2017-APTS, Class DFX, 3.50%, 06/15/34(b)(d) | 1,600 | 1,581,093 | ||||||
Series 2017-APTS, Class EFX, 3.50%, 06/15/34(b)(d) | 810 | 784,142 | ||||||
InTown Hotel Portfolio Trust, | 620 | 616,294 | ||||||
JPMBB Commercial Mortgage Securities Trust: | ||||||||
Series 2014-C26, Class A4, 3.49%, 01/15/48 | 1,247 | 1,276,138 | ||||||
Series 2015-C33, Class D1, 4.12%, 12/15/48(b)(d) | 1,873 | 1,804,586 | ||||||
JPMCC Commercial Mortgage Securities Trust: | ||||||||
Series 2017-JP5, Class C, | 1,260 | 1,247,186 | ||||||
Series 2017-JP6, Class A5, 3.49%, 07/15/50 | 1,180 | 1,206,598 | ||||||
JPMDB Commercial Mortgage Securities Trust: | ||||||||
Series 2017-C5, Class C, | 240 | 246,331 | ||||||
Series 2017-C5, Class D, | 3,549 | 3,442,301 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust: | ||||||||
Series 2012-CBX, Class A4FL, | 430 | 438,624 | ||||||
Series 2014-C20, Class A5, 3.81%, 07/15/47 | 1,990 | 2,070,226 | ||||||
Series 2014-C21, Class A5, 3.78%, 08/15/47 | 1,420 | 1,475,517 | ||||||
Series 2014-C22, Class A4, 3.80%, 09/15/47 | 563 | 584,993 | ||||||
Series 2015-UES, Class C, | 3,431 | 3,440,576 | ||||||
Series 2015-UES, Class E, | 3,880 | 3,850,984 | ||||||
Series 2016-NINE, Class A, 2.85%, 10/06/38(b)(d) | 4,650 | 4,547,200 | ||||||
Series 2017-JP5, Class D, | 1,650 | 1,607,492 | ||||||
Series 2017-JP7, Class B, 4.05%, 09/15/50 | 320 | 327,897 | ||||||
Series 2017-MAUI, Class A, | 1,470 | 1,464,458 | ||||||
Series 2017-MAUI, Class D, | 470 | 470,287 | ||||||
Series 2017-MAUI, Class F, | 240 | 237,325 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
Series 2006-C4, Class F, | 268 | 273,409 |
Security | Par (000) | Value | ||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||
Lehman Brothers Small Balance Commercial Mortgage Trust: | ||||||||
Series 2006-2A, Class M2, | USD 670 | $ | 648,355 | |||||
Series 2007-1A, Class 1A, | 1,255 | 1,216,828 | ||||||
MAD Mortgage Trust: | ||||||||
Series 2017-330M, Class D, | 1,085 | 1,084,714 | ||||||
Series 2017-330M, Class E, | 3,010 | 2,912,225 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
Series 2005-MKB2, Class F, | 1,350 | 1,373,811 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||
Series 2014-C16, Class A5, 3.89%, 06/15/47 | 3,880 | 4,053,347 | ||||||
Series 2015-C23, Class A4, 3.72%, 07/15/50 | 1,016 | 1,052,855 | ||||||
Series 2015-C23, Class D, | 412 | 387,296 | ||||||
Series 2015-C24, Class A4, 3.73%, 05/15/48 | 840 | 871,438 | ||||||
Series 2015-C25, Class C, 4.53%, 10/15/48(d) | 430 | 446,739 | ||||||
Series 2015-C26, Class A5, 3.53%, 10/15/48 | 810 | 832,439 | ||||||
Series 2015-C26, Class D, 3.06%, 10/15/48(b) | 762 | 672,037 | ||||||
Series 2017-C33, Class C, 4.56%, 05/15/50(d) | 840 | 843,322 | ||||||
Morgan Stanley Capital Barclays Bank Trust, | ||||||||
Series 2016-MART, Class A, | 820 | 808,590 | ||||||
Morgan Stanley Capital I Trust: | ||||||||
Series 2006-IQ11, Class C, 6.24%, 10/15/42(d) | 1,601 | 1,649,044 | ||||||
Series 2006-T21, Class AJ, 5.27%, 10/12/52(d) | 145 | 145,051 | ||||||
Series 2007-T27, Class AJ, 5.95%, 06/11/42(d) | 2,181 | 2,301,788 | ||||||
Series 2014-CPT, Class E, | 250 | 249,423 | ||||||
Series 2014-CPT, Class F, | 1,789 | 1,771,400 | ||||||
Series 2014-CPT, Class G, | 1,290 | 1,266,319 | ||||||
Series 2015-MS1, Class C, 4.03%, 05/15/48(d) | 1,000 | 1,006,428 | ||||||
Series 2015-MS1, Class D, | 310 | 286,960 | ||||||
Series 2017-CLS, Class F, | 6,092 | 6,057,621 | ||||||
Series 2017-H1, Class A5, 3.53%, 06/15/50 | 198 | 202,256 | ||||||
Series 2017-H1, Class C, 4.28%, 06/15/50(d) | 950 | 942,278 | ||||||
Series 2017-H1, Class D, 2.55%, 06/15/50(b) | 4,190 | 3,387,280 | ||||||
Series 2017-JWDR, Class D, | 1,020 | 1,021,906 | ||||||
Series 2018-H3, Class C, 4.85%, 07/15/51(d) | 1,400 | 1,464,935 | ||||||
Series 2018-MP, Class E, 4.28%, 07/11/40(b)(d) | 1,640 | 1,538,469 | ||||||
Series 2018-SUN, Class F, | 2,240 | 2,224,554 |
M A S T E R P O R T F O L I O C O N S O L I D A T E D S C H E D U L E O F I N V E S T M E N T S | 75 |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||
Morgan Stanley Capital I Trust: (continued) |
| |||||||
Series 2019-AGLN, Class D, | USD 3,605 | $ | 3,604,312 | |||||
Series 2019-AGLN, Class F, | 3,840 | 3,839,273 | ||||||
Series 2019-L2, Class A4, 4.07%, 03/15/52 | 1,728 | 1,838,087 | ||||||
Morgan Stanley Capital I, Inc.: | ||||||||
Series 2017-HR2, Class D, 2.73%, 12/15/50 | 430 | 358,571 | ||||||
Series 2017-JWDR, Class E, | 1,890 | 1,898,260 | ||||||
Series 2018-H3, Class A5, 4.18%, 07/15/51 | 810 | 867,333 | ||||||
Series 2018-H3, Class D, 3.00%, 07/15/51(b) | 960 | 810,770 | ||||||
Natixis Commercial Mortgage SecuritiesTrust, Series 2018-FL1, Class A, | 810 | 802,000 | ||||||
Olympic Tower Mortgage Trust, | 2,910 | 2,735,306 | ||||||
Prima Capital CRE Securitization Ltd., | 900 | 897,300 | ||||||
RAIT Trust,Series 2017-FL7, Class C, | 550 | 542,373 | ||||||
Resource Capital Corp. Ltd.: | ||||||||
Series 2017-CRE5, Class A, | 205 | 204,447 | ||||||
Series 2017-CRE5, Class B, | 939 | 931,674 | ||||||
RSO, Series 17, Class REPO, | 9,872 | 9,773,274 | ||||||
U.S. Mortgage, Series 2018-USDC, | 1,420 | 1,372,786 | ||||||
Velocity Commercial Capital Loan Trust: | ||||||||
Series 2016-1, Class M4, | 370 | 426,697 | ||||||
Series 2016-2, Class M1, 3.66%, 10/25/46(d) | 360 | 363,180 | ||||||
Series 2016-2, Class M2, 4.46%, 10/25/46(d) | 200 | 201,349 | ||||||
Series 2016-2, Class M3, 5.50%, 10/25/46(d) | 800 | 825,824 | ||||||
Series 2016-2, Class M4, 7.23%, 10/25/46(d) | 370 | 384,371 | ||||||
Series 2017-1, Class M2, | 410 | 407,815 | ||||||
Series 2017-1, Class M3, | 410 | 414,142 | ||||||
Series 2017-2, Class M3, | 670 | 668,872 | ||||||
Series 2017-2, Class M4, | 402 | 400,862 | ||||||
Series 2018-1, Class M2, | 356 | 361,703 | ||||||
VNDO Mortgage Trust, Series 2013-PENN, Class D, 3.95%, 12/13/29(b)(d) | 550 | 551,571 | ||||||
Waldorf Astoria Boca Raton Trust, | 4,735 | 4,734,874 | ||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||
Series 2014-LC18, Class A5, 3.41%, 12/15/47 | 550 | 559,852 | ||||||
Series 2015-C27, Class C, 3.89%, 02/15/48 | 902 | 875,373 | ||||||
Series 2015-C28, Class A4, 3.54%, 05/15/48 | 930 | 951,656 | ||||||
Series 2015-C31, Class A4, 3.70%, 11/15/48 | 590 | 610,737 | ||||||
Series 2015-NXS2, Class A5, 3.77%, 07/15/58(d) | 3,050 | 3,165,785 | ||||||
Series 2015-NXS4, Class A4, 3.72%, 12/15/48 | 608 | 628,105 |
Security | Par (000) | Value | ||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||
Wells Fargo Commercial Mortgage Trust: (continued) |
| |||||||
Series 2015-NXS4, Class D, | USD 95 | $ | 89,512 | |||||
Series 2015-P2, Class A4, 3.81%, 12/15/48 | 2,150 | 2,242,491 | ||||||
Series 2015-P2, Class D, 3.24%, 12/15/48(b) | 1,784 | 1,505,727 | ||||||
Series 2017-C38, Class A5, 3.45%, 07/15/50 | 2,071 | 2,099,072 | ||||||
Series 2017-C39, Class A5, 3.42%, 09/15/50 | 1,329 | 1,346,514 | ||||||
Series 2017-C39, Class C, 4.12%, 09/15/50 | . 590 | 580,532 | ||||||
Series 2017-C39, Class D, | 594 | 566,103 | ||||||
Series 2017-C41, Class D, | 1,772 | 1,450,078 | ||||||
Series 2017-HSDB, Class A, | 1,508 | 1,503,995 | ||||||
Series 2018-1745, Class A, | 930 | 961,793 | ||||||
Series 2018-BXI, Class E, | 890 | 890,769 | ||||||
Series 2018-C44, Class D, | 1,100 | 884,229 | ||||||
Series 2018-C45, Class C, 4.73%, 06/15/51 | 530 | 541,859 | ||||||
Series 2019-C49, Class A5, 4.02%, 03/15/52 | 2,283 | 2,407,939 | ||||||
WFRBS Commercial Mortgage Trust: | ||||||||
Series 2011-C3, Class A3FL, | 64 | 64,074 | ||||||
Series 2014-C21, Class A5, 3.68%, 08/15/47 | 1,515 | 1,566,464 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed | 409,372,176 | |||||||
Interest Only Collateralized Mortgage Obligations — 0.0% | ||||||||
Seasoned Credit Risk Transfer Trust,Series 2017-3, Class BIO, | 3,285 | 384,741 | ||||||
|
| |||||||
Interest Only Commercial Mortgage-Backed Securities — 0.2% | ||||||||
245 Park Avenue Trust, Series 2017-245P, Class XA, 0.27%, 06/05/37(b)(d) | 13,000 | 181,870 | ||||||
Banc of America Commercial Mortgage Trust: | ||||||||
Series 2017-BNK3, Class XB, | 11,850 | 526,334 | ||||||
Series 2017-BNK3, Class XD, | 5,000 | 424,100 | ||||||
Barclays Commercial Mortgage Trust, Series 2015-SRCH, Class XA, | 17,710 | 1,105,104 | ||||||
Benchmark Mortgage Trust,Series 2019-B9, Class XA, 1.05%, 03/15/52(d) | 21,034 | 1,750,597 | ||||||
CFCRE Commercial Mortgage Trust: | ||||||||
Series 2016-C3, Class XD, | 5,497 | 543,818 | ||||||
Series 2016-C4, Class XA, | 6,140 | 566,550 | ||||||
Series 2016-C4, Class XB, | 5,810 | 273,070 | ||||||
Commercial Mortgage Pass-Through Certificates: | ||||||||
Series 2013-CR6, Class XA, | 20,460 | 608,905 | ||||||
Series 2015-3BP, Class XA, | 150,000 | 826,500 |
76 | 2019 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Interest Only Commercial Mortgage-Backed Securities (continued) | ||||||||
Commercial Mortgage Pass-Through Certificates: (continued) | ||||||||
Series 2015-CR25, Class XA, | USD 23,215 | $ | 997,437 | |||||
Series 2018-COR3, Class XD, | 3,200 | 412,771 | ||||||
Core Industrial Trust: | ||||||||
Series 2015-TEXW, Class XA, | 12,812 | 239,181 | ||||||
Series 2015-WEST, Class XA, | 9,716 | 474,827 | ||||||
CSAIL Commercial Mortgage Trust, | 12,490 | 208,361 | ||||||
Deutsche Bank JPMorgan Mortgage Trust, | 5,780 | 360,210 | ||||||
FREMF Mortgage Trust, | 90,267 | 198,273 | ||||||
JPMBB Commercial Mortgage Securities Trust: | ||||||||
Series 2014-C22, Class XA, | 2,110 | 77,803 | ||||||
Series 2014-C23, Class XA, | 33,638 | 900,052 | ||||||
Series 2015-C29, Class XA, | 2,746 | 77,473 | ||||||
JPMDB Commercial Mortgage Securities Trust,Series 2016-C4, Class XC, | 4,940 | 237,533 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust: | ||||||||
Series 2013-LC11, Class XB, | 4,570 | 93,316 | ||||||
Series 2016-JP3, Class XC, | 13,040 | 602,448 | ||||||
LSTAR Commercial Mortgage Trust, | 3,557 | 161,585 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||
Series 2014-C19, Class XF, | 4,370 | 228,507 | ||||||
Series 2015-C22, Class XA, | 2,965 | 140,393 | ||||||
Series 2015-C26, Class XD, | 4,490 | 345,056 | ||||||
Series 2016-C31, Class XA, | 2,597 | 201,512 | ||||||
Morgan Stanley Capital I Trust: | ||||||||
Series 2016-UBS9, Class XD, | 13,984 | 1,323,446 | ||||||
Series 2017-H1, Class XD, | 3,293 | 494,543 | ||||||
Series 2018-H4, Class XA, | 13,981 | 932,613 | ||||||
Series 2019-L2, Class XA, | 8,874 | 737,615 | ||||||
Olympic Tower Mortgage Trust, | 36,697 | 1,076,690 | ||||||
One Market Plaza Trust: | ||||||||
Series 2017-1MKT, Class XCP, | 53,230 | 218,243 |
Security | Par (000) | Value | ||||||
Interest Only Commercial Mortgage-Backed Securities (continued) | ||||||||
One Market Plaza Trust: (continued) | ||||||||
Series 2017-1MKT, Class XNCP, | USD 10,646 | $ | 106 | |||||
UBS Commercial Mortgage Trust, | 4,992 | 379,520 | ||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||
Series 2015-NXS1, Class XB, | 3,210 | 93,282 | ||||||
Series 2015-NXS4, Class XA, | 3,179 | 148,456 | ||||||
Series 2016-BNK1, Class XD, | 3,420 | 254,380 | ||||||
Series 2018-C44, Class XA, | 13,898 | 757,002 | ||||||
|
| |||||||
Total Interest Only Commercial Mortgage-Backed | 19,179,482 | |||||||
|
| |||||||
Principal Only Collateralized Mortgage Obligations — 0.0% | ||||||||
Seasoned Credit Risk Transfer Trust,Series 2017-3, Class B, | 1,617 | 133,117 | ||||||
|
| |||||||
TotalNon-Agency Mortgage-Backed Securities — 4.8% | 649,650,962 | |||||||
|
| |||||||
Preferred Securities — 0.7% | ||||||||
Capital Trusts — 0.7% | ||||||||
Banks — 0.2% | ||||||||
Banco Mercantil del Norte SA: | ||||||||
(5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 5.035%), 6.88%(b)(l)(m) | 903 | 897,356 | ||||||
(10 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 5.353%), 7.63%(b)(l)(m) | 903 | 903,000 | ||||||
Bank of America Corp., | 1,685 | 1,709,685 | ||||||
Bank of East Asia Ltd., | 285 | 286,087 | ||||||
BNP Paribas SA, | 2,295 | 2,435,569 | ||||||
Cooperatieve Rabobank UA, | 7,080 | 7,212,750 | ||||||
Emirates NBD PJSC, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 3.656%), 6.13%(l)(m) | 1,650 | 1,661,962 | ||||||
HSBC Holdings PLC, (USD Swap Rate 11:00 am NY 1 + 3.746%), 6.00%(l)(m) | 10,345 | 10,257,068 | ||||||
Itau Unibanco Holding SA: | ||||||||
(5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 3.981%), 6.13%(b)(l)(m) | 1,607 | 1,572,859 | ||||||
(5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 3.863%), 6.50%(b)(l)(m) | 946 | 935,599 | ||||||
Lehman Brothers Holdings Capital Trust VII, 5.86%(c)(g)(k)(m) | 1,888 | — |
M A S T E R P O R T F O L I O C O N S O L I D A T E D S C H E D U L E O F I N V E S T M E N T S | 77 |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Banks (continued) | ||||||||
Nordea Bank Abp, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 4.110%), 6.63%(b)(l)(m) | USD | 4,805 | $ | 4,792,987 | ||||
Shinhan Financial Group Co. Ltd., | 900 | 925,762 | ||||||
United Overseas Bank Ltd., | 864 | 829,928 | ||||||
|
| |||||||
34,420,612 | ||||||||
Capital Markets — 0.3% | ||||||||
Bank of New York Mellon Corp., Series F, (3 mo. LIBOR US + 3.131%), 4.63%(l)(m) | 6,967 | 6,583,815 | ||||||
Credit Suisse Group AG, | 6,995 | 7,021,231 | ||||||
State Street Corp., | 9,655 | 9,727,412 | ||||||
UBS Group Funding Switzerland AG, (5 yr. Swap Semi 30/360 US + 4.344%), 7.00%(b)(l)(m) | 11,250 | 11,419,087 | ||||||
|
| |||||||
34,751,545 | ||||||||
Commercial Services & Supplies — 0.0% | ||||||||
King Talent Management Ltd., | 600 | 529,965 | ||||||
|
| |||||||
Construction & Engineering — 0.0% | ||||||||
Chalieco Hong Kong Corp. Ltd., | 200 | 200,855 | ||||||
|
| |||||||
Industrial Conglomerates — 0.0% | ||||||||
Tewoo Group No. 5 Ltd., | 350 | 294,264 | ||||||
|
| |||||||
Insurance — 0.0% | ||||||||
Heungkuk Life Insurance Co. Ltd., | 1,000 | 938,750 | ||||||
KDB Life Insurance Co. Ltd., | 900 | 862,771 | ||||||
Mitsui Sumitomo Insurance Co. Ltd., | 3,000 | 3,071,250 | ||||||
|
| |||||||
4,872,771 | ||||||||
Machinery — 0.0% | ||||||||
Weichai International Hong Kong Energy Group Co. Ltd., (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 6.084%), 3.75%(l)(m) | 278 | 270,126 | ||||||
|
| |||||||
Media — 0.1% | ||||||||
NBCUniversal Enterprise, Inc., 5.25%(b)(m) | 10,010 | 10,160,150 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 0.1% | ||||||||
Enbridge, Inc., (3 mo. LIBOR US + 3.418%), 5.50%, 07/15/77(l) | 10,120 | 9,563,400 | ||||||
PTTEP Treasury Center Co. Ltd., | 825 | 819,922 | ||||||
|
| |||||||
10,383,322 |
Security | Par (000) | Value | ||||||
Real Estate Management & Development — 0.0% | ||||||||
Agile Group Holdings Ltd., (5 yr. US Treasury Yield Curve Rate T Note Constant | USD | 200 | $ | 195,177 | ||||
|
| |||||||
Transportation Infrastructure — 0.0% | ||||||||
Royal Capital BV, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 5.930%), 4.88%(l)(m) | 219 | 212,844 | ||||||
|
| |||||||
Wireless Telecommunication Services — 0.0% | ||||||||
Vodafone Group PLC, | 4,205 | 4,266,987 | ||||||
|
| |||||||
Total Preferred Securities — 0.7% |
| 100,558,618 | ||||||
|
| |||||||
Taxable Municipal Bonds — 4.4% | ||||||||
American Municipal Power, Inc. RB: | ||||||||
7.83%, 02/15/41 | 1,500 | 2,261,370 | ||||||
6.45%, 02/15/44 | 4,635 | 6,241,584 | ||||||
Arizona Health Facilities Authority RB, | 1,355 | 1,298,984 | ||||||
Arizona State University RB, 5.00%, 07/01/43 | 1,160 | 1,353,952 | ||||||
Bay Area Toll Authority RB: | ||||||||
6.92%, 04/01/40 | 3,145 | 4,373,060 | ||||||
7.04%, 04/01/50 | 11,815 | 18,072,460 | ||||||
Berks County Industrial Development | ||||||||
5.00%, 11/01/47 | 1,780 | 2,002,162 | ||||||
5.00%, 11/01/50 | 1,660 | 1,861,707 | ||||||
Buckeye Tobacco Settlement Financing | 5,210 | 5,080,063 | ||||||
California Health Facilities Financing | ||||||||
5.00%, 08/15/33 | 1,190 | 1,409,567 | ||||||
5.00%, 08/15/47 | 1,650 | 1,859,616 | ||||||
California Pollution Control Financing Authority RB, 5.00%, 11/21/45(b) | 1,000 | 1,054,730 | ||||||
Canaveral Port Authority RB: | ||||||||
5.00%, 06/01/45 | 1,890 | 2,124,492 | ||||||
5.00%, 06/01/48 | 1,890 | 2,175,314 | ||||||
Central Puget Sound Regional Transit Authority RB, 5.00%, 11/01/50 | 1,730 | 1,950,835 | ||||||
Central Texas Regional Mobility Authority RB: | ||||||||
5.00%, 01/01/45 | 900 | 995,022 | ||||||
5.00%, 01/01/46 | 900 | 999,900 | ||||||
Chesapeake Bay Bridge & Tunnel District RB, 5.00%, 07/01/51 | 700 | 775,103 | ||||||
Chesapeake Bay Bridge & Tunnel District RB AGM, 5.00%, 07/01/41 | 880 | 1,014,966 | ||||||
Chicago O’Hare International Airport RB, 4.47%, 01/01/49 | 2,895 | 3,180,158 | ||||||
City & County of Denver, CO RB: | ||||||||
5.00%, 08/01/44 | 2,950 | 3,389,963 | ||||||
5.00%, 08/01/48 | 2,170 | 2,487,862 | ||||||
City of Atlanta, GA Water & Wastewater Revenue RB: | ||||||||
5.00%, 11/01/40 | 885 | 1,008,431 | ||||||
5.00%, 11/01/41 | 1,680 | 1,978,805 |
78 | 2019 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
City of Aurora, CO Water Revenue RB: | ||||||||
5.00%, 08/01/41 | USD | 3,500 | $ | 4,062,100 | ||||
5.00%, 08/01/46 | 3,530 | 4,077,221 | ||||||
City of Austin, TX Water & Wastewater System Revenue RB, 5.00%, 11/15/43 | 1,650 | 1,846,713 | ||||||
City of Columbia, SC Waterworks & Sewer System Revenue RB, 5.00%, 02/01/42 | 1,350 | 1,596,740 | ||||||
City of New York, NY GO, 3.76%, 12/01/27 | 2,675 | 2,791,068 | ||||||
City of Philadelphia, PA Airport Revenue RB, 5.00%, 07/01/42 | 1,000 | 1,134,700 | ||||||
City of Riverside, CA Electric Revenue RB, 7.61%, 10/01/40 | 1,325 | 2,004,513 | ||||||
City of San Antonio, TX Electric & Gas Systems Revenue RB, 5.00%, 02/01/48 | 730 | 797,364 | ||||||
City Public Service Board of San Antonio, | 3,260 | 4,316,794 | ||||||
Colorado Health Facilities Authority RB, 5.25%, 02/01/31 | 785 | 826,629 | ||||||
Commonwealth Financing Authority RB: | ||||||||
3.86%, 06/01/38 | 2,325 | 2,362,107 | ||||||
4.14%, 06/01/38 | 1,730 | 1,815,652 | ||||||
Commonwealth of Puerto Rico GO, 8.00%, 07/01/35(g)(k) | 12,415 | 6,440,281 | ||||||
Connecticut State Health & Educational Facility Authority RB, 5.00%, 07/01/45 | 1,700 | 1,840,726 | ||||||
Contra Costa Community College District GO, 6.50%, 08/01/34 | 570 | 743,753 | ||||||
County of King, WA Sewer Revenue RB, 5.00%, 07/01/47 | 1,780 | 1,984,326 | ||||||
County of Miami-Dade, FL Aviation RB, 4.06%, 10/01/31 | 1,765 | 1,855,933 | ||||||
County of Miami-Dade, FL Aviation | ||||||||
3.35%, 10/01/29 | 560 | 558,387 | ||||||
3.45%, 10/01/30 | 1,030 | 1,024,613 | ||||||
3.50%, 10/01/31 | 965 | 963,253 | ||||||
5.00%, 10/01/38 | 1,600 | 1,797,344 | ||||||
5.00%, 10/01/40 | 1,650 | 1,893,276 | ||||||
County of Wake, NC GO: | ||||||||
5.00%, 03/01/20 | 1,890 | 1,950,140 | ||||||
5.00%, 03/01/21 | 2,670 | 2,846,140 | ||||||
5.00%, 03/01/22 | 2,670 | 2,932,861 | ||||||
5.00%, 03/01/23 | 2,695 | 3,046,482 | ||||||
Dallas Area Rapid Transit RB: | ||||||||
5.00%, 12/01/41 | 1,780 | 2,031,710 | ||||||
5.00%, 12/01/46 | 2,410 | 2,739,134 | ||||||
Dallas/Fort Worth International Airport RB: | ||||||||
5.00%, 11/01/42 | 2,025 | 2,157,820 | ||||||
Series A, 5.00%, 11/01/43 | 60 | 62,474 | ||||||
5.00%, 11/01/45 | 3,670 | 3,822,489 | ||||||
5.00%, 11/01/45 | 2,650 | 2,822,436 | ||||||
District of Columbia RB: | ||||||||
5.00%, 07/15/34 | 775 | 883,818 | ||||||
5.00%, 07/15/35 | 775 | 880,013 | ||||||
DuBois Hospital Authority RB, 5.00%, 07/15/43 | 1,290 | 1,457,868 | ||||||
Dutchess County Local Development Corp. RB, 5.00%, 07/01/46 | 2,685 | 3,006,932 | ||||||
Grand Parkway Transportation Corp. RB, 5.00%, 10/01/43 | 3,230 | 3,802,033 | ||||||
Grant County Public Utility District No. 2 RB, 4.58%, 01/01/40 | 600 | 657,774 | ||||||
Great Lakes Water Authority Water Supply System Revenue RB, 5.25%, 07/01/33 | 755 | 896,177 | ||||||
Health & Educational Facilities Authority of the State of Missouri RB: | ||||||||
5.00%, 11/15/29 | 840 | 983,665 | ||||||
3.65%, 01/15/46 | 1,165 | 1,175,823 | ||||||
3.09%, 09/15/51 | 3,955 | 3,533,713 | ||||||
Idaho Health Facilities Authority RB, 5.00%, 12/01/47 | 1,155 | 1,319,853 |
Security | Par (000) | Value | ||||||
Indiana Finance Authority RB, 5.00%, 10/01/45 | USD | 3,120 | $ | 3,501,919 | ||||
Indiana Housing & Community Development Authority RB GNMA Collateral, 3.80%, 07/01/38 | 930 | 958,523 | ||||||
JobsOhio Beverage System RB, 3.99%, 01/01/29 | 8,385 | 8,881,392 | ||||||
Kentucky Economic Development Finance Authority RB, 5.25%, 06/01/50 | 850 | 910,384 | ||||||
Kentucky Turnpike Authority RB, 5.00%, 07/01/20 | 1,330 | 1,384,410 | ||||||
Las Vegas Valley Water District GO, 5.00%, 06/01/46 | 1,050 | 1,200,024 | ||||||
Lexington County Health Services | 960 | 1,052,938 | ||||||
Los Angeles Community College District GO, 6.60%, 08/01/42 | 5,160 | 7,434,734 | ||||||
Los Angeles Department of Water & Power RB, 6.60%, 07/01/50 | 2,645 | 3,963,453 | ||||||
Los Angeles Unified School District GO: | ||||||||
5.75%, 07/01/34 | 415 | 510,155 | ||||||
6.76%, 07/01/34 | 7,405 | 9,852,649 | ||||||
Louisiana Public Facilities Authority RB, 5.00%, 07/01/48 | 1,240 | 1,406,011 | ||||||
Louisville & Jefferson County Metropolitan Sewer District RB, 5.00%, 05/15/25 | 1,975 | 2,337,610 | ||||||
Maryland Community Development Administration RB, 3.85%, 09/01/33 | 1,620 | 1,713,182 | ||||||
Maryland Health & Higher Educational Facilities Authority RB, 5.25%, 07/01/27 | 815 | 929,010 | ||||||
Maryland Stadium Authority RB, 5.00%, 05/01/41 | 1,580 | 1,801,326 | ||||||
Massachusetts Bay Transportation Authority RB: | ||||||||
5.00%, 07/01/39 | 970 | 1,140,235 | ||||||
5.00%, 07/01/40 | 1,020 | 1,196,215 | ||||||
Massachusetts Development Finance Agency RB: | ||||||||
5.00%, 07/01/43 | 2,390 | 2,712,985 | ||||||
5.00%, 07/01/47 | 1,260 | 1,421,104 | ||||||
5.00%, 07/01/48 | 2,535 | 2,863,840 | ||||||
5.00%, 07/01/53 | 2,500 | 2,799,975 | ||||||
Massachusetts Educational Financing | 500 | 540,055 | ||||||
Massachusetts Housing Finance Agency RB: | ||||||||
4.50%, 12/01/39 | 940 | 981,952 | ||||||
4.60%, 12/01/44 | 995 | 1,040,173 | ||||||
4.50%, 12/01/48 | 1,160 | 1,222,014 | ||||||
Massachusetts Port Authority RB, 5.00%, 07/01/43 | 1,590 | 1,803,171 | ||||||
Massachusetts Water Resources Authority RB, 5.00%, 08/01/40 | 920 | 1,068,102 | ||||||
Mesquite Independent School District GO PSF, 5.00%, 08/15/42 | 1,700 | 1,965,030 | ||||||
Metropolitan Atlanta Rapid Transit Authority RB: | ||||||||
4.00%, 07/01/25 | 1,425 | 1,616,477 | ||||||
5.00%, 07/01/45 | 1,380 | 1,596,191 | ||||||
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board RB: | ||||||||
5.00%, 07/01/40 | 930 | 1,041,721 | ||||||
5.00%, 07/01/46 | 1,800 | 2,010,870 | ||||||
Metropolitan St. Louis Sewer District RB: | ||||||||
5.00%, 05/01/42 | 2,670 | 3,121,684 | ||||||
5.00%, 05/01/47 | 2,290 | 2,670,209 | ||||||
Metropolitan Transportation Authority RB: | ||||||||
5.87%, 11/15/39 | 735 | 905,189 | ||||||
6.67%, 11/15/39 | 350 | 472,332 | ||||||
6.69%, 11/15/40 | 1,160 | 1,566,197 | ||||||
6.81%, 11/15/40 | 860 | 1,172,825 |
M A S T E R P O R T F O L I O C O N S O L I D A T E D S C H E D U L E O F I N V E S T M E N T S | 79 |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Metropolitan Transportation Authority RB: (continued) | ||||||||
5.00%, 11/15/45 | USD 880 | $ | 978,850 | |||||
Metropolitan Washington Airports Authority Dulles Toll Road | ||||||||
7.46%, 10/01/46 | 1,060 | 1,599,254 | ||||||
5.00%, 10/01/53 | 1,000 | 1,047,660 | ||||||
Metropolitan Washington Airports Authority RB, | ||||||||
5.00%, 10/01/32 | 2,710 | 3,155,334 | ||||||
Michigan Finance Authority RB: | ||||||||
5.00%, 06/01/39 | 840 | 932,778 | ||||||
5.00%, 11/15/41 | 850 | 952,212 | ||||||
5.00%, 12/01/47 | 7,010 | 7,597,368 | ||||||
Michigan State Housing Development Authority RB: | ||||||||
3.55%, 10/01/33 | 1,055 | 1,086,017 | ||||||
4.00%, 10/01/43 | 1,010 | 1,045,845 | ||||||
4.05%, 10/01/48 | 465 | 479,187 | ||||||
4.15%, 10/01/53 | 2,400 | 2,475,264 | ||||||
Mississippi Hospital Equipment & Facilities Authority RB, 5.00%, 09/01/46 | 1,610 | 1,765,429 | ||||||
Municipal Electric Authority of | 1,610 | 1,811,894 | ||||||
New Hope Cultural Education Facilities Finance Corp. RB, 5.00%, 08/15/47 | 1,380 | 1,582,529 | ||||||
New Jersey State Turnpike | 2,329 | 3,498,205 | ||||||
New Jersey Transportation Trust Fund Authority RB, 5.00%, 06/15/29 | 915 | 1,045,168 | ||||||
New Orleans Aviation Board RB, 5.00%, 01/01/40 | 1,140 | 1,253,396 | ||||||
New York City Housing | ||||||||
3.70%, 11/01/38 | 1,090 | 1,117,021 | ||||||
3.85%, 11/01/43 | 3,300 | 3,385,668 | ||||||
4.00%, 11/01/53 | 3,510 | 3,584,236 | ||||||
New York City Transitional Finance Authority Building Aid Revenue RB, 5.00%, 07/15/40 | 930 | 1,065,929 | ||||||
New York City Transitional Finance Authority Future Tax Secured Revenue RB: | ||||||||
3.55%, 05/01/25 | 5,040 | 5,240,088 | ||||||
3.05%, 05/01/27 | 4,675 | 4,689,726 | ||||||
3.90%, 08/01/31 | 4,860 | 5,069,223 | ||||||
5.00%, 05/01/36 | 990 | 1,152,350 | ||||||
New York City Water & Sewer | ||||||||
5.75%, 06/15/41 | 1,330 | 1,761,997 | ||||||
6.01%, 06/15/42 | 665 | 907,226 | ||||||
5.38%, 06/15/43 | 4,410 | 4,671,733 | ||||||
5.44%, 06/15/43 | 1,775 | 2,290,016 | ||||||
5.50%, 06/15/43 | 5,285 | 5,618,853 | ||||||
5.88%, 06/15/44 | 1,240 | 1,695,117 | ||||||
New York Convention Center Development Corp. RB: | ||||||||
5.00%, 11/15/40 | 930 | 1,058,052 | ||||||
5.00%, 11/15/46 | 2,370 | 2,730,311 | ||||||
New York Liberty Development Corp. RB, | 2,200 | 2,344,980 | ||||||
New York State Dormitory Authority RB: | ||||||||
5.00%, 02/15/36 | 1,870 | 2,214,604 | ||||||
5.00%, 02/15/37 | 950 | 1,120,905 | ||||||
5.00%, 02/15/38 | 940 | 1,105,835 | ||||||
5.00%, 02/15/40 | 945 | 1,105,858 | ||||||
5.39%, 03/15/40 | 1,470 | 1,776,480 | ||||||
New York State Urban Development Corp. RB: | ||||||||
3.12%, 03/15/25 | 2,900 | 2,958,783 | ||||||
3.25%, 03/15/25 | 2,325 | 2,388,635 | ||||||
3.32%, 03/15/29 | 4,035 | 4,060,380 | ||||||
New York Transportation Development Corp. RB: | ||||||||
5.00%, 08/01/20 | 2,200 | 2,272,820 |
Security | Par (000) | Value | ||||||
New York Transportation Development Corp. RB: (continued) | ||||||||
5.00%, 07/01/46 | USD 730 | $ | 790,159 | |||||
5.25%, 01/01/50 | 5,190 | 5,660,266 | ||||||
North Carolina Turnpike Authority RB AGM, | ||||||||
5.00%, 01/01/35 | 1,290 | 1,530,688 | ||||||
North Texas Tollway Authority RB, 5.00%, 01/01/43 | 1,245 | 1,447,188 | ||||||
Ohio Turnpike & Infrastructure Commission RB, | 1,720 | 1,872,203 | ||||||
Oklahoma Development Finance Authority RB: | ||||||||
5.25%, 08/15/43 | 1,000 | 1,141,920 | ||||||
5.25%, 08/15/48 | 500 | 567,750 | ||||||
5.50%, 08/15/57 | 4,760 | 5,451,295 | ||||||
Orange County Local Transportation Authority RB, 6.91%, 02/15/41 | 2,790 | 3,798,306 | ||||||
Oregon School Boards Association GO, 5.49%, 06/30/23 | 2,350 | 2,633,997 | ||||||
Oregon School Boards Association GO AMBAC, | 4,460 | 4,866,484 | ||||||
Pennsylvania Economic Development Financing Authority RB: | ||||||||
5.00%, 12/31/22 | 1,000 | 1,094,530 | ||||||
5.00%, 12/31/38 | 320 | 352,173 | ||||||
Pennsylvania Turnpike Commission RB: | ||||||||
5.00%, 12/01/43 | 3,460 | 3,969,727 | ||||||
5.00%, 12/01/46 | 1,120 | 1,264,704 | ||||||
5.00%, 12/01/48 | 11,290 | 13,231,767 | ||||||
5.00%, 12/01/48 | 2,805 | 3,206,227 | ||||||
Port Authority of New York & New Jersey RB: | ||||||||
5.65%, 11/01/40 | 2,165 | 2,801,618 | ||||||
4.96%, 08/01/46 | 2,660 | 3,243,099 | ||||||
5.00%, 11/15/47 | 860 | 987,856 | ||||||
4.93%, 10/01/51 | 1,045 | 1,260,991 | ||||||
4.46%, 10/01/62 | 3,155 | 3,534,641 | ||||||
Port of Seattle, WA RB, 5.00%, 05/01/43 | 930 | 1,053,885 | ||||||
Public Power Generation Agency RB, | 1,070 | 1,220,453 | ||||||
Putnam County Development | 2,965 | 3,403,731 | ||||||
Regents of the University of California Medical Center Pooled Revenue RB: | ||||||||
5.00%, 05/15/47 | 1,500 | 1,702,335 | ||||||
6.58%, 05/15/49 | 2,860 | 3,959,270 | ||||||
Royal Oak Hospital Finance | 1,160 | 1,271,290 | ||||||
Sacramento County Sanitation Districts Financing Authority RB, 2.29%, 12/01/35(d) | 1,940 | 1,899,299 | ||||||
Salt Lake City Corp. Airport | ||||||||
5.00%, 07/01/47 | 2,960 | 3,359,126 | ||||||
5.00%, 07/01/47 | 1,100 | 1,269,928 | ||||||
Salt River Project Agricultural Improvement & Power District RB: | ||||||||
5.00%, 01/01/36 | 1,840 | 2,217,734 | ||||||
5.00%, 12/01/45 | 6,365 | 7,238,023 | ||||||
San Antonio Water System RB, 5.00%, 05/15/39 | 1,520 | 1,710,942 | ||||||
San Diego County Regional Airport Authority RB, | 1,640 | 1,901,170 | ||||||
San Diego Public Facilities Financing Authority Sewer Revenue RB, 5.00%, 05/15/39 | 1,250 | 1,460,187 | ||||||
San Francisco City & County AirportComm-San Francisco International Airport RB, 5.00%, 05/01/46 | 3,330 | 3,760,003 | ||||||
San Jose Redevelopment Agency Successor Agency TA: | ||||||||
2.96%, 08/01/24 | 7,265 | 7,321,522 | ||||||
3.13%, 08/01/28 | 4,275 | 4,252,770 |
80 | 2019 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
San Jose Redevelopment Agency Successor Agency TA: (continued) | ||||||||
3.25%, 08/01/29 | USD 3,585 | $ | 3,583,960 | |||||
South Carolina Ports Authority RB, | ||||||||
5.00%, 07/01/55 | 920 | 1,028,063 | ||||||
South Carolina Public Service Authority RB, | ||||||||
2.39%, 12/01/23 | 2,532 | 2,451,710 | ||||||
Spartanburg County School District No. 7 GO SCSDE, 5.00%, 03/01/48 | 645 | 763,938 | ||||||
State of California GO: | ||||||||
5.00%, 10/01/25 | 3,685 | 4,424,211 | ||||||
7.50%, 04/01/34 | 2,210 | 3,190,467 | ||||||
4.60%, 04/01/38 | 16,540 | 17,621,054 | ||||||
7.55%, 04/01/39 | 3,715 | 5,642,045 | ||||||
7.30%, 10/01/39 | 2,575 | 3,726,102 | ||||||
7.35%, 11/01/39 | 720 | 1,047,989 | ||||||
State of Connecticut GO, 3.31%, 01/15/26 | 4,655 | 4,677,996 | ||||||
State of Illinois GO: | ||||||||
5.00%, 05/01/20 | 1,380 | 1,419,220 | ||||||
5.00%, 11/01/22 | 785 | 846,332 | ||||||
5.00%, 11/01/24 | 4,450 | 4,866,520 | ||||||
5.00%, 12/01/24 | 870 | 952,302 | ||||||
5.00%, 11/01/25 | 4,300 | 4,740,578 | ||||||
5.00%, 11/01/26 | 4,590 | 5,065,799 | ||||||
5.10%, 06/01/33 | 13,140 | 12,911,627 | ||||||
State of Texas GO: | ||||||||
5.00%, 04/01/40 | 1,310 | 1,512,945 | ||||||
5.00%, 04/01/43 | 2,100 | 2,414,559 | ||||||
State of Washington GO: | ||||||||
5.00%, 08/01/40 | 2,720 | 3,101,154 | ||||||
5.00%, 08/01/40 | 1,120 | 1,315,048 | ||||||
5.00%, 02/01/41 | 1,880 | 2,192,193 | ||||||
5.00%, 08/01/41 | 1,175 | 1,380,073 | ||||||
State of West Virginia GO, 5.00%, 12/01/40 | 810 | 963,649 | ||||||
State of Wisconsin GO: | ||||||||
5.00%, 05/01/36 | 1,520 | 1,742,163 | ||||||
5.00%, 05/01/38 | 1,530 | 1,750,534 | ||||||
State of Wisconsin RB: | ||||||||
5.00%, 05/01/25 | 1,810 | 2,152,018 | ||||||
3.15%, 05/01/27 | 1,900 | 1,910,545 | ||||||
Sumter Landing Community Development District RB, 4.17%, 10/01/47 | 920 | 934,573 | ||||||
Tennessee Housing Development Agency RB: | ||||||||
3.75%, 07/01/38 | 980 | 1,015,790 | ||||||
3.85%, 07/01/43 | 460 | 471,353 | ||||||
3.95%, 01/01/49 | 365 | 375,001 | ||||||
Texas A&M University RB, | ||||||||
2.84%, 05/15/27 | 2,240 | 2,239,821 | ||||||
Texas Municipal Gas Acquisition & Supply Corp. RB, 6.25%, 12/15/26 | 790 | 917,506 | ||||||
Texas Private Activity Bond Surface Transportation Corp. RB, | ||||||||
5.00%, 12/31/55 | 370 | 400,037 | ||||||
Tobacco Settlement Finance Authority RB, | ||||||||
7.47%, 06/01/47 | 6,640 | 6,625,060 | ||||||
Tobacco Settlement Financing Corp. RB, | ||||||||
6.71%, 06/01/46 | 4,195 | 4,052,957 | ||||||
TSASC, Inc. RB, 5.00%, 06/01/41 | 1,700 | 1,834,028 | ||||||
University of California RB: | ||||||||
3.06%, 07/01/25 | 1,865 | 1,897,861 | ||||||
4.60%, 05/15/31 | 1,950 | 2,176,258 | ||||||
4.86%, 05/15/2112 | 1,415 | 1,591,932 | ||||||
University of Delaware RB, 4.22%, 11/01/58 | 2,175 | 2,359,549 | ||||||
University of Houston RB, 5.00%, 02/15/36 | 2,560 | 2,956,109 | ||||||
University of Oregon RB, 5.00%, 04/01/46 | 1,270 | 1,447,025 | ||||||
Virginia Small Business Financing Authority RB: | ||||||||
5.00%, 12/31/52 | 2,535 | 2,769,082 | ||||||
5.00%, 12/31/56 | 2,190 | 2,385,720 | ||||||
Washington Metropolitan Area Transit Authority RB, 5.00%, 07/01/36 | 1,045 | 1,236,799 | ||||||
Weld County School District No.RE-4 GO, | ||||||||
5.25%, 12/01/41 | 1,560 | 1,840,894 |
Security | Par (000) | Value | ||||||
West Virginia Hospital Finance | ||||||||
5.00%, 06/01/19 | USD 895 | $ | 899,860 | |||||
5.00%, 06/01/20 | 965 | 999,701 | ||||||
5.00%, 06/01/21 | 960 | 1,022,669 | ||||||
5.00%, 06/01/22 | 1,050 | 1,149,561 | ||||||
5.00%, 06/01/23 | 870 | 975,209 | ||||||
5.00%, 06/01/24 | 935 | 1,070,276 | ||||||
Wisconsin Health & Educational Facilities Authority RB, 5.00%, 12/15/44 | 790 | 868,565 | ||||||
|
| |||||||
Total Taxable Municipal Bonds — 4.4% | 602,769,683 | |||||||
|
| |||||||
U.S. Government Sponsored Agency |
| |||||||
Agency Obligations — 0.0% | ||||||||
Fannie Mae 6.63%, 11/15/30 | 1,450 | 1,996,744 | ||||||
|
| |||||||
Collateralized Mortgage Obligations — 0.0% | ||||||||
Fannie Mae: | ||||||||
Series 2003-W5, Class A, | 2 | 2,063 | ||||||
Series 2005-48, Class AR, 5.50%, 02/25/35 | 1 | 1,046 | ||||||
Freddie Mac: | ||||||||
Series 2015-DN1, Class B, | 497 | 693,038 | ||||||
Series 2015-HQ2, Class B, | 526 | 633,836 | ||||||
Series 2017-DNA2, Class B1, | 590 | 666,438 | ||||||
Series 2017-DNA3, Class B1, | 1,860 | 1,995,733 | ||||||
Series 2017-HRP1, Class M2, | 810 | 823,761 | ||||||
|
| |||||||
4,815,915 | ||||||||
Commercial Mortgage-Backed Securities — 0.3% | ||||||||
Fannie Mae: | ||||||||
Series 2006-M2, Class A2A, 5.27%, 10/25/32(d) | 1,735 | 1,902,015 | ||||||
Series 2015-M10, Class A2, 3.09%, 04/25/27(d) | 1,000 | 1,007,279 | ||||||
Series 2017-M14, Class A2, 2.88%, 11/25/27(d) | 3,010 | 2,993,480 | ||||||
Series 2017-M7, Class A2, 2.96%, 02/25/27(d) | 5,649 | 5,657,971 | ||||||
Series 2018-M12, Class A1, 3.55%, 02/25/30 | 256 | 267,652 | ||||||
Series 2018-M14, Class A2, 3.58%, 08/25/28(d) | 3,103 | 3,241,709 | ||||||
Series 2019-M1, Class A2, 3.56%, 09/25/28(d) | 1,640 | 1,714,223 | ||||||
Freddie Mac: | ||||||||
Series K058, Class A2, 2.65%, 08/25/26 | 618 | 611,309 | ||||||
Series K063, Class A2, 3.43%, 01/25/27(d) | 4,965 | 5,160,087 | ||||||
Series K064, Class A2, 3.22%, 03/25/27 | 1,493 | 1,530,163 | ||||||
Series K076, Class A2, 3.90%, 06/25/51 | 1,246 | 1,338,809 | ||||||
Series K077, Class A2, 3.85%, 05/25/28(d) | 2,020 | 2,163,424 | ||||||
Series K083, Class A2, 4.05%, 09/25/28(d) | 4,050 | 4,404,241 | ||||||
Series K085, Class A2, 4.06%, 10/25/28(d) | 1,173 | 1,277,116 | ||||||
Series KJ20, Class A2, 3.80%, 12/25/25 | 1,040 | 1,091,824 | ||||||
Series KL4F, Class A2AS, 3.68%, 10/25/25(d) | 1,664 | 1,723,982 | ||||||
Series KW06, Class A2, 3.80%, 06/25/28(d) | 1,040 | 1,101,982 | ||||||
Ginnie Mae: | ||||||||
Series 2015-97, Class VA, 2.25%, 12/16/38 | 1,095 | 1,027,221 |
M A S T E R P O R T F O L I O C O N S O L I D A T E D S C H E D U L E O F I N V E S T M E N T S | 81 |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||
Ginnie Mae: (continued) | ||||||||
Series 2016-158, Class VA, | USD 715 | $ | 655,139 | |||||
|
| |||||||
38,869,626 | ||||||||
Interest Only Commercial Mortgage-Backed Securities — 0.2% |
| |||||||
Fannie Mae: | ||||||||
Series 2013-M5, Class X2, | 7,391 | 212,550 | ||||||
Series 2015-M4, Class X2, | 33,978 | 321,210 | ||||||
Series 2017-M12, Class X, | 13,506 | 273,217 | ||||||
Freddie Mac: | ||||||||
Series K718, Class X1, | 5,769 | 83,697 | ||||||
Series KW01, Class X1, | 9,722 | 519,702 | ||||||
Series KW03, Class X1, | 7,683 | 404,045 | ||||||
Ginnie Mae: | ||||||||
Series 2012-23, Class IO, | 3,495 | 82,894 | ||||||
Series 2013-191, Class IO, | 2,904 | 99,887 | ||||||
Series 2013-30, Class IO, 0.80%, 09/16/53(d) | 12,986 | 534,776 | ||||||
Series 2013-63, Class IO, 0.79%, 09/16/51(d) | 17,643 | 928,084 | ||||||
Series 2013-78, Class IO, 0.79%, 10/16/54(d) | 15,015 | 643,887 | ||||||
Series 2014-40, Class AI, 1.00%, 02/16/39 | 3,171 | 39,100 | ||||||
Series 2014-52, Class AI, 0.83%, 08/16/41 | 4,394 | 92,001 | ||||||
Series 2015-171, Class IO, | 6,162 | 364,425 | ||||||
Series 2015-173, Class IO, | 6,696 | 440,878 | ||||||
Series 2015-22, Class IO, | 10,620 | 535,500 | ||||||
Series 2015-37, Class IO, | 2,408 | 136,104 | ||||||
Series 2015-48, Class IO, | 5,509 | 248,961 | ||||||
Series 2016-110, Class IO, | 6,427 | 498,694 | ||||||
Series 2016-113, Class IO, | 8,663 | 790,541 | ||||||
Series 2016-119, Class IO, | 11,006 | 914,883 | ||||||
Series 2016-125, Class IO, | 9,087 | 719,617 | ||||||
Series 2016-128, Class IO, | 13,452 | 1,051,135 | ||||||
Series 2016-13, Class IO, | 14,270 | 919,884 | ||||||
Series 2016-152, Class IO, | 16,773 | 1,272,049 | ||||||
Series 2016-158, Class IO, | 6,466 | 466,172 | ||||||
Series 2016-162, Class IO, | 26,319 | 2,128,928 | ||||||
Series 2016-165, Class IO, | 6,639 | 524,910 | ||||||
Series 2016-175, Class IO, | 11,408 | 830,162 | ||||||
Series 2016-26, Class IO, | 33,983 | 2,428,890 | ||||||
Series 2016-34, Class IO, | 9,832 | 758,709 | ||||||
Series 2016-35, Class IO, | 13,233 | 916,760 |
Security | Par (000) | Value | ||||||
Interest Only Commercial Mortgage-Backed Securities (continued) | ||||||||
Ginnie Mae: (continued) | ||||||||
Series 2016-36, Class IO, 0.94%, 08/16/57(d) | USD | 11,693 | $ | 778,859 | ||||
Series 2016-67, Class IO, 1.17%, 07/16/57(d) | 7,515 | 603,350 | ||||||
Series 2016-87, Class IO, 1.00%, 08/16/58(d) | 26,161 | 1,970,319 | ||||||
Series 2016-92, Class IO, 1.01%, 04/16/58(d) | 8,679 | 629,643 | ||||||
Series 2016-96, Class IO, 0.99%, 12/16/57(d) | 17,385 | 1,299,094 | ||||||
Series 2016-97, Class IO, 1.04%, 07/16/56(d) | 9,919 | 814,836 | ||||||
Series 2017-100, Class IO, 0.81%, 05/16/59(d) | 9,926 | 672,129 | ||||||
Series 2017-151, Class IO, 0.71%, 09/16/57(d) | 13,467 | 808,751 | ||||||
Series 2017-7, Class IO, 0.97%, 12/16/58(d) | 11,871 | 932,128 | ||||||
Series 2018-106, Class IO, 0.49%, 04/16/60(d) | 11,201 | 616,270 | ||||||
Series 2018-85, Class IO, 0.52%, 07/16/60(d) | 11,984 | 683,016 | ||||||
|
| |||||||
29,990,647 | ||||||||
Mortgage-Backed Securities — 55.8% | ||||||||
Fannie Mae Mortgage-Backed Securities: | ||||||||
5.00%, 05/01/23-04/01/49(q) | 397,254 | 420,696,917 | ||||||
4.50%, 02/01/25-04/01/49(q) | 1,613,693 | 1,685,633,344 | ||||||
3.50%, 08/01/26-04/01/49(q) | 580,319 | 590,919,285 | ||||||
2.50%, 09/01/27-02/01/33 | 97,781 | 97,386,243 | ||||||
3.00%, 04/01/28-04/01/49(q) | 529,850 | 531,863,480 | ||||||
4.00%, 08/01/31-04/01/49(q) | 1,148,213 | 1,188,359,560 | ||||||
2.00%, 10/01/31-03/01/32 | 18,779 | 18,285,396 | ||||||
5.50%, 12/01/32-04/01/41 | 25,242 | 27,666,131 | ||||||
6.00%, 02/01/34-04/01/49(q) | 24,521 | 26,830,035 | ||||||
6.50%, 05/01/40 | 2,990 | 3,418,939 | ||||||
4.99%, 09/01/44 | 4,070 | 4,375,370 | ||||||
Freddie Mac Mortgage-Backed Securities: | ||||||||
2.50%, 02/01/24-04/01/34(q) | 62,313 | 62,028,668 | ||||||
3.00%, 09/01/27-04/01/49(q) | 261,815 | 261,753,471 | ||||||
3.50%, 09/01/30-04/01/49(q) | 297,139 | 303,965,920 | ||||||
4.00%, 04/01/34-04/01/49(q) | 250,858 | 259,810,865 | ||||||
5.50%, 02/01/35-06/01/41 | 3,503 | 3,835,519 | ||||||
5.00%, 07/01/35-04/01/49(q) | 26,298 | 28,086,159 | ||||||
4.50%, 02/01/39-04/01/49(q)(r) | 171,869 | 182,618,503 | ||||||
6.00%, 04/01/49(q) | 7,800 | 8,430,551 | ||||||
Ginnie Mae Mortgage-Backed Securities: | ||||||||
5.00%, 04/15/33-04/01/49(q) | 67,084 | 70,274,545 | ||||||
4.00%, 04/20/39-04/01/49(q) | 875,903 | 904,289,463 | ||||||
4.50%, 12/20/39-04/15/49(q) | 222,979 | 231,847,370 | ||||||
3.50%, 01/15/42-04/01/49(q) | 474,441 | 484,898,263 | ||||||
3.00%, 12/20/44-04/01/49(q) | 167,054 | 167,779,418 | ||||||
5.50%, 04/15/49(q) | 5,800 | 6,124,010 | ||||||
|
| |||||||
7,571,177,425 | ||||||||
|
| |||||||
Total U.S. Government Sponsored Agency |
| 7,646,850,357 | ||||||
|
| |||||||
U.S. Treasury Obligations — 4.8% | ||||||||
U.S. Treasury Bonds: | ||||||||
4.25%, 05/15/39 | 3,851 | 4,814,653 | ||||||
4.50%, 08/15/39 | 3,741 | 4,830,128 | ||||||
4.38%, 11/15/39 | 3,754 | 4,770,220 | ||||||
3.13%, 02/15/43 | 14,619 | 15,489,858 | ||||||
2.88%, 05/15/43-11/15/46 | 18,867 | 19,144,892 |
82 | 2019 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
U.S. Treasury Bonds: (continued) | ||||||||
3.63%, 08/15/43 | USD 13,951 | $ | 16,028,391 | |||||
3.75%, 11/15/43 | 14,806 | 17,357,143 | ||||||
3.00%, 02/15/47-02/15/49 | 24,166 | 25,040,907 | ||||||
U.S. Treasury Notes: | ||||||||
1.25%, 08/31/19 | 37,483 | 37,289,728 | ||||||
1.00%, 10/15/19 | 37,483 | 37,188,700 | ||||||
1.63%, 06/30/20-10/31/23 | 67,470 | 66,459,887 | ||||||
2.50%, 02/28/21-02/28/26 | 62,166 | 62,574,603 | ||||||
2.63%, 05/15/21-02/15/29 | 58,137 | 58,704,715 | ||||||
1.13%, 06/30/21 | 26,238 | 25,599,474 | ||||||
2.25%, 07/31/21-02/15/27 | 71,413 | 71,238,727 | ||||||
2.75%, 09/15/21-08/31/23 | 7,920 | 8,050,885 | ||||||
2.13%, 09/30/21 | 26,238 | 26,151,907 | ||||||
1.88%, 04/30/22 | 26,238 | 25,955,121 | ||||||
2.38%, 02/29/24 | 48,526 | 48,842,556 | ||||||
2.00%, 04/30/24-11/15/26 | 69,864 | 68,757,379 | ||||||
|
| |||||||
Total U.S. Treasury Obligations — 4.8% | 644,289,874 | |||||||
|
| |||||||
Shares | ||||||||
Warrants — 0.0% | ||||||||
Capital Markets — 0.0% | ||||||||
Sentinel Energy Services, Inc., Class A (Issued/Exercisable 12/22/17, 1 Share for 1 Warrant, Expires 12/22/22, Strike Price USD 11.50)(g) | 145,423 | 98,888 | ||||||
Real Estate Management & Development — 0.0% | ||||||||
Target Hospitality Corp. (Issued/Exercisable 3/05/18, 1 Share for 1 Warrant, Expires 3/15/24, Strike Price USD 11.50)(g) | 8,279 | 12,832 | ||||||
|
| |||||||
Total Warrants — 0.0% | 111,720 | |||||||
|
| |||||||
Total Long-Term Investments — 127.2% | 17,275,112,788 | |||||||
|
| |||||||
Short-Term Securities — 5.7% | ||||||||
Par (000) | ||||||||
Foreign Government Obligations — 0.1% | ||||||||
Arab Republic of Egypt Treasury Bills, | EGP 239,450 | 13,759,049 | ||||||
Federal Republic of Nigeria Treasury Bills, 14.65%, 04/04/19(s) | NGN 461,802 | 1,273,512 | ||||||
|
| |||||||
Total Foreign Government Obligations — 0.1% | 15,032,561 | |||||||
|
| |||||||
Shares | ||||||||
Mutual Funds — 7.1% | ||||||||
BlackRock Liquidity Funds,T-Fund, Institutional Class, 2.37%(t)(v) | 958,809,171 | 958,809,171 | ||||||
SL Liquidity Series, LLC, Money | 233,131 | 233,177 | ||||||
|
| |||||||
Total Mutual Funds — 7.1% | 959,042,348 | |||||||
|
|
Security | Par (000) | Value | ||||||
U.S. Treasury Obligations — 0.0% | ||||||||
U.S. Treasury Bills, 2.38%, 07/18/19(s) | USD 5,140 | $ | 5,103,590 | |||||
Total U.S. Treasury Obligations — 0.0% | 5,103,590 | |||||||
|
| |||||||
Total Short-Term Investments — 7.2% | 979,178,499 | |||||||
|
| |||||||
Options Purchased — 0.1% | 11,947,530 | |||||||
|
| |||||||
Total Investments Before Options Written and TBA Sale Commitments — 134.5% | 18,266,238,817 | |||||||
|
| |||||||
TBA Sale Commitments — (32.0)%(q) | ||||||||
Mortgage-Backed Securities — (32.0)% | ||||||||
Fannie Mae Mortgage-Backed Securities: | ||||||||
2.00%, 04/01/34 | 21,320 | (20,762,234 | ) | |||||
2.50%, 04/01/34 | 508 | (504,969 | ) | |||||
3.00%, 04/01/34-04/01/49 | 69,392 | (69,408,587 | ) | |||||
3.50%, 04/01/34-04/01/49 | 1,199,469 | (1,215,810,621 | ) | |||||
4.00%, 04/01/34-04/01/49 | 845,584 | (869,781,266 | ) | |||||
4.50%, 04/01/49 | 1,095,348 | (1,141,237,013 | ) | |||||
5.00%, 04/01/49 | 74,768 | (79,022,850 | ) | |||||
5.50%, 04/01/49 | 1,113 | (1,188,306 | ) | |||||
Freddie Mac Mortgage-Backed Securities: | ||||||||
3.50%, 04/01/34-04/01/49 | 21,761 | (22,158,951 | ) | |||||
4.00%, 04/01/34-04/01/49 | 126,210 | (129,935,634 | ) | |||||
4.50%, 04/01/49 | 23,723 | (24,757,378 | ) | |||||
5.00%, 04/01/49 | 14,479 | (15,331,904 | ) | |||||
6.00%, 04/01/49 | 7,800 | (8,430,551 | ) | |||||
Ginnie Mae Mortgage-Backed Securities: | ||||||||
3.50%, 04/15/49 | 93,590 | (95,613,518 | ) | |||||
4.00%, 04/15/49 | 519,561 | (536,436,585 | ) | |||||
4.50%, 04/15/49 | 93,590 | (97,203,817 | ) | |||||
5.00%, 04/15/49 | 21,100 | (22,043,241 | ) | |||||
|
| |||||||
Total TBA Sale Commitments — (32.0)% | (4,349,627,425 | ) | ||||||
|
| |||||||
Options Written — (0.1)% | (8,461,052 | ) | ||||||
|
| |||||||
Total Investments Net of Options Written and TBA Sale Commitments — 102.4% | 13,908,150,340 | |||||||
Liabilities in Excess of Other Assets—(2.4)% | (331,881,337 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 13,576,269,003 | ||||||
|
|
M A S T E R P O R T F O L I O C O N S O L I D A T E D S C H E D U L E O F I N V E S T M E N T S | 83 |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio |
(a) | Variable rate security. Rate shown is the rate in effect as of period end. |
(b) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(c) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(d) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
(e) | Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end. |
(f) | Restricted security as to resale, excluding 144A securities. As of period end, the Fund held restricted securities with a current value of $2,046,642 and an original cost of $2,154,360 which was less than 0.1% of its net assets. |
(g) | Non-income producing security. |
(h) | Security, or a portion of the security, is on loan. |
(i) | Convertible security. |
(j) | Zero-coupon bond. |
(k) | Issuer filed for bankruptcy and/or is in default. |
(l) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(m) | Perpetual security with no stated maturity date. |
(n) | Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
(o) | Fixed rate. |
(p) | Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
(q) | Represents or includes a TBA transaction. |
(r) | All or a portion of the security has been pledged as collateral in connection with outstanding TBA commitments. |
(s) | Rates are discount rates or a range of discount rates as of period end. |
(t) | Annualized7-day yield as of period end. |
(u) | Security was purchased with the cash collateral from loaned securities. |
(v) | During the six months ended March 31, 2019, investments in issuers considered to be affiliates of the Master Portfolio for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, and/or related parties of the Fund were as follows: |
Affiliated persons and/or related parties | Par/Shares Held at 09/30/18 | Par/Shares Purchased | Par/Shares Sold | Par/Shares Held at 03/31/19 | Value at 03/31/19 | Income | Net (Loss)(a) | Change in Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
BlackRock Capital Finance LP, | $ | 3,374 | $ | — | $ | — | $ | 3,374 | $ | 2,998 | $ | — | $ | — | $ | 6 | ||||||||||||||||
BlackRock Liquidity Funds, | 791,503,000 | 167,306,171 | (b) | — | 958,809,171 | 958,809,171 | 7,341,984 | — | — | |||||||||||||||||||||||
iShares iBoxx $ High Yield | — | 962,244 | (820,600 | ) | 141,644 | 12,247,957 | — | (253,051 | ) | 77,855 | ||||||||||||||||||||||
iShares JPMorgan USD Emerging | 1,201,638 | 1,093,793 | (2,295,431 | ) | — | — | 2,969,209 | (4,216,578 | ) | (603,443 | ) | |||||||||||||||||||||
SL Liquidity Series, LLC, | 8,009,890 | — | (7,776,759 | )(c) | 233,131 | 233,177 | 70,764 | (d) | 298 | (416 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 971,293,303 | $ | 10,381,957 | $ | (4,469,331 | ) | $ | (525,998 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
(a) | Includes net capital gain distributions, if applicable. |
(b) | Represents net shares purchased. |
(c) | Represents net shares sold. |
(d) | Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
For Master Portfolio compliance purposes, the Master Portfolio’s industry classifications refer to one or more of the industrysub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industrysub-classifications for reporting ease.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
Description | Number of | Expiration Date | Notional (000) | Value/ Unrealized Appreciation (Depreciation) | ||||||||||||
Long Contracts | ||||||||||||||||
Euro-Buxl | 17 | 06/06/19 | $ | 3,655 | $ | (28,759 | ) | |||||||||
U.S. Treasury Bonds (30 Year) | 543 | 06/19/19 | 81,263 | 788,424 | ||||||||||||
U.S. Ultra Treasury Bonds | 4,458 | 06/19/19 | 748,944 | 27,666,202 | ||||||||||||
U.S. Ultra Treasury Bonds (10 Year) | 601 | 06/19/19 | 79,802 | 1,792,914 | ||||||||||||
NASDAQ 100E-Mini Index | 35 | 06/21/19 | 5,180 | (94,605 | ) | |||||||||||
U.S. Treasury Notes (2 Year) | 10,915 | 06/28/19 | 2,325,918 | 6,932,428 | ||||||||||||
U.S. Treasury Notes (5 Year) | 13,324 | 06/28/19 | 1,543,294 | 7,720,225 | ||||||||||||
Euro Dollar | 5,875 | 12/16/19 | 1,433,059 | 1,821,277 | ||||||||||||
|
| |||||||||||||||
46,598,106 | ||||||||||||||||
|
|
84 | 2 0 1 9 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio |
Description | Number of | Expiration Date | Notional (000) | Value/ Unrealized Appreciation (Depreciation) | ||||||||||||
Short Contracts | ||||||||||||||||
Euro-Bobl | 61 | 06/06/19 | $ | 9,110 | $ (69,971 | ) | ||||||||||
Euro-Bund | 170 | 06/06/19 | 31,721 | (373,158 | ) | |||||||||||
Euro-Schatz | 5 | 06/06/19 | 628 | (985 | ) | |||||||||||
Japanese Government Bonds (10 Year) | 10 | 06/13/19 | 13,830 | (74,017 | ) | |||||||||||
Canadian Government Bonds (10 Year) | 42 | 06/19/19 | 4,370 | 16,673 | ||||||||||||
U.S. Treasury Notes (10 Year) | 3,345 | 06/19/19 | 415,512 | 220,431 | ||||||||||||
E-Mini S&P 500 Index | 105 | 06/21/19 | 14,898 | (3,234 | ) | |||||||||||
Euro STOXX 50 Index | 844 | 06/21/19 | 30,978 | (514,415 | ) | |||||||||||
Euro Dollar | 4,801 | 12/14/20 | 1,174,505 | 1,478,128 | ||||||||||||
|
| |||||||||||||||
679,452 | ||||||||||||||||
|
| |||||||||||||||
$ 47,277,558 | ||||||||||||||||
|
| |||||||||||||||
Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||||||||
USD | 3,788,880 | BRL | 14,626,971 | BNP Paribas S.A. | 04/02/19 | $ 54,001 | ||||||||||||
USD | 3,231,000 | BRL | 12,402,194 | BNP Paribas S.A. | 04/02/19 | 64,200 | ||||||||||||
USD | 9,750,000 | BRL | 37,639,875 | BNP Paribas S.A. | 04/02/19 | 138,963 | ||||||||||||
USD | 2,706,000 | BRL | 10,488,456 | Goldman Sachs International | 04/02/19 | 27,858 | ||||||||||||
USD | 2,070,095 | BRL | 7,822,682 | Goldman Sachs International | 04/02/19 | 72,637 | ||||||||||||
USD | 7,755,078 | BRL | 29,097,053 | Goldman Sachs International | 04/02/19 | 325,381 | ||||||||||||
USD | 7,410,000 | BRL | 28,523,684 | JPMorgan Chase Bank N.A. | 04/02/19 | 126,709 | ||||||||||||
USD | 2,070,095 | BRL | 7,737,829 | UBS AG | 04/02/19 | 94,303 | ||||||||||||
USD | 21,763,124 | EUR | 19,006,000 | HSBC Bank PLC | 04/04/19 | 432,623 | ||||||||||||
USD | 10,523,236 | GBP | 7,902,000 | Barclays Bank PLC | 04/04/19 | 228,214 | ||||||||||||
USD | 377,792 | JPY | 41,758,000 | Deutsche Bank AG | 04/04/19 | 819 | ||||||||||||
USD | 2,547,000 | COP | 7,947,913,500 | NatWest Markets PLC | 04/05/19 | 54,992 | ||||||||||||
USD | 2,481,750 | KRW | 2,790,479,700 | JPMorgan Chase Bank N.A. | 04/05/19 | 22,905 | ||||||||||||
MXN | 126,023,487 | USD | 6,459,000 | Citibank N.A. | 04/10/19 | 21,477 | ||||||||||||
USD | 3,198,000 | CLP | 2,104,379,940 | BNP Paribas S.A. | 04/10/19 | 105,567 | ||||||||||||
USD | 3,211,000 | CLP | 2,146,874,600 | JPMorgan Chase Bank N.A. | 04/10/19 | 56,121 | ||||||||||||
USD | 5,728,000 | TRY | 31,750,212 | Citibank N.A. | 04/10/19 | 110,103 | ||||||||||||
JPY | 318,751,608 | EUR | 2,564,000 | BNP Paribas S.A. | 04/12/19 | 96 | ||||||||||||
IDR | 22,096,755,847 | USD | 1,542,854 | BNP Paribas S.A. | 04/15/19 | 5,634 | ||||||||||||
IDR | 35,497,132,005 | USD | 2,479,543 | BNP Paribas S.A. | 04/15/19 | 8,013 | ||||||||||||
IDR | 35,531,018,859 | USD | 2,482,603 | Deutsche Bank AG | 04/15/19 | 7,327 | ||||||||||||
USD | 2,967,000 | MXN | 57,584,723 | Morgan Stanley & Co. International PLC | 04/15/19 | 8,141 | ||||||||||||
CAD | 6,272,155 | USD | 4,680,000 | Deutsche Bank AG | 04/17/19 | 15,694 | ||||||||||||
COP | 8,252,771,485 | USD | 2,584,645 | Standard Chartered Bank | 04/17/19 | 1,099 | ||||||||||||
MXN | 51,022,400 | USD | 2,600,000 | Citibank N.A. | 04/17/19 | 20,853 | ||||||||||||
MXN | 50,355,283 | USD | 2,585,000 | HSBC Bank PLC | 04/17/19 | 1,585 | ||||||||||||
TRY | 4,517,675 | USD | 785,000 | Citibank N.A. | 04/17/19 | 8,128 | ||||||||||||
TRY | 9,011,800 | USD | 1,570,000 | JPMorgan Chase Bank N.A. | 04/17/19 | 12,122 | ||||||||||||
USD | 1,015,000 | ARS | 43,949,500 | BNP Paribas S.A. | 04/17/19 | 25,943 | ||||||||||||
USD | 3,350,455 | AUD | 4,695,000 | Goldman Sachs International | 04/17/19 | 15,562 | ||||||||||||
USD | 4,680,000 | CAD | 6,223,511 | Morgan Stanley & Co. International PLC | 04/17/19 | 20,724 | ||||||||||||
USD | 2,724,468 | CLP | 1,850,458,666 | BNP Paribas S.A. | 04/17/19 | 5,151 | ||||||||||||
USD | 2,706,000 | CLP | 1,823,573,400 | BNP Paribas S.A. | 04/17/19 | 26,192 | ||||||||||||
USD | 2,584,645 | COP | 8,187,121,502 | NatWest Markets PLC | 04/17/19 | 19,470 | ||||||||||||
USD | 4,945,000 | MXN | 95,134,689 | Barclays Bank PLC | 04/17/19 | 58,244 |
M A S T E R P O R T F O L I O C O N S O L I D A T E D S C H E D U L E O F I N V E S T M E N T S | 85 |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||||||||
USD | 4,086,703 | MXN | 78,194,975 | Goldman Sachs International | 04/17/19 | $ 70,085 | ||||||||||||
USD | 2,706,000 | TRY | 15,321,372 | Citibank N.A. | 04/17/19 | 16,162 | ||||||||||||
ZAR | 70,682,625 | USD | 4,875,000 | Barclays Bank PLC | 04/17/19 | 12,970 | ||||||||||||
ZAR | 70,686,525 | USD | 4,875,000 | Goldman Sachs International | 04/17/19 | 13,239 | ||||||||||||
USD | 765,000 | ARS | 31,839,300 | BNP Paribas S.A. | 04/22/19 | 52,999 | ||||||||||||
USD | 1,307,000 | ARS | 53,064,200 | Deutsche Bank AG | 04/25/19 | 124,837 | ||||||||||||
USD | 2,340,000 | TRY | 13,197,600 | BNP Paribas S.A. | 04/30/19 | 55,459 | ||||||||||||
USD | 1,875,300 | BRL | 7,149,394 | Citibank N.A. | 05/03/19 | 53,413 | ||||||||||||
USD | 4,140,190 | BRL | 15,995,587 | UBS AG | 05/03/19 | 64,019 | ||||||||||||
USD | 17,455,532 | EUR | 15,492,000 | State Street Bank and Trust Co. | 05/06/19 | 22,484 | ||||||||||||
USD | 4,251,329 | GBP | 3,257,000 | State Street Bank and Trust Co. | 05/07/19 | 1,050 | ||||||||||||
USD | 2,565,000 | ZAR | 36,916,763 | Citibank N.A. | 05/14/19 | 20,460 | ||||||||||||
USD | 1,902,407 | EUR | 1,669,297 | Goldman Sachs International | 05/29/19 | 20,108 | ||||||||||||
USD | 7,938,353 | IDR | 112,669,049,032 | Citibank N.A. | 05/29/19 | 93,412 | ||||||||||||
USD | 3,794,195 | IDR | 54,291,138,954 | HSBC Bank PLC | 05/29/19 | 14,002 | ||||||||||||
USD | 3,836,878 | IDR | 54,848,164,879 | HSBC Bank PLC | 05/29/19 | 17,899 | ||||||||||||
USD | 5,105,821 | IDR | 73,003,034,127 | Morgan Stanley & Co. International PLC | 05/29/19 | 22,753 | ||||||||||||
USD | 5,115,293 | IDR | 72,857,119,685 | UBS AG | 05/29/19 | 42,384 | ||||||||||||
MXN | 133,555,864 | USD | 6,784,104 | Barclays Bank PLC | 05/30/19 | 27,378 | ||||||||||||
USD | 19,154,169 | COP | 59,952,550,000 | Credit Suisse International | 05/30/19 | 412,611 | ||||||||||||
USD | 20,420,339 | MXN | 397,855,587 | Barclays Bank PLC | 05/30/19 | 129,307 | ||||||||||||
USD | 20,720,844 | ZAR | 288,430,000 | Deutsche Bank AG | 05/30/19 | 880,426 | ||||||||||||
USD | 1,310,000 | ARS | 54,391,200 | BNP Paribas S.A. | 05/31/19 | 154,500 | ||||||||||||
MXN | 108,029,850 | USD | 5,430,000 | Barclays Bank PLC | 06/14/19 | 67,603 | ||||||||||||
JPY | 67,760,000 | USD | 614,634 | Citibank N.A. | 06/17/19 | 558 | ||||||||||||
USD | 3,821,725 | EUR | 3,381,534 | Bank of America N.A. | 06/17/19 | 2,904 | ||||||||||||
USD | 4,607,260 | HKD | 36,069,776 | Bank of America N.A. | 06/17/19 | 1,365 | ||||||||||||
USD | 1,021,802 | HKD | 8,000,000 | UBS AG | 06/17/19 | 249 | ||||||||||||
AUD | 6,407,000 | USD | 4,552,577 | Australia & New Zealand Banking Group Ltd. | 06/19/19 | 3,580 | ||||||||||||
AUD | 238,000 | USD | 168,843 | BNP Paribas S.A. | 06/19/19 | 404 | ||||||||||||
AUD | 1,950,000 | USD | 1,375,511 | HSBC Bank PLC | 06/19/19 | 11,177 | ||||||||||||
AUD | 1,854,000 | USD | 1,313,274 | Morgan Stanley & Co. International PLC | 06/19/19 | 5,145 | ||||||||||||
CAD | 26,603,000 | NOK | 170,307,085 | BNP Paribas S.A. | 06/19/19 | 139,726 | ||||||||||||
CAD | 2,620,014 | NZD | 2,830,000 | Citibank N.A. | 06/19/19 | 34,305 | ||||||||||||
CAD | 226,282 | USD | 169,000 | Royal Bank of Canada | 06/19/19 | 672 | ||||||||||||
EUR | 26,946,000 | MXN | 588,775,489 | BNP Paribas S.A. | 06/19/19 | 494,630 | ||||||||||||
IDR | 92,945,010,000 | USD | 6,459,000 | Bank of America N.A. | 06/19/19 | 1,014 | ||||||||||||
JPY | 1,113,702,362 | CAD | 13,474,000 | Morgan Stanley & Co. International PLC | 06/19/19 | 9,680 | ||||||||||||
JPY | 27,043,190 | NZD | 355,000 | Citibank N.A. | 06/19/19 | 3,428 | ||||||||||||
JPY | 258,506,622 | SEK | 21,282,000 | JPMorgan Chase Bank N.A. | 06/19/19 | 44,253 | ||||||||||||
JPY | 174,371,606 | SEK | 14,355,000 | Morgan Stanley & Co. International PLC | 06/19/19 | 29,898 | ||||||||||||
JPY | 588,661,298 | USD | 5,320,000 | Citibank N.A. | 06/19/19 | 25,264 | ||||||||||||
JPY | 588,771,682 | USD | 5,321,000 | Morgan Stanley & Co. International PLC | 06/19/19 | 25,267 | ||||||||||||
JPY | 487,394,600 | USD | 4,400,000 | Northern Trust Corp. | 06/19/19 | 25,725 | ||||||||||||
JPY | 2,081,654,775 | USD | 18,792,315 | Northern Trust Corp. | 06/19/19 | 109,888 | ||||||||||||
NZD | 16,168,000 | USD | 10,994,968 | Citibank N.A. | 06/19/19 | 32,694 | ||||||||||||
USD | 26,355,000 | CNH | 176,196,353 | Bank of America N.A. | 06/19/19 | 152,888 | ||||||||||||
USD | 688,057 | EUR | 605,000 | Bank of America N.A. | 06/19/19 | 4,712 | ||||||||||||
USD | 683,694 | EUR | 605,000 | BNP Paribas S.A. | 06/19/19 | 349 | ||||||||||||
USD | 9,174,530 | EUR | 8,109,000 | BNP Paribas S.A. | 06/19/19 | 15,437 | ||||||||||||
USD | 4,400,000 | JPY | 480,939,228 | Citibank N.A. | 06/19/19 | 32,892 | ||||||||||||
USD | 10,641,000 | JPY | 1,163,073,537 | Standard Chartered Bank | 06/19/19 | 79,858 |
86 | 2 0 1 9 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||||||||
USD | 13,474,000 | MXN | 263,147,220 | Goldman Sachs International | 06/19/19 | $ 92,263 | ||||||||||||
ZAR | 2,363,989 | USD | 162,000 | Bank of America N.A. | 06/19/19 | 246 | ||||||||||||
ZAR | 2,473,598 | USD | 169,000 | Bank of America N.A. | 06/19/19 | 768 | ||||||||||||
USD | 43,851,570 | EUR | 33,810,000 | Deutsche Bank AG | 12/13/19 | 5,114,853 | ||||||||||||
USD | 44,135,574 | EUR | 33,810,000 | Deutsche Bank AG | 02/25/20 | 5,169,598 | ||||||||||||
JPY | 4,504,440,000 | USD | 41,738,695 | JPMorgan Chase Bank N.A. | 03/16/20 | 34,069 | ||||||||||||
USD | 44,963,466 | JPY | 4,504,440,000 | HSBC Bank PLC | 03/16/20 | 3,190,701 | ||||||||||||
|
| |||||||||||||||||
19,476,871 | ||||||||||||||||||
|
| |||||||||||||||||
BRL | 18,528,000 | USD | 4,800,000 | BNP Paribas S.A. | 04/02/19 | (69,025 | ) | |||||||||||
BRL | 10,090,771 | USD | 2,671,000 | Goldman Sachs International | 04/02/19 | (94,403 | ) | |||||||||||
BRL | 19,116,900 | USD | 4,950,000 | HSBC Bank PLC | 04/02/19 | (68,655 | ) | |||||||||||
BRL | 56,685,697 | USD | 15,165,078 | UBS AG | 04/02/19 | (690,845 | ) | |||||||||||
BRL | 26,370,507 | USD | 7,054,880 | UBS AG | 04/02/19 | (321,385 | ) | |||||||||||
BRL | 15,964,308 | USD | 4,140,190 | UBS AG | 04/02/19 | (63,833 | ) | |||||||||||
EUR | 15,492,000 | USD | 17,408,686 | State Street Bank and Trust Co. | 04/04/19 | (21,959 | ) | |||||||||||
GBP | 3,257,000 | USD | 4,244,347 | State Street Bank and Trust Co. | 04/04/19 | (1,006 | ) | |||||||||||
COP | 7,910,982,000 | USD | 2,547,000 | Citibank N.A. | 04/05/19 | (66,572 | ) | |||||||||||
KRW | 2,811,500,123 | USD | 2,481,750 | JPMorgan Chase Bank N.A. | 04/05/19 | (4,383 | ) | |||||||||||
CLP | 4,272,239,400 | USD | 6,409,000 | NatWest Markets PLC | 04/10/19 | (130,850 | ) | |||||||||||
CLP | 2,610,843,300 | USD | 3,900,000 | NatWest Markets PLC | 04/10/19 | (63,308 | ) | |||||||||||
TRY | 31,559,562 | USD | 5,728,000 | BNP Paribas S.A. | 04/10/19 | (143,837 | ) | |||||||||||
USD | 6,459,000 | MXN | 125,955,021 | HSBC Bank PLC | 04/10/19 | (17,956 | ) | |||||||||||
MXN | 47,881,199 | USD | 2,472,500 | Citibank N.A. | 04/15/19 | (12,234 | ) | |||||||||||
MXN | 187,597,700 | USD | 9,692,417 | HSBC Bank PLC | 04/15/19 | (53,138 | ) | |||||||||||
CLP | 1,850,413,200 | USD | 2,724,000 | BNP Paribas S.A. | 04/17/19 | (4,750 | ) | |||||||||||
CLP | 1,771,540,750 | USD | 2,671,000 | Citibank N.A. | 04/17/19 | (67,656 | ) | |||||||||||
COP | 10,865,712,000 | USD | 3,432,000 | NatWest Markets PLC | 04/17/19 | (27,574 | ) | |||||||||||
KRW | 4,379,579,629 | USD | 3,883,000 | Goldman Sachs International | 04/17/19 | (22,595 | ) | |||||||||||
KRW | 1,652,813,000 | USD | 1,465,000 | Morgan Stanley & Co. International PLC | 04/17/19 | (8,119 | ) | |||||||||||
MXN | 66,073,504 | USD | 3,417,000 | Citibank N.A. | 04/17/19 | (23,022 | ) | |||||||||||
MXN | 92,514,707 | USD | 4,755,000 | Citibank N.A. | 04/17/19 | (2,824 | ) | |||||||||||
MXN | 63,573,913 | USD | 3,286,000 | HSBC Bank PLC | 04/17/19 | (20,417 | ) | |||||||||||
TRY | 15,410,670 | USD | 2,706,000 | BNP Paribas S.A. | 04/17/19 | (485 | ) | |||||||||||
USD | 3,246,879 | IDR | 46,988,829,125 | Bank of America N.A. | 04/17/19 | (45,176 | ) | |||||||||||
USD | 3,198,348 | IDR | 45,845,116,935 | Bank of America N.A. | 04/17/19 | (13,578 | ) | |||||||||||
USD | 3,247,190 | IDR | 46,921,902,581 | Citibank N.A. | 04/17/19 | (40,176 | ) | |||||||||||
USD | 2,584,645 | MXN | 50,969,458 | Citibank N.A. | 04/17/19 | (33,488 | ) | |||||||||||
USD | 3,148,750 | MXN | 61,451,625 | State Street Bank and Trust Co. | 04/17/19 | (7,818 | ) | |||||||||||
USD | 1,799,750 | MXN | 35,124,276 | State Street Bank and Trust Co. | 04/17/19 | (4,468 | ) | |||||||||||
USD | 5,412,000 | TRY | 31,036,738 | BNP Paribas S.A. | 04/17/19 | (36,845 | ) | |||||||||||
USD | 4,100,000 | ZAR | 60,171,518 | BNP Paribas S.A. | 04/17/19 | (61,087 | ) | |||||||||||
USD | 2,003,500 | ZAR | 29,118,869 | BNP Paribas S.A. | 04/17/19 | (10,179 | ) | |||||||||||
USD | 2,706,000 | ZAR | 39,230,446 | BNP Paribas S.A. | 04/17/19 | (6,933 | ) | |||||||||||
USD | 835,000 | ZAR | 12,127,229 | JPMorgan Chase Bank N.A. | 04/17/19 | (3,643 | ) | |||||||||||
ZAR | 185,977,097 | USD | 12,914,000 | BNP Paribas S.A. | 04/17/19 | (52,984 | ) | |||||||||||
ZAR | 27,234,562 | USD | 1,885,412 | BNP Paribas S.A. | 04/17/19 | (2,040 | ) | |||||||||||
ZAR | 58,713,433 | USD | 4,087,000 | Citibank N.A. | 04/17/19 | (26,745 | ) | |||||||||||
ZAR | 12,031,407 | USD | 835,000 | Citibank N.A. | 04/17/19 | (2,983 | ) | |||||||||||
ZAR | 30,635,300 | USD | 2,121,588 | Morgan Stanley & Co. International PLC | 04/17/19 | (3,041 | ) | |||||||||||
ARS | 32,359,500 | USD | 765,000 | BNP Paribas S.A. | 04/22/19 | (41,366 | ) | |||||||||||
ARS | 52,923,750 | USD | 1,283,000 | NatWest Markets PLC | 04/25/19 | (103,966 | ) | |||||||||||
TRY | 13,197,600 | USD | 2,340,000 | Deutsche Bank AG | 04/30/19 | (55,459 | ) |
M A S T E R P O R T F O L I O C O N S O L I D A T E D S C H E D U L E O F I N V E S T M E N T S | 87 |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||||||||
BRL | 37,713,488 | USD | 9,750,000 | BNP Paribas S.A. | 05/03/19 | $ (139,436 | ) | |||||||||||
BRL | 14,655,577 | USD | 3,788,880 | BNP Paribas S.A. | 05/03/19 | (54,185 | ) | |||||||||||
BRL | 7,225,244 | USD | 1,846,000 | BNP Paribas S.A. | 05/03/19 | (4,784 | ) | |||||||||||
BRL | 10,131,978 | USD | 2,679,000 | Goldman Sachs International | 05/03/19 | (97,058 | ) | |||||||||||
BRL | 10,676,718 | USD | 2,724,000 | Goldman Sachs International | 05/03/19 | (3,242 | ) | |||||||||||
USD | 2,584,645 | BRL | 10,317,903 | Goldman Sachs International | 05/03/19 | (44,676 | ) | |||||||||||
USD | 744,000 | ZAR | 10,836,800 | Bank of America N.A. | 05/14/19 | (2,942 | ) | |||||||||||
ZAR | 47,537,756 | USD | 3,309,000 | BNP Paribas S.A. | 05/14/19 | (32,393 | ) | |||||||||||
USD | 1,580,000 | TRY | 9,464,200 | BNP Paribas S.A. | 05/28/19 | (19,934 | ) | |||||||||||
USD | 716,717 | CHF | 712,173 | HSBC Bank PLC | 05/29/19 | (2,693 | ) | |||||||||||
ARS | 85,987,200 | USD | 2,080,000 | BNP Paribas S.A. | 05/30/19 | (250,773 | ) | |||||||||||
ARS | 47,615,100 | USD | 1,131,000 | BNP Paribas S.A. | 05/30/19 | (118,072 | ) | |||||||||||
ARS | 78,315,600 | USD | 1,870,000 | Deutsche Bank AG | 05/30/19 | (203,973 | ) | |||||||||||
COP | 59,952,550,000 | USD | 19,224,804 | Standard Chartered Bank | 05/30/19 | (483,245 | ) | |||||||||||
MXN | 75,253,129 | USD | 3,854,419 | Barclays Bank PLC | 05/30/19 | (16,435 | ) | |||||||||||
ZAR | 137,717,057 | USD | 9,591,328 | Bank of America N.A. | 05/30/19 | (118,097 | ) | |||||||||||
USD | 5,430,000 | MXN | 106,916,700 | Barclays Bank PLC | 06/14/19 | (10,955 | ) | |||||||||||
USD | 1,197,672 | CNH | 8,066,079 | UBS AG | 06/17/19 | (1,843 | ) | |||||||||||
USD | 10,003,259 | JPY | 1,102,134,026 | Bank of America N.A. | 06/17/19 | (3,001 | ) | |||||||||||
USD | 785,000 | TRY | 4,737,475 | Citibank N.A. | 06/17/19 | (6,028 | ) | |||||||||||
USD | 1,570,000 | TRY | 9,451,400 | JPMorgan Chase Bank N.A. | 06/17/19 | (8,124 | ) | |||||||||||
ARS | 29,733,525 | USD | 641,500 | BNP Paribas S.A. | 06/18/19 | (24,968 | ) | |||||||||||
USD | 1,049,311 | IDR | 15,220,251,669 | Bank of America N.A. | 06/18/19 | (8,642 | ) | |||||||||||
USD | 391,894 | KRW | 444,098,451 | HSBC Bank PLC | 06/18/19 | (318 | ) | |||||||||||
USD | 1,252,848 | TWD | 38,600,260 | Citibank N.A. | 06/18/19 | (5,867 | ) | |||||||||||
ARS | 70,255,200 | USD | 1,604,000 | BNP Paribas S.A. | 06/19/19 | (149,178 | ) | |||||||||||
ARS | 46,022,500 | USD | 1,025,000 | BNP Paribas S.A. | 06/19/19 | (71,981 | ) | |||||||||||
ARS | 7,358,780 | USD | 166,000 | BNP Paribas S.A. | 06/19/19 | (13,617 | ) | |||||||||||
ARS | 7,350,750 | USD | 165,000 | BNP Paribas S.A. | 06/19/19 | (12,783 | ) | |||||||||||
ARS | 29,815,670 | USD | 670,000 | JPMorgan Chase Bank N.A. | 06/19/19 | (52,587 | ) | |||||||||||
AUD | 11,352,000 | USD | 8,075,415 | HSBC Bank PLC | 06/19/19 | (2,762 | ) | |||||||||||
BRL | 146,537,219 | USD | 38,124,000 | JPMorgan Chase Bank N.A. | 06/19/19 | (920,283 | ) | |||||||||||
CAD | 6,236,615 | USD | 4,685,836 | HSBC Bank PLC | 06/19/19 | (9,460 | ) | |||||||||||
CNH | 117,408,011 | USD | 17,570,000 | Citibank N.A. | 06/19/19 | (110,287 | ) | |||||||||||
CNH | 58,705,763 | USD | 8,785,000 | JPMorgan Chase Bank N.A. | 06/19/19 | (54,882 | ) | |||||||||||
EUR | 8,109,000 | USD | 9,286,427 | Morgan Stanley & Co. International PLC | 06/19/19 | (127,334 | ) | |||||||||||
IDR | 92,492,880,000 | USD | 6,459,000 | JPMorgan Chase Bank N.A. | 06/19/19 | (30,411 | ) | |||||||||||
MXN | 425,842,920 | EUR | 19,440,000 | JPMorgan Chase Bank N.A. | 06/19/19 | (302,179 | ) | |||||||||||
MXN | 143,370,492 | EUR | 6,546,000 | JPMorgan Chase Bank N.A. | 06/19/19 | (102,917 | ) | |||||||||||
MXN | 21,029,280 | EUR | 960,000 | JPMorgan Chase Bank N.A. | 06/19/19 | (14,922 | ) | |||||||||||
MXN | 71,785,372 | USD | 3,699,496 | Barclays Bank PLC | 06/19/19 | (49,018 | ) | |||||||||||
MXN | 261,341,704 | USD | 13,474,000 | Citibank N.A. | 06/19/19 | (184,078 | ) | |||||||||||
MXN | 3,187,303 | USD | 166,000 | Goldman Sachs International | 06/19/19 | (3,917 | ) | |||||||||||
MXN | 3,158,781 | USD | 162,000 | TD Securities, Inc. | 06/19/19 | (1,368 | ) | |||||||||||
NOK | 170,872,373 | CAD | 26,603,000 | TD Securities, Inc. | 06/19/19 | (73,979 | ) | |||||||||||
NOK | 1,443,213 | USD | 169,000 | Royal Bank of Canada | 06/19/19 | (1,144 | ) | |||||||||||
NZD | 2,830,000 | CAD | 2,616,531 | Goldman Sachs International | 06/19/19 | (31,693 | ) | |||||||||||
NZD | 355,000 | JPY | 26,713,146 | Bank of America N.A. | 06/19/19 | (432 | ) | |||||||||||
SEK | 110,982,381 | EUR | 10,664,000 | UBS AG | 06/19/19 | (34,728 | ) | |||||||||||
SEK | 35,637,000 | JPY | 429,429,413 | Citibank N.A. | 06/19/19 | (42,834 | ) | |||||||||||
TRY | 957,131 | USD | 166,000 | Bank of America N.A. | 06/19/19 | (6,392 | ) | |||||||||||
USD | 9,440,855 | AUD | 13,302,000 | Deutsche Bank AG | 06/19/19 | (18,486 | ) |
88 | 2 0 1 9 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
USD | 1,309,402 | AUD | 1,854,000 | Goldman Sachs International | 06/19/19 | $ | (9,017 | ) | ||||||||||||
USD | 11,022,356 | NZD | 16,168,000 | Goldman Sachs International | 06/19/19 | (5,306 | ) | |||||||||||||
EUR | 33,810,000 | USD | 41,367,211 | JPMorgan Chase Bank N.A. | 12/13/19 | (2,630,495 | ) | |||||||||||||
EUR | 33,810,000 | USD | 41,665,584 | JPMorgan Chase Bank N.A. | 02/25/20 | (2,699,609 | ) | |||||||||||||
|
| |||||||||||||||||||
(11,982,569 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Net Unrealized Appreciation | $ | 7,494,302 | ||||||||||||||||||
|
|
Interest Rate Caps Purchased
Reference Entity | Exercise Rate | Counterparty | Expiration Date | Notional (000) | Value | Premiums (Received) | Unrealized (Depreciation) | |||||||||||||||||||
10Y-2Y CMS Index Cap | 0.50 | % | Citibank N.A. | 03/13/20 | USD 1,017,480 | $ | 443,286 | $ | 391,730 | $ | 51,556 | |||||||||||||||
|
|
|
|
|
|
Exchange-Traded Options Purchased
Description | Number of | Expiration Date | Exercise Price | Notional Amount (000) | Value | |||||||||||||||||
Call | ||||||||||||||||||||||
SPDR S&P 500 ETF Trust | 20 | 04/18/19 | USD | 291.00 | USD | 565 | $ | 670 | ||||||||||||||
PowerShares QQQ Trust, Series 1 ETF | 425 | 05/03/19 | USD | 185.00 | USD | 7,636 | 55,888 | |||||||||||||||
PowerShares QQQ Trust, Series 1 ETF | 4,064 | 05/03/19 | USD | 195.00 | USD | 73,014 | 20,320 | |||||||||||||||
U.S. Treasury Notes (10 Year) | 465 | 05/24/19 | USD | 124.50 | USD | 57,762 | 290,625 | |||||||||||||||
Caesars Entertainment Corp. | 446 | 06/21/19 | USD | 9.00 | USD | 388 | 28,544 | |||||||||||||||
iShares iBoxx $ Investment Grade Corporate Bond Fund | 4,037 | 10/18/19 | USD | 122.00 | USD | 48,065 | 121,110 | |||||||||||||||
Euro Dollar (2 Year)Mid-Curve | 1,944 | 12/13/19 | USD | 97.88 | USD | 475,527 | 1,032,750 | |||||||||||||||
Euro Dollar Futures | 7,492 | 12/16/19 | USD | 97.75 | USD | 1,827,486 | 1,779,350 | |||||||||||||||
SPDR S&P 500 ETF Trust | 967 | 12/20/19 | USD | 295.00 | USD | 27,316 | 786,655 | |||||||||||||||
SPDR S&P 500 ETF Trust | 178 | 12/20/19 | USD | 285.00 | USD | 5,028 | 243,415 | |||||||||||||||
|
| |||||||||||||||||||||
4,359,327 | ||||||||||||||||||||||
|
| |||||||||||||||||||||
Put | ||||||||||||||||||||||
SPDR S&P 500 ETF Trust | 2,044 | 04/01/19 | USD | 279.00 | USD | 57,739 | 15,330 | |||||||||||||||
Euro-Bobl | 4,081 | 04/12/19 | USD | 97.75 | USD | 997,549 | 612,150 | |||||||||||||||
U.S. Treasury Notes (10 Year) | 3,837 | 04/26/19 | USD | 122.00 | USD | 476,627 | 119,906 | |||||||||||||||
U.S. Treasury Notes (10 Year) | 7,940 | 04/26/19 | USD | 122.50 | USD | 986,297 | 372,188 | |||||||||||||||
U.S. Treasury Notes (2 Year) | 141 | 04/26/19 | USD | 106.38 | USD | 30,046 | 17,625 | |||||||||||||||
U.S. Treasury Notes (5 Year) | 616 | 04/26/19 | USD | 114.75 | USD | 71,350 | 19,250 | |||||||||||||||
U.S. Treasury Notes (5 Year) | 424 | 04/26/19 | USD | 115.25 | USD | 49,111 | 46,375 | |||||||||||||||
U.S. Treasury Notes (5 Year) | 3,113 | 04/26/19 | USD | 115.75 | USD | 360,573 | 948,492 | |||||||||||||||
U.S. Treasury Notes (2 Year) | 141 | 05/24/19 | USD | 106.38 | USD | 30,046 | 28,641 | |||||||||||||||
Energy Select Sector SPDR ETF | 1,523 | 10/18/19 | USD | 60.00 | USD | 10,070 | 274,902 | |||||||||||||||
|
| |||||||||||||||||||||
2,454,859 | ||||||||||||||||||||||
|
| |||||||||||||||||||||
$ | 6,814,186 | |||||||||||||||||||||
|
|
M A S T E R P O R T F O L I O C O N S O L I D A T E D S C H E D U L E O F I N V E S T M E N T S | 89 |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio |
OTC Barrier Options Purchased
Description | Type of Option | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Barrier Price/Range | Notional Amount | Value | ||||||||||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||||||||||
USD Currency | One-Touch | Citibank N.A. | — | 05/17/19 | TRY | 6.50 | TRY | 6.50 | USD | 347 | $ | 65,071 | ||||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||||||||||
EUR Currency | One-Touch | Goldman Sachs International | — | 04/02/19 | JPY | 120.00 | JPY | 120.00 | EUR | 1,857 | 2,879 | |||||||||||||||||||||||||||
USD Currency | One-Touch | BNP Paribas S.A. | — | 04/26/19 | TRY | 5.35 | TRY | 5.35 | USD | 90 | 18,948 | |||||||||||||||||||||||||||
USD Currency | One-Touch | Bank of America N.A. | — | 04/29/19 | TRY | 5.32 | TRY | 5.32 | USD | 680 | 132,305 | |||||||||||||||||||||||||||
USD Currency | One-Touch | Morgan Stanley & Co. International PLC | — | 05/01/19 | TRY | 5.19 | TRY | 5.19 | USD | 373 | 45,197 | |||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||
199,329 | ||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||
$ | 264,400 | |||||||||||||||||||||||||||||||||||||
|
|
OTC Options Purchased
Description | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||
USD Currency | Deutsche Bank AG | — | 04/03/19 | JPY | 112.00 | USD | 82,931 | $ | 10,984 | |||||||||||||||||||
AUD Currency | Bank of America N.A. | — | 04/04/19 | USD | 0.72 | AUD | 5,472 | 3,981 | ||||||||||||||||||||
USD Currency | JPMorgan Chase Bank N.A. | — | 04/04/19 | CLP | 660.00 | USD | 4,900 | 146,512 | ||||||||||||||||||||
USD Currency | BNP Paribas S.A. | — | 04/25/19 | TRY | 6.15 | USD | 8,365 | 176,174 | ||||||||||||||||||||
AUD Currency | Morgan Stanley & Co. International PLC | — | 05/16/19 | USD | 0.72 | AUD | 7,527 | 39,795 | ||||||||||||||||||||
EUR Currency | BNP Paribas S.A. | — | 05/17/19 | USD | 1.15 | EUR | 4,118 | 8,894 | ||||||||||||||||||||
GBP Currency | Bank of America N.A. | — | 05/17/19 | USD | 1.35 | GBP | 5,034 | 37,133 | ||||||||||||||||||||
USD Currency | Morgan Stanley & Co. International PLC | — | 05/20/19 | KRW | 1,140.00 | USD | 5,348 | 39,527 | ||||||||||||||||||||
USD Currency | Deutsche Bank AG | — | 07/19/19 | TWD | 31.00 | USD | 27,943 | 139,680 | ||||||||||||||||||||
|
| |||||||||||||||||||||||||||
602,680 | ||||||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||
GBP Currency | Citibank N.A. | — | 04/01/19 | USD | 1.25 | GBP | 104,095 | 563 | ||||||||||||||||||||
EUR Currency | HSBC Bank PLC | — | 04/03/19 | USD | 1.13 | EUR | 57,700 | 425,129 | ||||||||||||||||||||
USD Currency | Deutsche Bank AG | — | 04/03/19 | JPY | 112.00 | USD | 82,931 | 852,993 | ||||||||||||||||||||
USD Currency | Bank of America N.A. | — | 04/04/19 | JPY | 110.00 | USD | 38,000 | 41,677 | ||||||||||||||||||||
USD Currency | JPMorgan Chase Bank N.A. | — | 04/04/19 | ZAR | 13.60 | USD | 9,979 | 107 | ||||||||||||||||||||
USD Currency | Morgan Stanley & Co. International PLC | — | 04/04/19 | KRW | 1,105.00 | USD | 5,110 | 1 | ||||||||||||||||||||
USD Currency | NatWest Markets PLC | — | 04/04/19 | JPY | 111.00 | USD | 19,000 | 73,198 | ||||||||||||||||||||
USD Currency | NatWest Markets PLC | — | 04/04/19 | JPY | 111.00 | USD | 19,000 | 73,198 | ||||||||||||||||||||
USD Currency | Citibank N.A. | — | 04/10/19 | ZAR | 13.60 | USD | 6,617 | 912 | ||||||||||||||||||||
EUR Currency | Deutsche Bank AG | — | 04/25/19 | JPY | 122.00 | EUR | 37,169 | 116,832 | ||||||||||||||||||||
USD Currency | BNP Paribas S.A. | — | 04/26/19 | ZAR | 14.40 | USD | 4,100 | 54,459 | ||||||||||||||||||||
USD Currency | Deutsche Bank AG | — | 04/29/19 | BRL | 3.91 | USD | 4,785 | 75,523 |
90 | 2 0 1 9 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio |
Description | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||||||||||||||||||||||||
USD Currency | JPMorgan Chase Bank N.A. | — | 05/03/19 | ZAR | 13.40 | USD | 9,979 | $ | 5,080 | |||||||||||||||||||||
USD Currency | Deutsche Bank AG | — | 05/09/19 | ZAR | 13.75 | USD | 15,894 | 48,829 | ||||||||||||||||||||||
USD Currency | Bank of America N.A. | — | 05/10/19 | BRL | 3.78 | USD | 4,524 | 28,076 | ||||||||||||||||||||||
USD Currency | Citibank N.A. | — | 05/10/19 | ZAR | 14.15 | USD | 4,964 | 48,637 | ||||||||||||||||||||||
USD Currency | Morgan Stanley & Co. International PLC | — | 05/10/19 | MXN | 19.30 | USD | 4,945 | 50,035 | ||||||||||||||||||||||
USD Currency | Morgan Stanley & Co. International PLC | — | 05/20/19 | BRL | 3.79 | USD | 4,491 | 38,762 | ||||||||||||||||||||||
GBP Currency | Barclays Bank PLC | — | 07/15/19 | USD | 1.25 | GBP | 104,095 | 1,322,452 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
3,256,463 | ||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
$ | 3,859,143 | |||||||||||||||||||||||||||||
|
|
OTC Interest Rate Swaptions Purchased
Description | Paid by the Fund | Received by the Fund | Counterparty | Expiration Date | Exercise Rate | Notional (000) | Value | |||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||||
1-Year Interest Rate Swap, 10/03/20 | 3-month LIBOR | Quarterly | 2.25% | | Semi- Annually |
| UBS AG | 10/01/19 | 2.25 | % | USD | 612,235 | $ | 566,507 | ||||||||||||||||||
Put | ||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 04/26/29(a) | 3.77% | Semi- Annually | 3-month LIBOR | Quarterly | Citibank N.A. | 04/24/19 | 3.77 | % | USD | 78,830 | 8 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||
$ | 566,515 | |||||||||||||||||||||||||||||||
|
|
(a) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
Exchange-Traded Options Written
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | |||||||||||||||||||
Call | ||||||||||||||||||||||||
Euro-Bobl | 3,377 | 04/12/19 | USD | 98.13 | USD | 825,465 | $ | (105,531 | ) | |||||||||||||||
SPDR S&P 500 ETF Trust | 1,122 | 04/18/19 | USD | 280.00 | USD | 31,694 | (584,001 | ) | ||||||||||||||||
U.S. Treasury Notes (10 Year) | 206 | 04/26/19 | USD | 125.25 | USD | 25,589 | (41,844 | ) | ||||||||||||||||
U.S. Treasury Notes (10 Year) | 206 | 04/26/19 | USD | 125.00 | USD | 25,589 | (51,500 | ) | ||||||||||||||||
PowerShares QQQ Trust, Series 1 ETF | 850 | 05/03/19 | USD | 188.00 | USD | 15,271 | (46,750 | ) | ||||||||||||||||
PowerShares QQQ Trust, Series 1 ETF | 4,064 | 05/03/19 | USD | 197.50 | USD | 73,014 | (8,128 | ) | ||||||||||||||||
U.S. Treasury Notes (10 Year) | 696 | 05/24/19 | USD | 125.50 | USD | 86,456 | (228,375 | ) | ||||||||||||||||
U.S. Treasury Notes (2 Year) | 832 | 05/24/19 | USD | 107.00 | USD | 177,294 | (117,000 | ) | ||||||||||||||||
iShares iBoxx $ Investment Grade Corporate Bond Fund | 4,037 | 10/18/19 | USD | 123.00 | USD | 48,065 | (72,666 | ) | ||||||||||||||||
Euro Dollar (3 Year)Mid-Curve | 1,944 | 12/13/19 | USD | 97.75 | USD | 475,041 | (996,300 | ) | ||||||||||||||||
Euro-Bobl | 1,068 | 12/13/19 | USD | 98.38 | USD | 261,273 | (246,975 | ) | ||||||||||||||||
Euro Dollar Futures | 847 | 12/16/19 | USD | 97.13 | USD | 206,604 | (952,875 | ) | ||||||||||||||||
|
| |||||||||||||||||||||||
(3,451,945 | ) | |||||||||||||||||||||||
|
|
M A S T E R P O R T F O L I O C O N S O L I D A T E D S C H E D U L E O F I N V E S T M E N T S | 91 |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio |
Description | Number of Contracts | Expiration Date | Exercise Price | Notional (000) | Value | |||||||||||||||
Put | ||||||||||||||||||||
SPDR S&P 500 ETF Trust | 930 | 04/18/19 | USD | 275.00 | USD | 26,271 | $ | (96,720 | ) | |||||||||||
SPDR S&P 500 ETF Trust | 20 | 04/18/19 | USD | 270.00 | USD | 565 | (1,090 | ) | ||||||||||||
U.S. Treasury Notes (10 Year) | 206 | 04/26/19 | USD | 123.75 | USD | 25,589 | (64,375 | ) | ||||||||||||
U.S. Treasury Notes (10 Year) | 206 | 04/26/19 | USD | 123.50 | USD | 25,589 | (45,063 | ) | ||||||||||||
U.S. Treasury Notes (5 Year) | 3,113 | 04/26/19 | USD | 115.00 | USD | 360,573 | (194,563 | ) | ||||||||||||
U.S. Treasury Notes (10 Year) | 469 | 05/24/19 | USD | 123.00 | USD | 58,259 | (124,578 | ) | ||||||||||||
U.S. Treasury Notes (2 Year) | 832 | 05/24/19 | USD | 106.38 | USD | 177,294 | (169,000 | ) | ||||||||||||
Energy Select Sector SPDR ETF | 1,523 | 10/18/19 | USD | 54.00 | USD | 10,070 | (119,556 | ) | ||||||||||||
SPDR S&P 500 ETF Trust | 967 | 12/20/19 | USD | 250.00 | USD | 27,316 | (527,015 | ) | ||||||||||||
|
| |||||||||||||||||||
(1,341,960 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
$ | (4,793,905 | ) | ||||||||||||||||||
|
|
OTC Barrier Options Written
Description | Type of Option | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Barrier Price/Range | Notional Amount (000) | Value | ||||||||||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||||||||||||
USD Currency | Down-and-In | Morgan Stanley & Co. International PLC | — | 04/04/19 | KRW | 1,090.00 | KRW | 1,070.00 | USD | 7,665 | $ | (4 | ) | |||||||||||||||||||||||||||
USD Currency | One-Touch | BNP Paribas S.A. | — | 04/26/19 | TRY | 5.10 | TRY | 5.10 | USD | 95 | (7,406 | ) | ||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||
$ | (7,410 | ) | ||||||||||||||||||||||||||||||||||||||
|
|
OTC Options Written
Description | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Notional (000) | Value | ||||||||||||||||||||
Call | ||||||||||||||||||||||||||
USD Currency | Morgan Stanley & Co. International PLC | — | 04/03/19 | JPY | 112.00 | USD | 82,931 | $ | (10,984 | ) | ||||||||||||||||
USD Currency | JPMorgan Chase Bank N.A. | — | 04/04/19 | CLP | 678.00 | USD | 7,349 | (48,187 | ) | |||||||||||||||||
USD Currency | JPMorgan Chase Bank N.A. | — | 04/04/19 | ZAR | 14.90 | USD | 1,986 | (4,373 | ) | |||||||||||||||||
USD Currency | Morgan Stanley & Co. International PLC | — | 04/04/19 | BRL | 3.79 | USD | 4,524 | (133,540 | ) | |||||||||||||||||
USD Currency | Deutsche Bank AG | — | 04/09/19 | ZAR | 14.90 | USD | 1,989 | (8,352 | ) | |||||||||||||||||
GBP Currency | Bank of America N.A. | — | 04/17/19 | USD | 1.35 | GBP | 4,027 | (12,347 | ) | |||||||||||||||||
USD Currency | BNP Paribas S.A. | — | 04/25/19 | TRY | 6.60 | USD | 11,710 | (136,220 | ) | |||||||||||||||||
USD Currency | Bank of America N.A. | — | 05/10/19 | BRL | 4.00 | USD | 4,524 | (48,207 | ) | |||||||||||||||||
USD Currency | Citibank N.A. | — | 05/10/19 | ZAR | 14.65 | USD | 3,309 | (65,409 | ) | |||||||||||||||||
USD Currency | Morgan Stanley & Co. International PLC | — | 05/10/19 | MXN | 19.75 | USD | 3,149 | (26,457 | ) | |||||||||||||||||
USD Currency | Citibank N.A. | — | 05/16/19 | ZAR | 14.70 | USD | 3,309 | (68,137 | ) | |||||||||||||||||
USD Currency | HSBC Bank PLC | — | 07/19/19 | TWD | 31.00 | USD | 27,943 | (139,680 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||||
(701,893 | ) | |||||||||||||||||||||||||
|
|
92 | 2 0 1 9 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio |
Description | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Notional (000) | Value | ||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||
GBP Currency | Barclays Bank PLC | — | 04/01/19 | USD | 1.25 | GBP | 104,095 | $ | (599 | ) | ||||||||||||||||||
EUR Currency | Citibank N.A. | — | 04/03/19 | USD | 1.13 | EUR | 57,700 | (415,287 | ) | |||||||||||||||||||
USD Currency | Morgan Stanley & Co. International PLC | — | 04/03/19 | JPY | 112.00 | USD | 82,931 | (860,161 | ) | |||||||||||||||||||
USD Currency | Bank of America N.A. | — | 04/04/19 | JPY | 111.00 | USD | 38,000 | (149,302 | ) | |||||||||||||||||||
USD Currency | Morgan Stanley & Co. International PLC | — | 04/04/19 | BRL | 3.70 | USD | 4,524 | (232 | ) | |||||||||||||||||||
EUR Currency | BNP Paribas S.A. | — | 04/10/19 | JPY | 123.10 | EUR | 10,684 | (29,722 | ) | |||||||||||||||||||
USD Currency | Citibank N.A. | — | 04/10/19 | ZAR | 13.15 | USD | 4,963 | (14 | ) | |||||||||||||||||||
AUD Currency | Morgan Stanley & Co. International PLC | — | 04/17/19 | USD | 0.70 | AUD | 3,764 | (6,714 | ) | |||||||||||||||||||
USD Currency | Deutsche Bank AG | — | 04/29/19 | TRY | 5.32 | USD | 9,370 | (86,588 | ) | |||||||||||||||||||
USD Currency | Deutsche Bank AG | — | 04/29/19 | BRL | 3.84 | USD | 6,836 | (54,689 | ) | |||||||||||||||||||
USD Currency | Deutsche Bank AG | — | 05/09/19 | ZAR | 13.30 | USD | 15,894 | (8,947 | ) | |||||||||||||||||||
USD Currency | Bank of America N.A. | — | 05/10/19 | BRL | 3.65 | USD | 4,524 | (5,682 | ) | |||||||||||||||||||
USD Currency | Citibank N.A. | — | 05/10/19 | ZAR | 13.70 | USD | 3,309 | (9,077 | ) | |||||||||||||||||||
USD Currency | Morgan Stanley & Co. International PLC | — | 05/20/19 | BRL | 3.69 | USD | 4,491 | (14,268 | ) | |||||||||||||||||||
GBP Currency | Citibank N.A. | — | 07/15/19 | USD | 1.25 | GBP | 104,095 | (1,316,562 | ) | |||||||||||||||||||
|
| |||||||||||||||||||||||||||
(2,957,844 | ) | |||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | (3,659,737 | ) | ||||||||||||||||||||||||||
|
|
Centrally Cleared Credit Default Swaps — Buy Protection
Reference Obligation | Financing Fund | Payment Frequency | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||
CDX.NA.HY.29.V1 | 5.00% | Quarterly | 12/20/22 | USD 13,230 | $ | (936,746 | ) | $ | (766,479 | ) | $ | (170,267 | ) | |||||||
CDX.NA.HY.31.V1 | 5.00% | Quarterly | 12/20/23 | USD 26,176 | (1,796,725 | ) | (1,268,478 | ) | (528,247 | ) | ||||||||||
CDX.NA.IG.31.V1 | 1.00% | Quarterly | 12/20/23 | USD 136,900 | (2,716,415 | ) | (1,335,187 | ) | (1,381,228 | ) | ||||||||||
|
|
|
|
|
| |||||||||||||||
$ | (5,449,886 | ) | $ | (3,370,144 | ) | $ | (2,079,742 | ) | ||||||||||||
|
|
|
|
|
|
Centrally Cleared Credit Default Swaps — Sell Protection
Reference Obligation | Financing the Fund | Payment Frequency | Termination Date | Credit Rating(a) | Notional Amount (000)(b) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||
CDX.NA.HY.32.V1 | 5.00% | Quarterly | 06/20/24 | B+ | USD 11,700 | $ | 797,141 | $ | 682,730 | $ | 114,411 | |||||||||||
|
|
|
|
|
|
(a) | Using S&P Global Ratings (“S&P”) rating of the issuer or the underlying securities of the index, as applicable. |
(b) | The maximum potential amount the Master Portfolio may pay should a negative credit event take place as defined under the terms of the agreement. |
M A S T E R P O R T F O L I O C O N S O L I D A T E D S C H E D U L E O F I N V E S T M E N T S | 93 |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio |
Centrally Cleared Inflation Swaps
Termination Date | Notional Amount (000) | Upfront Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Paid by the Fund | Received by the Fund | |||||||||||||||||||||||
Reference | Frequency | Rate | Frequency | Value | ||||||||||||||||||||
Eurostat Eurozone HICP | ||||||||||||||||||||||||
Ex Tobacco NSA (CPTFEMU) | At Termination | 1.11% UK RPI All Items Monthly | At Termination | 03/15/24 | EUR 215,302 | $ | 1,520,491 | $3,222 | $1,517,269 | |||||||||||||||
3.41% UK RPI All Items Monthly | At Termination | At Termination | 03/15/24 | GBP 148,142 | 769,520 | 2,608 | 766,912 | |||||||||||||||||
At Termination | 3.44% | At Termination | 03/15/24 | GBP 44,095 | — | — | — | |||||||||||||||||
Eurostat Eurozone | ||||||||||||||||||||||||
1.30% UK RPI All Items Monthly | At Termination | HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 03/15/29 | EUR 215,302 | (3,370,013 | ) | 5,698 | (3,375,711 | ) | ||||||||||||||
At Termination | 3.49% | At Termination | 03/15/29 | GBP 148,142 | (658,277 | ) | 4,566 | (662,843 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | (1,738,279 | ) | $16,094 | $(1,754,373 | ) | |||||||||||||||||||
|
|
|
|
|
|
Centrally Cleared Interest Rate Swaps
|
| |||||||||||||||||||||||||||||||||||
Notional Amount (000) |
| Upfront Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||||||||
Paid by the Fund | Received by the Fund | Effective Date | Termination Date |
| ||||||||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | Value | ||||||||||||||||||||||||||||||||
6-month | ||||||||||||||||||||||||||||||||||||
GBP | ||||||||||||||||||||||||||||||||||||
LIBOR, | ||||||||||||||||||||||||||||||||||||
0.99% | Semi-Annual | 0.95% | Semi-Annual | N/A | 03/20/20 | GBP | 506,160 | $ | (267,571 | ) | $ | 1,748 | $ | (269,319 | ) | |||||||||||||||||||||
6-month | ||||||||||||||||||||||||||||||||||||
GBP | ||||||||||||||||||||||||||||||||||||
LIBOR, | ||||||||||||||||||||||||||||||||||||
0.99% | Semi-Annual | 0.95% | Semi-Annual | N/A | 03/20/20 | GBP | 101,000 | (49,267 | ) | 337 | (49,604 | ) | ||||||||||||||||||||||||
6-month | ||||||||||||||||||||||||||||||||||||
GBP | ||||||||||||||||||||||||||||||||||||
LIBOR, | ||||||||||||||||||||||||||||||||||||
0.97% | Semi-Annual | 0.95% | Semi-Annual | N/A | 03/23/20 | GBP | 207,735 | (88,752 | ) | 1,000 | (89,752 | ) | ||||||||||||||||||||||||
3-month | ||||||||||||||||||||||||||||||||||||
Canadian | ||||||||||||||||||||||||||||||||||||
Bankers | ||||||||||||||||||||||||||||||||||||
Acceptances, | ||||||||||||||||||||||||||||||||||||
1.96% | Semi-Annual | 2.02% | Semi-Annual | N/A | 03/26/20 | CAD | 461,000 | 101,347 | 466 | 100,881 | ||||||||||||||||||||||||||
6-month | ||||||||||||||||||||||||||||||||||||
GBP | ||||||||||||||||||||||||||||||||||||
LIBOR, | ||||||||||||||||||||||||||||||||||||
0.95% | Semi-Annual | 0.95% | Semi-Annual | N/A | 03/26/20 | GBP | 104,580 | (4,657 | ) | 269 | (4,926 | ) | ||||||||||||||||||||||||
28-day | ||||||||||||||||||||||||||||||||||||
MXIBTIIE, 8.52% | Monthly | 8.21% | Monthly | N/A | 10/07/20 | MXN | 665,409 | 28,011 | 45 | 27,966 | ||||||||||||||||||||||||||
3-month | ||||||||||||||||||||||||||||||||||||
LIBOR, | ||||||||||||||||||||||||||||||||||||
2.33% | Semi-Annual | 2.60% | Quarterly | N/A | 03/29/21 | USD | 71,050 | 86,675 | 295 | 86,380 | ||||||||||||||||||||||||||
3-month | ||||||||||||||||||||||||||||||||||||
LIBOR, | ||||||||||||||||||||||||||||||||||||
2.35% | Semi-Annual | 2.60% | Quarterly | N/A | 04/01/21 | USD | 30,239 | 20,572 | 125 | 20,447 | ||||||||||||||||||||||||||
3-month | ||||||||||||||||||||||||||||||||||||
LIBOR, 2.60% | Quarterly | 2.39% | Semi-Annual | N/A | 04/02/21 | USD | 92,290 | — | 388 | (388 | ) | |||||||||||||||||||||||||
3-month | ||||||||||||||||||||||||||||||||||||
Australian | ||||||||||||||||||||||||||||||||||||
Bank | ||||||||||||||||||||||||||||||||||||
Bill Rate | ||||||||||||||||||||||||||||||||||||
2.10% | Quarterly | 1.77% | Quarterly | N/A | 08/23/21 | AUD | 10,284 | (108,550 | ) | 65 | (108,615 | ) | ||||||||||||||||||||||||
6-month | ||||||||||||||||||||||||||||||||||||
Australian | ||||||||||||||||||||||||||||||||||||
Bank | ||||||||||||||||||||||||||||||||||||
Bill Rate, | ||||||||||||||||||||||||||||||||||||
2.29% | Semi-Annual | 1.84% | Semi-Annual | N/A | 11/02/21 | AUD | 5,057 | (65,107 | ) | 80 | (65,187 | ) |
94 | 2 0 1 9 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio |
Paid by the Fund | Received by the Fund | Effective Date | Termination Date | Notional Amount (000) | Value | Upfront Premium (Received) | Unrealized (Depreciation) | |||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||
2.58% | Semi-Annual | 3-month Canadian Bankers Acceptances, 2.02% | Semi-Annual | N/A | 12/03/21 | CAD | 15,645 | $ | (231,091) | $ 255 | $ (231,346 | ) | ||||||||||||||||||||
6-month CIBOR, (0.17)% | Semi-Annual | 0.12% | Annual | N/A | 12/06/21 | DKK | 92,248 | 81,564 | 2,234 | 79,330 | ||||||||||||||||||||||
6-month NIBOR, 1.48% | Semi-Annual | 1.67% | Annual | N/A | 12/06/21 | NOK | 123,771 | 1,520 | 104 | 1,416 | ||||||||||||||||||||||
6-month STIBOR, 0.10% | Quarterly | 0.17% | Annual | N/A | 12/06/21 | SEK | 128,311 | 12,751 | 1,723 | 11,028 | ||||||||||||||||||||||
3.01% | Semi-Annual | 3-month LIBOR, 2.60% | Quarterly | N/A | 12/07/21 | USD | 11,851 | (298,484 | ) | (3,125 | ) | (295,359 | ) | |||||||||||||||||||
3-month Canadian Bankers Acceptances, 2.02% | Semi-Annual | 1.81% | Semi-Annual | 3/22/21(a) | 03/22/22 | CAD | 951,670 | (238,980 | ) | 2,289 | (241,269 | ) | ||||||||||||||||||||
3-month Canadian Bankers Acceptances, 2.02% | Semi-Annual | 1.81% | Semi-Annual | 3/22/21(a) | 03/22/22 | CAD | 196,210 | (54,891 | ) | 472 | (55,363 | ) | ||||||||||||||||||||
6-month GBP LIBOR, 0.95% | Semi-Annual | 1.25% | Semi-Annual | 3/22/21(a) | 03/22/22 | GBP | 528,470 | 1,333,345 | 2,245 | 1,331,100 | ||||||||||||||||||||||
6-month GBP LIBOR, 0.95% | Semi-Annual | 1.17% | Semi-Annual | 3/22/21(a) | 03/22/22 | GBP | 210,045 | 349,962 | 886 | 349,076 | ||||||||||||||||||||||
6-month GBP LIBOR, 0.95% | Semi-Annual | 1.24% | Semi-Annual | 3/22/21(a) | 03/22/22 | GBP | 103,000 | 253,176 | 437 | 252,739 | ||||||||||||||||||||||
3-month Canadian Bankers Acceptances, 2.02% | Semi-Annual | 1.76% | Semi-Annual | 3/26/21(a) | 03/26/22 | CAD | 477,000 | (307,973 | ) | 1,154 | (309,127 | ) | ||||||||||||||||||||
6-month GBP LIBOR, 0.95% | Semi-Annual | 1.07% | Semi-Annual | 3/26/21(a) | 03/26/22 | GBP | 104,580 | 19,745 | 447 | 19,298 | ||||||||||||||||||||||
7.11% | Monthly | 28-day MXIBTIIE, 8.52% | Monthly | N/A | 10/14/22 | MXN | 146,271 | 178,005 | 69 | 177,936 | ||||||||||||||||||||||
7.11% | Monthly | 28-day MXIBTIIE, 8.52% | Monthly | N/A | 10/14/22 | MXN | 110,975 | 134,136 | 52 | 134,084 | ||||||||||||||||||||||
2.35% | Semi-Annual | 3-month LIBOR, 2.60% | Quarterly | 7/03/19(a) | 08/31/23 | USD | 144,027 | (516,780 | ) | 1,256 | (518,036 | ) | ||||||||||||||||||||
2.17% | Semi-Annual | 3-month LIBOR, 2.60% | Quarterly | 7/03/19(a) | 08/31/23 | USD | 29,676 | 105,364 | 259 | 105,105 | ||||||||||||||||||||||
2.62% | Semi-Annual | 3-month Canadian Bankers Acceptances, 2.02% | Semi-Annual | N/A | 12/03/23 | CAD | 9,604 | (243,203 | ) | (816 | ) | (242,387 | ) | |||||||||||||||||||
6-month EURIBOR, (0.23)% | Semi-Annual | 0.28% | Annual | N/A | 12/04/23 | EUR | 7,490 | 132,173 | 1,051 | 131,122 | ||||||||||||||||||||||
6-month CIBOR, (0.17)% | Semi-Annual | 0.42% | Annual | N/A | 12/06/23 | DKK | 55,726 | 143,535 | 4,501 | 139,034 | ||||||||||||||||||||||
6-month STIBOR, 0.10% | Quarterly | 0.51% | Annual | N/A | 12/06/23 | SEK | 77,818 | 80,610 | 2,519 | 78,091 |
M A S T E R P O R T F O L I O C O N S O L I D A T E D S C H E D U L E O F I N V E S T M E N T S | 95 |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio |
Paid by the Fund | Received by the Fund | Effective Date | Termination Date | Notional Amount (000) | Value | Upfront Premium (Received) | Unrealized (Depreciation) | |||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||
3.00% | Semi-Annual | 3-month LIBOR, 2.60% | Quarterly | N/A | 12/07/23 | USD | 7,311 | $ | (284,746) | $ (3,653 | ) | $ (281,093) | ||||||||||||||||||||
2.15% | Semi-Annual | 6-month Australian Bank Bill Rate, 1.84% | Semi-Annual | N/A | 02/01/24 | AUD | 9,100 | (131,011 | ) | 65 | (131,076 | ) | ||||||||||||||||||||
28-day MXIBTIIE, 8.52% | Monthly | 8.13% | Monthly | N/A | 02/02/24 | MXN | 168,229 | 109,743 | 404 | 109,339 | ||||||||||||||||||||||
28-day MXIBTIIE, 8.52% | Monthly | 8.14% | Monthly | N/A | 02/05/24 | MXN | 120,900 | 81,761 | 131 | 81,630 | ||||||||||||||||||||||
28-day MXIBTIIE, 8.52% | Monthly | 6.32% | Monthly | N/A | 07/17/25 | MXN | 73,475 | (303,340 | ) | 354 | (303,694 | ) | ||||||||||||||||||||
3-month LIBOR, 2.60% | Quarterly | 2.13% | Semi-Annual | N/A | 08/25/25 | USD | 2,360 | (29,023 | ) | 23 | (29,046 | ) | ||||||||||||||||||||
2.27% | Semi-Annual | 3-month LIBOR, 2.60% | Quarterly | N/A | 09/11/25 | USD | 1,800 | 6,492 | 23 | 6,469 | ||||||||||||||||||||||
2.91% | Semi-Annual | 3-month LIBOR, 2.60% | Quarterly | N/A | 08/23/26 | USD | 3,692 | (142,797 | ) | (46 | ) | (142,751 | ) | |||||||||||||||||||
2.93% | Semi-Annual | 3-month LIBOR, 2.60% | Quarterly | N/A | 08/24/28 | USD | 8,170 | (356,216 | ) | 128 | (356,344 | ) | ||||||||||||||||||||
3.16% | Semi-Annual | 3-month LIBOR, 2.60% | Quarterly | N/A | 10/03/28 | USD | 4,519 | (324,354 | ) | 71 | (324,425 | ) | ||||||||||||||||||||
2.75% | Semi-Annual | 3-month Canadian Bankers Acceptances, 2.02% | Semi-Annual | N/A | 12/03/28 | CAD | 5,110 | (236,870 | ) | (2,133 | ) | (234,737 | ) | |||||||||||||||||||
6-month EURIBOR, (0.23)% | Semi-Annual | 0.88% | Annual | N/A | 12/04/28 | EUR | 3,872 | 202,292 | 666 | 201,626 | ||||||||||||||||||||||
6-month CIBOR, (0.17)% | Semi-Annual | 1.03% | Annual | N/A | 12/06/28 | DKK | 28,735 | 212,117 | 7,988 | 204,129 | ||||||||||||||||||||||
6-month STIBOR, 0.10% | Quarterly | 1.16% | Annual | N/A | 12/06/28 | SEK | 40,557 | 160,912 | 6,978 | 153,934 | ||||||||||||||||||||||
3.08% | Semi-Annual | 3-month LIBOR, 2.60% | Quarterly | N/A | 12/07/28 | USD | 3,916 | (254,920 | ) | (2,139 | ) | (252,781 | ) | |||||||||||||||||||
2.85% | Semi-Annual | 3-month LIBOR, 2.60% | Quarterly | N/A | 12/24/28 | USD | 5,017 | (223,215 | ) | 79 | (223,294 | ) | ||||||||||||||||||||
3-month LIBOR, 2.60% | Quarterly | 2.69% | Semi-Annual | N/A | 01/08/29 | USD | 51,397 | 1,158,462 | 767 | 1,157,695 | ||||||||||||||||||||||
2.72% | Semi-Annual | 3-month LIBOR, 2.60% | Quarterly | N/A | 01/08/29 | USD | 28,852 | (717,978 | ) | 441 | (718,419 | ) | ||||||||||||||||||||
2.81% | Semi-Annual | 3-month LIBOR, 2.60% | Quarterly | N/A | 01/29/29 | USD | 7,497 | (249,924 | ) | 115 | (250,039 | ) | ||||||||||||||||||||
2.76% | Semi-Annual | 3-month LIBOR, 2.60% | Quarterly | N/A | 01/31/29 | USD | 3,866 | (113,250 | ) | 59 | (113,309 | ) | ||||||||||||||||||||
2.49% | Semi-Annual | 6-month Australian Bank Bill Rate, 1.84% | Semi-Annual | N/A | 02/01/29 | AUD | 5,000 | (146,132 | ) | 63 | (146,195 | ) |
96 | 2 0 1 9 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio |
Paid by the Fund | Received by the Fund | Effective Date | Termination Date | Notional Amount (000) | Value | Upfront (Received) | Unrealized (Depreciation) | |||||||||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||||||||||
3-month LIBOR, 2.60% | Quarterly | 2.69% | Semi-Annual | N/A | 02/26/29 | USD | 21,674 | $ | 492,577 | $ 328 | $ 492,249 | |||||||||||||||||||||||||||||
3-month LIBOR, 2.60% | Quarterly | 2.64% | Semi-Annual | N/A | 03/19/29 | USD | 23,902 | 438,420 | 364 | 438,056 | ||||||||||||||||||||||||||||||
2.56% | Semi-Annual | | 3-month LIBOR, 2.60% | | Quarterly | N/A | 03/22/29 | USD | 12,753 | (141,135 | ) | 195 | (141,330 | ) | ||||||||||||||||||||||||||
3-month LIBOR, 2.60% | Quarterly | 2.45% | Semi-Annual | N/A | 03/26/29 | USD | 11,610 | 11,474 | 177 | 11,297 | ||||||||||||||||||||||||||||||
2.42% | Semi-Annual | | 3-month LIBOR, 2.60% | | Quarterly | N/A | 04/02/29 | USD | 10,300 | — | 159 | (159 | ) | |||||||||||||||||||||||||||
3.26% | Semi-Annual | | 3-month LIBOR, 2.60% | | Quarterly | 4/26/19(a) | 04/26/29 | USD | 18,140 | (1,346,214 | ) | 284 | (1,346,498 | ) | ||||||||||||||||||||||||||
3-month LIBOR, 2.60% | Quarterly | 3.35% | Semi-Annual | 4/26/19(a) | 04/26/29 | USD | 12,770 | 1,043,785 | 193 | 1,043,592 | ||||||||||||||||||||||||||||||
3.23% | Semi-Annual | | 3-month LIBOR, 2.60% | | Quarterly | 4/26/19(a) | 04/26/29 | USD | 4,410 | (314,635 | ) | 69 | (314,704 | ) | ||||||||||||||||||||||||||
2.93% | Semi-Annual | | 3-month LIBOR, 2.60% | | Quarterly | 6/12/19(a) | 06/12/29 | USD | 21,170 | (936,095 | ) | 332 | (936,427 | ) | ||||||||||||||||||||||||||
2.91% | Semi-Annual | | 3-month Canadian Bankers Acceptances, 2.02% | | Semi-Annual | N/A | 12/03/48 | CAD | 2,165 | (209,108 | ) | (444 | ) | (208,664 | ) | |||||||||||||||||||||||||
6-month EURIBOR, (0.23)% | Semi-Annual | 1.46% | Annual | N/A | 12/04/48 | EUR | 1,518 | 189,058 | 93 | 188,965 | ||||||||||||||||||||||||||||||
1.73% | Semi-Annual | | 6-month GBP LIBOR, 0.95% | | Semi-Annual | N/A | 12/04/48 | GBP | 1,134 | (137,989 | ) | 1,687 | (139,676 | ) | ||||||||||||||||||||||||||
6-month CIBOR, (0.17)% | Semi-Annual | 1.53% | Annual | N/A | 12/06/48 | DKK | 11,141 | 185,330 | 705 | 184,625 | ||||||||||||||||||||||||||||||
6-month STIBOR, 0.10% | Quarterly | 1.68% | Annual | N/A | 12/06/48 | SEK | 16,157 | 153,400 | 2,326 | 151,074 | ||||||||||||||||||||||||||||||
3.19% | Semi-Annual | | 3-month LIBOR, 2.60% | | Quarterly | N/A | 12/07/48 | USD | 1,695 | (219,527 | ) | (1,494 | ) | (218,033 | ) | |||||||||||||||||||||||||
|
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$ | (1,785,471 | ) | $ 38,188 | $ (1,823,659 | ) | |||||||||||||||||||||||||||||||||||
|
|
|
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(a) | Forward swap. |
OTC Credit Default Swaps — Buy Protection
Reference Obligation | Financing Rate the Fund | Payment Frequency | Counterparty | Termination Date | Notional (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Frontier Communications Corp. | 5.00 | % | Quarterly | JPMorgan Chase Bank N.A. | 12/20/19 | USD | 1,049 | $ | 45,555 | $ | 78,046 | $ | (32,491 | ) | ||||||||||||||||||
Beazer Homes USA, Inc. | 5.00 | % | Quarterly | Barclays Bank PLC | 06/20/20 | USD | 2,050 | (108,098 | ) | (104,604 | ) | (3,494 | ) | |||||||||||||||||||
HCA, Inc. | 5.00 | % | Quarterly | JPMorgan Chase Bank N.A. | 06/20/20 | USD | 3,095 | (185,659 | ) | (174,564 | ) | (11,095 | ) | |||||||||||||||||||
HCA, Inc. | 5.00 | % | Quarterly | JPMorgan Chase Bank N.A. | 06/20/20 | USD | 930 | (55,787 | ) | (52,693 | ) | (3,094 | ) | |||||||||||||||||||
United Mexican States | 1.00 | % | Quarterly | JPMorgan Chase Bank N.A. | 06/20/20 | USD | 7,452 | (53,103 | ) | 16,028 | (69,131 | ) | ||||||||||||||||||||
United Mexican States | 1.00 | % | Quarterly | Bank of America N.A. | 09/20/20 | USD | 7,452 | (57,362 | ) | 27,618 | (84,980 | ) | ||||||||||||||||||||
Australia & New Zealand Banking Group Ltd. | 1.00 | % | Quarterly | JPMorgan Chase Bank N.A. | 12/20/20 | USD | 1,205 | (17,543 | ) | (1,936 | ) | (15,607 | ) |
M A S T E R P O R T F O L I O C O N S O L I D A T E D S C H E D U L E O F I N V E S T M E N T S | 97 |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio |
Reference Obligation | Financing Rate the Fund | Payment Frequency | Counterparty | Termination Date | Notional (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
Australia & New Zealand Banking Group Ltd. | 1.00% | Quarterly | JPMorgan Chase Bank N.A. | 12/20/20 | USD | 1,000 | $ (14,561 | ) | $ (124 | ) | $ (14,437 | ) | ||||||||||||||||
Australia & New Zealand Banking Group Ltd. | 1.00% | Quarterly | JPMorgan Chase Bank N.A. | 12/20/20 | USD | 795 | (11,580 | ) | (1,408 | ) | (10,172 | ) | ||||||||||||||||
Commonwealth Bank of Australia | 1.00% | Quarterly | JPMorgan Chase Bank N.A. | 12/20/20 | USD | 1,150 | (16,556 | ) | (1,453 | ) | (15,103 | ) | ||||||||||||||||
Commonwealth Bank of Australia | 1.00% | Quarterly | JPMorgan Chase Bank N.A. | 12/20/20 | USD | 1,000 | (14,396 | ) | (932 | ) | (13,464 | ) | ||||||||||||||||
Itochu Corp. | 1.00% | Quarterly | Goldman Sachs International | 12/20/20 | JPY | 32,023 | (4,562 | ) | (735 | ) | (3,827 | ) | ||||||||||||||||
Itochu Corp. | 1.00% | Quarterly | Goldman Sachs International | 12/20/20 | JPY | 29,326 | (4,178 | ) | (649 | ) | (3,529 | ) | ||||||||||||||||
Itochu Corp. | 1.00% | Quarterly | Goldman Sachs International | 12/20/20 | JPY | 29,326 | (4,177 | ) | (612 | ) | (3,565 | ) | ||||||||||||||||
Itochu Corp. | 1.00% | Quarterly | Goldman Sachs International | 12/20/20 | JPY | 29,326 | (4,177 | ) | (481 | ) | (3,696 | ) | ||||||||||||||||
Mitsubishi Corp. | 1.00% | Quarterly | Barclays Bank PLC | 12/20/20 | JPY | 47,573 | (6,983 | ) | (2,390 | ) | (4,593 | ) | ||||||||||||||||
Mitsubishi Corp. | 1.00% | Quarterly | Goldman Sachs International | 12/20/20 | JPY | 29,326 | (4,304 | ) | (1,276 | ) | (3,028 | ) | ||||||||||||||||
Mitsui & Co. Ltd. | 1.00% | Quarterly | Goldman Sachs International | 12/20/20 | JPY | 58,651 | (8,510 | ) | (1,003 | ) | (7,507 | ) | ||||||||||||||||
Mitsui & Co. Ltd. | 1.00% | Quarterly | Goldman Sachs International | 12/20/20 | JPY | 29,326 | (4,255 | ) | (368 | ) | (3,887 | ) | ||||||||||||||||
National Australia Bank Ltd. | 1.00% | Quarterly | JPMorgan Chase Bank N.A. | 12/20/20 | USD | 1,000 | (14,413 | ) | (470 | ) | (13,943 | ) | ||||||||||||||||
Standard Chartered Bank | 1.00% | Quarterly | BNP Paribas S.A. | 12/20/20 | EUR | 810 | (13,741 | ) | 6,996 | (20,737 | ) | |||||||||||||||||
Standard Chartered Bank | 1.00% | Quarterly | BNP Paribas S.A. | 12/20/20 | EUR | 460 | (7,804 | ) | 4,143 | (11,947 | ) | |||||||||||||||||
Standard Chartered Bank | 1.00% | Quarterly | Goldman Sachs International | 12/20/20 | EUR | 610 | (10,349 | ) | 2,348 | (12,697 | ) | |||||||||||||||||
Standard Chartered Bank | 1.00% | Quarterly | Morgan Stanley & Co. International PLC | 12/20/20 | EUR | 240 | (4,072 | ) | 2,204 | (6,276 | ) | |||||||||||||||||
Sumitomo Corp. | 1.00% | Quarterly | Barclays Bank PLC | 12/20/20 | JPY | 24,938 | (3,579 | ) | 376 | (3,955 | ) | |||||||||||||||||
Sumitomo Corp. | 1.00% | Quarterly | JPMorgan Chase Bank N.A. | 12/20/20 | JPY | 25,316 | (3,634 | ) | 650 | (4,284 | ) | |||||||||||||||||
Westpac Banking Corp. | 1.00% | Quarterly | Citibank N.A. | 12/20/20 | USD | 1,000 | (14,224 | ) | (1,096 | ) | (13,128 | ) | ||||||||||||||||
DISH DBS Corp. | 5.00% | Quarterly | Goldman Sachs International | 12/20/23 | USD | 2,168 | 51,279 | 105,603 | (54,324 | ) | ||||||||||||||||||
DISH DBS Corp. | 5.00% | Quarterly | Goldman Sachs International | 12/20/23 | USD | 2,150 | 50,844 | 73,047 | (22,203 | ) | ||||||||||||||||||
KB Home | 5.00% | Quarterly | JPMorgan Chase Bank N.A. | 12/20/23 | USD | 2,138 | (258,703 | ) | (169,756 | ) | (88,947 | ) | ||||||||||||||||
Realogy Group LLC | 5.00% | Quarterly | JPMorgan Chase Bank N.A. | 12/20/23 | USD | 1,069 | (15,156 | ) | (9,922 | ) | (5,234 | ) | ||||||||||||||||
RR Donnelley & Sons Co. | 5.00% | Quarterly | JPMorgan Chase Bank N.A. | 12/20/23 | USD | 1,070 | 75,431 | 51,327 | 24,104 | |||||||||||||||||||
Federative Republic of Brazil | 1.00% | Quarterly | BNP Paribas S.A. | 06/20/24 | USD | 16,100 | 570,183 | 541,933 | 28,250 | |||||||||||||||||||
Federative Republic of Brazil | 1.00% | Quarterly | BNP Paribas S.A. | 06/20/24 | USD | 4,420 | 156,535 | 148,779 | 7,756 | |||||||||||||||||||
Federative Republic of Brazil | 1.00% | Quarterly | Citibank N.A. | 06/20/24 | USD | 42,010 | 1,487,804 | 1,316,195 | 171,609 | |||||||||||||||||||
Federative Republic of Brazil | 1.00% | Quarterly | Citibank N.A. | 06/20/24 | USD | 20,173 | 714,429 | 688,175 | 26,254 | |||||||||||||||||||
Federative Republic of Brazil | 1.00% | Quarterly | Citibank N.A. | 06/20/24 | USD | 5,517 | 195,385 | 188,205 | 7,180 | |||||||||||||||||||
Republic of Colombia | 1.00% | Quarterly | Citibank N.A. | 06/20/24 | USD | 27,530 | 101,312 | 269,274 | (167,962 | ) | ||||||||||||||||||
Republic of South Africa | 1.00% | Quarterly | Goldman Sachs International | 06/20/24 | USD | 30,373 | 1,402,860 | 1,347,884 | 54,976 | |||||||||||||||||||
Republic of the Philippines | 1.00% | Quarterly | Citibank N.A. | 06/20/24 | USD | 18,990 | (375,987 | ) | (301,802 | ) | (74,185 | ) | ||||||||||||||||
Republic of Turkey | 1.00% | Quarterly | BNP Paribas S.A. | 06/20/24 | USD | 5,400 | 760,235 | 539,573 | 220,662 | |||||||||||||||||||
Republic of Turkey | 1.00% | Quarterly | Deutsche Bank AG | 06/20/24 | USD | 6,480 | 912,282 | 641,729 | 270,553 | |||||||||||||||||||
Republic of Turkey | 1.00% | Quarterly | Goldman Sachs International | 06/20/24 | USD | 3,405 | 479,370 | 343,021 | 136,349 | |||||||||||||||||||
Republic of Turkey | 1.00% | Quarterly | Goldman Sachs International | 06/20/24 | USD | 935 | 131,657 | 94,471 | 37,186 | |||||||||||||||||||
Republic of Turkey | 1.00% | Quarterly | Morgan Stanley & Co. International PLC | 06/20/24 | USD | 6,175 | 869,286 | 621,611 | 247,675 | |||||||||||||||||||
United Mexican States | 1.00% | Quarterly | Citibank N.A. | 06/20/24 | USD | 15,739 | 148,549 | 276,601 | (128,052 | ) | ||||||||||||||||||
United Mexican States | 1.00% | Quarterly | Citibank N.A. | 06/20/24 | USD | 4,219 | 39,822 | 74,149 | (34,327 | ) | ||||||||||||||||||
United Mexican States | 1.00% | Quarterly | HSBC Bank PLC | 06/20/24 | USD | 25,287 | 238,656 | 457,075 | (218,419 | ) | ||||||||||||||||||
United Mexican States | 1.00% | Quarterly | HSBC Bank PLC | 06/20/24 | USD | 6,779 | 63,977 | 122,529 | (58,552 | ) |
98 | 2 0 1 9 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio |
Reference Obligation | Financing Rate Paid by the Fund | Payment Frequency | Counterparty | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized (Depreciation) | ||||||||||||||||||
CMBX.NA.9.AAA | 0.50% | Annual | Credit Suisse International | 09/17/58 | USD | 4,540 | $ | (39,879 | ) | $ | 53,403 | $ | (93,282 | ) | ||||||||||||
CMBX.NA.9.AAA | 0.50% | Annual | Deutsche Bank AG | 09/17/58 | USD | 3,620 | (31,797 | ) | 43,198 | (74,995 | ) | |||||||||||||||
Morgan Stanley & Co. International | ||||||||||||||||||||||||||
CMBX.NA.9.AAA | 0.50% | Annual | PLC | 09/17/58 | USD | 5,570 | (48,926 | ) | 71,890 | (120,816 | ) | |||||||||||||||
Morgan Stanley & Co. International | ||||||||||||||||||||||||||
CMBX.NA.9.AAA | 0.50% | Annual | PLC | 09/17/58 | USD | 3,050 | (26,790 | ) | 35,877 | (62,667 | ) | |||||||||||||||
Morgan Stanley & Co. International | ||||||||||||||||||||||||||
CMBX.NA.9.AAA | 0.50% | Annual | PLC | 09/17/58 | USD | 2,530 | (22,223 | ) | 29,760 | (51,983 | ) | |||||||||||||||
Morgan Stanley & Co. International | ||||||||||||||||||||||||||
CMBX.NA.9.BBB- | 3.00% | Monthly | PLC | 09/17/58 | USD | 204 | 12,165 | 11,805 | 360 | |||||||||||||||||
CMBX.NA.6.AAA | 0.50% | Monthly | Deutsche Bank AG | 05/11/63 | USD | 6,315 | (47,338 | ) | 1,995 | (49,333 | ) | |||||||||||||||
CMBX.NA.6.AAA | 0.50% | Annual | Deutsche Bank AG | 05/11/63 | USD | 5,619 | (42,118 | ) | (1,796 | ) | (40,322 | ) | ||||||||||||||
CMBX.NA.6.AAA | 0.50% | Annual | Deutsche Bank AG | 05/11/63 | USD | 3,946 | (29,577 | ) | 752 | (30,329 | ) | |||||||||||||||
CMBX.NA.6.BBB- | 3.00% | Annual | J.P. Morgan Securities LLC | 05/11/63 | USD | 850 | 107,431 | 82,181 | 25,250 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | 7,028,946 | $ | 7,540,381 | $ | (511,435 | ) | ||||||||||||||||||||
|
|
|
|
|
|
OTC Credit Default Swaps — Sell Protection
Reference Obligation | Financing Received | Payment Frequency | Counterparty | Termination Date | Credit Rating(a) | Notional Amount (000)(b) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
United Mexican States | 1.00% | Quarterly | Bank of America N.A. | 06/20/20 | BBB+ | USD | 7,452 | $ | 53,103 | $ | (18,578 | ) | $ | 71,681 | ||||||||||||||||
People’s Republic of China | 1.00% | Quarterly | Barclays Bank PLC | 09/20/20 | A+ | USD | 1,000 | 13,257 | (2,390 | ) | 15,647 | |||||||||||||||||||
People’s Republic of China | 1.00% | Quarterly | Goldman Sachs International | 09/20/20 | A+ | USD | 1,000 | 13,257 | (2,527 | ) | 15,784 | |||||||||||||||||||
United Mexican States | 1.00% | Quarterly | JPMorgan Chase Bank N.A. | 09/20/20 | BBB+ | USD | 7,452 | 57,357 | (24,063 | ) | 81,420 | |||||||||||||||||||
ITRAXX.ASIA.XJ.IG.24.V1 | 1.00% | Quarterly | Goldman Sachs International | 12/20/20 | A- | USD | 1,825 | 28,200 | (17,572 | ) | 45,772 | |||||||||||||||||||
Beazer Homes USA, Inc. | 5.00% | Quarterly | Barclays Bank PLC | 06/20/23 | B- | USD | 2,050 | 123,136 | 140,285 | (17,149 | ) | |||||||||||||||||||
Beazer Homes USA, Inc. | 5.00% | Quarterly | Goldman Sachs International | 06/20/23 | B- | USD | 1,036 | 62,227 | 39,610 | 22,617 | ||||||||||||||||||||
Beazer Homes USA, Inc. | 5.00% | Quarterly | Goldman Sachs International | 06/20/23 | B- | USD | 622 | 37,336 | 24,435 | 12,901 | ||||||||||||||||||||
CMBX.NA.7.AAA | 0.50% | Monthly | Morgan Stanley & Co. International PLC | 01/17/47 | AAA | USD | 5,000 | 45,897 | (150,635 | ) | 196,532 | |||||||||||||||||||
CMBX.NA.3.AM | 0.50% | Monthly | Credit Suisse International | 12/13/49 | A | USD | 16 | (60 | ) | (1,333 | ) | 1,273 | ||||||||||||||||||
CMBX.NA.3.AM | 0.50% | Monthly | Goldman Sachs International | 12/13/49 | A | USD | 40 | (151 | ) | (3,403 | ) | 3,252 | ||||||||||||||||||
CMBX.NA.3.AM | 0.50% | Monthly | JPMorgan Chase Bank N.A. | 12/13/49 | A | USD | 87 | (326 | ) | (6,960 | ) | 6,634 | ||||||||||||||||||
CMBX.NA.4.AM | 0.50% | Annual | Deutsche Bank AG | 02/17/51 | A- | USD | 2 | (8 | ) | (212 | ) | 204 | ||||||||||||||||||
CMBX.NA.8.A | 2.00% | Annual | Goldman Sachs International | 10/17/57 | Not Rated | USD | 1,146 | 1,639 | (62,450 | ) | 64,089 | |||||||||||||||||||
CMBX.NA.8.A | 2.00% | Monthly | Goldman Sachs International | 10/17/57 | Not Rated | USD | 440 | 629 | (42,921 | ) | 43,550 | |||||||||||||||||||
CMBX.NA.9.BBB- | 3.00% | Monthly | Deutsche Bank AG | 09/17/58 | Not Rated | USD | 906 | (54,026 | ) | (108,406 | ) | 54,380 | ||||||||||||||||||
CMBX.NA.9.BBB- | 3.00% | Monthly | J.P. Morgan Securities LLC | 09/17/58 | Not Rated | USD | 955 | (56,947 | ) | (84,293 | ) | 27,346 | ||||||||||||||||||
CMBX.NA.9.BBB- | 3.00% | Quarterly | Morgan Stanley & Co. International PLC | 09/17/58 | Not Rated | USD | 1,000 | (59,630 | ) | (60,752 | ) | 1,122 | ||||||||||||||||||
CMBX.NA.10.A | 2.00% | Monthly | Deutsche Bank AG | 11/17/59 | A- | USD | 3,340 | (9,000 | ) | (144,912 | ) | 135,912 | ||||||||||||||||||
CMBX.NA.10.A | 2.00% | Monthly | Deutsche Bank AG | 11/17/59 | A- | USD | 1,670 | (4,499 | ) | (73,673 | ) | 69,174 | ||||||||||||||||||
CMBX.NA.10.BBB- | 3.00% | Annual | J.P. Morgan Securities LLC | 11/17/59 | BBB- | USD | 60 | (3,166 | ) | (5,151 | ) | 1,985 | ||||||||||||||||||
CMBX.NA.6.BBB- | 3.00% | Annual | Credit Suisse International | 05/11/63 | BB+ | USD | 850 | (107,431 | ) | (66,550 | ) | (40,881 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 140,794 | $ | (672,451 | ) | $ | 813,245 | ||||||||||||||||||||||||
|
|
|
|
|
|
(a) | Using S&P’s rating of the issuer or the underlying securities of the index, as applicable. |
(b) | The maximum potential amount the Master Portfolio may pay should a negative credit event take place as defined under the terms of the agreement. |
M A S T E R P O R T F O L I O C O N S O L I D A T E D S C H E D U L E O F I N V E S T M E N T S | 99 |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio |
OTC Interest Rate Swaps
Paid by the Fund |
Received by the Fund | Counterparty | Termination Date | Notional (000) | Value | Upfront Premium Paid (Received) | Unrealized (Depreciation) | |||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||
3.27% | Quarterly | 3-month LIBOR, 2.60% | Semi-Annual | Deutsche Bank AG | 05/16/21 | USD | 9,510 | $ | (260,400 | ) | $ | — | $ | (260,400 | ) | |||||||||||||
1-day BZDIOVER, 0.02% | At Termination | 8.53% | At Termination | Citibank N.A. | 01/02/23 | BRL | 105,470 | 575,004 | — | 575,004 | ||||||||||||||||||
1-day BZDIOVER, 0.02% | At Termination | 8.35% | At Termination | Goldman Sachs International | 01/02/23 | BRL | 59,545 | 133,978 | — | 133,978 | ||||||||||||||||||
1-day BZDIOVER, 0.02% | At Termination | 8.27% | At Termination | JPMorgan Chase Bank N.A. | 01/02/23 | BRL | 62,487 | 96,998 | — | 96,998 | ||||||||||||||||||
1-day BZDIOVER, 0.02% | At Termination | 8.56% | At Termination | BNP Paribas S.A. | 01/02/25 | BRL | 46,219 | 25,845 | — | 25,845 | ||||||||||||||||||
1-day BZDIOVER, 0.02% | At Termination | 8.49% | At Termination | Citibank N.A. | 01/02/25 | BRL | 92,725 | (866 | ) | — | (866 | ) | ||||||||||||||||
5.73% | Monthly | 28-day MXIBTIIE, 8.52% | Monthly | Bank of America N.A. | 01/03/25 | MXN | 23,376 | 122,755 | 262 | 122,493 | ||||||||||||||||||
28-day MXIBTIIE, 8.52% | Monthly | 6.33% | Monthly | Citibank N.A. | 06/09/25 | MXN | 14,869 | (59,283 | ) | (67 | ) | (59,216 | ) | |||||||||||||||
28-day MXIBTIIE, 8.52% | Monthly | 6.33% | Monthly | Citibank N.A. | 07/17/25 | MXN | 36,610 | (150,657 | ) | (129 | ) | (150,528 | ) | |||||||||||||||
28-day MXIBTIIE, 8.52% | Monthly | 6.32% | Monthly | Goldman Sachs International | 08/06/25 | MXN | 109,616 | (449,230 | ) | (380 | ) | (448,850 | ) | |||||||||||||||
6.31% | Monthly | 28-day MXIBTIIE, 8.52% | Monthly | Bank of America N.A. | 08/11/25 | MXN | 36,783 | 154,835 | 154 | 154,681 | ||||||||||||||||||
6.31% | Monthly | 28-day MXIBTIIE, 8.52% | Monthly | Bank of America N.A. | 08/11/25 | MXN | 36,783 | 154,835 | 154 | 154,681 | ||||||||||||||||||
6.31% | Monthly | 28-day MXIBTIIE, 8.52% | Monthly | Deutsche Bank AG | 08/11/25 | MXN | 136,536 | 575,768 | 571 | 575,197 | ||||||||||||||||||
28-day MXIBTIIE, 8.52% | Monthly | 6.27% | Monthly | Bank of America N.A. | 12/05/25 | MXN | 4,348 | (19,640 | ) | (41 | ) | (19,599 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 899,942 | $ | 524 | $ | 899,418 | |||||||||||||||||||||||
|
|
|
|
|
|
OTC Total Return Swaps
Paid by the Fund |
Received by the Fund | Counterparty | Termination Date | Notional (000) | Value | Upfront Premium Paid (Received) | Unrealized (Depreciation) | |||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||
Energy Select Sector SPDR Fund | Monthly | 1-month LIBOR plus 0.05%, 2.49% | Monthly | Merrill Lynch International | 04/10/19 | USD | 4,010 | $ | (100,673 | ) | $ | — | $ | (100,673 | ) | |||||||||||||
SPDR S&P Oil & Gas Exploration & Production ETF | Monthly | 1-month LIBOR minus 0.70%, 2.49% | Monthly | BNP Paribas S.A. | 08/06/19 | USD | 638 | (27,032 | ) | — | (27,032 | ) | ||||||||||||||||
Charter Communi- cations, Inc. | Monthly | 1-month LIBOR plus 0.10%, 2.49% | Monthly | Citibank N.A. | 08/06/19 | USD | 504 | (8,478 | ) | — | (8,478 | ) | ||||||||||||||||
Charter Communi- cations, Inc. | Monthly | 1-month LIBOR, 2.49% | Monthly | BNP Paribas S.A. | 08/27/19 | USD | 1,003 | 24,871 | — | 24,871 |
100 | 2 0 1 9 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio |
Paid by the Fund | Received by the Fund | Counterparty | Termination Date | Notional (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||
Weatherford International PLC | Monthly | 1-month LIBOR plus 0.08%, 2.49% | Monthly | BNP Paribas S.A. | 08/30/19 | USD | 101 | $ | (7,385 | ) | $ | — | $ | (7,385 | ) | |||||||||||||
Superior Energy Services, Inc. | Quarterly | 3-month LIBOR minus 0.75%, 2.60% | Quarterly | BNP Paribas S.A. | 11/19/19 | USD | 25 | 4,475 | — | 4,475 | ||||||||||||||||||
Bristow Group, Inc. | Quarterly | 3-month LIBOR minus 1.50%, 2.60% | Quarterly | BNP Paribas S.A. | 11/19/19 | USD | 17 | 9,445 | — | 9,445 | ||||||||||||||||||
Bristow Group, Inc. | Quarterly | 3-month LIBOR minus 1.50%, 2.60% | Quarterly | BNP Paribas S.A. | 11/19/19 | USD | 5 | 3,078 | — | 3,078 | ||||||||||||||||||
Superior Energy Services, Inc. | Quarterly | 3-month LIBOR minus 0.75%, 2.60% | Quarterly | BNP Paribas S.A. | 11/19/19 | USD | 263 | 46,196 | — | 46,196 | ||||||||||||||||||
Canadian Natural Resources Ltd. | Quarterly | 3-month LIBOR minus 0.45%, 2.60% | Quarterly | BNP Paribas S.A. | 11/27/19 | USD | 545 | 16,939 | — | 16,939 | ||||||||||||||||||
SPDR S&P Oil & Gas Exploration & Production ETF | Monthly | 1-month LIBOR minus 0.35%, 2.49% | Monthly | Merrill Lynch International | 12/31/19 | USD | 1,709 | (21,503 | ) | — | (21,503 | ) | ||||||||||||||||
Superior Energy Services, Inc. | Quarterly | 3-month LIBOR minus 0.45%, 2.60% | Quarterly | BNP Paribas S.A. | 01/31/20 | USD | 311 | (29,799 | ) | — | (29,799 | ) | ||||||||||||||||
Halcon Resources Corp. | Monthly | 1-month LIBOR minus 2.75%, 2.49% | Monthly | Citibank N.A. | 03/17/20 | USD | 238 | (22,609 | ) | — | (22,609 | ) | ||||||||||||||||
SPDR S&P Oil & Gas Exploration & Production ETF | Monthly | 1-month LIBOR minus 0.47%, 2.49% | Monthly | Merrill Lynch International | 03/17/20 | USD | 1,493 | (46,297 | ) | — | (46,297 | ) | ||||||||||||||||
Halcon Resources Corp. | Monthly | 1-month LIBOR minus 2.75%, 2.49% | Monthly | Citibank N.A. | 03/19/20 | USD | 238 | (29,680 | ) | — | (29,680 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (188,452 | ) | $ | — | $ | (188,452 | ) | |||||||||||||||||||||
|
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|
|
|
M A S T E R P O R T F O L I O C O N S O L I D A T E D S C H E D U L E O F I N V E S T M E N T S | 101 |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio |
OTC Total Return — Correlation Swaps
Reference | Stirke Correlation Rate | Counterparty | Termination Date | Notional (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||
GBP/EUR — GBP/USD | 76.5 | %(a) | Citibank N.A. | 07/17/19 | GBP | 13 | $ | (133,802 | ) | $ | — | $ | (133,802 | ) | ||||||||||||||||||
GBP/EUR — GBP/USD | 75.0 | %(a) | Citibank N.A. | 07/17/19 | GBP | 10 | (117,205 | ) | — | (117,205 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (251,007 | ) | $ | — | $ | (251,007 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
(a) | At expiration, the Master Portfolio pays or receives an amount based on the difference between the strike correlation rate and the realized price correlation. |
Balances Reported in the Consolidated Statement of Assets and Liabilities for Centrally Cleared Swaps and OTC Derivatives
Swap Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation | Value | ||||||||||||||||
Centrally Cleared Swaps(a) | $ | 750,862 | $ | (3,383,994 | ) | $ | 9,868,305 | $ | (15,411,668 | ) | $ | — | ||||||||
OTC Swaps | 8,575,922 | (1,707,468 | ) | 4,073,320 | (3,311,551 | ) | — | |||||||||||||
Options Written | N/A | N/A | 4,099,999 | (2,243,003 | ) | (8,461,052 | ) |
(a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Consolidated Schedule of Investments. Only current day’s variation margin is reported within the Consolidated Statement of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Consolidated Statement of Assets and Liabilities were as follows:
Assets — Derivative Financial Instruments | Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||||||||
Futures contracts | Net unrealized appreciation(a) | $— | $ | — | $ | — | $ | — | $ | 48,436,702 | $ | — | $ | 48,436,702 | ||||||||||||||||||
Forward foreign currency exchange contracts | | Unrealized appreciation on forward foreign currency exchange contracts | | — | — | — | 19,476,871 | — | — | 19,476,871 | ||||||||||||||||||||||
Options purchased | Investments at value — unaffiliated(b) | — | — | 1,546,834 | 4,123,543 | 6,277,153 | — | 11,947,530 | ||||||||||||||||||||||||
Swaps — centrally cleared | Net unrealized appreciation(a) | — | 114,411 | — | — | 7,469,713 | 2,284,181 | 9,868,305 | ||||||||||||||||||||||||
Swaps — OTC | | Unrealized appreciation on OTC swaps; Swap premiums paid |
| — | 10,704,220 | 105,004 | — | 1,840,018 | — | 12,649,242 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
$— | $ | 10,818,631 | $ | 1,651,838 | $ | 23,600,414 | $ | 64,023,586 | $ | 2,284,181 | $ | 102,378,650 | ||||||||||||||||||||
|
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|
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|
| |||||||||||||||||||
Liabilities — Derivative Financial Instruments | ||||||||||||||||||||||||||||||||
Futures contracts | Net unrealized depreciation(a) | $— | $ | — | $ | 612,254 | $ | — | $ | 546,890 | $ | — | $ | 1,159,144 | ||||||||||||||||||
Forward foreign currency exchange contracts | | Unrealized depreciation on forward foreign currency exchange contracts |
| — | — | — | 11,982,569 | — | — | 11,982,569 | ||||||||||||||||||||||
Options written | Options written at value | — | — | 1,455,926 | 3,667,147 | 3,337,979 | — | 8,461,052 | ||||||||||||||||||||||||
Swaps — centrally cleared | Net unrealized depreciation(a) | — | 2,079,742 | — | — | 9,293,372 | 4,038,554 | 15,411,668 | ||||||||||||||||||||||||
Swaps — OTC | | Unrealized depreciation on OTC swaps; Swap premiums received |
| — | 3,534,480 | 293,456 | — | 1,191,083 | — | 5,019,019 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
$— | $ | 5,614,222 | $ | 2,361,636 | $ | 15,649,716 | $ | 14,369,324 | $ | 4,038,554 | $ | 42,033,452 | ||||||||||||||||||||
|
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|
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|
|
(a) | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Consolidated Schedule of Investments. Only current day’s variation margin is reported within the Consolidated Statement of Assets and Liabilities. |
(b) | Includes options purchased at value as reported in the Consolidated Schedule of Investments. |
For the six months ended March 31, 2019, the effect of derivative financial instruments in the Consolidated Statement of Operations was as follows:
Net Realized Gain (Loss) from: | Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||||
Futures contracts | $ (13,435 | ) | $ | — | $ | (9,028,741 | ) | $ | — | $ | (10,651,221 | ) | $ | — | $ | (19,693,397 | ) | |||||||||||
Forward foreign currency exchange contracts | — | — | — | 7,987,081 | — | — | 7,987,081 | |||||||||||||||||||||
Options purchased(a) | — | (213,857 | ) | 15,737,048 | (18,424,417 | ) | (4,026,514 | ) | — | (6,927,740 | ) | |||||||||||||||||
Options written | — | — | (3,327,483 | ) | 12,333,163 | 5,345,095 | — | 14,350,775 | ||||||||||||||||||||
Swaps | — | (7,991,556 | ) | 985,942 | — | 8,269,050 | 852,978 | 2,116,414 | ||||||||||||||||||||
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| |||||||||||||||
$ (13,435 | ) | $ | (8,205,413 | ) | $ | 4,366,766 | $ | 1,895,827 | $ | (1,063,590 | ) | $ | 852,978 | $ | (2,166,867 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Options purchased are included in net realized gain (loss) from investments. |
102 | 2 0 1 9 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio |
Net Change in Unrealized Appreciation (Depreciation) on: | Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate | Other Contracts | Total | |||||||||||||||||||||
Futures contracts | $ | 71,559 | $ | — | $ | (1,433,700 | ) | $ | — | $ | 100,618,808 | $ | — | $ | 99,256,667 | |||||||||||||
Forward foreign currency exchange contracts | — | — | — | (10,389,546 | ) | — | — | (10,389,546 | ) | |||||||||||||||||||
Options purchased(a) | — | — | 3,120,044 | 1,776,691 | 1,843,143 | — | 6,739,878 | |||||||||||||||||||||
Options written | — | — | (1,230,367 | ) | (650,212 | ) | (371,114 | ) | — | (2,251,693 | ) | |||||||||||||||||
Swaps | — | 2,376,137 | 51,936 | — | (1,838,520 | ) | (1,827,658 | ) | (1,238,105 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | 71,559 | $ | 2,376,137 | $ | 507,913 | $ | (9,263,067 | ) | $ | 100,252,317 | $ | (1,827,658 | ) | $ | 92,117,201 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Options purchased are included in net change in unrealized appreciation (depreciation) on investments. |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
Futures contracts: | ||||
Average notional value of contracts — long | $ | 5,215,015,215 | ||
Average notional value of contracts — short | 1,999,950,787 | |||
Forward foreign currency exchange contracts: | ||||
Average amounts purchased — in USD | 999,440,347 | |||
Average amounts sold — in USD | 595,383,711 | |||
Options: | ||||
Average value of option contracts purchased | 10,323,803 | |||
Average value of option contracts written | 8,356,149 | |||
Average notional value of swaption contracts purchased | 928,066,000 | |||
Average notional value of swaption contracts written | 684,385,000 | |||
Credit default swaps: | ||||
Average notional value — buy protection | 509,378,236 | |||
Average notional value — sell protection | 116,707,820 | |||
Interest rate swaps: | ||||
Average notional value — pays fixed rate | 2,813,263,645 | |||
Average notional value — receives fixed rate | 2,841,014,383 | |||
Currency swaps: | ||||
Average notional value — pays fixed rate | 960,888 | |||
Average notional value — receives fixed rate | 4,500 | |||
Inflation swaps: | ||||
Average notional value — pays fixed rate | 217,232,333 | |||
Average notional value — receives fixed rate | 272,019,542 | |||
Total return swaps: | ||||
Average notional value | 22,846,933 | |||
|
|
For more information about the Master Portfolio’s investment risks regarding derivative financial instruments, refer to the Notes to Consolidated Financial Statements.
Derivative Financial Instruments — Offsetting as of Period End
The Master Portfolio’s derivative assets and liabilities (by type) were as follows:
Assets | Liabilities | |||||||
Derivative Financial Instruments: | ||||||||
Futures contracts | $ | 2,468,812 | $ | 8,417,920 | ||||
Forward foreign currency exchange contracts | 19,476,871 | 11,982,569 | ||||||
Options | 11,947,530 | (a) | 8,461,052 | |||||
Swaps — Centrally cleared | — | 143,641 | ||||||
Swaps — OTC(b) | 12,649,242 | 5,019,019 | ||||||
|
|
|
| |||||
Total derivative assets and liabilities in the Consolidated Statement of Assets and Liabilities | $ | 46,542,455 | $ | 34,024,201 | ||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | (9,282,998 | ) | (13,355,466 | ) | ||||
|
|
|
| |||||
Total derivative assets and liabilities subject to an MNA | $ | 37,259,457 | $ | 20,668,735 | ||||
|
|
|
|
(a) | Includes interest rate caps purchased at value and options purchased at value which are included in Investments at value — unaffiliated in the Consolidated Statement of Assets and Liabilities and reported in the Consolidated Schedule of Investments. |
(b) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/received in the Consolidated Statement of Assets and Liabilities. |
M A S T E R P O R T F O L I O C O N S O L I D A T E D S C H E D U L E O F I N V E S T M E N T S | 103 |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio |
The following tables present the Master Portfolio’s derivative assets and liabilities by counterparty net of amounts for offset under an MNA and net of the related collateral received and pledged by the Master Portfolio:
Counterparty | Derivative Assets Subject to an MNA by Counterparty | Derivatives Available for Offset(a) | Non-cash Collateral Received | Cash Collateral Received | Net Amount of Derivative Assets(b)(c) | |||||||||||||||
Australia & New Zealand | ||||||||||||||||||||
Banking Group Ltd. | $ | 3,580 | $ | — | $ | — | $ | — | $ | 3,580 | ||||||||||
Bank of America N.A. | 938,793 | (536,996 | ) | (383,056 | ) | — | 18,741 | |||||||||||||
Barclays Bank PLC | 2,002,476 | (215,582 | ) | — | (1,260,000 | ) | 526,894 | |||||||||||||
BNP Paribas S.A. | 3,234,680 | (1,591,883 | ) | — | (960,000 | ) | 682,797 | |||||||||||||
Citibank N.A. | 4,624,272 | (3,742,412 | ) | — | (881,860 | ) | — | |||||||||||||
Credit Suisse International | 467,287 | (202,046 | ) | — | — | 265,241 | ||||||||||||||
Deutsche Bank AG | 14,352,060 | (1,220,872 | ) | (495,307 | ) | (2,033,000 | ) | 10,602,881 | ||||||||||||
Goldman Sachs International | 3,240,885 | (1,013,397 | ) | — | (2,227,488 | ) | — | |||||||||||||
HSBC Bank PLC | 4,672,720 | (592,050 | ) | (372,331 | ) | — | 3,708,339 | |||||||||||||
J.P. Morgan Securities LLC | 136,762 | (89,444 | ) | — | — | 47,318 | ||||||||||||||
JPMorgan Chase Bank N.A. | 803,085 | (803,085 | ) | — | — | — | ||||||||||||||
Morgan Stanley & Co. | ||||||||||||||||||||
International PLC | 1,553,761 | (1,553,761 | ) | — | — | — | ||||||||||||||
NatWest Markets PLC | 220,858 | (220,858 | ) | — | — | — | ||||||||||||||
Northern Trust Corp. | 135,613 | — | — | — | 135,613 | |||||||||||||||
Royal Bank of Canada | 672 | (672 | ) | — | — | — | ||||||||||||||
Standard Chartered Bank | 80,957 | (80,957 | ) | — | — | — | ||||||||||||||
State Street Bank and Trust Co. | 23,534 | (23,534 | ) | — | — | — | ||||||||||||||
UBS AG | 767,462 | (767,462 | ) | — | — | — | ||||||||||||||
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|
|
|
|
|
|
| |||||||||||
$ | 37,259,457 | $ | (12,655,011 | ) | $ | (1,250,694 | ) | $ | (7,362,348 | ) | $ | 15,991,404 | ||||||||
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|
|
Counterparty | Derivative Liabilities Subject to an MNA by Counterparty | Derivatives Available for Offset(a) | Non-cash Collateral Pledged | Cash Collateral Pledged(d) | Net Amount Derivative | |||||||||||||||
Bank of America N.A. | $ | 536,996 | $ | (536,996 | ) | $ | — | $ | — | $ | — | |||||||||
Barclays Bank PLC | 215,582 | (215,582 | ) | — | — | — | ||||||||||||||
BNP Paribas S.A. | 1,591,883 | (1,591,883 | ) | — | — | — | ||||||||||||||
Citibank N.A. | 3,742,412 | (3,742,412 | ) | — | — | — | ||||||||||||||
Credit Suisse International | 202,046 | (202,046 | ) | — | — | — | ||||||||||||||
Deutsche Bank AG | 1,220,872 | (1,220,872 | ) | — | — | — | ||||||||||||||
Goldman Sachs International | 1,013,397 | (1,013,397 | ) | — | — | — | ||||||||||||||
HSBC Bank PLC | 592,050 | (592,050 | ) | — | — | — | ||||||||||||||
J.P. Morgan Securities LLC | 89,444 | (89,444 | ) | — | — | — | ||||||||||||||
JPMorgan Chase Bank N.A. | 7,618,278 | (803,085 | ) | — | — | 6,815,193 | ||||||||||||||
Merrill Lynch International | 168,473 | — | — | (168,473 | ) | — | ||||||||||||||
Morgan Stanley & Co. | ||||||||||||||||||||
International PLC | 1,643,983 | (1,553,761 | ) | — | (90,222 | ) | — | |||||||||||||
NatWest Markets PLC | 325,698 | (220,858 | ) | — | — | 104,840 | ||||||||||||||
Royal Bank of Canada | 1,144 | (672 | ) | — | — | 472 | ||||||||||||||
Standard Chartered Bank | 483,245 | (80,957 | ) | — | — | 402,288 | ||||||||||||||
State Street Bank and Trust Co. | 35,251 | (23,534 | ) | — | — | 11,717 | ||||||||||||||
TD Securities, Inc. | 75,347 | — | — | — | 75,347 | |||||||||||||||
UBS AG | 1,112,634 | (767,462 | ) | — | (345,172 | ) | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 20,668,735 | $ | (12,655,011 | ) | $ | — | $ | (603,867 | ) | $ | 7,409,857 | |||||||||
|
|
|
|
|
|
|
|
|
|
(a) | The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA. |
(b) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(c) | Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
(d) | Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
(e) | Net amount represents the net amount payable due to the counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Consolidated Statement of Assets and Liabilities. |
104 | 2 0 1 9 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Master Portfolio’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Consolidated Financial Statements.
The following tables summarize the Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Long-Term Investments: | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 1,215,220,772 | $ | 96,557,001 | $ | 1,311,777,773 | ||||||||
Common Stocks(a) | 29,901,857 | — | 2,046,642 | 31,948,499 | ||||||||||||
Corporate Bonds(a) | — | 5,458,316,258 | 1,508,374 | 5,459,824,632 | ||||||||||||
Floating Rate Loan Interests(a) | — | 114,493,218 | 151,927,636 | 266,420,854 | ||||||||||||
Foreign Agency Obligations | — | 96,684,634 | — | 96,684,634 | ||||||||||||
Foreign Government Obligations | — | 451,977,225 | — | 451,977,225 | ||||||||||||
Investment Companies | 12,247,957 | — | — | 12,247,957 | ||||||||||||
Non-Agency Mortgage-Backed Securities | — | 590,488,935 | 59,162,027 | 649,650,962 | ||||||||||||
Preferred Securities(a) | — | 100,558,618 | — | 100,558,618 | ||||||||||||
Taxable Municipal Bonds | — | 602,769,683 | — | 602,769,683 | ||||||||||||
U.S. Government Sponsored Agency Securities | — | 7,646,850,357 | — | 7,646,850,357 | ||||||||||||
U.S. Treasury Obligations | — | 644,289,874 | — | 644,289,874 | ||||||||||||
Warrants | 111,720 | — | — | 111,720 | ||||||||||||
Short-Term Securities: | ||||||||||||||||
Foreign Government Obligations | — | 15,032,561 | — | 15,032,561 | ||||||||||||
Money Market Funds | 958,809,171 | — | — | 958,809,171 | ||||||||||||
U.S. Treasury Obligations | — | 5,103,590 | — | 5,103,590 | ||||||||||||
Options Purchased: | ||||||||||||||||
Equity contracts | 1,546,834 | — | — | 1,546,834 | ||||||||||||
Foreign currency exchange contracts | — | 4,123,543 | — | 4,123,543 | ||||||||||||
Interest rate contracts | 5,267,352 | 1,009,793 | 8 | 6,277,153 | ||||||||||||
Liabilities: | ||||||||||||||||
TBA Sale Commitments | — | (4,349,627,425 | ) | — | (4,349,627,425 | ) | ||||||||||
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|
|
|
|
|
|
| |||||||||
Subtotal | $ | 1,007,884,891 | $ | 12,597,291,636 | $ | 311,201,688 | $ | 13,916,378,215 | ||||||||
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|
|
|
|
|
|
| |||||||||
Investments Valued at Net Asset Value (“NAV”)(b) | 233,177 | |||||||||||||||
|
| |||||||||||||||
Total Investments | $ | 13,916,611,392 | ||||||||||||||
|
|
(a) | See above Consolidated Schedule of Investments for values in each industry. |
(b) | Certain investments of the Master Portfolio were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |
M A S T E R P O R T F O L I O C O N S O L I D A T E D S C H E D U L E O F I N V E S T M E N T S | 105 |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Derivative Financial Instruments(a) | ||||||||||||||||
Assets: | ||||||||||||||||
Credit contracts | $ | — | $ | 2,243,850 | $ | — | $ | 2,243,850 | ||||||||
Equity contracts | — | 105,004 | — | 105,004 | ||||||||||||
Foreign currency exchange contracts | — | 19,476,871 | — | 19,476,871 | ||||||||||||
Interest rate contracts | 48,436,702 | 9,308,590 | — | 57,745,292 | ||||||||||||
Other contracts | — | 2,284,181 | — | 2,284,181 | ||||||||||||
Liabilities: | ||||||||||||||||
Credit contracts | — | (3,907,371 | ) | — | (3,907,371 | ) | ||||||||||
Equity contracts | (2,068,180 | ) | (293,456 | ) | — | (2,361,636 | ) | |||||||||
Foreign currency exchange contracts | — | (15,900,723 | ) | — | (15,900,723 | ) | ||||||||||
Interest rate contracts | (3,884,869 | ) | (10,232,831 | ) | — | (14,117,700 | ) | |||||||||
Other contracts | — | (4,038,554 | ) | — | (4,038,554 | ) | ||||||||||
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|
|
|
|
|
|
| |||||||||
$ | 42,483,653 | $ | (954,439 | ) | $ | — | $ | 41,529,214 | ||||||||
|
|
|
|
|
|
|
|
(a) | Derivative financial instruments are swaps, financial futures contracts, forward foreign currency exchange contracts and options written. Swaps, financial futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value. |
During the six months ended March 31, 2019, there were no transfers between Level 1 and Level 2.
A reconciliation of Level 3 investments is presented when the Master Portfolio had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
Asset-Backed Securities | Common Stocks | Corporate Bonds | Floating Rate Loan Interests | Non-Agency Backed | ||||||||||||||||
Assets: | ||||||||||||||||||||
Opening Balance, as of September 30, 2018 | $ | 61,899,804 | $ | 218,040 | $ | 111,000,003 | $ | 127,990,875 | $ | 60,105,857 | ||||||||||
Transfers into Level 3 | 25,955,285 | — | 34,521 | 52,047,625 | 3,373,558 | |||||||||||||||
Transfers out of Level 3 | (19,008,110 | ) | — | — | (17,030,050 | ) | (6,872,711 | ) | ||||||||||||
Accrued discounts/premiums | 120,781 | — | — | 14,961 | 415,721 | |||||||||||||||
Net realized gain (loss) | (203,585 | ) | (342,007 | ) | — | 31,190 | (4,226,040 | ) | ||||||||||||
Net change in unrealized appreciation (depreciation)(a)(b) | (10,145,144 | ) | 216,713 | 850 | (3,315,993 | ) | (14,052 | ) | ||||||||||||
Purchases | 60,664,782 | 2,154,360 | 1,473,000 | 16,014,164 | 19,295,469 | |||||||||||||||
Sales | (22,726,812 | ) | (200,464 | ) | (111,000,000 | ) | (23,825,136 | ) | (12,915,775 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Closing Balance, as of March 31, 2019 | $ | 96,557,001 | $ | 2,046,642 | $ | 1,508,374 | $ | 151,927,636 | $ | 59,162,027 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net change in unrealized appreciation (depreciation) on investments still held at March 31, 2019(b) | $ | (9,520,987 | ) | $ | (107,718 | ) | $ | 850 | $ | (3,341,653 | ) | $ | (4,900,854 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
Preferred Securities | U.S. Government Sponsored Agency Securities | Options Purchased | Total | |||||||||||||
Assets: | ||||||||||||||||
Opening Balance, as of September 30, 2018 | $ | 240,721 | $ | 840,797 | $ | 39 | $ | 362,296,136 | ||||||||
Transfers into Level 3 | — | — | — | 81,410,989 | ||||||||||||
Transfers out of Level 3 | — | (840,797 | ) | — | (43,751,668 | ) | ||||||||||
Accrued discounts/premiums | — | — | — | 551,463 | ||||||||||||
Net realized gain (loss) | (867,195 | ) | — | — | (5,607,637 | ) | ||||||||||
Net change in unrealized appreciation (depreciation)(a)(b) | 847,791 | — | (263,127 | ) | (12,672,962 | ) | ||||||||||
Purchases | — | — | 263,096 | 99,864,871 | ||||||||||||
Sales | (221,317 | ) | — | — | (170,889,504 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Closing Balance, as of March 31, 2019 | $ | — | $ | — | $ | 8 | $ | 311,201,688 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation (depreciation) on investments still held at March 31, 2019(b) | $ | — | $ | — | $ | (263,087 | ) | $ | (18,133,449 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at March 31, 2019, is generally due to investments no longer held or categorized as Level 3 at period end. |
(b) | Included in the related net change in unrealized appreciation (depreciation) in the Consolidated Statement of Operations. |
106 | 2 0 1 9 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Consolidated Schedule of Investments (unaudited) (continued) March 31, 2019 | Master Total Return Portfolio |
The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used in determining fair value:
Foreign Currency Exchange Contracts | ||||||||
Assets | Liabilities | |||||||
Opening Balance, as of September 30, 2018 | $ | — | $ | (39 | ) | |||
Transfers into Level 3 | — | — | ||||||
Transfers out of Level 3 | — | — | ||||||
Accrued discounts/premiums | — | — | ||||||
Net realized gain (loss) | — | — | ||||||
Net change in unrealized appreciation (depreciation)(a)(b) | — | 39 | ||||||
Purchases | — | — | ||||||
Issues | — | — | ||||||
Sales | — | — | ||||||
Settlements | — | — | ||||||
|
|
|
| |||||
Closing Balance, as of March 31, 2019 | $ | — | $ | — | ||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) on derivative financial instruments still held at March 31, 2019(b) | $ | — | $ | — | ||||
|
|
|
|
(a) | Included in the related net change in unrealized appreciation (depreciation) in the Consolidated Statement of Operations. |
(b) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at March 31, 2019 is generally due to investments no longer held or categorized as Level 3 at period end. |
The Master Portfolio’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments.
See notes to consolidated financial statements.
M A S T E R P O R T F O L I O C O N S O L I D A T E D S C H E D U L E O F I N V E S T M E N T S | 107 |
Consolidated Statement of Assets and Liabilities (unaudited)
March 31, 2019
Master Total Return Portfolio | ||||
ASSETS | ||||
Investments at value — unaffiliated (including securities loaned at value of $196,704) (cost — $17,216,123,290) | $ | 17,294,945,514 | ||
Investments at value — affiliated (cost — $971,215,809) | 971,293,303 | |||
Cash | 4,674,542 | |||
Cash pledged: | ||||
Collateral — OTC derivatives | 2,680,000 | |||
Collateral — TBA commitments | 580,000 | |||
Futures contracts | 31,709,010 | |||
Centrally cleared swaps | 18,941,630 | |||
Foreign currency at value (cost — $27,174,797) | 26,996,233 | |||
Receivables: | ||||
Investments sold | 575,806,484 | |||
Options written | 230,471 | |||
Securities lending income — affiliated | 31 | |||
Swaps | 3,487,306 | |||
TBA sale commitments | 4,332,142,474 | |||
Contributions from investors | 4,084,217 | |||
Dividends — affiliated | 2,057,804 | |||
Dividends — unaffiliated | 14,756 | |||
Interest — unaffiliated | 103,317,354 | |||
Principal paydowns | 1,004,520 | |||
Variation margin on futures contracts | 2,468,812 | |||
Variation margin on centrally cleared swaps | 143,641 | |||
Swap premiums paid | 8,575,922 | |||
Unrealized appreciation on: | ||||
Forward foreign currency exchange contracts | 19,476,871 | |||
OTC swaps | 4,073,320 | |||
Prepaid expenses | 182,205 | |||
|
| |||
Total assets | 23,408,886,420 | |||
|
| |||
LIABILITIES | ||||
Cash received: | ||||
Collateral — OTC derivatives | 31,467,000 | |||
Collateral — TBA commitments | 9,097,896 | |||
Cash collateral on securities loaned at value | 207,573 | |||
Options written at value (premiums received — $10,318,048) | 8,461,052 | |||
TBA sale commitments at value (proceeds — $4,332,142,474) | 4,349,627,425 | |||
Payables: | ||||
Investments purchased | 5,406,473,120 | |||
Directors’ fees | 37,418 | |||
Investment advisory fees | 540,854 | |||
Options written | 38,384 | |||
Other accrued expenses | 1,247,187 | |||
Variation margin on futures contracts | 8,417,920 | |||
Swap premiums received | 1,707,468 | |||
Unrealized depreciation on: | ||||
Forward foreign currency exchange contracts | 11,982,569 | |||
OTC swaps | 3,311,551 | |||
|
| |||
Total liabilities | 9,832,617,417 | |||
|
| |||
NET ASSETS | $ | 13,576,269,003 | ||
|
| |||
NET ASSETS CONSIST OF | ||||
Investors’ capital | $ | 13,463,388,030 | ||
Net unrealized appreciation (depreciation) | 112,880,973 | |||
|
| |||
NET ASSETS | $ | 13,576,269,003 | ||
|
|
See notes to consolidated financial statements.
108 | 2 0 1 9 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Consolidated Statement of Operations (unaudited)
Six Months Ended March 31, 2019
Master Total Return Portfolio | ||||
INVESTMENT INCOME | ||||
Interest — unaffiliated | $ | 241,317,790 | ||
Dividends — affiliated | 10,311,193 | |||
Dividends — unaffiliated | 33,889 | |||
Securities lending income — affiliated — net | 70,764 | |||
Foreign taxes withheld | (22,637 | ) | ||
|
| |||
Total investment income | 251,710,999 | |||
|
| |||
EXPENSES | ||||
Investment advisory | 3,459,195 | |||
Custodian | 433,907 | |||
Accounting services | 326,596 | |||
Professional | 87,901 | |||
Directors | 70,299 | |||
Printing | 5,858 | |||
Miscellaneous | 278,557 | |||
|
| |||
Total expenses | 4,662,313 | |||
Less fees waived and/or reimbursed by the Manager | (250,753 | ) | ||
|
| |||
Total expenses after fees waived and/or reimbursed | 4,411,560 | |||
|
| |||
Net investment income | 247,299,439 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) from: | ||||
Investments — unaffiliated (net of $14,238 foreign capital gain tax) | (51,515,405 | ) | ||
Investments — affiliated | (4,469,331 | ) | ||
Foreign currency transactions | 450,207 | |||
Forward foreign currency exchange contracts | 7,987,081 | |||
Futures contracts | (19,693,397 | ) | ||
Options written | 14,350,775 | |||
Swaps | 2,116,414 | |||
|
| |||
(50,773,656 | ) | |||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments — unaffiliated | 292,017,712 | |||
Investments — affiliated | (525,998 | ) | ||
Foreign currency translations | 316,052 | |||
Forward foreign currency exchange contracts | (10,389,546 | ) | ||
Futures contracts | 99,256,667 | |||
Options written | (2,251,693 | ) | ||
Swaps | (1,238,105 | ) | ||
|
| |||
377,185,089 | ||||
|
| |||
Net realized and unrealized gain | 326,411,433 | |||
|
| |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 573,710,872 | ||
|
|
See notes to consolidated financial statements.
M A S T E R P O R T F O L I O C O N S O L I D A T E D F I N A N C I A L S T A T E M E N T S | 109 |
Consolidated Statements of Changes in Net Assets
Master Total Return Portfolio | ||||||||
Six Months Ended 03/31/19 (unaudited) | Year Ended 09/30/18 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 247,299,439 | $ | 464,469,339 | ||||
Net realized loss | (50,773,656 | ) | (212,466,813 | ) | ||||
Net change in unrealized appreciation (depreciation) | 377,185,089 | (394,697,234 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 573,710,872 | (142,694,708 | ) | |||||
|
|
|
| |||||
CAPITAL TRANSACTIONS | ||||||||
Proceeds from contributions | 2,812,441,925 | 5,934,095,058 | ||||||
Value of withdrawals | (2,873,730,855 | ) | (4,328,662,619 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets derived from capital transactions | (61,288,930 | ) | 1,605,432,439 | |||||
|
|
|
| |||||
NET ASSETS | ||||||||
Total increase in net assets | 512,421,942 | 1,462,737,731 | ||||||
Beginning of period | 13,063,847,061 | 11,601,109,330 | ||||||
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|
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| |||||
End of period | $ | 13,576,269,003 | $ | 13,063,847,061 | ||||
|
|
|
|
See notes to consolidated financial statements.
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Consolidated Financial Highlights
Master Total Return Portfolio | ||||||||||||||||||||||||||||
Six Months 03/31/19 (unaudited) | Year Ended September 30, | |||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||||||
Total return | 4.56 | %(a) | (1.19 | )%(b) | 1.90 | % | 5.75 | % | 3.13 | % | 7.15 | % | ||||||||||||||||
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| |||||||||||||||||
Ratios to Average Net Assets(c) | ||||||||||||||||||||||||||||
Total expenses | 0.07 | %(d) | 0.34 | % | 0.32 | % | 0.21 | % | 0.14 | % | 0.25 | % | ||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total expenses after fees waived | 0.07 | %(d) | 0.34 | % | 0.32 | % | 0.21 | % | 0.14 | % | 0.25 | % | ||||||||||||||||
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|
|
|
|
|
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|
|
|
|
| |||||||||||||||||
Total expenses after fees waived and excluding interest expense | 0.07 | %(d) | 0.07 | % | 0.08 | % | 0.08 | % | 0.09 | % | 0.14 | % | ||||||||||||||||
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|
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|
|
|
|
|
|
|
| |||||||||||||||||
Net investment income | 3.67 | %(d) | 3.67 | % | 3.30 | % | 3.03 | % | 3.07 | % | 4.03 | % | ||||||||||||||||
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| |||||||||||||||||
Supplemental Data | ||||||||||||||||||||||||||||
Net assets, end of period (000) | $ | 13,576,269 | $ | 13,063,847 | $ | 11,601,109 | $ | 9,309,960 | $ | 7,418,036 | $ | 3,431,769 | ||||||||||||||||
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| |||||||||||||||||
Portfolio turnover rate(e) | 372 | % | 734 | % | 806 | % | 841 | % | 1,015 | % | 750 | % | ||||||||||||||||
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|
(a) | Aggregate total return. |
(b) | Includes payment received from an affiliate, which had no impact on the Master Portfolio’s total return. |
(c) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
Six Months (unaudited) | Year Ended September 30, | |||||||||||||||||||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||||||||||||||||||||
Investments in underlying funds | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | — | — | ||||||||||||||||||||||||||||||||||||||||||
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(d) | Annualized. |
(e) | Includes mortgage dollar roll transactions. Additional information regarding portfolio turnover rate is as follows: |
Six Months (unaudited) | Year Ended September 30, | |||||||||||||||||||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio turnover rate (excluding mortgage dollar roll transactions) | 148 | % | 350 | % | 540 | % | 598 | % | 725 | % | 529 | % | ||||||||||||||||||||||||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
See notes to consolidated financial statements.
M A S T E R P O R T F O L I O C O N S O L I D A T E D F I N A N C I A L H I G H L I G H T S | 111 |
Notes to Consolidated Financial Statements (unaudited) | Master Total Return Portfolio |
1. | ORGANIZATION |
Master Total Return Portfolio (the “Master Portfolio”), a series of Master Bond LLC, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Master Portfolio is classified as diversified. The Master Bond LLC is organized as a Delaware limited liability company. The Limited Liability Company Agreement of the Master Bond LLC permits the Board of Directors of the Master Bond LLC (the “Board”) to issue nontransferable interests in the Master Bond LLC, subject to certain limitations.
The Master Portfolio, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of non-index fixed-income mutual funds and all BlackRock-advised closed-end funds referred to as the BlackRock Fixed-Income Complex.
Basis of Consolidation:The accompanying consolidated financial statements include the accounts of BlackRock Cayman Master Total Return Portfolio I, Ltd. (the “Subsidiary”), which is a wholly-owned subsidiary of the Master Portfolio and primarily invests in commodity-related instruments. Effective November 30, 2018, the Master Portfolio no longer invests in the Subsidiary. The Subsidiary enabled the Master Portfolio to hold these commodity-related instruments while allowing its investors to satisfy regulated investment company tax requirements. Prior to November 30, 2018, the Master Portfolio invested up to 25% of its total assets in the Subsidiary. Intercompany accounts and transactions, if any, have been eliminated. The Subsidiary is subject to the same investment policies and restrictions that apply to the Master Portfolio, except that the Subsidiary may invest without limitation in commodity-related instruments.
2. | SIGNIFICANT ACCOUNTING POLICIES |
The consolidated financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the consolidated financial statements, disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Master Portfolio is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition:For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income and non-cash dividend income are recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Master Portfolio is informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on an accrual basis. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.
Foreign Currency Translation:The Master Portfolio’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange (“NYSE”). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.
The Master Portfolio does not isolate the portion of the results of operations arising as a result of changes in the exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Consolidated Statement of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. The Master Portfolio reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.
Segregation and Collateralization:In cases where the Master Portfolio enters into certain investments (e.g., dollar rolls, to-be-announced (“TBA”) sale commitments, futures contracts, forward foreign currency exchange contracts, options written, swaps, short sales and structured options) that would be treated as “senior securities” for 1940 Act purposes, the Master Portfolio may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments. Doing so allows the investment or borrowing to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Master Portfolio may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.
Deferred Compensation Plan:Under the Deferred Compensation Plan (the “Plan”) approved by the Master Portfolio’s Board effective January 1, 2019, the directors who are not “interested persons” of the Master Bond LLC, as defined in the 1940 Act (“Independent Directors”) may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain funds in the BlackRock Fixed-Income Complex selected by the Independent Directors. This has the same economic effect for the Independent Directors as if the Independent Directors had invested the deferred amounts directly in certain funds in the BlackRock Fixed-Income Complex.
The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of the Master Portfolio, as applicable. Deferred compensation liabilities are included in the Directors’ fees payable in the Consolidated Statement of Assets and Liabilities and will remain as a liability of the Master Portfolio until such amounts are distributed in accordance with the Plan.
Recent Accounting Standards:In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update 2018-13 “Changes to the Disclosure Requirements for Fair Value Measurement” which modifies disclosure requirements for fair value measurements. The guidance is effective for fiscal years beginning after December 15, 2019 and for interim periods within those fiscal years. Management continues to evaluate the impact of this guidance to the Master Portfolio.
In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update “Premium Amortization of Purchased Callable Debt Securities” which
112 | 2 0 1 9 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Consolidated Financial Statements (unaudited) (continued) | Master Total Return Portfolio |
amends the amortization period for certain purchased callable debt securities. Under the new guidance, the premium amortization of purchased callable debt securities that have explicit, non-contingent call features and are callable at fixed prices will be amortized to the earliest call date. The guidance will be applied on a modified retrospective basis and is effective for fiscal years, and their interim periods, beginning after December 15, 2018. Management continues to evaluate the impact of this guidance to the Master Portfolio.
Indemnifications: In the normal course of business, the Master Portfolio enters into contracts that contain a variety of representations that provide general indemnification. The Master Portfolio’s maximum exposure under these arrangements is unknown because it involves future potential claims against the Master Portfolio, which cannot be predicted with any certainty.
Other: Expenses directly related to the Master Portfolio are charged to the Master Portfolio. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.
The Master Portfolio has an arrangement with its custodian whereby credits are earned on uninvested cash balances, which could be used to reduce custody fees and/or overdraft charges. The Master Portfolio may incur charges on certain uninvested cash balances and overdrafts, subject to certain conditions.
3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies: The Master Portfolio’s investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the NYSE (generally 4:00 p.m., Eastern time) (or if the reporting date falls on a day the NYSE is closed, investments are valued at fair value as of the period end). U.S. GAAP defines fair value as the price the Master Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Master Portfolio determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of the Master Portfolio’s assets and liabilities:
• | Equity investments traded on a recognized securities exchange are valued at the official closing price each day, if available. For equity investments traded on more than one exchange, the official closing price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price. |
• | Fixed-income securities for which market quotations are readily available are generally valued using the last available bid prices or current market quotations provided by independent dealers or third party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or dealers as obtained from a third party pricing service. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but the Master Portfolio may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value. |
• | Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of trading on the NYSE that may not be reflected in the computation of the Master Portfolio’s net assets. Each business day, the Master Portfolio uses a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and over-the-counter (“OTC”) options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of trading on the NYSE, which follows the close of the local markets. |
• | Municipal investments (including commitments to purchase such investments on a “when-issued” basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments. |
• | Investments in open-end U.S. mutual funds are valued at net asset value (“NAV”) each business day. |
• | The Master Portfolio values its investment in SL Liquidity Series, LLC, Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon its pro rata ownership in the underlying fund’s net assets. The Money Market Series seeks current income consistent with maintaining liquidity and preserving capital. Although the Money Market Series is not registered under the 1940 Act, its investments may follow the parameters of investments by a money market fund that is subject to Rule 2a-7 under the 1940 Act. |
• | Futures contracts traded on exchanges are valued at their last sale price. |
• | Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. |
• | Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. OTC options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments. |
M A S T E R P O R T F O L I O N O T E S T O C O N S O L I D A T E D F I N A N C I A L S T A T E M E N T S | 113 |
Notes to Consolidated Financial Statements (unaudited) (continued) | Master Total Return Portfolio |
• | Swap agreements are valued utilizing quotes received daily by the Master Portfolio’s pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments. |
• | To-be-announced (“TBA”) commitments are valued on the basis of last available bid prices or current market quotations provided by pricing services. |
If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such investments, or in the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee will include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that the Master Portfolio might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement.
The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market does not exist, including regular due diligence of the Master Portfolio’s pricing vendors, regular reviews of key inputs and assumptions, transactional back-testing or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis. As a result of the inherent uncertainty in valuation of these investments, the fair values may differ from the values that would have been used had an active market existed.
For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by third party pricing services utilize one or a combination of, but not limited to, the following inputs.
Standard Inputs Generally Considered By Third Party Pricing Services | ||
Market approach | (i) recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; (ii) recapitalizations and other transactions across the capital structure; and (iii) market multiples of comparable issuers. | |
Income approach | (i) future cash flows discounted to present and adjusted as appropriate for liquidity, credit and/or market risks; (ii) quoted prices for similar investments or assets in active markets; and (iii) other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. | |
Cost approach | (i) audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company; (ii) changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; (iii) relevant news and other public sources; and (iv) known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company. |
Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”) or a hybrid of those techniques are used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The use of OPM and PWERM techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.
The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by the Master Portfolio. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date the Master Portfolio is calculating its NAV. This factor may result in a difference between the value of the investment and the price the Master Portfolio could receive upon the sale of the investment.
Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:
• | Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Master Portfolio has the ability to access |
• | Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
• | Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Master Portfolio’s own assumptions used in determining the fair value of investments and derivative financial instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private
114 | 2 0 1 9 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Consolidated Financial Statements (unaudited) (continued) | Master Total Return Portfolio |
Companies. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.
Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Master Portfolio’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.
As of March 31, 2019, certain investments of the Master Portfolio were valued using NAV (or its equivalent) as no quoted market value is available and therefore have been excluded from the fair value hierarchy.
4. | SECURITIES AND OTHER INVESTMENTS |
Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, the Master Portfolio may subsequently have to reinvest the proceeds at lower interest rates. If the Master Portfolio has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.
For mortgage pass-through securities (the “Mortgage Assets”) there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.
Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower��s ability to repay its loans.
Collateralized Debt Obligations: Collateralized debt obligations (“CDOs”), including collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”), are types of asset-backed securities. A CDO is an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.
Inflation-Indexed Bonds: Inflation-indexed bonds (other than municipal inflation-indexed and certain corporate inflation-indexed bonds) are fixed-income securities whose principal value is periodically adjusted according to the rate of inflation. If the index measuring inflation rises or falls, the principal value of inflation-indexed bonds (other than municipal inflation-indexed and certain corporate inflation-indexed bonds) will be adjusted upward or downward, and consequently the interest payable on these securities (calculated with respect to a larger or smaller principal amount) will be increased or reduced, respectively. Any upward or downward adjustment in the principal amount of an inflation-indexed bond will be included as interest income in the Consolidated Statement of Operations, even though investors do not receive their principal until maturity. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal. With regard to municipal inflation-indexed bonds and certain corporate inflation-indexed bonds, the inflation adjustment is typically reflected in the semi-annual coupon payment. As a result, the principal value of municipal inflation-indexed bonds and such corporate inflation-indexed bonds does not adjust according to the rate of inflation.
Multiple Class Pass-Through Securities: Multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities, may be issued by Ginnie Mae, U.S. Government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by a pool of residential or commercial mortgage loans or Mortgage Assets. The payments on these are used to make payments on the CMOs or multiple pass-through securities. Multiple class pass-through securities represent direct ownership interests in the Mortgage Assets. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated prepayments of
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principal, the Master Portfolio’s initial investment in the IOs may not fully recoup.
Stripped Mortgage-Backed Securities:Stripped mortgage-backed securities are typically issued by the U.S. Government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest (IOs) and principal (POs) distributions on a pool of Mortgage Assets. Stripped mortgage-backed securities may be privately issued.
Zero-Coupon Bonds:Zero-coupon bonds, are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.
Capital Securities and Trust Preferred Securities:Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics. In the case of trust preferred securities, an affiliated business trust of a corporation issues these securities, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.
Preferred Stocks:Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well), but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.
Floating Rate Loan Interests:Floating rate loan interests are typically issued to companies (the “borrower”) by banks, other financial institutions, or privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged or in bankruptcy proceedings. In addition, transactions in floating rate loan interests may settle on a delayed basis, which may result in proceeds from the sale not being readily available for the Master Portfolio to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. Since the rates reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the NAV of the Master Portfolio to the extent that it invests in floating rate loan interests. The base lending rates are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of the Master Portfolio’s investment policies.
When the Master Portfolio purchases a floating rate loan interest, it may receive a facility fee and when it sells a floating rate loan interest, it may pay a facility fee. On an ongoing basis, the Master Portfolio may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by the Master Portfolio upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. The Master Portfolio may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.
Floating rate loan interests are usually freely callable at the borrower’s option. The Master Portfolio may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in the Master Portfolio having a contractual relationship only with the lender, not with the borrower. The Master Portfolio has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, the Master Portfolio generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower. The Master Portfolio may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, the Master Portfolio assumes the credit risk of both the borrower and the lender that is selling the Participation. The Master Portfolio’s investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, the Master Portfolio may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in the Master Portfolio having a direct contractual relationship with the borrower, and the Master Portfolio may enforce compliance by the borrower with the terms of the loan agreement.
In connection with floating rate loan interests, the Master Portfolio may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, the Master Portfolio earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Consolidated Statement of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation (depreciation) is included in the Consolidated Statement of Assets and Liabilities and Consolidated Statement of Operations. As of period end, the Master Portfolio had no unfunded floating rate loan interests.
Forward Commitments and When-Issued Delayed Delivery Securities:The Master Portfolio may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. The Master Portfolio may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, the Master Portfolio may be required to pay more at settlement than the security is worth. In addition, the Master Portfolio is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Master Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the
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counterparty, the Master Portfolio’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.
TBA Commitments:TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. When entering into TBA commitments, the Master Portfolio may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date.
In order to better define contractual rights and to secure rights that will help the Master Portfolio mitigate its counterparty risk, TBA commitments may be entered into by the Master Portfolio under Master Securities Forward Transaction Agreements (each, an “MSFTA”). An MSFTA typically contains, among other things, collateral posting terms and netting provisions in the event of default and/or termination event. The collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of the collateral currently pledged by the Master Portfolio and the counterparty. Cash collateral that has been pledged to cover the obligations of the Master Portfolio and cash collateral received from the counterparty, if any, is reported separately in the Consolidated Statement of Assets and Liabilities as cash pledged as collateral for TBA commitments or cash received as collateral for TBA commitments, respectively. Non-cash collateral pledged by the Master Portfolio, if any, is noted in the Consolidated Schedule of Investments. Typically, the Master Portfolio is permitted to sell, re-pledge or use the collateral it receives; however, the counterparty is not permitted to do so. To the extent amounts due to the Master Portfolio are not fully collateralized, contractually or otherwise, the Master Portfolio bears the risk of loss from counterparty non-performance.
Mortgage Dollar Roll Transactions:The Master Portfolio may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, the Master Portfolio is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and realize gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that the Master Portfolio is required to purchase may decline below the agreed upon repurchase price of those securities.
Securities Lending:The Master Portfolio may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Master Portfolio collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by the Master Portfolio is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Master Portfolio and any additional required collateral is delivered to the Master Portfolio, or excess collateral returned by the Master Portfolio, on the next business day. During the term of the loan, the Master Portfolio is entitled to all distributions made on or in respect of the loaned securities, but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
The market value of any securities on loan, all of which were classified as investment companies in the Master Portfolio’s Consolidated Schedule of Investments, and the value of any related collateral are shown separately in the Consolidated Statement of Assets and Liabilities as a component of investments at value — unaffiliated, and collateral on securities loaned at value, respectively. As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested by the securities lending agent, BlackRock Investment Management, LLC (“BIM”), if any, is disclosed in the Consolidated Schedule of Investments.
Securities lending transactions are entered into by the Master Portfolio under Master Securities Lending Agreements (each, an “MSLA”), which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Master Portfolio, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and the Master Portfolio can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties’ obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.
As of period end, the following table is a summary of the Master Portfolio’s securities lending agreements by counterparty which are subject to offset under an MSLA:
Counterparty | Securities Loaned at Value | Cash Collateral Received(a) | Net Amount | ||||||||||||
Credit Suisse Securities (USA) LLC | $151,145 | $(151,145 | ) | $— | |||||||||||
Deutsche Bank Securities, Inc. | 34,200 | (34,200 | ) | — | |||||||||||
J.P. Morgan Securities LLC | 1,900 | (1,900 | ) | — | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 9,459 | (9,459 | ) | — | |||||||||||
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$196,704 | $(196,704 | ) | $— | ||||||||||||
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(a) | Cash collateral with a value of $207,573 has been received in connection with securities lending agreements. Collateral received in excess of the value of securities loaned from the individual counterparty, if any, is not shown for financial reporting purposes in the table above. |
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The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Master Portfolio benefits from a borrower default indemnity provided by BIM. BIM’s indemnity allows for full replacement of the securities loaned if the collateral received does not cover the value on the securities loaned in the event of borrower default. The Master Portfolio could incur a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received.
5. | DERIVATIVE FINANCIAL INSTRUMENTS |
The Master Portfolio engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Master Portfolio and/or to manage its exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Consolidated Schedule of Investments. These contracts may be transacted on an exchange or OTC.
Futures Contracts:Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Futures contracts are agreements between the Master Portfolio and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Master Portfolio is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Consolidated Statement of Assets and Liabilities.
Securities deposited as initial margin are designated in the Consolidated Schedule of Investments and cash deposited, if any, is shown as cash pledged for futures contracts in the Consolidated Statement of Assets and Liabilities. Pursuant to the contract, the Master Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Consolidated Statement of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Consolidated Statement of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.
Forward Foreign Currency Exchange Contracts:Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).
A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Master Portfolio are denominated and in some cases, may be used to obtain exposure to a particular market.
The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Consolidated Statement of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Consolidated Statement of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Consolidated Statement of Assets and Liabilities.
Options:The Master Portfolio purchases and writes call and put options to increase or decrease its exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.
A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.
Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value — unaffiliated and options written at value, respectively, in the Consolidated Statement of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Consolidated Statement of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Consolidated Statement of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Master Portfolio writes a call option, such option is typically “covered,” meaning that it holds the underlying instrument subject to being called by the option counterparty. When the Master Portfolio writes a put option, such option is covered by cash in an amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Consolidated Statement of Assets and Liabilities.
• | Swaptions — The Master Portfolio purchases and writes swaptions primarily to preserve a return or spread on a particular investment or portion of the Master Portfolio’s holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option. |
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• | Interest rate caps and floors — Interest rate caps and floors are entered into to gain or reduce exposure to interest rates (interest rate risk and/or other risk). Caps are agreements whereby one party agrees to make payments to the other, in return for a premium, to the extent that interest rate indexes exceed a specified rate, or “cap.” Floors are agreements whereby one party agrees to make payments to the other, in return for a premium, to the extent that interest rate indexes fall below a specified rate, or “floor.” The maximum potential amount of future payments that the Master Portfolio would be required to make under an interest rate cap would be the notional amount times the percentage increase in interest rates determined by the difference between the interest rate index current value and the value at the time the cap was entered into. |
• | Foreign currency options — The Master Portfolio purchases and writes foreign currency options, foreign currency futures and options on foreign currency futures to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk). Foreign currency options give the purchaser the right to buy from or sell to the writer a foreign currency at any time before the expiration of the option. |
• | Barrier options — The Master Portfolio may purchase and write a variety of options with non-standard payout structures or other features (“barrier options”) that are generally traded OTC. |
The Master Portfolio may invest in various types of barrier options, including down-and-out options, down-and-in options, double no-touch options, one-touch options, up-and-out options and up-and-in options. Down-and-out options expire worthless to the purchaser if the price of the underlying instrument falls below a specific barrier price level prior to the expiration date. Down-and-in options expire worthless to the purchaser unless the price of the underlying instrument falls below a specific barrier price level prior to the expiration date. Double no-touch options provide the purchaser an agreed-upon payout if the price of the underlying instrument does not reach or surpass predetermined barrier price levels prior to the option’s expiration date. One-touch options provide the purchaser an agreed-upon payout if the price of the underlying instrument reaches or surpasses predetermined barrier price levels prior to the expiration date. Up-and-out options expire worthless to the purchaser if the price of the underlying instrument increases beyond a predetermined barrier price level prior to the expiration date. Up-and-in options can only be exercised when the price of the underlying instrument increases beyond a predetermined barrier price level.
• | Structured options — The Master Portfolio invests in structured options to increase or decrease its exposure to an underlying index or group of securities (equity risk). |
These options may consist of single or multiple OTC options which are priced as a single instrument. They may only be exercised at the expiration date, but may be transferred/sold prior to the expiration date. The value of a structured option may either increase or decrease with the underlying index or group of securities, depending on the combination of options used. Structured options are issued in units whereby each unit represents a structure based on the specific index with an initial reference strike price. One type of structure involves the combination of selling a put while buying a call on a specific index. This option would rise in value as the underlying index increases and fall in value as the underlying index decreases. Alternatively, another structure involves the sale of a call and the purchase of a put. This option structure would rise in value as the underlying index decreases and fall in value as the underlying index increases. Upon the exercise of the structured option, the Master Portfolio will receive a payment from, or be required to remit a payment to, the counterparty depending on the value of the underlying index at exercise.
In purchasing and writing options, the Master Portfolio bears the risk of an unfavorable change in the value of the underlying instrument or the risk that it may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Master Portfolio purchasing or selling a security when it otherwise would not, or at a price different from the current market value.
Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Master Portfolio and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).
For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Consolidated Statement of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the Consolidated Statement of Assets and Liabilities. Payments received or paid are recorded in the Consolidated Statement of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Consolidated Statement of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Master Portfolio’s basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.
In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the Master Portfolio’s counterparty on the swap agreement becomes the CCP. The Master Portfolio is required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, the Master Portfolio is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Consolidated Schedule of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Consolidated Statement of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Consolidated Statement of Assets and Liabilities. Pursuant to the contract, the Master Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Consolidated Statement of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gains (losses) in the Consolidated Statement of Operations.
• | Credit default swaps — Credit default swaps are entered into to manage exposure to the market or certain sectors of the market, to reduce risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which a fund is not otherwise exposed (credit risk). |
The Master Portfolio may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure
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to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Master Portfolio will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Master Portfolio will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.
• | Total return swaps — Total return swaps are entered into to obtain exposure to a security or market without owning such security or investing directly in such market or to exchange the risk/return of one market (e.g., fixed-income) with another market (e.g., equity or commodity prices) (equity risk, commodity price risk and/or interest rate risk). |
Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (distributions plus capital gains/losses) of an underlying instrument, or basket or underlying instruments, in exchange for fixed or floating rate interest payments. If the total return of the instruments or index underlying the transaction exceeds or falls short of the offsetting fixed or floating interest rate obligation, the Master Portfolio receives payment from or makes a payment to the counterparty.
Certain total return swaps are designed to function as a portfolio of direct investments in long and short equity positions. This means that the Master Portfolio has the ability to trade in and out of these long and short positions within the swap and will receive the economic benefits and risks equivalent to direct investment in these positions, subject to certain adjustments due to events related to the counterparty. Benefits and risks include capital appreciation (depreciation), corporate actions and dividends received and paid, all of which are reflected in the swap’s market value. The market value also includes interest charges and credits (“financing fees”) related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on a specified benchmark rate plus or minus a specified spread determined based upon the country and/or currency of the positions in the Master Portfolio.
Positions within the swap and financing fees are reset periodically. During a reset, any unrealized appreciation (depreciation) on positions and accrued financing fees become available for cash settlement between the Master Portfolio and the counterparty. The amounts that are available for cash settlement are recorded as realized gains or losses in the Consolidated Statement of Operations. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Master Portfolio and the counterparty, over the life of the agreement. Certain swaps have no stated expiration and can be terminated by either party at any time.
• | Correlation swaps — Correlation swaps are entered into to gain or mitigate exposure to the underlying reference securities. |
Correlation swaps involve two parties agreeing to exchange cash flows based on the measured correlation of two specified underlying securities. At inception, the strike correlation rate is generally chosen such that the fair value of the swap is zero. At the maturity date, a net cash flow is exchanged where the payoff amount is based on the difference between the realized price correlation of the underlying securities and the strike correlation rate. As a receiver (or payor) of the realized price correlation rate, a fund would receive (or owe) the payoff amount when the realized price correlation rate of the underlying securities is greater than the strike correlation rate and would owe (or receive) the payoff amount when the realized price correlation rate of the underlying securities is less than the strike correlation rate. This type of agreement is essentially a forward contract on the future realized price correlation of the underlying securities.
• | Interest rate swaps — Interest rate swaps are entered into to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate (interest rate risk). |
Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.
• | Currency swaps — Currency swaps are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk). |
Currency swaps are interest rate swaps in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, based on the notional amounts of two different currencies. The notional amounts are typically determined based on the spot exchange rates at the inception of the trade. Currency swaps may also involve an exchange of notional amounts at the start, during and/or at expiration of the contract, either at the current spot rate or another specified rate.
• | Forward swaps — The Master Portfolio enters into forward interest rate swaps and forward total return swaps. In a forward swap, the Master Portfolio and the counterparty agree to make periodic net payments beginning on a specified date or a net payment at termination. |
• | Inflation swaps — Inflation swaps are entered into to gain or reduce exposure to inflation (inflation risk). In an inflation swap, one party makes fixed interest payments on a notional principal amount in exchange for another party’s variable payments based on an inflation index, such as the Consumer Price Index. |
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Consolidated Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.
Master Netting Arrangements: In order to define its contractual rights and to secure rights that will help it mitigate its counterparty risk, the Master Portfolio may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between the Master Portfolio and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Master Portfolio may, under certain
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circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events.
Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Master Portfolio and the counterparty.
Cash collateral that has been pledged to cover obligations of the Master Portfolio and cash collateral received from the counterparty, if any, is reported separately in the Consolidated Statement of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Master Portfolio, if any, is noted in the Consolidated Schedule of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Master Portfolio. Any additional required collateral is delivered to/pledged by the Master Portfolio on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. The Master Portfolio generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Master Portfolio from its counterparties are not fully collateralized, it bears the risk of loss from counterparty non-performance. Likewise, to the extent the Master Portfolio has delivered collateral to a counterparty and stands ready to perform under the terms of its agreement with such counterparty, it bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.
For financial reporting purposes, the Master Portfolio does not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Consolidated Statement of Assets and Liabilities.
6. | INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
Investment Advisory: The Master Bond LLC, on behalf of the Master Portfolio, entered into an Investment Advisory Agreement with the Manager, the Master Portfolio’s investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of the Master Portfolio’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Master Portfolio.
For such services, the Master Portfolio pays the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of the Master Portfolio’s net assets:
| ||||
Average Daily Net Assets | Investment Advisory Fee | |||
| ||||
First $250 Million | 0.16 | % | ||
$250 Million — $ 500 Million | 0.12 | % | ||
$500 Million — $ 750 Million | 0.08 | % | ||
Greater than $750 Million | 0.05 | % | ||
|
The Manager provides investment management and other services to the Subsidiary. The Manager does not receive separate compensation from the Subsidiary for providing investment management or administrative services. However, the Master Portfolio pays the Manager based on the Master Portfolio’s net assets, which includes the assets of the Subsidiary. Effective November 30, 2018, the Master Portfolio no longer invests in the Subsidiary.
With respect to the Master Portfolio, the Manager entered into separate sub-advisory agreements with BlackRock International Limited (“BIL”) and BlackRock (Singapore) Limited (“BRS”), each an affiliate of the Manager. The Manager pays BIL and BRS for services they provide, for that portion of the Master Portfolio for which BIL and BRS, as applicable, act as sub-adviser, a monthly fee that is equal to a percentage of the investment advisory fees paid by the Master Portfolio to the Manager.
Expense Waivers and Reimbursements: With respect to the Master Portfolio, the Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the Master Portfolio pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”). This amount is included in fees waived and/or reimbursed by the Manager in the Consolidated Statement of Operations. For the six months ended March 31, 2019, the amount waived was $232,713.
The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Master Portfolio’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through January 31, 2020. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Master Portfolio. This amount is included in fees waived and/or reimbursed by the Manager in the Consolidated Statement of Operations. For the six months ended March 31, 2019, the Manager waived $18,040 in investment advisory fees pursuant to this arrangement.
For the six months ended March 31, 2019, the Master Bond LLC reimbursed the Manager $72,561 for certain accounting services, which is included in accounting services in the Consolidated Statement of Operations.
Securities Lending: The U.S. Securities and Exchange Commission (“SEC”) has issued an exemptive order which permits BIM, an affiliate of the Manager, to serve as securities lending agent for the Master Portfolio, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to securities lending. The Master Portfolio is responsible for expenses in connection with the investment of cash collateral received for securities on loan (the “collateral investment expenses”). The cash collateral is invested in a private investment company managed by the Manager or its affiliates. However, BIM has agreed to cap the collateral investment expenses of the private investment company to an annual rate of 0.04%. The investment adviser to the private investment company will not charge any advisory fees with respect to shares purchased by the Master Portfolio. The private investment company in which the cash collateral has been invested may, under certain circumstances, impose a liquidity fee of up to 2% of the value withdrawn or temporarily restrict withdrawals for up to 10 business days during a 90 day period, in the event that the
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private investment company’s weekly liquid assets fall below certain thresholds.
Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment expenses. The Master Portfolio retains a portion of securities lending income and remits a remaining portion to BIM as compensation for its services as securities lending agent.
Pursuant to the current securities lending agreement, the Master Portfolio retains 82% of securities lending income (which excludes collateral investment expenses), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment expenses.
In addition, commencing the business day following the date that the aggregate securities lending income earned across the Fixed-Income Complex in a calendar year exceeds a specified threshold, the Master Portfolio, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 85% of securities lending income (which excludes collateral investment expenses), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment expenses.
Prior to January 1, 2019, the Master Portfolio was subject to a different securities lending fee arrangement.
The share of securities lending income earned by the Master Portfolio is shown as securities lending income — affiliated — net in the Consolidated Statement of Operations. For the six months ended March 31, 2019, the Master Portfolio paid BIM $13,451 for securities lending agent services.
Interfund Lending:In accordance with an exemptive order (the “Order”) from the SEC, the Master Portfolio may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Master Portfolio’s investment policies and restrictions. The Master Portfolio is currently permitted to borrow under the Interfund Lending Program.
A lending BlackRock fund may lend in aggregate up to 15% of its net assets, but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.
During the six months ended March 31, 2019, the Master Portfolio did not participate in the Interfund Lending Program.
Directors and Officers:Certain directors and/or officers of the Master Bond LLC are directors and/or officers of BlackRock or its affiliates.
Other Transactions:The Master Portfolio may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common directors. For the six months ended March 31, 2019, the purchase and sale transactions and any net realized gains (losses) with an affiliated fund in compliance with Rule17a-7 under the 1940 Act were as follows:
Purchases | Sales | Net Realized Loss | ||||
$ | 19,683,520 | $20,630,813 | $(257,070) |
7. | PURCHASES AND SALES |
For the six months ended March 31, 2019, purchases and sales of investments, including paydowns and mortgage dollar rolls and excluding short-term securities, were as follows:
Purchases | Sales | |||||||
Non-U.S. Government Securities | $ | 46,360,044,547 | $ | 47,031,818,529 | ||||
U.S. Government Securities | 1,595,389,509 | 1,142,814,533 |
For the six months ended March 31, 2019, purchases and sales related to mortgage dollar rolls were as follows:
Purchases | $ | 28,910,931,080 | ||||||
Sales | 28,920,797,682 |
8. | INCOME TAX INFORMATION |
The Master Portfolio is classified as a partnership for U.S. federal income tax purposes. As such, each investor in the Master Portfolio is treated as the owner of its proportionate share of net assets, income, expenses and realized and unrealized gains and losses of the Master Portfolio. Therefore, no U.S. federal income tax provision is required. It is intended that the Master Portfolio’s assets will be managed so an investor in the Master Portfolio can satisfy the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended.
The Master Portfolio files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Master Portfolio’s U.S. federal tax returns generally remains open for each of the four years ended September 30, 2018. The statutes of limitations on the Master Portfolio’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Master Portfolio as of March 31, 2019, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Master Portfolio’s consolidated financial statements.
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Notes to Consolidated Financial Statements (unaudited) (continued) | Master Total Return Portfolio |
As of March 31, 2019, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
Tax cost |
$ |
18,194,350,375 |
| |
|
| |||
Gross unrealized appreciation | $ | 296,937,215 | ||
Gross unrealized depreciation | (190,686,462 | ) | ||
|
| |||
Net unrealized appreciation | $ | 106,250,753 | ||
|
|
9. | BANK BORROWINGS |
The Master Bond LLC, on behalf of the Master Portfolio, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is a party to a 364-day, $2.25 billion credit agreement with a group of lenders. Under this agreement, the Master Portfolio may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Master Portfolio, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) one-month LIBOR (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum or (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed. The agreement expires in April 2019 unless extended or renewed. Participating Funds paid an upfront commitment fee of 0.02% on the total commitment amounts, in addition to administration, legal and arrangement fees, which are included in miscellaneous expenses in the Consolidated Statement of Operations. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the six months ended March 31, 2019, the Master Portfolio did not borrow under the credit agreement.
10. | PRINCIPAL RISKS |
Many municipalities insure repayment of their bonds, which may reduce the potential for loss due to credit risk. The market value of these bonds may fluctuate for other reasons, including market perception of the value of such insurance, and there is no guarantee that the insurer will meet its obligation.
Inventories of municipal bonds held by brokers and dealers may decrease, which would lessen their ability to make a market in these securities. Such a reduction in market making capacity could potentially decrease the Master Portfolio’s ability to buy or sell bonds. As a result, the Master Portfolio may sell a security at a lower price, sell other securities to raise cash, or give up an investment opportunity, any of which could have a negative impact on performance. If the Master Portfolio needed to sell large blocks of bonds, those sales could further reduce the bonds’ prices and impact performance.
In the normal course of business, the Master Portfolio invests in securities or other instruments and may enter into certain transactions, and such activities subject the Master Portfolio to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. The Master Portfolio’s prospectus provides details of the risks to which the Master Portfolio is subject.
The Master Portfolio may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force the Master Portfolio to reinvest in lower yielding securities. The Master Portfolio may also be exposed to reinvestment risk, which is the risk that income from the Master Portfolio’s portfolio will decline if the Master Portfolio invests the proceeds from matured, traded or called fixed income securities at market interest rates that are below the Master Portfolio portfolio’s current earnings rate.
The Master Portfolio may be exposed to additional risks when reinvesting cash collateral in money market funds that do not seek to maintain a stable NAV per share of $1.00, which may be subject to redemption gates or liquidity fees under certain circumstances.
Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Master Portfolio may invest in illiquid investments. An illiquid investment is any investment that the Master Portfolio reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Master Portfolio may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause the Master Portfolio’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of the Master Portfolio may lose value, regardless of the individual results of the securities and other instruments in which the Master Portfolio invests.
The price the Master Portfolio could receive upon the sale of any particular portfolio investment may differ from the Master Portfolio’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore the Master Portfolio’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by the Master Portfolio, and the Master Portfolio could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. The Master Portfolio’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third party service providers.
Counterparty Credit Risk: The Master Portfolio may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Master Portfolio manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Master Portfolio to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent
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Notes to Consolidated Financial Statements (unaudited) (continued) | Master Total Return Portfolio |
of the Master Portfolio’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Consolidated Statement of Assets and Liabilities, less any collateral held by the Master Portfolio.
A derivative contract may suffer amark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
The Master Portfolio’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by the Master Portfolio.
For OTC options purchased, the Master Portfolio bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Master Portfolio should the counterparty fail to perform under the contracts. Options written by the Master Portfolio do not typically give rise to counterparty credit risk, as options written generally obligate the Master Portfolio, and not the counterparty, to perform. The Master Portfolio may be exposed to counterparty credit risk with respect to options written to the extent the Master Portfolio deposits collateral with its counterparty to a written option.
With exchange-traded options purchased and futures and centrally cleared swaps, there is less counterparty credit risk to the Master Portfolio since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Master Portfolio does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Master Portfolio.
Concentration Risk: The Master Portfolio invests a significant portion of its assets in fixed income securities and/or uses derivatives tied to the fixed income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed income securities will increase as interest rates fall and decrease as interest rates rise. The Master Portfolio may be subject to a greater risk of rising interest rates due to the current period of historically low rates. The Federal Reserve has begun to raise the Federal Funds rate, and each increase results in more pronounced interest rate risk in the current market environment.
The Master Portfolio invests a significant portion of its assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. Investment percentages in these securities are presented in the Consolidated Schedule of Investments. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions.
11. | SUBSEQUENT EVENTS |
Management’s evaluation of the impact of all subsequent events on the Master Portfolio’s financial statements was completed through the date the financial statements were issued and the following items were noted:
Effective April 18, 2019, the credit agreement was extended until April 2020 under the same terms.
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Director and Officer Information of Master Bond LLC
Richard E. Cavanagh,Co-Chair of the Board and Director
Karen P. Robards,Co-Chair of the Board and Director
Michael J. Castellano, Director
Cynthia L. Egan, Director
Frank J. Fabozzi, Director
Henry Gabbay, Director
R. Glenn Hubbard, Director
W. Carl Kester, Director
Catherine A. Lynch, Director
Robert Fairbairn, Director
John M. Perlowski, Director, President and Chief Executive Officer
Jennifer McGovern, Vice President
Neal J. Andrews, Chief Financial Officer
Jay M. Fife, Treasurer
Charles Park, Chief Compliance Officer
John MacKessy, Anti-Money Laundering Compliance Officer
Benjamin Archibald, Secretary
At a special meeting of shareholders held on November 21, 2018, the Master Bond LLC’s interestholders elected Directors who took office on January 1, 2019. The newly elected Directors include three former Directors and eight individuals who served as directors/trustees of the funds in the BlackRockClosed-End Complex. Information regarding the individuals who began serving as Directors effective January 1, 2019 can be found in the proxy statement for the special meeting of shareholders, which is available on the SEC’s EDGAR Database at http://www.sec.gov.
Investment Adviser | Independent Registered Public Accounting Firm | |||
BlackRock Advisors, LLC | Deloitte & Touche LLP | |||
Wilmington, DE 19809 | Boston, MA 19103 | |||
Accounting Agent and Transfer Agent | Distributor | |||
BNY Mellon Investment Servicing (US) Inc. | BlackRock Investments, LLC | |||
Wilmington, DE 19809 | New York, NY 10022 | |||
Sub-Advisors | Legal Counsel | |||
BlackRock International Limited | Willkie Farr & Gallagher LLP | |||
Edinburgh, EH3 8BL | New York, NY 10019 | |||
United Kingdom | ||||
Address of the Master Bond LLC | ||||
BlackRock (Singapore) Limited | 100 Bellevue Parkway | |||
079912 Singapore | Wilmington, DE 19809 | |||
Custodian | ||||
The Bank of New York Mellon | ||||
New York, NY 10286 |
D I R E C T O R A N D O F F I C E R I N F O R M A T I O N O F M A S T E R B O N D L L C | 125 |
Proxy Results
BlackRock Balanced Capital Fund, Inc.
A Special Meeting of Shareholders was held on November 21, 2018 for shareholders of record on September 24, 2018, to elect a Board of Directors of the Fund. The newly elected Directors took office effective January 1, 2019.
Shareholders approved the Directors* of BlackRock Balanced Capital Fund, Inc. with voting results as follows:
Votes For |
Votes Against |
Votes Abstained | ||||||||||
Bruce R. Bond |
|
38,522,249 |
|
|
1,001,368 |
|
|
725,880 |
| |||
Susan J. Carter | 38,888,741 | 798,535 | 562,221 | |||||||||
Collette Chilton | 38,780,114 | 858,796 | 610,587 | |||||||||
Neil A. Cotty | 38,629,131 | 928,799 | 691,567 | |||||||||
Robert Fairbairn | 38,731,052 | 833,630 | 684,815 | |||||||||
Lena G. Goldberg | 38,554,708 | 1,092,855 | 601,934 | |||||||||
Robert M. Hernandez | 38,458,416 | 1,129,418 | 661,663 | |||||||||
Henry R. Keizer | 38,692,809 | 863,565 | 693,123 | |||||||||
Cynthia A. Montgomery | 38,715,465 | 973,164 | 560,868 | |||||||||
Donald C. Opatrny | 38,589,134 | 1,017,647 | 642,716 | |||||||||
John M. Perlowski | 38,670,261 | 886,192 | 693,044 | |||||||||
Joseph P. Platt | 38,579,934 | 1,003,065 | 666,498 | |||||||||
Mark Stalnecker | 38,653,339 | 916,684 | 679,474 | |||||||||
Kenneth L. Urish | 38,679,987 | 877,557 | 691,953 | |||||||||
Claire A. Walton | 38,781,278 | 862,133 | 606,086 |
* Denotes the Fund-wide proposal and voting results.
The above Directors, referred to as the BlackRock Multi-Asset Board, have also been elected to serve as directors/trustees for other BlackRock-advised equity, multi-asset, index and money market funds.
Master Advantage Large Cap Core Portfolio
A Special Meeting of Interestholders was held on November 21, 2018 for interestholders of record on September 24, 2018, to elect a Board of Directors of the Master LLC. The newly elected Directors took office effective January 1, 2019.
Interestholders approved the Directors* of Master Large Cap Series LLC with voting results as follows:
Votes For
|
Votes Against
|
Votes Abstained
| ||||||||||
Bruce R. Bond |
|
4,442,528,556 |
|
|
72,662,668 |
|
|
78,190,525 |
| |||
Susan J. Carter | 4,465,458,141 | 58,678,185 | 69,245,423 | |||||||||
Collette Chilton | 4,455,298,176 | 62,905,713 | 75,177,860 | |||||||||
Neil A. Cotty | 4,446,918,928 | 66,067,928 | 80,394,893 | |||||||||
Robert Fairbairn | 4,449,767,160 | 65,066,284 | 78,548,305 | |||||||||
Lena G. Goldberg | 4,448,638,626 | 69,872,666 | 74,870,457 | |||||||||
Robert M. Hernandez | 4,443,028,082 | 75,861,902 | 74,491,765 | |||||||||
Henry R. Keizer | 4,451,813,012 | 62,791,255 | 78,777,482 | |||||||||
Cynthia A. Montgomery | 4,454,298,454 | 65,502,473 | 73,580,822 | |||||||||
Donald C. Opatrny | 4,448,480,949 | 69,341,661 | 75,559,139 | |||||||||
John M. Perlowski | 4,445,716,872 | 69,021,711 | 78,643,166 | |||||||||
Joseph P. Platt | 4,448,902,756 | 70,632,796 | 73,846,197 | |||||||||
Mark Stalnecker | 4,442,100,824 | 71,980,934 | 79,299,991 | |||||||||
Kenneth L. Urish | 4,424,682,770 | 90,289,576 | 78,409,403 | |||||||||
Claire A. Walton | 4,459,791,428 | 64,849,599 | 68,740,722 |
* Denotes the MasterLLC-wide proposal and voting results.
The above Directors, referred to as the BlackRock Multi-Asset Board, have also been elected to serve as directors/trustees for other BlackRock-advised equity, multi-asset, index and money market funds.
126 | 2 0 1 9 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Additional Information (continued)
Master Total Return Portfolio
A Special Meeting of Interestholders was held on November 21, 2018 for interestholders of record on September 24, 2018, to elect a Board of Directors of the Master Bond LLC. The newly elected Directors took office effective January 1, 2019.
Interestholders approved the Directors* of Master Bond LLC with voting results as follows:
Votes For
|
Votes Withheld
| |||||||
Michael J. Castellano |
|
12,877,214,185 |
|
|
186,859,007 |
| ||
Richard E. Cavanagh | 12,869,911,177 | 194,162,015 | ||||||
Cynthia L. Egan | 12,884,944,771 | 179,128,421 | ||||||
Frank J. Fabozzi | 12,867,772,048 | 196,301,144 | ||||||
Robert Fairbairn | 12,887,313,316 | 176,759,876 | ||||||
Henry Gabbay | 12,879,869,172 | 184,204,020 | ||||||
R. Glenn Hubbard | 12,866,818,377 | 197,254,815 | ||||||
W. Carl Kester | 12,871,356,704 | 192,716,488 | ||||||
Catherine A. Lynch | 12,886,134,400 | 177,938,792 | ||||||
John M. Perlowski | 12,890,021,689 | 174,051,503 | ||||||
Karen P. Robards | 12,878,157,480 | 185,915,712 |
* Denotes the Master BondLLC-wide proposal and voting results.
The above Directors, referred to as the BlackRock Fixed-Income Board, have also been elected to serve as directors/trustees for other BlackRock-advisednon-index fixed-income mutual funds and all of the BlackRock-advisedclosed-end funds.
General Information
Householding
The Fund will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Fund at (800)441-7762.
Availability of Quarterly Schedule of Investments
The Fund/Master LLC/Master Bond LLC file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on FormN-Q. The Fund’s/Master LLC’s/Master Bond LLC’s FormsN-Q are available on the SEC’s website at http://www.sec.gov. The Fund’s/Master LLC’s/Master Bond LLC’s FormsN-Q may also be obtained upon request and without charge by calling (800)441-7762.
Availability of Proxy Voting Policies and Procedures
A description of the policies and procedures that the Fund/Master LLC/Master Bond LLC use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800)441-7762; (2) athttp://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.
Availability of Proxy Voting Record
Information about how the Fund/Master LLC/Master Bond LLC voted proxies relating to securities held in the Fund’s/Master LLC’s/Master Bond LLC’s portfolios during the most recent12-month period ended June 30 is available upon request and without charge (1) athttp://www.blackrock.comor by calling (800)441-7762 and (2) on the SEC’s website at http://www.sec.gov.
BlackRock’s Mutual Fund Family
BlackRock offers a diverse lineup ofopen-end mutual funds crossing all investment styles and managed by experts in equity, fixed-income andtax-exempt investing. Visithttp://www.blackrock.comfor more information.
Shareholder Privileges
Account Information
Call us at (800)441-7762 from 8:00 AM to 6:00 PM ET on any business day to get information about your account balances, recent transactions and share prices. You can also reach us on the Web athttp://www.blackrock.com.
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 funds.
A D D I T I O N A L I N F O R M A T I O N | 127 |
Additional Information (continued)
Systematic Withdrawal Plans
Investor Class shareholders can establish a systematic withdrawal plan and receive periodic payments of $50 or more from their BlackRock funds, as long as their account balance is at least $10,000.
Retirement Plans
Shareholders may make investments in conjunction with Traditional, Rollover, Roth, Coverdell, Simple IRAs, SEP IRAs and 403(b) Plans.
BlackRock Privacy Principles
BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding theirnon-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.
If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.
BlackRock obtains or verifies personalnon-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.
BlackRock does not sell or disclose tonon-affiliated third parties anynon-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. Thesenon-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.
We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access tonon-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect thenon-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.
128 | 2 0 1 9 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Glossary of Terms Used in this Report
Currency | Portfolio Abbreviations | |||||
ARS | Argentine Peso | ABS | Asset-Backed Security | |||
AUD | Australian Dollar | AGM | Assurance Guaranty Municipal Corp. | |||
BRL | Brazilian Real | AKA | Also Known As | |||
CAD | Canadian Dollar | AMBAC | AMBAC Assurance Corp. | |||
CHF | Swiss Franc | BZDIOVER | Overnight Brazil CETIP - Interbank Rate | |||
CLP | Chilean Peso | CIBOR | Copenhagen Interbank Offered Rate | |||
CNH | Chinese Yuan Offshore | CLO | Collateralized Loan Obligation | |||
COP | Colombian Peso | DAC | Designated Activity Company | |||
DKK | Danish Krone | ETF | Exchange-Traded Fund | |||
EGP | Egyptian Pound | EURIBOR | Euro Interbank Offered Rate | |||
EUR | Euro | FKA | Formerly Known As | |||
GBP | British Pound | GNMA | Government National Mortgage Association | |||
HKD | Hong Kong Dollar | GO | General Obligation Bonds | |||
IDR | Indonesian Rupiah | LIBOR | London Interbank Offered Rate | |||
JPY | Japanese Yen | MXIBTIIE | Mexico Interbank TIIE28-Day | |||
KRW | South Korean Won | NIBOR | Norwegian Interbank Offered Rate | |||
MXN | Mexican Peso | OTC | Over-the-counter | |||
NGN | Nigerian Naira | PIK | Payment-in-kind | |||
NOK | Norwegian Krone | PSF | Permanent School Fund | |||
NZD | New Zealand Dollar | RB | Revenue Bonds | |||
RUB | Russian Ruble | REMIC | Real Estate Mortgage Investment Conduit | |||
SEK | Swedish Krona | SCSDE | South Carolina State Department of Education | |||
TRY | Turkish Lira | SPDR | Standard & Poor’s Depositary Receipts | |||
TWD | Taiwan New Dollar | STIBOR | Stockholm Interbank Offered Rate | |||
USD | US Dollar | TA | Tax Allocation | |||
ZAR | South African Rand | TBA | To-be-announced | |||
UK RPI | United Kingdom Retail Price Index |
G L O S S A R Y O F T E R M S U S E D I N T H I S R E P O R T | 129 |
This report is intended for existing shareholders. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of a Fund unless preceded or accompanied by the Fund’s current prospectus. Past performance results shown in this report should not be considered a representation of future performance. Investment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Statements and other information herein are as dated and are subject to change.
BC-3/19-SAR |
Item 2 – | Code of Ethics – Not Applicable to this semi-annual report | |
Item 3 – | Audit Committee Financial Expert – Not Applicable to this semi-annual report | |
Item 4 – | Principal Accountant Fees and Services – Not Applicable to this semi-annual report | |
Item 5 – | Audit Committee of Listed Registrants – Not Applicable | |
Item 6 – | Investments | |
(a) The registrants’ Schedules of Investments are included as part of the Report to Stockholders filed under Item 1 of this Form. | ||
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previousForm N-CSR filing. | ||
Item 7 – | Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies – Not Applicable | |
Item 8 – | Portfolio Managers ofClosed-End Management Investment Companies – Not Applicable | |
Item 9 – | Purchases of Equity Securities byClosed-End Management Investment Company and Affiliated Purchasers – Not Applicable | |
Item 10 – | Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures. | |
Item 11 – | Controls and Procedures | |
(a) The registrants’ principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrants’ disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required byRule 30a-3(b) under the 1940 Act andRule 15d-15(b) under the Securities Exchange Act of 1934, as amended. | ||
(b) There were no changes in the registrants’ internal control over financial reporting (as defined inRule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrants’ internal control over financial reporting. | ||
Item 12 – | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable | |
Item 13 – | Exhibits attached hereto | |
(a)(1) – Code of Ethics – Not Applicable to this semi-annual report | ||
(a)(2) – Certifications – Attached hereto | ||
(a)(3) – Not Applicable |
2
(a)(4) – Not Applicable | ||
(b) – Certifications – Attached hereto |
3
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, each registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
BlackRock Balanced Capital Fund, Inc., Master Advantage Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC
By: | /s/ John M. Perlowski | |||
John M. Perlowski | ||||
Chief Executive Officer (principal executive officer) of | ||||
BlackRock Balanced Capital Fund, Inc., Master Advantage Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC | ||||
Date: | June 5, 2019 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of each registrant and in the capacities and on the dates indicated.
By: | /s/ John M. Perlowski | |||
John M. Perlowski | ||||
Chief Executive Officer (principal executive officer) of | ||||
BlackRock Balanced Capital Fund, Inc., Master Advantage Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC | ||||
Date: | June 5, 2019 | |||
By: | /s/ Neal J. Andrews | |||
Neal J. Andrews | ||||
Chief Financial Officer (principal financial officer) of | ||||
BlackRock Balanced Capital Fund, Inc., Master Advantage Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC | ||||
Date: | June 5, 2019 |
4