Master Large Cap Series N-CSR Certified annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number: 811-02405, 811-09739 and 811-21434

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 52^nd Street, New York, NY 10055

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

Date of fiscal year end: 09/30/2020

Date of reporting period: 09/30/2020

Item 1 – Report to Stockholders

SEPTEMBER 30, 2020

2020 Annual Report

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 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

The Markets in Review

Dear Shareholder,

The last 12 months have been a time of sudden change in global financial markets, as a long period of growth and positive returns was interrupted in early 2020 by the emergence and spread of the coronavirus. For the first part of the reporting period, U.S. equities and bonds both delivered impressive returns, despite fears and doubts about the economy that were ultimately laid to rest with unprecedented monetary stimulus and a sluggish yet resolute performance from the U.S. economy. But as the threat from the coronavirus became more apparent throughout February and March 2020, leading countries around the world took economically disruptive countermeasures, causing equity prices to fall sharply. While markets have since recovered some of these losses as countries around the world begin reopening, there is still significant uncertainty surrounding the long-term impact of the pandemic on the global economy.

Returns for most securities were robust for the first part of the reporting period, as investors began to realize that the U.S. economy was maintaining the modest yet steady growth that had characterized this economic cycle. However, once stay-at-home orders and closures of non-essential businesses became widespread, many workers were laid off and unemployment claims spiked. With large portions of the global economy on hold, all types of international equities ended the 12-month reporting period with negative performance, while in the United States large-capitalization stocks, which investors saw as more resilient than smaller companies, delivered solid returns.

The performance of different types of fixed-income securities diverged substantially due to a reduced investor appetite for risk. Treasuries benefited from the risk-off environment, and posted healthy returns, as the 10-year U.S. Treasury yield (which is inversely related to bond prices) fell to an all-time low. Investment-grade corporate bonds also delivered a solid return, while high-yield corporate returns were muted due to credit concerns.

The U.S. Federal Reserve (the “Fed”) reduced interest rates three times in 2019, to support slowing economic growth. After the coronavirus outbreak, the Fed instituted two emergency rate cuts, pushing short-term interest rates close to zero. To stabilize credit markets, the Fed also announced a new bond-buying program, as did several other central banks around the world, including the European Central Bank and the Bank of Japan.

Looking ahead, while coronavirus-related disruption is certain to hurt worldwide economic growth, the global expansion is likely to continue once the impact of the outbreak subsides. We are encouraged by the strong coordinated monetary and fiscal response that is underway, both in the United States and abroad. However, there remains a risk that policy fatigue and recent improvements in economic indicators could lead lawmakers to retreat from needed stimulus measures too soon.

Overall, we favor a neutral stance toward risk, given the uncertainty surrounding the path to recovery. Among equities, we see an advantage in U.S. stocks compared to other developed markets, given the diversity of the U.S. economy and the impressive scope of monetary and fiscal stimulus. In bonds, the swift action taken by the world’s central banks means there are attractive opportunities in credit, and we expect credit spreads to narrow as markets stabilize. Both U.S. Treasuries and sustainable investments can help provide portfolio resilience, and the disruption created by the coronavirus appears to be accelerating the shift toward sustainable investments.

In this environment, our view is that 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 visit blackrock.com for 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 September 30, 2020
	6-Month		12-Month
U.S. large cap equities (S&P 500® Index)		31.31%		15.15%
U.S. small cap equities (Russell 2000® Index)		31.60		0.39
International equities (MSCI Europe, Australasia, Far East Index)		20.39		0.49
Emerging market equities (MSCI Emerging Markets Index)		29.37		10.54
3-month Treasury bills (ICE BofA 3-Month U.S. Treasury Bill Index)		0.06		1.10
U.S. Treasury securities (ICE BofA 10-Year U.S. Treasury Index)		0.71		10.74
U.S. investment grade bonds (Bloomberg Barclays U.S. Aggregate Bond Index)		3.53		6.98
Tax-exempt municipal bonds (S&P Municipal Bond Index)		3.78		3.85
U.S. high yield bonds (Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index)		15.18		3.20
Past performance is not an indication 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

Table of Contents

	Page
The Markets in Review	2
Annual Report:
Fund Summary	4
About Fund Performance	7
Disclosure of Expenses	7
Derivative Financial Instruments	7
Fund Financial Statements:
Schedule of Investments	8
Statement of Assets and Liabilities	11
Statement of Operations	13
Statements of Changes in Net Assets	14
Fund Financial Highlights	15
Fund Notes to Financial Statements	20
Report of Independent Registered Public Accounting Firm	27
Important Tax Information	28
Director and Officer Information of the Fund	29
Master Advantage Large Cap Core Portfolio Information	33
Master Advantage Large Cap Core Portfolio Financial Statements:
Schedule of Investments	34
Statement of Assets and Liabilities	40
Statement of Operations	41
Statements of Changes in Net Assets	42
Master Advantage Large Cap Core Portfolio Financial Highlights	43
Master Advantage Large Cap Core Portfolio Notes to Financial Statements	44
Report of Independent Registered Public Accounting Firm	50
Director and Officer Information of Master Large Cap Series LLC	51
Master Total Return Portfolio Information	55
Master Total Return Portfolio Financial Statements:
Schedule of Investments	56
Statement of Assets and Liabilities	127
Statement of Operations	129
Statements of Changes in Net Assets	130
Master Total Return Portfolio Financial Highlights	131
Master Total Return Portfolio Notes to Financial Statements	132
Report of Independent Registered Public Accounting Firm	145
Disclosure of Investment Advisory Agreement	146
Director and Officer Information of Master Bond LLC	149
Additional Information	153
Glossary of Terms Used in this Report	155

3

Fund Summary as of September 30, 2020 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 the 12-month period ended September 30, 2020, 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”) (collectively, the “Master Portfolios”), the Fund underperformed the blended reference benchmark (60% Russell 1000^® Index/40% Bloomberg Barclays U.S. Aggregate Bond Index). The Fund outperformed the fixed income portion of the benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index, but it underperformed the equity portion of the benchmark, the Russell 1000^® Index.

What factors influenced performance?

The Fund combines top-down macroeconomic views and bottom-up security selection from Master Advantage Large Cap Core Portfolio and Master Total Return Portfolio.

An overweight in equities and an underweight in fixed-income detracted from returns in the first quarter of 2020, which hurt the Fund’s relative performance over the full 12 months. Higher-risk assets sold off in February and March due to concerns about the impact COVID-19 would have on the global economy, while bonds rallied.

Master Advantage Large Cap Core Portfolio underperformed the equity benchmark, largely due to relative weakness in the third calendar quarter of 2020. During this time, previously winning positions that had been boosted by post-coronavirus themes began to lag. For example, an overweight in the communications equipment industry—which was driven by an insight that evaluates remote work trends—hurt results as several notable employers made forward-looking comments regarding their desire for employees to return to office. Additionally, certain macro-thematic insights struggled amid the evolving market backdrop. Specifically, a style-timing insight focused on momentum detracted. On the positive side, various insights that capture trends for stocks using higher-frequency alternative data contributed. An insight that uses brand sentiment measures and mobile app usage to determine how companies are navigating fast-changing consumer habits and the emergence from lockdown was also additive.

In Master Total Return Portfolio, an overweight in U.S. municipal bonds—which lagged due to the effects of COVID-19 on the finances of state and local governments—detracted from performance. Conversely, Master Total Return Portfolio’s duration positioning and its overweights in investment-grade corporates, agency mortgage-backed securities (MBS) and emerging market debt contributed positively. (Duration is a measure of interest-rate sensitivity.)

The investment adviser used derivatives as a means to manage risk and/or take outright views on equities, interest rates, credit risk and/or the foreign exchange markets. The use of derivatives, which was limited overall, was a slight detractor from Fund performance. The Fund held an elevated exposure to cash as collateral for its derivatives positions. The cash position did not have any material impact on Fund performance.

Describe recent portfolio activity.

The Fund entered the year with a modest overweight in equities and an underweight in fixed-income. In early February, as the investment adviser’s conviction on the macroeconomic outlook improved, the Fund’s pro-cyclical positioning was increased by raising the extent of the overweight in equities and underweight in bonds. As the COVID-19 outbreak spread beyond China and equity markets sold off, the investment adviser took the opportunity to increase the overweight in U.S. equities and move the underweight in bonds to neutral. Later in the period, the investment adviser reduced the magnitude of the overweight in U.S. equities and added a tactical overweight in bonds. The Fund subsequently moved to a neutral allocation in bonds, where it finished the period.

Master Advantage Large Cap Core Portfolio maintained a balanced allocation of risk across all major return drivers, while adding several new stock-selection insights to the portfolio. Given the dynamism of the current environment, the investment adviser instituted enhanced signal constructs to identify trends emerging from COVID-19, such as “work from home” and vaccine development. Additionally, the investment adviser added the insight designed to capture consumer brand sentiment.

Within Master Total Return Portfolio, the investment adviser reduced the allocation to investment-grade corporates in late 2019 due to valuation concerns, and it rotated the proceeds into agency mortgage-backed securities. As investors moved into cash in the first quarter of 2020, liquidity became a major issue across the fixed-income market. Given the magnitude of the economic shock, Master Total Return Portfolio moved to an overweight on the front end of the yield curve. Master Total Return Portfolio also added to its positions in the three- to five-year range, as well as 15 years and above. In the second half of the period, the Master Total Return Portfolio shifted to a small underweight in duration versus the benchmark, as U.S. yields fell to historically low levels. (Prices and yields move in opposite directions.) The investment adviser also added to Master Total Return Portfolio’s overweight positions in emerging market debt, European sovereign bonds and non-agency residential mortgages, while reducing the weighting in agency mortgage-backed securities.

Describe portfolio positioning at period end.

The investment adviser believes central banks will continue to take actions that are likely to be supportive for risk assets. Therefore, it is expected that interest rates will remain at historically low levels for a sustained period, which should provide an ongoing tailwind for equities.

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 2 0  B L A C K R O C K  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 September 30, 2020 (continued) BlackRock Balanced Capital Fund, Inc.

TOTAL RETURN BASED ON $10,000 INVESTMENT

^(a)  Assuming maximum sales charges, if any, transaction costs and other operating expenses, including investment advisory and administration fees. Institutional Shares do not have a sales charge.

^(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 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.

^(d)  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.

^(e) A customized weighted index comprised of the returns of the Russell 1000^® Index (60%) and Bloomberg Barclays U.S. Aggregate Bond Index (40%).

Performance Summary for the Period Ended September 30, 2020

				Average Annual Total Returns(a)
				1 Year						5 Years						10 Years
	6-Month Total Returns			Without Sales Charge			With Sales Charge			Without Sales Charge			With Sales Charge			Without Sales Charge			With Sales Charge
Institutional		22.54	%		12.35	%		N/A			10.23	%		N/A			10.00	%		N/A
Investor A		22.39			12.08			6.20	%		9.92			8.74	%		9.68			9.10	%
Investor C		21.94			11.20			10.20			9.09			9.09			8.84			8.84
Class K		22.57			12.42			N/A			10.27			N/A			10.02			N/A
Class R		22.12			11.67			N/A			9.53			N/A			9.29			N/A
60% Russell 1000® Index/40% Bloomberg Barclays U.S. Aggregate Bond Index		20.85			13.06			N/A			10.35			N/A			9.86			N/A
Bloomberg Barclays U.S. Aggregate Bond Index		3.53			6.98			N/A			4.18			N/A			3.64			N/A
Russell 1000® Index		33.36			16.01			N/A			14.09			N/A			13.76			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 share classes.

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

Past performance is not an indication of future results.

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

F U N D  S U M M A R Y 5

Fund Summary as of September 30, 2020 (continued) BlackRock Balanced Capital Fund, Inc.

Expense Example

	Actual					Hypothetical(a)
		Beginning Account Value (04/01/20)	Ending Account Value (09/30/20)	Expenses Paid During the Period	(b)		Beginning Account Value (04/01/20)	Ending Account Value (09/30/20)	Expenses Paid During the Period	(b)	Annualized Expense Ratio
Institutional		$  1,000.00	$  1,225.40	$  2.92			$  1,000.00	$  1,022.38	$  2.65		0.52	%
Investor A		1,000.00	1,223.90	4.37			1,000.00	1,021.07	3.97		0.79
Investor C		1,000.00	1,219.40	8.58			1,000.00	1,017.27	7.80		1.55
Class K		1,000.00	1,225.70	2.67			1,000.00	1,022.60	2.43		0.48
Class R		1,000.00	1,221.20	6.39			1,000.00	1,019.25	5.81		1.15

^(a)  Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366.

^(b)  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 183/366 (to reflect the one-half year period shown). Because the Fund invests all of its assets in the Master Portfolios the expense example reflects the net expenses of both the Fund and the Master Portfolios in which it invests.

See “Disclosure of Expenses” on page 7 for further information on how expenses were calculated.

Portfolio Information

PORTFOLIO COMPOSITION
Asset Type	Percent of Total Investments
Equity Funds		52	%
Fixed-Income Funds		32
Short-Term Securities		16

6 2 0 2 0  B L A C K R O C K  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

Institutional and Class K Shares are not subject to any sales charge. These shares bear no ongoing distribution or service fees and are available only to certain 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 Shares are subject to a maximum initial sales charge (front-end load) of 5.25% and a service fee of 0.25% per year (but no distribution fee). Certain 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 Shares are subject to a 1.00% CDSC if redeemed within one year of purchase. In addition, these shares are subject to a distribution fee of 0.75% per year and a service fee of 0.25% per year. These shares are generally available through financial intermediaries. These shares automatically convert to Investor A Shares after approximately ten years. Effective November 23, 2020, the automatic conversion feature will be modified to reduce the conversion period from ten years to eight years.

Class R Shares are 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.

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

BlackRock Advisors, LLC (the “Manager”), 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. With respect to the Fund’s voluntary waivers, if any, the Manager is under no obligation to waive and/or reimburse or to continue waiving and/or reimbursing its fees and such voluntary waivers may be reduced or discontinued at any time. With respect to the Fund’s contractual waivers, if any, the Manager is under no obligation to continue waiving and/or reimbursing its fees after the applicable termination date of such agreement. See the Notes to Financial Statements for additional information on waivers and/or reimbursements.

Disclosure of Expenses

Shareholders of the Fund may incur the following charges: (a) transactional expenses, such as sales charges; and (b) operating expenses, including administration fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other fund expenses. The expense example shown on the previous page (which is based on a hypothetical investment of $1,000 invested on April 1, 2020 and held through September 30, 2020) 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 example with the 5% hypothetical examples that appear in shareholder reports of other funds.

The expenses shown in the expense example are intended to highlight shareholders’ ongoing costs only and do not reflect transactional expenses, such as sales charges, if any. Therefore, the hypothetical example is 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.

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’s and/or 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’s 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.

A B O U T  F U N D  P E R F O R M A  N C E 7

Schedule of Investments September 30, 2020 BlackRock Balanced Capital Fund, Inc. (Percentages shown are based on Net Assets)

Security	Shares/ Investment Value		Value
Investment Companies(a)
Equity Funds — 51.0%
Master Advantage Large Cap Core Portfolio of Master Large Cap Series LLC	$	755,769,919	$	755,769,919
Fixed-Income Funds — 32.0%
iShares Core U.S. Aggregate Bond ETF		473,739		55,929,627
Master Total Return Portfolio of Master Bond LLC	$	417,698,909		417,698,909
				473,628,536
Total Long-Term Investments — 83.0% (Cost: $1,087,840,281)				1,229,398,455
	Shares
Short-Term Securities(a)(b)
Money Market Funds — 16.3%
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.02%		242,046,920		242,046,920
Total Short-Term Securities — 16.3% (Cost: $242,046,920)				242,046,920
Total Investments — 99.3% (Cost: $1,329,887,201)				1,471,445,375
Other Assets Less Liabilities — 0.7%				10,207,635
Net Assets — 100.0%			$	1,481,653,010

^(a) Affiliate of the Fund.

^(b) Annualized 7-day yield as of period end.

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended September 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliated Issuer	Value at 09/30/19		Purchases at Cost			Proceeds from Sale		Net Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Value at 09/30/20		Shares/ Investment Value Held at 09/30/20		Income (Expense)		Capital Gain Distributions from Underlying Funds
BlackRock Liquidity Funds, T-Fund, Institutional Class	$	159,700,160	$	82,346,760	(a)		$ —	$	—	$	—		$	242,046,920		242,046,920	$	1,358,331		$	367
iShares Core U.S. Aggregate Bond ETF		37,092,486		16,971,213			—		—		1,865,928			55,929,627		473,739		1,058,081			—
Master Advantage Large Cap Core Portfolio of Master Large Cap Series LLC		651,543,880		9,151,949	(a)(b)		—		24,470,032		70,604,058			755,769,919	$	755,769,919		9,151,948			—
Master Total Return Portfolio of Master Bond LLC		387,033,377		10,861,524	(a)(b)		—		20,234,215		(430,207	)		417,698,909	$	417,698,909		10,861,521			—
								$	44,704,247	$	72,039,779		$	1,471,445,375			$	22,429,881		$	367

^(a)  Represents net shares/investment value purchased (sold).

^(b) Inclusive of income, expense, realized and unrealized gains and losses allocated from the Master Portfolio.

8 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 BlackRock Balanced Capital Fund, Inc.

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
E-Mini S&P 500 Index		922		12/18/20	$	154,527		$	843,516
U.S. Treasury Notes (10 Year)		704		12/21/20		98,230			59,123
									902,639

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:

	Commodity Contracts			Credit Contracts			Equity Contracts			Foreign Currency     Exchange Contracts			Interest Rate Contracts			Other     Contracts			Total
Assets — Derivative Financial Instruments
Futures contracts
Unrealized appreciation(a)		$	—		$	—		$	843,516		$	—		$	59,123		$	—	$	902,639

^(a) Net cumulative unrealized appreciation (depreciation) on futures contracts, if any, are reported in the Schedule of Investments. In the Statement of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss).

For the year ended September 30, 2020, the effect of derivative financial instruments in the Statement of Operations was as follows:

	Commodity Contracts			Credit   Contracts				Equity Contracts			Foreign Currency     Exchange Contracts			Interest Rate Contracts				Other     Contracts			Total
Net Realized Gain (Loss) from
Futures contracts		$	—		��	$	—		$	18,908,100		$	—		$	(2,802,052	)		$	—		$	16,106,048
Net Change in Unrealized Appreciation (Depreciation) on
Futures contracts		$	—			$	—		$	1,974,684		$	—		$	239,637			$	—		$	2,214,321

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Futures contracts
Average notional value of contracts — long	$	194,033,633
Average notional value of contracts — short	$	3,451,469

For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.

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  (continued) September 30, 2020   BlackRock Balanced Capital Fund, Inc.

The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy. The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above.

	Level 1		Level 2			Level 3			Total
Assets
Investments
Long-Term Investments
Investment Companies(a)	$	55,929,627		$	—		$	—	$	55,929,627
Short-Term Securities
Money Market Funds		242,046,920			—			—		242,046,920
	$	297,976,547		$	—		$	—		297,976,547
Investments Valued at NAV(b)										1,173,468,828
									$	1,471,445,375
Derivative Financial Instruments(c)
Assets
Equity Contracts	$	843,516		$	—		$	—	$	843,516
Interest Rate Contracts		59,123			—			—		59,123
	$	902,639		$	—		$	—	$	902,639

^(a)  See above Schedule of Investments for values in each industry.

^(b)  Certain investments of the Fund 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. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.

10 2 0 2 0  B L A C K R O C K  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

September 30, 2020

	BlackRock   Balanced Capital   Fund, Inc.
ASSETS
Investments at value — affiliated(a)	$	1,471,445,375
Cash pledged for futures contracts		9,422,991
Receivables:
Capital shares sold		2,447,967
Dividends — affiliated		9,498
Variation margin on futures contracts		710,499
Prepaid expenses		56,324
Total assets		1,484,092,654
LIABILITIES
Payables:
Capital shares redeemed		1,321,952
Investment advisory fees		197,387
Officer’s fees		3,137
Other accrued expenses		174,044
Other affiliate fees		38,234
Service and distribution fees		258,788
Transfer agent fees		237,424
Variation margin on futures contracts		208,678
Total liabilities		2,439,644
NET ASSETS	$	1,481,653,010
NET ASSETS CONSIST OF
Paid-in capital	$	1,267,557,912
Accumulated earnings		214,095,098
NET ASSETS	$	1,481,653,010
(a) Investments at cost — affiliated	$	1,329,887,201

F I N A N C I A L  S T A T E M E N T  S 11

Statement of Assets and Liabilities  (continued)

September 30, 2020

	BlackRock  Balanced Capital  Fund, Inc.
NET ASSET VALUE
Institutional
Net assets	$	568,976,645
Shares outstanding		22,858,039
Net asset value	$	24.89
Shares authorized		400 million
Par value	$	0.10
Investor A
Net assets	$	737,707,910
Shares outstanding		29,774,484
Net asset value	$	24.78
Shares authorized		200 million
Par value	$	0.10
Investor C
Net assets	$	126,159,165
Shares outstanding		5,965,275
Net asset value	$	21.15
Shares authorized		200 million
Par value	$	0.10
Class K
Net assets	$	36,969,786
Shares outstanding		1,485,229
Net asset value	$	24.89
Shares authorized		2 billion
Par value	$	0.10
Class R
Net assets	$	11,839,504
Shares outstanding		524,085
Net asset value	$	22.59
Shares authorized		500 million
Par value	$	0.10

See notes to financial statements.

12 2 0 2 0  B L A C K R O C K  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 Operations

Year Ended September 30, 2020

	BlackRock  Balanced Capital  Fund, Inc.
INVESTMENT INCOME
Dividends — affiliated		$	2,416,412
Other income			36,029
Net investment income allocated from the affiliated Master Portfolios:
Dividends — unaffiliated			12,044,867
Dividends — affiliated			275,412
Interest — unaffiliated			10,881,633
Securities lending income — affiliated — net			49,850
Foreign taxes withheld			(43,127	)
Expenses			(3,294,416	)
Fees waived			99,250
Total investment income			22,465,910
FUND EXPENSES
Investment advisory			5,583,850
Service and distribution — class specific			2,964,388
Transfer agent — class specific			1,162,903
Registration			140,016
Professional			129,213
Printing and postage			126,894
Officer			21,123
Accounting services			7,020
Miscellaneous			25,206
Total expenses			10,160,613
Less:
Fees waived and/or reimbursed by the Manager			(3,389,075	)
Total expenses after fees waived and/or reimbursed			6,771,538
Net investment income			15,694,372
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Capital gain distributions from investment companies — affiliated			367
Futures contracts			16,106,048
Net realized gain from investments, capital gain distributions received from affiliated investment companies, foreign currency transactions, forward foreign currency exchange contracts, futures contracts, options written and swaps allocated from the affiliated Master Portfolios			44,704,247
			60,810,662
Net change in unrealized appreciation (depreciation) on:
Investments — affiliated			1,865,928
Futures contracts			2,214,321
Net change in unrealized appreciation (depreciation) on investments, foreign currency translations, forward foreign currency exchange contracts, futures contracts, options written, swaps and unfunded floating rate loan interests allocated from the affiliated Master Portfolios			70,173,851
			74,254,100
Total net realized and unrealized gain			135,064,762
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		$	150,759,134

See notes to financial statements.

F I N A N C I A L  S T A T E M E N T  S 13

Statements of Changes in Net Assets

	BlackRock Balanced Capital Fund, Inc.
	Year Ended September 30,
		2020			2019
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income		$	15,694,372		$	21,044,212
Net realized gain			60,810,662			46,959,493
Net change in unrealized appreciation (depreciation)			74,254,100			(8,594,187	)
Net increase in net assets resulting from operations			150,759,134			59,409,518
DISTRIBUTIONS TO SHAREHOLDERS(a)
Institutional			(25,614,887	)		(30,083,390	)
Investor A			(30,893,014	)		(35,699,715	)
Investor C			(6,569,740	)		(7,198,305	)
Class K			(1,604,803	)		(754,289	)
Class R			(602,475	)		(973,829	)
Decrease in net assets resulting from distributions to shareholders			(65,284,919	)		(74,709,528	)
CAPITAL SHARE TRANSACTIONS
Net increase in net assets derived from capital share transactions			153,847,508			175,017,391
NET ASSETS
Total increase in net assets			239,321,723			159,717,381
Beginning of year			1,242,331,287			1,082,613,906
End of year		$	1,481,653,010		$	1,242,331,287

^(a) Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.

14 2 0 2 0  B L A C K R O C K  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

(For a share outstanding throughout each period)

	BlackRock Balanced Capital Fund, Inc.
	Institutional
	Year Ended September 30,
	2020			2019			2018			2017			2016
Net asset value, beginning of year	$	23.32		$	23.95		$	26.09		$	23.86		$	23.09
Net investment income(a)		0.33			0.48			0.47			0.41			0.38
Net realized and unrealized gain		2.47			0.52			1.89			3.01			1.64
Net increase from investment operations		2.80			1.00			2.36			3.42			2.02
Distributions(b)
From net investment income		(0.37	)		(0.41	)		(0.47	)		(0.40	)		(0.41	)
From net realized gain		(0.86	)		(1.22	)		(4.03	)		(0.79	)		(0.84	)
Total distributions		(1.23	)		(1.63	)		(4.50	)		(1.19	)		(1.25	)
Net asset value, end of year	$	24.89		$	23.32		$	23.95		$	26.09		$	23.86
Total Return(c)
Based on net asset value		12.35	%		5.16	%		10.14	%		14.83	%(d)		8.93	%(d)
Ratios to Average Net Assets(e)
Total expenses(f)		0.78	%(g)		0.80	%		0.91	%		0.93	%		0.94	%
Total expenses after fees waived and/or reimbursed(f)		0.52	%(g)		0.53	%		0.62	%		0.62	%		0.63	%
Net investment income(f)		1.42	%(g)		2.11	%		1.97	%		1.67	%		1.64	%
Supplemental Data
Net assets, end of year (000)	$	568,977		$	488,105		$	427,511		$	395,850		$	348,430
Portfolio turnover rate of the Fund(h)		—	%		4	%		140	%		109	%		—	%
Portfolio turnover rate of the Master Total Return Portfolio(i)		556	%		574	%		734	%		806	%		841	%
Portfolio turnover rate of the Master Advantage Large Cap Core Portfolio		99	%		151	%		148	%		130	%		39	%

^(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)  Includes proceeds received from a settlement of litigation, which had no impact on the Fund’s total return.

^(e)  Includes the Fund’s share of the Master Portfolios’ allocated expenses and/or net investment income.

^(f)  Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

	Year Ended September 30,
	2020			2019			2018			2017			2016
Investments in underlying funds		0.03	%		0.02	%		0.01	%		0.01	%		—	%

^(g)  Includes the Fund’s share of the Master Portfolios’ allocated fees waived of 0.01%.

^(h)  Excludes transactions in the Master Portfolios.

⁽ⁱ⁾  Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows:

	Year Ended September 30,
	2020			2019			2018			2017			2016
Portfolio turnover rate (excluding MDRs)		274	%		241	%		350	%		540	%		598	%

See notes to financial statements.

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 A
	Year Ended September 30,
	2020			2019			2018			2017			2016
Net asset value, beginning of year	$	23.22		$	23.86		$	26.00		$	23.78		$	23.03
Net investment income(a)		0.27			0.41			0.40			0.34			0.31
Net realized and unrealized gain		2.46			0.52			1.89			3.01			1.62
Net increase from investment operations		2.73			0.93			2.29			3.35			1.93
Distributions(b)
From net investment income		(0.31	)		(0.35	)		(0.40	)		(0.34	)		(0.34	)
From net realized gain		(0.86	)		(1.22	)		(4.03	)		(0.79	)		(0.84	)
Total distributions		(1.17	)		(1.57	)		(4.43	)		(1.13	)		(1.18	)
Net asset value, end of year	$	24.78		$	23.22		$	23.86		$	26.00		$	23.78
Total Return(c)
Based on net asset value		12.08	%		4.84	%		9.86	%		14.52	%(d)		8.57	%(d)
Ratios to Average Net Assets(e)
Total expenses(f)		1.04	%(g)		1.07	%(g)		1.20	%(h)		1.21	%(h)		1.22	%(h)
Total expenses after fees waived and/or reimbursed(f)		0.79	%(g)		0.80	%(g)		0.91	%(h)		0.90	%(h)		0.91	%(h)
Net investment income(f)		1.15	%(g)		1.83	%(g)		1.68	%(h)		1.38	%(h)		1.35	%(h)
Supplemental Data
Net assets, end of year (000)	$	737,708		$	594,909		$	528,701		$	535,542		$	491,889
Portfolio turnover rate of the Fund(i)		—	%		4	%		140	%		109	%		—	%
Portfolio turnover rate of the Master Total Return Portfolio(j)		556	%		574	%		734	%		806	%		841	%
Portfolio turnover rate of the Master Advantage Large Cap Core Portfolio		99	%		151	%		148	%		130	%		39	%

^(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)  Includes proceeds received from a settlement of litigation, which had no impact on the Fund’s total return.

^(e)  Includes the Fund’s share of the Master Portfolios’ allocated expenses and/or net investment income.

^(f)  Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

	Year Ended September 30,
	2020			2019			2018			2017			2016
Investments in underlying funds		0.03	%		0.02	%		0.01	%		0.01	%		—	%

^(g)  Includes the Fund’s share of the Master Portfolios’ allocated fees waived of 0.01%.

^(h)  Includes the Fund’s share of the Master Portfolios’ allocated fees waived of less than 0.01%.

⁽ⁱ⁾  Excludes transactions in the Master Portfolios.

^(j)  Includes MDRs. Additional information regarding portfolio turnover rate is as follows:

	Year Ended September 30,
	2020			2019			2018			2017			2016
Portfolio turnover rate (excluding MDRs)		274	%		241	%		350	%		540	%		598	%

See notes to financial statements.

16 2 0 2 0  B L A C K R O C K  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 C
	Year Ended September 30,
	2020			2019			2018			2017			2016
Net asset value, beginning of year	$	20.00		$	20.79		$	23.21		$	21.34		$	20.80
Net investment income(a)		0.08			0.21			0.19			0.14			0.12
Net realized and unrealized gain		2.10			0.43			1.67			2.68			1.47
Net increase from investment operations		2.18			0.64			1.86			2.82			1.59
Distributions(b)
From net investment income		(0.17	)		(0.21	)		(0.25	)		(0.16	)		(0.21	)
From net realized gain		(0.86	)		(1.22	)		(4.03	)		(0.79	)		(0.84	)
Total distributions		(1.03	)		(1.43	)		(4.28	)		(0.95	)		(1.05	)
Net asset value, end of year	$	21.15		$	20.00		$	20.79		$	23.21		$	21.34
Total Return(c)
Based on net asset value		11.20	%		4.09	%		9.03	%		13.62	%(d)		7.78	%(d)
Ratios to Average Net Assets(e)
Total expenses(f)		1.80	%(g)		1.83	%		1.95	%		1.97	%		1.98	%
Total expenses after fees waived and/or reimbursed(f)		1.55	%(g)		1.56	%		1.66	%		1.66	%		1.67	%
Net investment income(f)		0.41	%(g)		1.07	%		0.93	%		0.63	%		0.60	%
Supplemental Data
Net assets, end of year (000)	$	126,159		$	125,584		$	103,756		$	104,113		$	117,651
Portfolio turnover rate of the Fund(h)		—	%		4	%		140	%		109	%		—	%
Portfolio turnover rate of the Master Total Return Portfolio(i)		556	%		574	%		734	%		806	%		841	%
Portfolio turnover rate of the Master Advantage Large Cap Core Portfolio		99	%		151	%		148	%		130	%		39	%

^(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)  Includes proceeds received from a settlement of litigation, which had no impact on the Fund’s total return.

^(e)  Includes the Fund’s share of the Master Portfolios’ allocated expenses and/or net investment income.

^(f)  Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

	Year Ended September 30,
	2020			2019			2018			2017			2016
Investments in underlying funds		0.03	%		0.02	%		0.01	%		0.01	%		—	%

^(g)  Includes the Fund’s share of the Master Portfolios’ allocated fees waived of 0.01%.

^(h)  Excludes transactions in the Master Portfolios.

⁽ⁱ⁾  Includes MDRs. Additional information regarding portfolio turnover rate is as follows:

	Year Ended September 30,
	2020			2019			2018			2017			2016
Portfolio turnover rate (excluding MDRs)		274	%		241	%		350	%		540	%		598	%

See notes to financial statements.

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 K
		Year Ended September 30,						Period from 01/25/18 to 09/30/18	(a)
	2020			2019
Net asset value, beginning of period	$	23.32		$	23.95		$	23.61
Net investment income(b)		0.34			0.49			0.33
Net realized and unrealized gain		2.47			0.52			0.25
Net increase from investment operations		2.81			1.01			0.58
Distributions(c)
From net investment income		(0.38	)		(0.42	)		(0.24	)
From net realized gain		(0.86	)		(1.22	)		—
Total distributions		(1.24	)		(1.64	)		(0.24	)
Net asset value, end of period	$	24.89		$	23.32		$	23.95
Total Return(d)
Based on net asset value		12.42	%		5.23	%		2.46	%(e)
Ratios to Average Net Assets(f)
Total expenses(g)		0.72	%(h)		0.73	%		0.81	%(i)
Total expenses after fees waived and/or reimbursed(g)		0.46	%(h)		0.46	%		0.51	%(i)
Net investment income(g)		1.47	%(h)		2.15	%		2.07	%(i)
Supplemental Data
Net assets, end of period (000)	$	36,970		$	21,901		$	8,283
Portfolio turnover rate of the Fund(j)		—	%		4	%		140	%(k)
Portfolio turnover rate of the Master Total Return Portfolio(l)		556	%		574	%		734	%(k)
Portfolio turnover rate of the Master Advantage Large Cap Core Portfolio		99	%		151	%		148	%(k)

^(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 Portfolios’ allocated expenses and/or net investment income.

^(g)  Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

		Year Ended September 30,					Period from 01/25/18 to 09/30/18	(a)
	2020			2019
Investments in underlying funds		0.03	%		0.02	%	0.01	%

^(h)  Includes the Fund’s share of the Master Portfolios’ allocated fees waived of 0.01%.

⁽ⁱ⁾  Annualized.

^(j)  Excludes transactions in the Master Portfolios.

^(k)  Portfolio turnover is representative of the Fund for the entire year.

^(l)  Includes MDRs. Additional information regarding portfolio turnover rate is as follows:

		Year Ended September 30,					Period from 01/25/18 to 09/30/18	(a)
	2020			2019
Portfolio turnover rate (excluding mortgage dollar roll transactions)		274	%		241	%	350	%

See notes to financial statements.

18 2 0 2 0  B L A C K R O C K  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 R
	Year Ended September 30,
	2020			2019			2018			2017			2016
Net asset value, beginning of year	$	21.27		$	22.00		$	24.30		$	22.31		$	21.70
Net investment income(a)		0.17			0.31			0.29			0.24			0.22
Net realized and unrealized gain		2.24			0.46			1.77			2.81			1.52
Net increase from investment operations		2.41			0.77			2.06			3.05			1.74
Distributions(b)
From net investment income		(0.23	)		(0.28	)		(0.33	)		(0.27	)		(0.29	)
From net realized gain		(0.86	)		(1.22	)		(4.03	)		(0.79	)		(0.84	)
Total distributions		(1.09	)		(1.50	)		(4.36	)		(1.06	)		(1.13	)
Net asset value, end of year	$	22.59		$	21.27		$	22.00		$	24.30		$	22.31
Total Return(c)
Based on net asset value		11.67	%		4.47	%		9.51	%		14.11	%(d)		8.15	%(d)
Ratios to Average Net Assets
Total expenses(e)		1.40	%(f)		1.41	%(f)		1.55	%(g)		1.56	%(g)		1.58	%(g)
Total expenses after fees waived and/or reimbursed(e)		1.15	%(f)		1.14	%(f)		1.26	%(g)		1.25	%(g)		1.27	%(g)
Net investment income(e)		0.82	%(f)		1.50	%(f)		1.33	%(g)		1.04	%(g)		0.99	%(g)
Supplemental Data
Net assets, end of year (000)	$	11,840		$	11,833		$	14,363		$	16,257		$	12,731
Portfolio turnover rate of the Fund(h)		—	%		4	%		140	%		109	%		—	%
Portfolio turnover rate of the Master Total Return Portfolio(i)		556	%		574	%		734	%		806	%		841	%
Portfolio turnover rate of the Master Advantage Large Cap Core Portfolio		99	%		151	%		148	%		130	%		39	%

^(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)  Includes proceeds received from a settlement of litigation, which had no impact on the Fund’s total return.

^(e)  Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

	Year Ended September 30,
	2020			2019			2018			2017			2016
Investments in underlying funds		0.03	%		0.02	%		0.01	%		0.01	%		—	%

^(f)  Includes the Fund’s share of the Master Portfolios’ allocated fees waived of 0.01%.

^(g)  Includes the Fund’s share of the Master Portfolios’ allocated fees waived of less than 0.01%.

^(h)  Excludes transactions in the Master Portfolios.

⁽ⁱ⁾  Includes MDRs. Additional information regarding portfolio turnover rate is as follows:

	Year Ended September 30,
	2020			2019			2018			2017			2016
Portfolio turnover rate (excluding MDRs)		274	%		241	%		350	%		540	%		598	%

See notes to financial statements.

F I N A N C I A L  H I G H L I G H T  S 19

Notes to Financial Statements

1. ORGANIZATION

BlackRock Balanced Capital Fund, Inc. (the “Fund”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Fund is organized as a Maryland corporation. The Fund is classified as diversified. 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 September 30, 2020, the percentages of Master Advantage Large Cap Core Portfolio and Master Total Return Portfolio owned by the Fund were 20.5% and 2.1%, 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 only to certain eligible investors. 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. Class R Shares are sold only to certain employer-sponsored retirement plans. 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 Shares 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” 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	(b)	To Investor A Shares after approximately 10 years(c)

^(a)  Investor A Shares 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.

^(b)  A CDSC of 1.00% is assessed on certain redemptions of Investor C Shares made within one year after purchase.

^(c)  Effective November 23, 2020, the automatic conversion feature will be modified to reduce the conversion period from ten years to eight years.

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 and capital gain distributions, if any, are recorded on the ex-dividend date. Non-cash dividends, if any, are recorded on the ex-dividend date at fair value. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on an accrual basis. Contributions to 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 CurrencyTranslation: 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 effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of investments 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.

20 2 0 2 0  B L A C K R O C K  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  (continued)

Segregation and Collateralization: In cases where the Fund enters into certain investments (e.g., futures contracts) that 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 the ex-dividend dates. 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 Portfolio, no longer invests in the Subsidiary.

Offering Costs: Offering costs are amortized over a 12-month period beginning with the commencement of operations of a class of shares.

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. 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. 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 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 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) each day that the Fund’s listing exchange is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the Fund’s listing exchange is not open. 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. If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. 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”) and closed-end funds traded on a recognized securities exchange are valued at that day’s official closing price, as applicable, on the exchange where the stock is primarily traded. ETFs and closed-end funds 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 in open-end U.S. mutual funds (including money market funds) are valued at that day’s published net asset value (“NAV”).

• Futures contracts are valued based on that day’s last reported settlement price on the exchange where the contract is traded.

• 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 the 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 investment, 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 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 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 financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

• Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access

• Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs)

• Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Global Valuation Committee’s assumptions used in determining the fair value of financial instruments)

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  (continued)

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 that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

As of September 30, 2020, certain investments of the Fund were fair valued using NAV per share 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 or over-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, are 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.

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 Fees
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 Distribution Plans with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager. Pursuant to the Distribution Plans and in accordance with Rule 12b-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:

Share Class	Service Fees			Distribution Fees
Investor A		0.25	%		N/A
Investor C		0.25			0.75	%
Class R		0.25			0.25

BRIL and broker-dealers, pursuant to sub-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.

22 2 0 2 0  B L A C K R O C K  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  (continued)

For the year ended September 30, 2020, 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
Service and distribution fees — class specific		$ 1,619,155		$ 1,287,547		$ 57,686		$ 2,964,388

Transfer Agent: Pursuant to written agreements, certain financial intermediaries, some of which may be affiliates, provide the Fund with sub-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 year ended September 30, 2020, the Fund did not pay any amounts to affiliates in return for these services.

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 year ended September 30, 2020, 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 K		Class R		Total
Amounts reimbursed		$ 15,458		$ 25,555		$ 9,463		$ 100		$ 109		$ 50,685

For the year ended September 30, 2020, 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
Transfer agent fees — class specific		$ 401,497		$ 599,641		$ 130,963		$ 7,255		$ 23,547		$ 1,162,903

Other Fees: For the year ended September 30, 2020, affiliates earned underwriting discounts, direct commissions and dealer concessions on sales of the Fund’s Investor A Shares of $44,673.

For the year ended September 30, 2020, affiliates received CDSCs as follows:

Share Class	Amounts
Investor A	$	15,021
Investor C		13,641
	$	28,662

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 year ended September 30, 2020, the Manager waived $3,073,534, which is included in fees waived and/or reimbursed by the Manager in the Statement of Operations.

With respect to the Fund, the Manager contractually 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”) through January 31, 2021. 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. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the year ended September 30, 2020, the amount waived and/or reimbursed was $132,637.

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, 2021. 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 Fund. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the year ended September 30, 2020, the Manager waived $182,904 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 year ended September 30, 2020, 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.

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  (continued)

6. PURCHASES AND SALES

For the year ended September 30, 2020, purchases of investments, excluding short-term investments, were $16,971,212. For the year ended September 30, 2020, there were no sales.

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 a period of three fiscal years after they are filed. 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 September 30, 2020, 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.

U.S. GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share. As of period end, the following permanent differences attributable to certain deemed distributions were reclassified to the following accounts:

	Amounts
Paid-in capital	$	4,792,559
Accumulated earnings (loss)		(4,792,559	)

The tax character of distributions paid was as follows:

		09/30/20	(a)		09/30/19(a)
Ordinary income	$	37,320,495		$	47,757,929
Long-term capital gains		32,756,983			30,526,391
	$	70,077,478		$	78,284,320

^(a)  Distribution amounts may include a portion of the proceeds from redeemed shares.

As of period end, the tax components of accumulated net earnings were as follows:

	Amounts
Undistributed ordinary income	$	26,888,045
Undistributed long-term capital gains		28,206,840
Net unrealized gains(a)		159,000,213
	$	214,095,098

^(a)  The difference between book-basis and tax-basis net unrealized gains/losses was attributable primarily to the timing and recognition of partnership income and the realization for tax purposes of unrealized gains/losses on certain futures contracts.

As of September 30, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

	Amounts
Tax cost	$	1,312,445,162
Gross unrealized appreciation	$	159,000,213
Gross unrealized depreciation		—
Net unrealized appreciation (depreciation)	$	159,000,213

8. BANK BORROWINGS

The Fund, 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 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 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 2021 unless extended or renewed. 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 year ended September 30, 2020, the Fund did not borrow under the credit agreement.

24 2 0 2 0  B L A C K R O C K  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  (continued)

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. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Fund and its investments. The Fund’s prospectus provides details of the risks to which the Fund is subject.

Market Risk: An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. The duration of this pandemic and its effects cannot be determined with certainty.

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 a Fund could receive upon the sale of any particular portfolio investment may differ from a 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 a 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 a Fund, and a Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A 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, including making timely interest and/or principal payments or otherwise honoring its obligations. 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 a mark-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.

Concentration Risk: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within the Fund’s portfolio are disclosed in its Schedule of Investments.

LIBOR Transition Risk: The United Kingdom’s Financial Conduct Authority announced a phase out of the London Interbank Offered Rate (“LIBOR”) by the end of 2021, and it is expected that LIBOR will cease to be published after that time. The Fund may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against, instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Fund is uncertain.

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  (continued)

10. CAPITAL SHARE TRANSACTIONS

Transactions in capital shares for each class were as follows:

	Year Ended 09/30/20						Year Ended 09/30/19
Share Class	Shares			Amounts			Shares			Amounts
Institutional
Shares sold		5,973,087		$	140,408,300			5,820,817		$	130,370,585
Shares issued in reinvestment of distributions		913,200			21,474,108			1,219,382			25,012,438
Shares redeemed		(4,958,302	)		(112,828,295	)		(3,961,435	)		(88,163,064	)
		1,927,985		$	49,054,113			3,078,764		$	67,219,959
Investor A
Shares sold		8,711,700		$	203,218,124			—		$	—
Shares sold and automatic conversion of shares		—			—			6,774,720			150,706,896
Shares issued in reinvestment of distributions		1,211,101			28,355,955			1,597,323			32,556,063
Shares redeemed		(5,766,837	)		(132,560,158	)		(4,916,166	)		(109,427,242	)
		4,155,964		$	99,013,921			3,455,877		$	73,835,717
Investor C
Shares sold		2,162,261		$	42,903,371			3,299,069		$	62,360,336
Shares issued in reinvestment of distributions		316,937			6,345,196			395,079			6,937,273
Shares redeemed		(2,793,603	)		(55,535,399	)		—			—
Shares redeemed and automatic conversion of shares		—			—			(2,405,162	)		(46,470,773	)
		(314,405	)	$	(6,286,832	)		1,288,986		$	22,826,836
Class K
Shares sold		975,343		$	22,747,205			714,094		$	15,979,217
Shares issued in reinvestment of distributions		67,778			1,594,255			35,661			740,292
Shares redeemed		(496,990	)		(11,661,445	)		(156,556	)		(3,482,997	)
		546,131		$	12,680,015			593,199		$	13,236,512
Class R
Shares sold		136,539		$	2,908,943			112,460		$	2,319,013
Shares issued in reinvestment of distributions		28,212			602,475			52,310			973,829
Shares redeemed		(196,871	)		(4,125,127	)		(261,538	)		(5,394,475	)
		(32,120	)	$	(613,709	)		(96,768	)	$	(2,101,633	)
		6,283,555		$	153,847,508			8,320,058		$	175,017,391

As of September 30, 2020, BlackRock Financial Management, Inc., an affiliate of the Fund, owned 8,471 Class K Shares of the Fund.

11. SUBSEQUENT EVENTS

Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.

26 2 0 2 0  B L A C K R O C K  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

Report of Independent Registered Public Accounting Firm

To the Shareholders and Board of Directors of BlackRock Balanced Capital Fund, Inc.:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statement of assets and liabilities of BlackRock Balanced Capital Fund, Inc. (the “Fund”), including the schedule of investments, as of September 30, 2020, the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of September 30, 2020, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of September 30, 2020, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

Deloitte & Touche LLP

Boston, Massachusetts

November 20, 2020

We have served as the auditor of one or more BlackRock investment companies since 1992.

R E P O R T  O F  I N D E P E N D E N T   R E G I S T E R E D  P U B L I C  A C C O U N T I N G  F I R M 27

Important Tax Information (unaudited)

For corporate shareholders, the percentage of ordinary income distributions paid during the fiscal year ended September 30, 2020 that qualified for the dividends-received deduction were as follows:

Fund Name	Dividends-Received Deduction
BlackRock Balanced Capital Fund, Inc.		25.28	%

The following maximum amounts are hereby designated as qualified dividend income for individuals for the fiscal year ended September 30, 2020:

Fund Name	Qualified Dividend Income
BlackRock Balanced Capital Fund, Inc.		$20,113,270

The following maximum amounts are hereby designated as qualified business income for individuals for the fiscal year ended September 30, 2020:

Fund Name	Qualified Business Income
BlackRock Balanced Capital Fund, Inc.		$1,030,131

For the fiscal year ended September 30, 2020, the Fund hereby designates the following maximum amounts allowable as interest-related dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations:

Fund Name	Interest-Related Dividends
BlackRock Balanced Capital Fund, Inc.		$23,965,260

The Fund hereby designates the following amount of distributions from direct federal obligation interest for the fiscal year ended September 30, 2020:

Fund Name	Federal Obligation Interest
BlackRock Balanced Capital Fund, Inc.		$2,364,952

The law varies in each state as to whether and what percent of ordinary income dividends attribute to federal obligations is exempt from state income tax. Shareholders are advised to check with their tax advisers to determine if any portion of the dividends received is exempt from state income tax.

The following distribution amounts are hereby designated for the fiscal year ended September 30, 2020:

Fund Name	Short-Term Capital Gain Dividends		20% Rate Long-Term Capital Gain Dividends
BlackRock Balanced Capital Fund, Inc.	$	19,595,456	$	32,756,983

28 2 0 2 0  B L A C K R O C K  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

Director and Officer Information of the Fund

Independent Directors(a)
Name Year of Birth(b)	Position(s) Held (Length of Service)(c)	Principal Occupation(s) During Past Five Years	Number of BlackRock-Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Company and Other Investment Company Directorships Held During Past Five Years
Mark Stalnecker 1951	Chair of the Board and Director (Since 2019)	Chief Investment Officer, University of Delaware from 1999 to 2013; Trustee and Chair of the Finance and Investment Committees, Winterthur Museum and Country Estate from 2005 to 2016; Member of the Investment Committee, Delaware Public Employees’ Retirement System since 2002; Member of the Investment Committee, Christiana Care Health System from 2009 to 2017; Member of the Investment Committee, Delaware Community Foundation from 2013 to 2014; Director and Chair of the Audit Committee, SEI Private Trust Co. from 2001 to 2014.	35 RICs consisting of 158 Portfolios	None
Bruce R. Bond 1946	Director (Since 2007)	Board Member, Amsphere Limited (software) since 2018; Trustee and Member of the Governance Committee, State Street Research Mutual Funds from 1997 to 2005; Board Member of Governance, Audit and Finance Committee, Avaya Inc. (computer equipment) from 2003 to 2007.	35 RICs consisting of 158 Portfolios	None
Susan J. Carter 1956	Director (Since 2019)	Director, Pacific Pension Institute from 2014 to 2018; Advisory Board Member, Center for Private Equity and Entrepreneurship at Tuck School of Business since 1997; Senior Advisor, Commonfund Capital, Inc. (“CCI”) (investment adviser) in 2015; Chief Executive Officer, CCI from 2013 to 2014; President & Chief Executive Officer, CCI from 1997 to 2013; Advisory Board Member, Girls Who Invest from 2015 to 2018 and Board Member thereof since 2018; Advisory Board Member, Bridges Fund Management since 2016; Trustee, Financial Accounting Foundation since 2017; Practitioner Advisory Board Member, Private Capital Research Institute (“PCRI”) since 2017; Lecturer in the Practice of Management, Yale School of Management since 2019.	35 RICs consisting of 158 Portfolios	None
Collette Chilton 1958	Director (Since 2019)	Chief Investment Officer, Williams College since 2006; Chief Investment Officer, Lucent Asset Management Corporation from 1998 to 2006.	35 RICs consisting of 158 Portfolios	None
Neil A. Cotty 1954	Director (Since 2019)	Bank of America Corporation from 1996 to 2015, serving in various senior finance leadership roles, including Chief Accounting Officer from 2009 to 2015, Chief Financial Officer of Global Banking, Markets and Wealth Management from 2008 to 2009, Chief Accounting Officer from 2004 to 2008, Chief Financial Officer of Consumer Bank from 2003 to 2004, Chief Financial Officer of Global Corporate Investment Bank from 1999 to 2002.	35 RICs consisting of 158 Portfolios	None
Lena G. Goldberg 1954	Director (Since 2016)	Senior Lecturer, Harvard Business School, since 2008; Director, Charles Stark Draper Laboratory, Inc. since 2013; FMR LLC/Fidelity Investments (financial services) from 1996 to 2008, serving in various senior roles including Executive Vice President - Strategic Corporate Initiatives and Executive Vice President and General Counsel; Partner, Sullivan & Worcester LLP from 1985 to 1996 and Associate thereof from 1979 to 1985.	35 RICs consisting of 158 Portfolios	None
Henry R. Keizer 1956	Director (Since 2016)	Director, Park Indemnity Ltd. (captive insurer) since 2010; Director, MUFG Americas Holdings Corporation and MUFG Union Bank, N.A. (financial and bank holding company) from 2014 to 2016; Director, American Institute of Certified Public Accountants from 2009 to 2011; Director, KPMG LLP (audit, tax and advisory services) from 2004 to 2005 and 2010 to 2012; Director, KPMG International in 2012, Deputy Chairman and Chief Operating Officer thereof from 2010 to 2012 and U.S. Vice Chairman of Audit thereof from 2005 to 2010; Global Head of Audit, KPMGI (consortium of KPMG firms) from 2006 to 2010; Director, YMCA of Greater New York from 2006 to 2010.	35 RICs consisting of 158 Portfolios	Hertz Global Holdings (car rental); Montpelier Re Holdings, Ltd. (publicly held property and casualty reinsurance) from 2013 until 2015; WABCO (commercial vehicle safety systems); Sealed Air Corp. (packaging)

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  T H E  F U N D 29

Director and Officer Information of the Fund  (continued)

Independent Directors(a)
Name Year of Birth(b)	Position(s) Held (Length of Service)(c)	Principal Occupation(s) During Past Five Years	Number of BlackRock-Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Company and Other Investment Company Directorships Held During Past Five Years
Cynthia A. Montgomery 1952	Director (Since 2019)	Professor, Harvard Business School since 1989.	35 RICs consisting of 158 Portfolios	Newell Rubbermaid, Inc. (manufacturing)
Donald C. Opatrny 1952	Director (Since 2015)	Trustee, Vice Chair, Member of the Executive Committee and Chair of the Investment Committee, Cornell University since 2004; President, Trustee and Member of the Investment Committee, The Aldrich Contemporary Art Museum from 2007 to 2014; Member of the Board and Investment Committee, University School from 2007 to 2018; Member of the Investment Committee, Mellon Foundation from 2009 to 2015; Trustee, Artstor (a Mellon Foundation affiliate) from 2010 to 2015; President and Trustee, the Center for the Arts, Jackson Hole from 2011 to 2018; Director, Athena Capital Advisors LLC (investment management firm) since 2013; Trustee and Chair of the Investment Committee, Community Foundation of Jackson Hole since 2014; Member of Affordable Housing Supply Board of Jackson, Wyoming since 2018; Member, Investment Funds Committee, State of Wyoming since 2017; Trustee, Phoenix Art Museum since 2018; Trustee, Arizona Community Foundation and Member of Investment Committee since 2020.	35 RICs consisting of 158 Portfolios	None
Joseph P. Platt 1947	Director (Since 2019)	General Partner, Thorn Partners, LP (private investments) since 1998; Director, WQED Multi-Media (public broadcasting not-for-profit) since 2001; Chair, Basic Health International (non-profit) since 2015.	35 RICs consisting of 158 Portfolios	Greenlight Capital Re, Ltd. (reinsurance company); Consol Energy Inc.
Kenneth L. Urish 1951	Director (Since 2019)	Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Past-Chairman of the Professional Ethics Committee of the Pennsylvania Institute of Certified Public Accountants and Committee Member thereof since 2007; Member of External Advisory Board, The Pennsylvania State University Accounting Department since founding in 2001; Principal, UP Strategic Wealth Investment Advisors, LLC since 2013; Trustee, The Holy Family Institute from 2001 to 2010; President and Trustee, Pittsburgh Catholic Publishing Associates from 2003 to 2008; Director, Inter-Tel from 2006 to 2007.	35 RICs consisting of 158 Portfolios	None
Claire A. Walton 1957	Director (Since 2019)	Chief Operating Officer and Chief Financial Officer of Liberty Square Asset Management, LP from 1998 to 2015; General Partner of Neon Liberty Capital Management, LLC since 2003; Director, Boston Hedge Fund Group from 2009 to 2018; Director, Woodstock Ski Runners since 2013; Director, Massachusetts Council on Economic Education from 2013 to 2015.	35 RICs consisting of 158 Portfolios	None

30 2 0 2 0  B L A C K R O C K  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

Director and Officer Information of the Fund  (continued)

Interested Directors(a)(d)
Name Year of Birth(b)	Position(s) Held (Length of Service)(c)	Principal Occupation(s) During Past Five Years	Number of BlackRock-Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Company and Other Investment Company Directorships Held During Past Five Years
Robert Fairbairn 1965	Director (Since 2015)	Vice Chairman of BlackRock, Inc. since 2019; Member of BlackRock’s Global Executive and Global Operating Committees; Co-Chair of BlackRock’s Human Capital Committee; Senior Managing Director of BlackRock, Inc. from 2010 to 2019; oversaw BlackRock’s Strategic Partner Program and Strategic Product Management Group from 2012 to 2019; Member of the Board of Managers of BlackRock Investments, LLC from 2011 to 2018; Global Head of BlackRock’s Retail and iShares® businesses from 2012 to 2016.	122 RICs consisting of 269 Portfolios	None
John M. Perlowski(e) 1964	Director (Since 2015), President and Chief Executive Officer (Since 2010)	Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Accounting and Product Services since 2009; Advisory Director of Family Resource Network (charitable foundation) since 2009.	123 RICs consisting of 270 Portfolios	None
(a) The address of each Director is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055. (b) Each Independent Director holds office until his or her successor is duly elected and qualifies or until his or her earlier death, resignation, retirement or removal as provided by the Fund’s by-laws or charter or statute, or until December 31 of the year in which he or she turns 75. Directors who are “interested persons,” as defined in the 1940 Act, serve until their successor is duly elected and qualifies or until their earlier death, resignation, retirement or removal as provided by the Fund’s by-laws or statute, or until December 31 of the year in which they turn 72. The Board may determine to extend the terms of Independent Directors on a case-by-case basis, as appropriate. (c)  Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. In addition, effective January 1, 2019, three BlackRock Fund Complexes were realigned and consolidated into two BlackRock Fund Complexes. As a result, although the chart shows the year that each Independent Director joined the Board, certain Independent Directors first became members of the boards of other BlackRock-advised Funds, legacy MLIM funds or legacy BlackRock funds as follows: Bruce R. Bond, 2005; Susan J. Carter, 2016; Collette Chilton, 2015; Neil A. Cotty, 2016; Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Mark Stalnecker, 2015; Kenneth L. Urish, 1999; Claire A. Walton, 2016. (d) Mr. Fairbairn and Mr. Perlowski are both “interested persons,” as defined in the 1940 Act, of the Fund based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Fixed-Income Complex. (e) Mr. Perlowski is also a trustee of the BlackRock Credit Strategies Fund.

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  T H E  F U N D 31

Director and Officer Information of the Fund  (continued)

Officers Who Are Not Directors(a)
Name Year of Birth(b)	Position(s) Held (Length of Service)	Principal Occupation(s) During Past Five Years
Jennifer McGovern 1977	Vice President (Since 2014)	Managing Director of BlackRock, Inc. since 2016; Director of BlackRock, Inc. from 2011 to 2015; Head of Americas Product Development and Governance for BlackRock’s Global Product Group since 2019; Head of Product Structure and Oversight for BlackRock’s U.S. Wealth Advisory Group from 2013 to 2019.
Neal J. Andrews 1966	Chief Financial Officer (Since 2007)	Chief Financial Officer of the iShares® exchange traded funds from 2019 to 2020; Managing Director of BlackRock, Inc. since 2006.
Jay M. Fife 1970	Treasurer (Since 2007)	Managing Director of BlackRock, Inc. since 2007.
Charles Park 1967	Chief Compliance Officer (Since 2014)	Anti-Money Laundering Compliance Officer for certain BlackRock-advised Funds from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the BlackRock Multi-Asset Complex and the BlackRock Fixed-Income Complex since 2014; Principal of and Chief Compliance Officer for iShares® Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors (“BFA”) since 2006; Chief Compliance Officer for the BFA-advised iShares® exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012.
Lisa Belle 1968	Anti-Money Laundering Compliance Officer (Since 2019)	Managing Director of BlackRock, Inc. since 2019; Global Financial Crime Head for Asset and Wealth Management of JP Morgan from 2013 to 2019; Managing Director of RBS Securities from 2012 to 2013; Head of Financial Crimes for Barclays Wealth Americas from 2010 to 2012.
Janey Ahn 1975	Secretary (Since 2019)	Managing Director of BlackRock, Inc. since 2018; Director of BlackRock, Inc. from 2009 to 2017.
(a) The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055. (b) Officers of the Fund serve at the pleasure of the Board.

Further information about the Fund’s Directors and Officers is available in the Fund’s Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762.

32 2 0 2 0  B L A C K R O C K  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 September 30, 2020 Master Advantage Large Cap Core Portfolio

TEN LARGEST HOLDINGS
Security(a)	Percent of Net Assets
Microsoft Corp.		6	%
Apple Inc.		5
Amazon.com, Inc.		4
NVIDIA Corp.		2
Alphabet, Inc., Class A		2
PayPal Holdings, Inc.		2
salesforce.com, Inc.		2
PepsiCo, Inc.		2
Home Depot, Inc.		2
Intel Corp.		1

SECTOR ALLOCATION
Sector(b)	Percent of Net Assets
Information Technology		27	%
Health Care		14
Consumer Discretionary		12
Communication Services		10
Financials		9
Industrials		8
Consumer Staples		7
Utilities		3
Real Estate		3
Materials		2
Energy		2
Short-Term Securities		3

^(a)  Excludes short-term securities.

^(b)  For Master Portfolio compliance purposes, the Master Portfolio’s sector classifications refer to one or more of the sector sub-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 sector sub-classifications for reporting ease.

PORTFOLIO  INFORMATION 33

Schedule of Investments   September 30, 2020   Master Advantage Large Cap Core Portfolio (Percentages shown are based on Net Assets)

Security	Shares		Value
Common Stocks
Aerospace & Defense — 1.0%
HEICO Corp.		39,087	$	4,090,845
L3Harris Technologies, Inc.		17,170		2,916,153
Lockheed Martin Corp.		33,468		12,827,615
Northrop Grumman Corp.		21,599		6,814,269
Teledyne Technologies, Inc.(a)		29,472		9,142,509
			35,791,391
Airlines — 0.2%
Alaska Air Group, Inc.		71,778		2,629,228
Delta Air Lines, Inc.		65,767		2,011,155
United Airlines Holdings, Inc.(a)		83,366		2,896,968
			7,537,351
Auto Components — 0.1%
Aptiv PLC		27,859		2,554,113
Automobiles — 1.2%
Harley-Davidson, Inc.		19,991		490,579
Tesla, Inc.(a)		104,949		45,024,171
			45,514,750
Banks — 2.2%
Bank of America Corp.		876,718		21,120,137
CIT Group, Inc.		66,192		1,172,260
Cullen/Frost Bankers, Inc.		80,318		5,136,336
First Hawaiian, Inc.		29,822		431,525
First Horizon National Corp.		72,035		679,290
First Republic Bank		18,571		2,025,353
JPMorgan Chase & Co.		286,674		27,598,106
Wells Fargo & Co.		976,883		22,966,519
Zions Bancorp NA		29,672		867,016
			81,996,542
Beverages — 1.7%
Molson Coors Beverage Co., Class B		107,954		3,622,936
PepsiCo, Inc.		420,284		58,251,363
			61,874,299
Biotechnology — 3.4%
AbbVie, Inc.		450,302		39,441,952
Amgen, Inc.		102,974		26,171,872
Biogen, Inc.(a)		41,114		11,663,220
Gilead Sciences, Inc.		559,320		35,343,431
Immunomedics, Inc.(a)		23,321		1,982,985
Moderna, Inc.(a)		30,935		2,188,651
Regeneron Pharmaceuticals, Inc.(a)		11,171		6,253,302
Vertex Pharmaceuticals, Inc.(a)		9,404		2,559,016
			125,604,429
Building Products — 0.6%
Allegion PLC		229,158		22,666,018
Lennox International, Inc.		1,632		444,900
Masco Corp.		8,257		455,208
			23,566,126
Capital Markets — 3.6%
Affiliated Managers Group, Inc.		22,768		1,556,876
Ameriprise Financial, Inc.		7,210		1,111,133
Bank of New York Mellon Corp.		32,799		1,126,318
Cboe Global Markets, Inc.		60,284		5,289,318
Charles Schwab Corp.		626,538		22,699,472
CME Group, Inc.		52,802		8,834,303
Evercore, Inc., Class A		11,637		761,758
FactSet Research Systems, Inc.		34,199		11,452,561
Intercontinental Exchange, Inc.		123,781		12,384,289

Security	Shares		Value
Capital Markets (continued)
Invesco Ltd.		95,548	$	1,090,203
MarketAxess Holdings, Inc.		1,123		540,826
Moody’s Corp.		96,792		28,055,161
Morgan Stanley		75,909		3,670,200
S&P Global, Inc.		88,934		32,069,600
State Street Corp.		12,210		724,419
T Rowe Price Group, Inc.		8,042		1,031,145
TD Ameritrade Holding Corp.		31,063		1,216,116
			133,613,698
Chemicals — 2.0%
Air Products & Chemicals, Inc.		43,298		12,896,742
Ecolab, Inc.		175,244		35,020,761
FMC Corp.		11,748		1,244,230
Mosaic Co.		141,047		2,576,929
PPG Industries, Inc.		96,988		11,840,295
Sherwin-Williams Co.		15,474		10,781,355
			74,360,312
Commercial Services & Supplies — 0.3%
Cintas Corp.		28,537		9,497,970
Copart, Inc.(a)		28,453		2,992,117
			12,490,087
Communications Equipment — 1.3%
Cisco Systems, Inc.		1,199,682		47,255,474
InterDigital, Inc.		9		514
			47,255,988
Construction & Engineering — 0.1%
EMCOR Group, Inc.		27,717		1,876,718
MasTec, Inc.(a)		88,204		3,722,209
			5,598,927
Consumer Finance — 0.6%
Ally Financial, Inc.		355,412		8,910,179
American Express Co.		113,923		11,420,781
Capital One Financial Corp.		13,774		989,799
			21,320,759
Distributors — 0.2%
Genuine Parts Co.		60,666		5,773,583
Diversified Consumer Services — 0.2%
Bright Horizons Family Solutions, Inc.(a)		26,594		4,043,352
H&R Block, Inc.		264,275		4,305,040
			8,348,392
Diversified Financial Services — 1.2%
Berkshire Hathaway, Inc., Class B(a)		207,253		44,132,454
Diversified Telecommunication Services — 0.9%
AT&T Inc.		436,384		12,441,308
CenturyLink, Inc.		474,332		4,786,010
Verizon Communications, Inc.		284,754		16,940,015
			34,167,333
Electric Utilities — 1.6%
Alliant Energy Corp.		43,721		2,258,190
Eversource Energy		178,475		14,911,586
IDACORP, Inc.		71,247		5,692,635
NextEra Energy, Inc.		71,298		19,789,473
Pinnacle West Capital Corp.		60,228		4,489,997
Xcel Energy, Inc.		177,956		12,280,744
			59,422,625

34 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 Master Advantage Large Cap Core Portfolio (Percentages shown are based on Net Assets)

Security	Shares		Value
Electrical Equipment — 0.7%
AMETEK, Inc.		179,584	$	17,850,650
Hubbell, Inc.		70,680		9,671,851
			27,522,501
Electronic Equipment, Instruments & Components — 0.4%
Avnet, Inc.		32,158		830,963
National Instruments Corp.		338,689		12,091,197
Zebra Technologies Corp., Class A(a)		3,065		773,790
			13,695,950
Energy Equipment & Services — 0.2%
Baker Hughes Co.		89,590		1,190,651
ChampionX Corp.(a)		195,679		1,563,475
Schlumberger NV		165,352		2,572,877
TechnipFMC PLC		252,800		1,595,168
			6,922,171
Entertainment — 1.5%
Activision Blizzard, Inc.		160,044		12,955,562
Electronic Arts, Inc.(a)		9,349		1,219,203
Netflix, Inc.(a)		57,280		28,641,718
Roku, Inc.(a)		24,237		4,575,946
Walt Disney Co.		49,808		6,180,177
			53,572,606
Equity Real Estate Investment Trusts (REITs) — 2.6%
Alexandria Real Estate Equities, Inc.		28,519		4,563,040
American Tower Corp.		75,772		18,316,366
AvalonBay Communities, Inc.		20,171		3,012,337
Boston Properties, Inc.		78,480		6,301,944
Camden Property Trust		4,596		408,952
Equity Residential		154,325		7,921,502
Lamar Advertising Co., Class A		16,079		1,063,947
Macerich Co.(b)		181,107		1,229,717
Outfront Media, Inc.		172,282		2,506,703
Park Hotels & Resorts, Inc.		258,162		2,579,038
Prologis, Inc.		473,848		47,678,586
RLJ Lodging Trust		73		632
UDR, Inc.		21,167		690,256
			96,273,020
Food & Staples Retailing — 1.3%
Costco Wholesale Corp.		136,574		48,483,770
Food Products — 1.9%
General Mills, Inc.		413,028		25,475,567
Hershey Co.		180,205		25,830,585
Hormel Foods Corp.		66,717		3,261,794
McCormick & Co., Inc.		80,053		15,538,287
			70,106,233
Gas Utilities — 0.2%
Southwest Gas Holdings, Inc.		74,263		4,685,995
UGI Corp.		38,406		1,266,630
			5,952,625
Health Care Equipment & Supplies — 3.0%
Abbott Laboratories		210,092		22,864,312
DENTSPLY SIRONA, Inc.		42,171		1,844,138
DexCom, Inc.(a)		27,569		11,364,769
Edwards Lifesciences Corp.(a)		292,375		23,337,372
Hologic, Inc.(a)		144,017		9,572,810
IDEXX Laboratories, Inc.(a)		29,273		11,507,509
Medtronic PLC		94,102		9,779,080
Quidel Corp.(a)		4,347		953,645

Security	Shares		Value
Health Care Equipment & Supplies (continued)
Stryker Corp.		93,196	$	19,419,251
West Pharmaceutical Services, Inc.		1,827		502,242
			111,145,128
Health Care Providers & Services — 2.1%
1Life Healthcare, Inc.(a)		22,866		648,480
AmerisourceBergen Corp.		30,547		2,960,615
Anthem, Inc.		60,105		16,143,602
Cardinal Health, Inc.		16,823		789,840
Cigna Corp.		34,323		5,814,659
CVS Health Corp.		130,324		7,610,922
HCA Healthcare, Inc.		24,774		3,088,822
McKesson Corp.		90,693		13,506,908
Quest Diagnostics, Inc.		14,140		1,618,889
UnitedHealth Group, Inc.		81,383		25,372,778
			77,555,515
Health Care Technology — 0.9%
Teladoc Health, Inc.(a)(b)		84,347		18,492,236
Veeva Systems, Inc., Class A(a)		46,372		13,039,343
			31,531,579
Hotels, Restaurants & Leisure — 1.1%
Caesars Entertainment, Inc.(a)		88,400		4,955,704
Chipotle Mexican Grill, Inc.(a)		1,862		2,315,788
Choice Hotels International, Inc.		26,464		2,274,845
Darden Restaurants, Inc.		27,242		2,744,359
Domino’s Pizza, Inc.		3,378		1,436,596
Dunkin’ Brands Group, Inc.		20,973		1,717,898
Extended Stay America, Inc.		441,807		5,279,594
MGM Resorts International		66,325		1,442,569
Penn National Gaming, Inc.(a)		52,451		3,813,188
Six Flags Entertainment Corp.		116,473		2,364,402
Texas Roadhouse, Inc.		53,996		3,282,417
Vail Resorts, Inc.		28,567		6,112,481
Wyndham Destinations, Inc.		132,533		4,076,715
			41,816,556
Household Products — 2.3%
Church & Dwight Co., Inc.		108,284		10,147,294
Clorox Co.		171,336		36,009,687
Colgate-Palmolive Co.		174,808		13,486,437
Procter & Gamble Co.		184,309		25,617,108
			85,260,526
Industrial Conglomerates — 1.0%
3M Co.		23,598		3,779,928
Honeywell International, Inc.		136,908		22,536,426
Roper Technologies, Inc.		26,728		10,560,500
			36,876,854
Insurance — 1.8%
Aflac, Inc.		74,768		2,717,817
Allstate Corp.		23,990		2,258,419
Arthur J. Gallagher & Co.		56,763		5,993,038
Athene Holding Ltd., Class A(a)		51,993		1,771,921
Brighthouse Financial, Inc.(a)		1,324		35,629
Brown & Brown, Inc.		25,271		1,144,018
Cincinnati Financial Corp.		187,675		14,633,020
First American Financial Corp.		101,255		5,154,892
Globe Life, Inc.		58,954		4,710,425
Lincoln National Corp.		112,344		3,519,737
Marsh & McLennan Cos., Inc.		60,533		6,943,135
MetLife, Inc.		62,972		2,340,669
Progressive Corp.		8,252		781,217
Prudential Financial, Inc.		77,405		4,916,766

S C H E D U L E   O F  I N V E S T M E  N T S 35

Schedule of Investments  (continued) September 30, 2020 Master Advantage Large Cap Core Portfolio (Percentages shown are based on Net Assets)

Security	Shares		Value
Insurance (continued)
Travelers Cos., Inc.		19,379	$	2,096,614
Unum Group		156,134		2,627,735
Willis Towers Watson PLC		14,303		2,986,752
			64,631,804
Interactive Media & Services — 5.0%
Alphabet, Inc., Class A(a)		48,613		71,247,213
Alphabet, Inc., Class C(a)		33,629		49,421,178
Facebook, Inc., Class A(a)		118,559		31,050,602
Twitter, Inc.(a)		689,507		30,683,062
			182,402,055
Internet & Direct Marketing Retail — 4.6%
Amazon.com, Inc.(a)		50,215		158,113,477
Etsy, Inc.(a)		22,945		2,790,800
Grubhub, Inc.(a)		10,411		753,028
Wayfair, Inc., Class A(a)(b)		28,179		8,200,371
			169,857,676
IT Services — 5.2%
Accenture PLC, Class A		15,810		3,572,902
Amdocs Ltd.		39,396		2,261,724
Automatic Data Processing, Inc.		162,940		22,728,501
Fiserv, Inc.(a)		115,635		11,916,187
GoDaddy, Inc., Class A(a)		10,911		828,909
Mastercard, Inc., Class A		104,323		35,278,909
Paychex, Inc.		81,460		6,498,064
PayPal Holdings, Inc.(a)		336,415		66,283,847
Visa, Inc., Class A		215,439		43,081,337
			192,450,380
Life Sciences Tools & Services — 0.1%
Adaptive Biotechnologies Corp.(a)		8,106		394,195
Agilent Technologies, Inc.		19,217		1,939,764
Thermo Fisher Scientific, Inc.		6,370		2,812,482
			5,146,441
Machinery — 2.6%
AGCO Corp.		24,513		1,820,581
Deere & .Co.		136,611		30,277,096
Fortive .Corp		36,970		2,817,484
Illinois Tool Works, Inc.		36,049		6,965,027
Oshkosh Corp.		192,489		14,147,941
PACCAR, Inc.		189,068		16,123,719
Snap-on, Inc.		39,268		5,777,501
Xylem, Inc.		196,776		16,552,797
			94,482,146
Media — 2.0%
AMC Networks, Inc., Class A(a)		89,272		2,205,911
Comcast Corp., Class A		290,545		13,440,612
Discovery, Inc., Class A(a)(b)		1,047,816		22,810,954
Discovery, Inc., Class C(a)		37,115		727,454
Interpublic Group of Cos., Inc.		942,393		15,709,691
Sirius XM Holdings, Inc.		2,840,592		15,225,573
ViacomCBS, Inc., Class B		101,357		2,839,010
			72,959,205
Metals & Mining — 0.1%
Reliance Steel & Aluminum Co.		36,451		3,719,460
Multiline Retail — 0.3%
Kohl’s Corp.		247,214		4,580,875
Nordstrom, Inc.(b)		419,381		4,999,022
				9,579,897

Security	Shares		Value
Multi-Utilities — 1.0%
Ameren Corp.		90,727	$	7,174,691
Avista Corp.		10,700		365,084
CMS Energy Corp.		275,770		16,935,036
Consolidated Edison, Inc.		152,291		11,848,240
			36,323,051
Oil, Gas & Consumable Fuels — 1.7%
Chevron Corp.		139,005		10,008,360
Concho Resources, Inc.		19,378		854,957
ConocoPhillips		307,341		10,093,078
Continental Resources, Inc.		234,958		2,885,284
EOG Resources, Inc.		314,258		11,294,433
Hess Corp.		46,443		1,900,912
Marathon Oil Corp.		837,899		3,427,007
ONEOK, Inc.		12,734		330,829
Phillips 66		41,071		2,129,121
Pioneer Natural Resources Co.		13,265		1,140,657
Suncor Energy, Inc.		193,322		2,364,328
Valero Energy Corp.		139,252		6,032,397
Williams Cos., Inc.		439,004		8,626,429
			61,087,792
Paper & Forest Products — 0.0%
Domtar Corp.		59,005		1,550,061
Personal Products — 0.0%
Coty, Inc., Class A		240,676		649,825
Pharmaceuticals — 3.9%
Bristol-Myers Squibb Co.		197,444		11,903,899
Catalent, Inc.(a)		17,609		1,508,387
Johnson & Johnson		301,053		44,820,770
Merck & Co., Inc.		480,601		39,865,853
Mylan NV(a)		62,424		925,748
Pfizer, Inc.		639,109		23,455,300
Zoetis, Inc.		130,927		21,651,398
			144,131,355
Professional Services — 0.4%
IHS Markit Ltd.		62,610		4,915,511
Robert Half International, Inc.		148,154		7,843,273
Verisk Analytics, Inc.		16,203		3,002,578
			15,761,362
Road & Rail — 0.5%
CSX Corp.		79,951		6,209,794
Landstar System, Inc.		68,775		8,630,575
Lyft, Inc., Class A(a)		26,372		726,548
Old Dominion Freight Line, Inc.		15,927		2,881,513
			18,448,430
Semiconductors & Semiconductor Equipment — 4.9%
Analog Devices, Inc.		73,935		8,631,172
Applied Materials, Inc.		436,676		25,960,388
Cirrus Logic, Inc.(a)		127,387		8,592,253
Intel Corp.		1,020,234		52,827,716
NVIDIA Corp.		140,880		76,247,074
Texas Instruments, Inc.		54,672		7,806,615
			180,065,218
Software — 10.2%
Adobe, Inc.(a)		74,171		36,375,684
Cadence Design Systems, Inc.(a)		14,508		1,546,988
HubSpot, Inc.(a)(b)		15,432		4,509,693
Intuit, Inc.		54,994		17,939,593
Microsoft Corp.		1,038,685		218,466,616
RingCentral, Inc., Class A(a)		8,426		2,313,864

36 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 Master Advantage Large Cap Core Portfolio (Percentages shown are based on Net Assets)

Security	Shares		Value
Software (continued)
salesforce.com, Inc.(a)		256,586	$	64,485,193
ServiceNow, Inc.(a)		25,519		12,376,715
VMware, Inc., Class A(a)		97,123		13,953,661
Zendesk, Inc.(a)		24,315		2,502,500
			374,470,507
Specialty Retail — 3.1%
Best Buy Co., Inc.		43,212		4,809,063
Five Below, Inc.(a)		49,866		6,332,982
Foot Locker, Inc.		157,903		5,215,536
Gap, Inc.		34,298		584,095
Home Depot, Inc.		209,012		58,044,723
Lowe’s Cos., Inc.		163,921		27,187,937
TJX Cos., Inc.		222,927		12,405,888
			114,580,224
Technology Hardware, Storage & Peripherals — 5.3%
Apple Inc.		1,547,055		179,164,440
Hewlett Packard Enterprise Co.		794,050		7,440,248
HP, Inc.		162,161		3,079,437
NetApp, Inc.		100,209		4,393,163
			194,077,288
Textiles, Apparel & Luxury Goods — 1.4%
Lululemon Athletica, Inc.(a)		70,103		23,089,825
NIKE, Inc., Class B		168,068		21,099,257
Ralph Lauren Corp.		114,844		7,805,947
			51,995,029
Thrifts & Mortgage Finance — 0.0%
MGIC Investment Corp.		118,973		1,054,101
New York Community Bancorp, Inc.		43,102		356,453
			1,410,554
Trading Companies & Distributors — 0.5%
Fastenal Co.		20,880		941,479
GATX Corp.		123,704		7,886,130
WW Grainger, Inc.		28,777		10,266,770
			19,094,379
Water Utilities — 0.3%
American Water Works Co., Inc.		66,461		9,628,870

Security	Shares		Value
Wireless Telecommunication Services — 0.3%
Telephone & Data Systems, Inc.		339,724	$	6,264,510
United States Cellular Corp.(a)		127,790		3,773,639
			10,038,149
Total Common Stocks — 96.8% (Cost: $2,808,174,735)				3,566,179,351
Rights
Pharmaceuticals — 0.0%
Bristol-Myers Squibb Co., CVR(a)		87,067		195,901
Total Rights — 0.0% (Cost: $200,254)				195,901
Total Long-Term Investments — 96.8% (Cost: $2,808,374,989)				3,566,375,252
Short-Term Securities(c)(d)
Money Market Funds — 3.6%
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.02%		109,976,399		109,976,399
SL Liquidity Series, LLC, Money Market Series, 0.25%(e)		22,232,426		22,241,319
Total Short-Term Securities — 3.6% (Cost: $132,209,739)				132,217,718
Total Investments — 100.4% (Cost: $2,940,584,728)				3,698,592,970
Liabilities in Excess of Other Assets — (0.4)%				(16,098,665	)
Net Assets — 100.0%			$	3,682,494,305

^(a)  Non-income producing security.

^(b)  All or a portion of this security is on loan.

^(c)  Affiliate of the Master Portfolio.

^(d)  Annualized 7-day yield as of period end.

^(e)  All or a portion of this security was purchased with the cash collateral from loaned securities.

Affiliates

Investments in issuers considered to be affiliate(s) of the Master Portfolio during the year ended September 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliated Issuer	Value at 09/30/19		Purchases at Cost			Proceeds from Sale		Net Realized Gain (Loss)				Change in Unrealized Appreciation (Depreciation)			Value at 09/30/20		Shares Held at 09/30/20		Income			Capital Gain Distributions from Underlying Funds
BlackRock Liquidity Funds, T-Fund, Institutional Class	$	38,261,121	$	71,715,278	(a)		$—			$          —				$      —	$	109,976,399		109,976,399	$	300,569			$  69
SL Liquidity Series, LLC, Money Market Series		9,761,844		12,497,366	(a)		—			(25,678	)			7,787		22,241,319		22,232,426		251,417	(b)		—
									$	(25,678	)		$	7,787	$	132,217,718			$	551,986			$ 69

^(a)  Represents net amount purchased (sold).

^(b)  All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

For Master Portfolio compliance purposes, the Master Portfolio’s industry classifications refer to one or more of the industry sub-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 industry sub-classifications for reporting ease.

S C H E D U L E  O F  I N V E S T M E N  T S 37

Schedule of Investments  (continued) September 30, 2020 Master Advantage Large Cap Core Portfolio

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

Description	Number of Contracts		Expiration Date		Notional Amount (000)		Value/  Unrealized  Appreciation  (Depreciation)
Long Contracts
S&P 500 E-Mini Index		713		12/18/20		$  119,499		$ (610,259	)

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:

	Commodity Contracts		Credit Contracts		Equity Contracts	Foreign Currency Exchange Contracts		Interest Rate     Contracts		Other     Contracts		Total
Liabilities — Derivative Financial Instruments
Futures contracts
Unrealized depreciation(a)		$—		$—	$610,259		$—		$—		$—	$610,259

^(a)  Net cumulative unrealized appreciation (depreciation) on futures contracts, if any, are reported in the Schedule of Investments. In the Statement of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss).

For the year ended September 30, 2020, the effect of derivative financial instruments in the Statement of Operations was as follows:

	Commodity Contracts			Credit     Contracts		Equity Contracts			Foreign Currency Exchange       Contracts		Interest Rate       Contracts		Other     Contracts		Total
Net Realized Gain (Loss) from
Futures contracts		��	$ —		$ —		$22,410,677			$ —		$ —		$ —		$22,410,677
Net Change in Unrealized Appreciation (Depreciation) on
Futures contracts			$ —		$ —		$    (253,441	)		$ —		$ —		$ —		$    (253,441	)

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Futures contracts
Average notional value of contracts — long	$92,103,945

For more information about the Master Portfolio’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

38 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 Master Advantage Large Cap Core Portfolio

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For description of the input levels and information about the Master Portfolio’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy. The breakdown of the Master Portfolio’s investments into major categories is disclosed in the Schedule of Investments above.

	Level 1	Level 2		Level 3		Total
Assets
Investments
Long-Term Investments
Common Stocks	$3,566,179,351		$ —		$ —	$3,566,179,351
Rights	195,901		—		—	195,901
Short-Term Securities
Money Market Funds	109,976,399		—		—	109,976,399
	$3,676,351,651		$ —		$ —	3,676,351,651
Investments Valued at NAV(a)						22,241,319
						$3,698,592,970
Derivative Financial Instruments(b)
Liabilities
Equity Contracts	$        (610,259)		$ —		$ —	$        (610,259)

^(a)  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.

^(b)  Derivative financial instruments are futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.

See notes to financial statements.

S C H E D U L E  O F  I N V E S T M E N  T S 39

Statement of Assets and Liabilities

September 30, 2020

	Master Advantage Large Cap Core Portfolio
ASSETS
Investments at value — unaffiliated(a)(b)	$	3,566,375,252
Investments at value — affiliated(c)		132,217,718
Cash pledged for futures contracts		8,678,000
Receivables:
Investments sold		27,060,386
Securities lending income — affiliated		9,544
Dividends — affiliated		4,263
Dividends — unaffiliated		1,736,290
Variation margin on futures contracts		652,420
Prepaid expenses		11,337
Total assets		3,736,745,210
LIABILITIES
Bank overdraft		3,654
Cash collateral on securities loaned at value		22,257,040
Payables:
Investments purchased		28,290,946
Investment advisory fees		1,266,635
Directors’ fees		3,944
Other accrued expenses		165,313
Other affiliate fees		19,837
Withdrawals to investors		2,243,536
Total liabilities		54,250,905
NET ASSETS	$	3,682,494,305
NET ASSETS CONSIST OF
Investors’ capital	$	2,925,096,322
Net unrealized appreciation (depreciation)		757,397,983
NET ASSETS	$	3,682,494,305
(a) Investments at cost — unaffiliated	$	2,808,374,989
(b) Securities loaned at value	$	21,662,852
(c)  Investments at cost — affiliated	$	132,209,739

See notes to financial statements.

40 2 0 2 0  B L A C K R O C K  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 Operations

Year Ended September 30, 2020

	Master Advantage Large Cap Core Portfolio
INVESTMENT INCOME
Dividends — unaffiliated	$	61,184,321
Dividends — affiliated		300,569
Interest — unaffiliated		12,952
Securities lending income — affiliated — net		251,417
Foreign taxes withheld		(145,029	)
Total investment income		61,604,230
EXPENSES
Investment advisory		14,876,085
Accounting services		272,036
Custodian		103,423
Professional		58,630
Directors		27,842
Miscellaneous		30,856
Total expenses		15,368,872
Less:
Fees waived and/or reimbursed by the Manager		(398,487	)
Total expenses after fees waived and/or reimbursed		14,970,385
Net investment income		46,633,845
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investments — unaffiliated		119,889,909
Investments — affiliated		(25,678	)
Capital gain distributions from investment companies — affiliated		69
Futures contracts		22,410,677
		142,274,977
Net change in unrealized appreciation (depreciation) on:
Investments — unaffiliated		351,019,514
Investments — affiliated		7,787
Futures contracts		(253,441	)
		350,773,860
Net realized and unrealized gain		493,048,837
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	539,682,682

See notes to financial statements.

F I N A N C I A L  S T A T E M E N T  S 41

Statements of Changes in Net Assets

	Master Advantage Large Cap Core Portfolio
	Year Ended September 30,
	2020			2019
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	46,633,845		$	52,940,092
Net realized gain		142,274,977			71,848,471
Net change in unrealized appreciation (depreciation)		350,773,860			(38,717,372	)
Net increase in net assets resulting from operations		539,682,682			86,071,191
CAPITAL TRANSACTIONS
Proceeds from contributions		428,282,888			828,461,445
Value of withdrawals		(754,708,045	)		(548,484,470	)
Net increase (decrease) in net assets derived from capital transactions		(326,425,157	)		279,976,975
NET ASSETS
Total increase in net assets		213,257,525			366,048,166
Beginning of year		3,469,236,780			3,103,188,614
End of year	$	3,682,494,305		$	3,469,236,780

See notes to financial statements.

42 2 0 2 0  B L A C K R O C K  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

(For a share outstanding throughout each period)

	Master Advantage Large Cap Core Portfolio
	Year Ended September 30,
	2020			2019			2018			2017			2016
Total Return
Total return		15.98	%		1.43	%		17.40	%		24.06	%(a)		10.34	%(a)
Ratios to Average Net Assets
Total expenses		0.44	%		0.44	%		0.45	%		0.49	%		0.50	%
Total expenses after fees waived and/or reimbursed		0.43	%		0.43	%		0.45	%		0.49	%		0.50	%
Net investment income		1.34	%		1.59	%		1.47	%		1.33	%		1.25	%
Supplemental Data
Net assets, end of year (000)	$	3,682,494		$	3,469,237		$	3,103,189		$	2,262,543		$	2,132,705
Portfolio turnover rate		99	%		151	%		148	%		130	%		39	%

^(a)  Includes proceeds received from a settlement of litigation, which had no impact on the Master Portfolio’s total return.

See notes to financial statements.

F I N A N C I A L  H I G H L I G H T  S 43

Notes to Financial Statements

1. ORGANIZATION

Master Advantage Large Cap Core Portfolio (the “Master 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 an open-end management investment company and is organized as a Delaware limited liability company. The Master 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 issue non-transferable interests in the Master 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, is included in a complex of equity, multi-asset, index and money market funds referred to as the BlackRock Multi-Asset Complex.

Prior Year Reorganization: The Board of Directors of BlackRock Large Cap Series Funds, Inc. and the Board of Trustees of State Farm Mutual Fund Trust and shareholders of State Farm Equity Fund (the “Target Fund”), a series of State Farm Mutual Fund Trust, 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 Master Portfolio in exchange for an investment in the Master 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 Portfolio to align ongoing reporting of BlackRock Advantage Large Cap Core Fund’s 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 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 capital gain distributions, if any, are recorded on the ex-dividend date. Non-cash dividends, if any, are recorded on the ex-dividend date at fair value. 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 daily on an accrual basis.

Foreign Taxes: The Portfolio may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Master Portfolio invests. These foreign taxes, if any, are paid by the Master Portfolio and are reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as “Foreign taxes withheld”, and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of September 30, 2020, if any, are disclosed in the Statement of Assets and Liabilities.

Segregation and Collateralization: In cases where the Master Portfolio enters into certain investments (e.g., futures contracts) 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 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.

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.

44 2 0 2 0  B L A C K R O C K  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  (continued)

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 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) each day that the Master Portfolio’s listing exchange is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the Master Portfolio’s listing exchange is not open. 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. If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. 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 that day’s official closing price, as applicable, on the exchange where the stock is primarily traded. 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 Master Portfolio’s listing exchange. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of trading on the Master Portfolio’s listing exchange 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.

• Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published net asset value (“NAV”).

• 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.

• Futures contracts are valued based on that day’s last reported settlement price on the exchange where the contract is traded.

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such investment, 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 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 financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

• Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the 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 Global Valuation Committee’s assumptions used in determining the fair value of financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the 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 that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

As of September 30, 2020, 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.

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 45

Notes to Financial Statements  (continued)

4. SECURITIES AND OTHER INVESTMENTS

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 common stocks in the Master 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 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 on loan by counterparty which are subject to offset under an MSLA:

Counterparty	Securities Loaned at Value			Cash      Collateral Received(a)				Net Amount
Citigroup Global Markets, Inc.			$  925,626			$  (925,626	)			$—
Deutsche Bank Securities, Inc.			349,232			(349,232	)			—
Goldman Sachs & Co.			4,062,238			(4,062,238	)			—
J.P. Morgan Securities LLC			10,749,947			(10,749,947	)			—
Jefferies LLC			2,050,771			(2,050,771	)			—
National Financial Services LLC			310,508			(310,508	)			—
TD Prime Services LLC			3,214,530			(3,214,530	)			—
		$	21,662,852		$	(21,662,852	)		$	—

^(a)  Collateral received in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by the Master Portfolio is disclosed in the Master Portfolio’s Statement of Assets and Liabilities.

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 to the extent 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. Such losses are borne entirely by the Master Portfolio.

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 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 Statement of Assets and Liabilities.

46 2 0 2 0  B L A C K R O C K  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  (continued)

Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the 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 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.

6. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES

Investment Advisory: The Master 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 Fees
First $1 billion	0.45%
$1 billion — $3 billion	0.42
$3 billion — $5 billion	0.41
$5 billion — $10 billion	0.39
Greater than $10 billion	0.38

Expense Limitations, Waivers and Reimbursements: With respect to the Master Portfolio, the Manager contractually 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”) through January 31, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of the 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 the Master Portfolio. The amount of waivers and/or reimbursements of fees and expenses made pursuant to the expense limitation described below will be reduced by the amount of the affiliated money market fund waiver. Prior to January 28, 2020, this waiver was voluntary. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the year ended September 30, 2020 the amount waived was $51,012.

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, 2021. 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 Statement of Operations. For the year ended September 30, 2020, the Manager waived $347,475 in investment advisory fees pursuant to this arrangement.

For the year ended September 30, 2020, the Master Portfolio reimbursed the Manager $40,461 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 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, SL Liquidity Series, LLC (“Money Market Series”), managed by the Manager or its affiliates. However, BIM has agreed to cap the collateral investment expenses of the Money Market Series to an annual rate of 0.04%. The investment adviser to the Money Market Series will not charge any advisory fees with respect to shares purchased by the Master Portfolio. The Money Market Series 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. 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.

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 75% 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 BlackRock Multi-Asset 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 80% 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.

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 47

Notes to Financial Statements  (continued)

Prior to January 1, 2020, the Master Portfolio retained 73.5% of securities lending income (which excluded collateral investment expenses) and the amount retained could 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 BlackRock Multi-Asset Complex in a calendar year exceeded a specified threshold, the Master Portfolio would retain for the remainder of that calendar year 80% of securities lending income (which excluded collateral investment expenses), and the amount retained could never be less than 70% of the total of securities lending income plus the collateral investment expenses.

The share of securities lending income earned by the Master Portfolio is shown as securities lending income — affiliated — net in the Statement of Operations. For the year ended September 30, 2020, the Master Portfolio paid BIM $72,315 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 year ended September 30, 2020, the Master 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 year ended September 30, 2020, purchases and sales of investments, excluding short-term investments, were $3,385,751,570 and $3,730,881,464, respectively.

8. INCOME TAX INFORMATION

It is the Master 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 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 a period of three fiscal years after they are filed. 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 September 30, 2020, 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 financial statements.

As of September 30, 2020, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:

	Amounts
Tax cost	$	2,970,712,800
Gross unrealized appreciation	$	826,850,527
Gross unrealized depreciation		(98,970,357	)
Net unrealized appreciation (depreciation)	$	727,880,170

9. BANK BORROWINGS

The Master 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 2021 unless extended or renewed. 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 year ended September 30, 2020, the Master Portfolio did not borrow under the credit agreement.

48 2 0 2 0  B L A C K R O C K  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  (continued)

10. PRINCIPAL RISKS

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. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Master Portfolio and its investments. The Master Portfolio’s prospectus provides details of the risks to which the Master Portfolio is subject.

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.

Market Risk: An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. The duration of this pandemic and its effects cannot be determined with certainty.

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.

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, including making timely interest and/or principal payments or otherwise honoring its obligations. 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 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 Statement of Assets and Liabilities, less any collateral held by the Master Portfolio.

A derivative contract may suffer a mark-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 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 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: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within the Master Portfolio’s portfolio are disclosed in its Schedule of Investments.

The Master Portfolio invests a significant portion of its assets in securities within a single or limited number of market sectors. When a Master Portfolio concentrates its investments in this manner, it assumes the risk that economic, regulatory, political and social conditions affecting such sectors may have a significant impact on the Master Portfolio and could affect the income from, or the value or liquidity of, the Master Portfolio’s portfolio. Investment percentages in specific sectors are presented in the Schedule of Investments.

LIBOR Transition Risk: The United Kingdom’s Financial Conduct Authority announced a phase out of the London Interbank Offered Rate (“LIBOR”) by the end of 2021, and it is expected that LIBOR will cease to be published after that time. The Master Portfolio may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against, instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Master Portfolio is uncertain.

11. SUBSEQUENT EVENTS

Management has evaluated the impact of all subsequent events on the Master Portfolio through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.

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 49

Report of Independent Registered Public Accounting Firm

To the Investors of Master Advantage Large Cap Core Portfolio and the Board of Directors of Master Large Cap Series LLC:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statement of assets and liabilities of Master Advantage Large Cap Core Portfolio of Master Large Cap Series LLC (the “Fund”), including the schedule of investments, as of September 30, 2020, the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of September 30, 2020, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of September 30, 2020, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

Deloitte & Touche LLP

Boston, Massachusetts

November 20, 2020

We have served as the auditor of one or more BlackRock investment companies since 1992.

50 2 0 2 0  B L A C K R O C K  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

Director and Officer Information of Master Large Cap Series LLC  

Independent Directors(a)
Name Year of Birth(b)	Position(s) Held (Length of Service)(c)	Principal Occupation(s) During Past Five Years	Number of BlackRock-Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Company and Other Investment Company Directorships Held During Past Five Years
Mark Stalnecker 1951	Chair of the Board (Since 2019) and Director (Since 2015)	Chief Investment Officer, University of Delaware from 1999 to 2013; Trustee and Chair of the Finance and Investment Committees, Winterthur Museum and Country Estate from 2005 to 2016; Member of the Investment Committee, Delaware Public Employees’ Retirement System since 2002; Member of the Investment Committee, Christiana Care Health System from 2009 to 2017; Member of the Investment Committee, Delaware Community Foundation from 2013 to 2014; Director and Chair of the Audit Committee, SEI Private Trust Co. from 2001 to 2014.	35 RICs consisting of 158 Portfolios	None
Bruce R. Bond 1946	Director (Since 2019)	Board Member, Amsphere Limited (software) since 2018; Trustee and Member of the Governance Committee, State Street Research Mutual Funds from 1997 to 2005; Board Member of Governance, Audit and Finance Committee, Avaya Inc. (computer equipment) from 2003 to 2007.	35 RICs consisting of 158 Portfolios	None
Susan J. Carter 1956	Director (Since 2016)	Director, Pacific Pension Institute from 2014 to 2018; Advisory Board Member, Center for Private Equity and Entrepreneurship at Tuck School of Business since 1997; Senior Advisor, Commonfund Capital, Inc. (“CCI”) (investment adviser) in 2015; Chief Executive Officer, CCI from 2013 to 2014; President & Chief Executive Officer, CCI from 1997 to 2013; Advisory Board Member, Girls Who Invest from 2015 to 2018 and Board Member thereof since 2018; Advisory Board Member, Bridges Fund Management since 2016; Trustee, Financial Accounting Foundation since 2017; Practitioner Advisory Board Member, Private Capital Research Institute (“PCRI”) since 2017; Lecturer in the Practice of Management, Yale School of Management since 2019.	35 RICs consisting of 158 Portfolios	None
Collette Chilton 1958	Director (Since 2015)	Chief Investment Officer, Williams College since 2006; Chief Investment Officer, Lucent Asset Management Corporation from 1998 to 2006.	35 RICs consisting of 158 Portfolios	None
Neil A. Cotty 1954	Director (Since 2016)	Bank of America Corporation from 1996 to 2015, serving in various senior finance leadership roles, including Chief Accounting Officer from 2009 to 2015, Chief Financial Officer of Global Banking, Markets and Wealth Management from 2008 to 2009, Chief Accounting Officer from 2004 to 2008, Chief Financial Officer of Consumer Bank from 2003 to 2004, Chief Financial Officer of Global Corporate Investment Bank from 1999 to 2002.	35 RICs consisting of 158 Portfolios	None
Lena G. Goldberg 1949	Director (Since 2019)	Senior Lecturer, Harvard Business School, since 2008; Director, Charles Stark Draper Laboratory, Inc. since 2013; FMR LLC/Fidelity Investments (financial services) from 1996 to 2008, serving in various senior roles including Executive Vice President - Strategic Corporate Initiatives and Executive Vice President and General Counsel; Partner, Sullivan & Worcester LLP from 1985 to 1996 and Associate thereof from 1979 to 1985.	35 RICs consisting of 158 Portfolios	None
Henry R. Keizer 1956	Director (Since 2019)	Director, Park Indemnity Ltd. (captive insurer) since 2010; Director, MUFG Americas Holdings Corporation and MUFG Union Bank, N.A. (financial and bank holding company) from 2014 to 2016; Director, American Institute of Certified Public Accountants from 2009 to 2011; Director, KPMG LLP (audit, tax and advisory services) from 2004 to 2005 and 2010 to 2012; Director, KPMG International in 2012, Deputy Chairman and Chief Operating Officer thereof from 2010 to 2012 and U.S. Vice Chairman of Audit thereof from 2005 to 2010; Global Head of Audit, KPMGI (consortium of KPMG firms) from 2006 to 2010; Director, YMCA of Greater New York from 2006 to 2010.	35 RICs consisting of 158 Portfolios	Hertz Global Holdings (car rental); Montpelier Re Holdings, Ltd. (publicly held property and casualty reinsurance) from 2013 until 2015; WABCO (commercial vehicle safety systems); Sealed Air Corp. (packaging)

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  L A R G E  C A P  S E R I E S  L L C 51

Director and Officer Information of Master Large Cap Series LLC  (continued)

Independent Directors(a)
Name Year of Birth(b)	Position(s) Held (Length of Service)(c)	Principal Occupation(s) During Past Five Years	Number of BlackRock-Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Company and Other Investment Company Directorships Held During Past Five Years
Cynthia A. Montgomery 1952	Director (Since 2007)	Professor, Harvard Business School since 1989.	35 RICs consisting of 158 Portfolios	Newell Rubbermaid, Inc. (manufacturing)
Donald C. Opatrny 1952	Director (Since 2019)	Trustee, Vice Chair, Member of the Executive Committee and Chair of the Investment Committee, Cornell University since 2004; President, Trustee and Member of the Investment Committee, The Aldrich Contemporary Art Museum from 2007 to 2014; Member of the Board and Investment Committee, University School from 2007 to 2018; Member of the Investment Committee, Mellon Foundation from 2009 to 2015; Trustee, Artstor (a Mellon Foundation affiliate) from 2010 to 2015; President and Trustee, the Center for the Arts, Jackson Hole from 2011 to 2018; Director, Athena Capital Advisors LLC (investment management firm) since 2013; Trustee and Chair of the Investment Committee, Community Foundation of Jackson Hole since 2014; Member of Affordable Housing Supply Board of Jackson, Wyoming since 2018; Member, Investment Funds Committee, State of Wyoming since 2017; Trustee, Phoenix Art Museum since 2018;Trustee, Arizona Community Foundation and Member of Investment Committee since 2020.	35 RICs consisting of 158 Portfolios	None
Joseph P. Platt 1947	Director (Since 2007)	General Partner, Thorn Partners, LP (private investments) since 1998; Director, WQED Multi-Media (public broadcasting not-for-profit) since 2001; Chair, Basic Health International (non-profit) since 2015.	35 RICs consisting of 158 Portfolios	Greenlight Capital Re, Ltd. (reinsurance company); Consol Energy Inc.
Kenneth L. Urish 1951	Director (Since 2007)	Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Past-Chairman of the Professional Ethics Committee of the Pennsylvania Institute of Certified Public Accountants and Committee Member thereof since 2007; Member of External Advisory Board, The Pennsylvania State University Accounting Department since founding in 2001; Principal, UP Strategic Wealth Investment Advisors, LLC since 2013; Trustee, The Holy Family Institute from 2001 to 2010; President and Trustee, Pittsburgh Catholic Publishing Associates from 2003 to 2008; Director, Inter-Tel from 2006 to 2007.	35 RICs consisting of 158 Portfolios	None
Claire A. Walton 1957	Director (Since 2016)	Chief Operating Officer and Chief Financial Officer of Liberty Square Asset Management, LP from 1998 to 2015; General Partner of Neon Liberty Capital Management, LLC since 2003; Director, Boston Hedge Fund Group from 2009 to 2018; Director, Woodstock Ski Runners since 2013; Director, Massachusetts Council on Economic Education from 2013 to 2015.	35 RICs consisting of 158 Portfolios	None

52 2 0 2 0  B L A C K R O C K  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

Director and Officer Information of Master Large Cap Series LLC  (continued)

Interested Directors(a)(d)
Name Year of Birth(b)	Position(s) Held (Length of Service)(c)	Principal Occupation(s) During Past Five Years	Number of BlackRock-Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Company and Other Investment Company Directorships Held During Past Five Years
Robert Fairbairn 1965	Director (Since 2018)	Vice Chairman of BlackRock, Inc. since 2019; Member of BlackRock’s Global Executive and Global Operating Committees; Co-Chair of BlackRock’s Human Capital Committee; Senior Managing Director of BlackRock, Inc. from 2010 to 2019; oversaw BlackRock’s Strategic Partner Program and Strategic Product Management Group from 2012 to 2019; Member of the Board of Managers of BlackRock Investments, LLC from 2011 to 2018; Global Head of BlackRock’s Retail and iShares® businesses from 2012 to 2016.	122 RICs consisting of 269 Portfolios	None
John M. Perlowski(e) 1964	Director (since 2015), President and Chief Executive Officer (Since 2010)	Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Accounting and Product Services since 2009; Advisory Director of Family Resource Network (charitable foundation) since 2009.	123 RICs consisting of 270 Portfolios	None
(a) The address of each Director is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055. (b) Independent Directors serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board may determine to extend the terms of Independent Directors on a case-by-case basis, as appropriate. (c)  Following the combination of MLIM and BlackRock, Inc. in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. Furthermore, effective January 1, 2019, three BlackRock Fund Complexes were realigned and consolidated into two BlackRock Fund Complexes. As a result, although the chart shows the year that each Independent Director joined the Board, certain Independent Directors first became members of the boards of other BlackRock-advised Funds, legacy MLIM funds or legacy BlackRock funds as follows: Bruce R. Bond, 2005; Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Kenneth L. Urish, 1999; Lena G. Goldberg, 2016; Henry R. Keizer, 2016; Donald C. Opatrny, 2015. (d) Mr. Fairbairn and Mr. Perlowski are both “interested persons,” as defined in the 1940 Act, of the Corporation/Master LLC based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Fixed-Income Complex. (e) Mr. Perlowski is also a trustee of the BlackRock Credit Strategies Fund.

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  L A R G E  C A P  S E R I E S  L L C 53

Director and Officer Information of Master Large Cap Series LLC  (continued)

Officers Who Are Not Directors(a)
Name Year of Birth(b)	Position(s) Held (Length of Service)	Principal Occupation(s) During Past Five Years
Jennifer McGovern 1977	Vice President (Since 2014)	Managing Director of BlackRock, Inc. since 2016; Director of BlackRock, Inc. from 2011 to 2015; Head of Americas Product Development and Governance for BlackRock’s Global Product Group since 2019; Head of Product Structure and Oversight for BlackRock’s U.S. Wealth Advisory Group from 2013 to 2019.
Neal J. Andrews 1966	Chief Financial Officer (Since 2007)	Chief Financial Officer of the iShares® exchange traded funds from 2019 to 2020; Managing Director of BlackRock, Inc. since 2006.
Jay M. Fife 1970	Treasurer (Since 2007)	Managing Director of BlackRock, Inc. since 2007.
Charles Park 1967	Chief Compliance Officer (Since 2014)	Anti-Money Laundering Compliance Officer for certain BlackRock-advised Funds from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the BlackRock Multi-Asset Complex and the BlackRock Fixed-Income Complex since 2014; Principal of and Chief Compliance Officer for iShares® Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors (“BFA”) since 2006; Chief Compliance Officer for the BFA-advised iShares® exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012.
Lisa Belle 1968	Anti-Money Laundering Compliance Officer (Since 2019)	Managing Director of BlackRock, Inc. since 2019; Global Financial Crime Head for Asset and Wealth Management of JP Morgan from 2013 to 2019; Managing Director of RBS Securities from 2012 to 2013; Head of Financial Crimes for Barclays Wealth Americas from 2010 to 2012.
Janey Ahn 1975	Secretary (Since 2019)	Managing Director of BlackRock, Inc. since 2018; Director of BlackRock, Inc. from 2009 to 2017.
(a) The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055. (b) Officers of the Corporation/Master LLC serve at the pleasure of the Board.

Further information about the Corporation’s/Master LLC’s Directors and Officers is available in the Corporation’s Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762.

54 2 0 2 0  B L A C K R O C K  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 September 30, 2020    Master Total Return Portfolio

PORTFOLIO COMPOSITION
Asset Type	Percent of Total Investments	(a)
U.S. Government Sponsored Agency Securities	40	%
Corporate Bonds	28
U.S. Treasury Obligations	10
Asset-Backed Securities	8
Foreign Government Obligations	5
Non-Agency Mortgage-Backed Securities	4
Municipal Bonds	2
Floating Rate Loan Interests	1
Investment Companies	1
Foreign Agency Obligations	1
Preferred Securities	—	(b)
Common Stocks	—	(b)
Warrants	—	(b)

CREDIT QUALITY ALLOCATION
Credit Rating(c)	Percent of Total Investments	(a)
AAA/Aaa(d)	55	%
AA/Aa	4
A	14
BBB/Baa	14
BB/Ba	4
B	2
CCC/Caa	1
N/R	6

^(a)  Total investments exclude short-term securities, options purchased, options written and TBA sale commitments.

^(b)  Amount is less than 1%.

^(c)  For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s 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.

^(d)  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.

P O R T F O L I O  I N F O R M A T I O  N 55

Schedule of Investments September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Asset-Backed Securities
ACE Securities Corp. Home Equity Loan Trust
Series 2003-OP1, Class A2, (1 mo. LIBOR US + 0.72%), 0.87%, 12/25/33(a)	USD		581	$	517,304
Series 2006-CW1, Class A2C, (1 mo. LIBOR US + 0.14%), 0.29%, 07/25/36(a)			352		302,596
Series 2007-HE4, Class A2A, (1 mo. LIBOR US + 0.13%), 0.28%, 05/25/37(a)			2,657		686,030
Series 2007-HE4, Class A2C, (1 mo. LIBOR US + 0.30%), 0.45%, 05/25/37(a)			234		65,466
ACIS CLO Ltd., Series 2014-4A, Class A, (3 mo. LIBOR US + 1.42%), 1.67%, 05/01/26(a)(b)			511		510,409
Adams Mill CLO Ltd.
Series 2014-1A, Class A2R, (3 mo. LIBOR US + 1.10%), 1.38%, 07/15/26(a)(b)			2,544		2,533,287
Series 2014-1A, Class C1R, (3 mo. LIBOR US + 2.35%), 2.63%, 07/15/26(a)(b)			1,610		1,592,450
AGL CLO 7 Ltd.
Series 2020-7A, Class A1, (3 mo. LIBOR US + 1.80%), 2.05%, 07/15/31(a)(b)			2,400		2,400,003
Series 2020-7A, Class D, (3 mo. LIBOR US + 4.40%), 4.65%, 07/15/31(a)(b)			500		500,013
AGL Core CLO 2 Ltd., Series 2019-2A, Class A1, (3 mo. LIBOR US + 1.39%), 1.66%, 04/20/32(a)(b)			8,405		8,396,956
AGL Core CLO 5 Ltd., Series 2020-5A, Class D, (3 mo. LIBOR US + 4.95%), 5.25%, 07/20/30(a)(b)(c)			1,750		1,737,400
AIMCO CLO
Series 2015-AA, Class BR, (3 mo. LIBOR US + 1.30%), 1.58%, 01/15/28(a)(b)			950		924,073
Series 2017-AA, Class A, (3 mo. LIBOR US + 1.26%), 1.53%, 07/20/29(a)(b)			500		497,204
Series 2017-AA, Class C, (3 mo. LIBOR US + 2.45%), 2.72%, 07/20/29(a)(b)			500		489,707
Ajax Mortgage Loan Trust
Series 2017-D, Class A, 3.75%, 12/25/57(b)			8,436		8,468,338
Series 2017-D, Class B, 0.00%, 12/25/57(b)(c)(d).			1,691		993,123
Series 2018-A, Class A, 3.85%, 04/25/58(b)(c)			8,881		8,837,932
Series 2018-A, Class B, 0.00%, 04/25/58(b)			2,641		1,354,051
Series 2018-B, Class A, 3.75%, 02/26/57(b)(c)			3,835		3,830,735
Series 2018-B, Class B, 0.00%, 02/26/57(b)			2,646		728,691
Series 2018-D, Class A, 3.75%, 08/25/58(b)(c)(d)			10,203		10,202,793
Series 2018-D, Class B, 0.00%, 08/25/58(b)(c)(d)			2,846		1,437,193
Series 2018-E, Class A, 4.38%, 06/25/58(b)(d)			4,472		4,588,967
Series 2018-E, Class B, 5.25%, 06/25/58(b)(c)(d)			840		844,956
Series 2018-E, Class C, 0.00%, 06/25/58(b)(d)			2,116		1,611,265
Series 2018-F, Class A, 4.38%, 11/25/58(b)(c)(d)			14,503		14,620,807
Series 2018-F, Class B, 5.25%, 11/25/58(b)(c)(d)			2,415		2,393,657
Series 2018-F, Class C, 0.00%, 11/25/58(b)			5,661		3,545,878
Series 2018-G, Class A, 4.38%, 06/25/57(b)(c)(d)			11,942		11,643,824
Series 2018-G, Class B, 5.25%, 06/25/57(b)(c)(d)			2,042		1,541,710
Series 2018-G, Class C, 0.00%, 06/25/57(b)(c)			5,261		5,173,482
Series 2019-A, Class A, 3.75%, 08/25/57(b)(d)			12,182		12,392,604
Series 2019-A, Class B, 5.25%, 08/25/57(b)(d)			1,720		1,542,193
Series 2019-A, Class C, 0.00%, 08/25/57(b)(c)			4,309		3,569,411
Series 2019-B, Class A, 3.75%, 01/25/59(b)(d)			19,873		20,214,846
Series 2019-B, Class B, 5.25%, 01/25/59(b)(c)(d)			2,845		2,147,975
Series 2019-B, Class C, 0.00%, 01/25/59(b)(c)			7,281		6,249,106
Series 2019-C, Class A, 3.95%, 10/25/58(b)(d)			6,414		6,440,581
Series 2019-E, Class A, 3.00%, 09/25/59(b)			22,336		22,189,098
Series 2019-E, Class B, 4.88%, 09/25/59(b)			2,600		2,245,827
Series 2019-E, Class C, 0.00%, 09/25/59(b)			5,988		3,207,124

Security		Par (000)		Value
Asset-Backed Securities (continued)
Ajax Mortgage Loan Trust
Series 2019-G, Class A, 3.00%, 09/25/59(b)(e)	USD		15,656	$	15,528,496
Series 2019-G, Class B, 4.25%, 09/25/59(b)(e)			2,120		1,786,009
Series 2019-G, Class C, 0.00%, 09/25/59(b)			5,425		4,195,698
Series 2019-H, Class A, 3.00%, 11/25/59(b)(e)			13,839		13,725,534
Series 2019-H, Class B, 4.25%, 11/25/59(b)(e)			1,970		1,659,640
Series 2019-H, Class C, 0.00%, 11/25/59(b)			5,033		4,083,577
Series 2020-A, Class A, 2.38%, 12/25/59(b)			27,491		27,415,027
Series 2020-A, Class B, 3.50%, 12/25/59(b)			3,853		3,836,097
Series 2020-A, Class C, 0.00%, 12/25/59(b)(c)			9,310		5,834,255
Series 2020-C, Class A, 2.25%, 09/27/60(b)(c)(e)			30,440		29,921,360
Series 2020-C, Class B, 5.00%, 09/27/60(b)(e)			2,981		2,939,389
Series 2020-C, Class C, 0.00%, 09/27/60(b)			10,135		8,273,031
Series 2020-D, Class A, 2.25%, 06/25/60(b)(c)(e)			29,270		28,791,699
Series 2020-D, Class B, 5.00%, 06/25/60(b)(e)			4,238		4,179,318
Series 2020-D, Class C, 0.00%, 06/25/60(b)			10,899		8,688,731
Allegro CLO II-S Ltd., Series 2014-1RA, Class A1, (3 mo. LIBOR US + 1.08%), 1.35%, 10/21/28(a)(b)			3,790		3,779,830
Allegro CLO IV Ltd.
Series 2016-1A, Class AR, (3 mo. LIBOR US + 1.15%), 1.43%, 01/15/30(a)(b)			6,568		6,542,057
Series 2016-1A, Class BR, (3 mo. LIBOR US + 1.70%), 1.98%, 01/15/30(a)(b)			2,530		2,485,527
Allegro CLO V Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.24%), 1.51%, 10/16/30(a)(b)			1,100		1,093,812
ALM 2020 Ltd., Series 2020-1A, Class A2, (3 mo. LIBOR US + 1.85%), 2.13%, 10/15/29(a)(b)			7,780		7,773,920
ALM VII Ltd.
Series 2012-7A, Class A1A2, (3 mo. LIBOR US + 1.17%), 1.45%, 07/15/29(a)(b)			750		745,986
Series 2012-7A, Class A2R2, (3 mo. LIBOR US + 1.85%), 2.13%, 07/15/29(a)(b)			591		586,221
ALM VII R Ltd., Series 2013-7RA, Class A1R, (3 mo. LIBOR US + 1.41%), 1.69%, 10/15/28(a)(b)			2,970		2,957,604
ALM XIX Ltd.
Series 2016-19A, Class A1RA, (3 mo. LIBOR US + 1.00%), 1.28%, 04/16/29(a)(b)(c)			750		747,375
Series 2016-19A, Class A1RB, (3 mo. LIBOR US + 1.35%), 1.63%, 04/16/29(a)(b)(c)			500		482,850
Series 2016-19A, Class A2RA, (3 mo. LIBOR US + 1.45%), 1.73%, 04/16/29(a)(b)(c)			3,370		3,338,996
ALM XVI Ltd./ALM XVI LLC
Series 2015-16A, Class A2R2, (3 mo. LIBOR US + 1.50%), 1.78%, 07/15/27(a)(b)			6,284		6,223,344
Series 2015-16A, Class BR2, (3 mo. LIBOR US + 1.90%), 2.18%, 07/15/27(a)(b)			2,060		2,006,035
ALM XVIII Ltd., Series 2016-18A, Class A2R, (3 mo. LIBOR US + 1.65%), 1.93%, 01/15/28(a)(b)			1,250		1,225,797
AMMC CLO 16 Ltd., Series 2015-16A, Class BR, (3 mo. LIBOR US + 1.60%), 1.87%, 04/14/29(a)(b)			500		487,979
AMMC CLO 21 Ltd., Series 2017-21A, Class A, (3 mo. LIBOR US + 1.25%), 1.50%, 11/02/30(a)(b)			750		743,920
AMMC CLO XII Ltd., Series 2013-12A, Class AR, (3 mo. LIBOR US + 1.20%), 1.44%, 11/10/30(a)(b)			540		536,437

56 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Asset-Backed Securities (continued)
AMMC CLO XIII Ltd., Series 2013-13A, Class A1LR, (3 mo. LIBOR US + 1.26%), 1.52%, 07/24/29(a)(b)	USD		2,592	$	2,585,474
AMMC CLO XIV Ltd., Series 2014-14A, Class A1LR, (3 mo. LIBOR US + 1.25%), 1.49%, 07/25/29(a)(b)			6,220		6,197,343
AMSR Trust
Series 2020-SFR1, Class E, 3.22%, 04/17/37(b)			1,280		1,299,885
Series 2020-SFR2, Class D, 3.28%, 07/17/37(b)			2,437		2,534,057
Series 2020-SFR3, Class E1, 2.56%, 09/17/37(b)			2,490		2,490,239
Series 2020-SFR4, Class E2, 2.46%, 11/17/37(b)			2,500		2,502,674
Series 2020-SFR4, Class F, 2.86%, 11/17/37(b)			2,760		2,761,701
Anchorage Capital CLO 3-R Ltd.
Series 2014-3RA, Class A, (3 mo. LIBOR US + 1.05%), 1.30%, 01/28/31(a)(b)			2,120		2,101,599
Series 2014-3RA, Class B, (3 mo. LIBOR US + 1.50%), 1.75%, 01/28/31(a)(b)			3,600		3,534,065
Series 2014-3RA, Class C, (3 mo. LIBOR US + 1.85%), 2.10%, 01/28/31(a)(b)			500		484,160
Anchorage Capital CLO 4-R Ltd.
Series 2014-4RA, Class A, (3 mo. LIBOR US + 1.05%), 1.30%, 01/28/31(a)(b)			5,330		5,277,371
Series 2014-4RA, Class C, (3 mo. LIBOR US + 1.85%), 2.10%, 01/28/31(a)(b)			5,550		5,319,544
Anchorage Capital CLO 5-R Ltd.
Series 2014-5RA, Class B, (3 mo. LIBOR US + 1.45%), 1.73%, 01/15/30(a)(b)			9,200		8,985,844
Series 2014-5RA, Class C, (3 mo. LIBOR US + 1.85%), 2.13%, 01/15/30(a)(b)			3,540		3,383,750
Anchorage Capital CLO 6 Ltd., Series 2015-6A, Class AR, (3 mo. LIBOR US + 1.27%), 1.55%, 07/15/30(a)(b)			4,010		3,982,788
Anchorage Capital CLO 7 Ltd.
Series 2015-7A, Class AR2, (3 mo. LIBOR US + 1.09%), 1.34%, 01/28/31(a)(b)			4,936		4,871,673
Series 2015-7A, Class BR2, (3 mo. LIBOR US + 1.75%), 2.00%, 01/28/31(a)(b)			7,620		7,457,055
Series 2015-7A, Class CR2, (3 mo. LIBOR US + 2.20%), 2.45%, 01/28/31(a)(b)			4,250		4,122,752
Series 2015-7A, Class D1R2, (3 mo. LIBOR US + 3.50%), 3.75%, 01/28/31(a)(b)			1,140		1,085,441
Anchorage Capital CLO 8 Ltd.
Series 2016-8A, Class AR, (3 mo. LIBOR US + 1.00%), 1.25%, 07/28/28(a)(b)			2,430		2,423,458
Series 2016-8A, Class BR, (3 mo. LIBOR US + 1.60%), 1.85%, 07/28/28(a)(b)			3,050		3,001,945
Anchorage Capital CLO Ltd.
Series 2013-1A, Class A1R, (3 mo. LIBOR US + 1.25%), 1.52%, 10/13/30(a)(b)			2,755		2,745,246
Series 2013-1A, Class A2R, (3 mo. LIBOR US + 1.65%), 1.92%, 10/13/30(a)(b)			750		734,256
Series 2013-1A, Class BR, (3 mo. LIBOR US + 2.15%), 2.42%, 10/13/30(a)(b)			1,410		1,367,922
Anchorage Capital Europe CLO 2 DAC, Series 2A, Class B, (3 mo. EURIBOR + 1.80%), 1.80%, 05/15/31(a)(b)	EUR		250		292,540
Apidos CLO XII, Series 2013-12A, Class AR, (3 mo. LIBOR US + 1.08%), 1.36%, 04/15/31(a)(b)	USD		3,152		3,103,141

Security		Par (000)		Value
Asset-Backed Securities (continued)
Apidos CLO XV, Series 2013-15A, Class A1RR, (3 mo. LIBOR US + 1.01%), 1.28%, 04/20/31(a)(b)	USD		1,080	$	1,073,068
Apidos CLO XVIII, Series 2018-18A, Class A1, (3 mo. LIBOR US + 1.14%), 1.40%, 10/22/30(a)(b)			880		868,840
Apidos CLO XXXI, Series 2019-31A, Class B, (3 mo. LIBOR US + 1.90%), 2.18%, 04/15/31(a)(b)			2,950		2,949,988
Apres Static CLO Ltd., Series 2019-1A, Class A2, (3 mo. LIBOR US + 1.75%), 2.03%, 01/15/27(a)(b)			350		348,203
Aqueduct European CLO DAC
Series 2019-4A, Class B1, (3 mo. EURIBOR + 1.80%), 1.80%, 07/15/32(a)(b)	EUR		750		878,537
Series 2019-4X, Class B1, (3 mo. EURIBOR + 1.80%), 1.80%, 07/15/32(a)			1,560		1,827,356
Arbor Realty Collateralized Loan Obligation Ltd., Series 2017-FL3, Class A, (1 mo. LIBOR US + 0.99%), 1.14%, 12/15/27(a)(b)	USD		3,740		3,696,446
Arbour CLO II DAC, Series 2014-2X, Class B2R, (3 mo. EURIBOR + 1.50%), 1.50%, 05/15/30(a)	EUR		995		1,159,669
ARBOUR CLO VIII DAC, Series 8A, Class C, (3 mo. EURIBOR + 2.90%), 2.90%, 07/15/33(a)(b)(c)			550		644,851
Ares European CLO X BV, Series 10X, Class B1, (3 mo. EURIBOR + 1.70%), 1.70%, 10/15/31(a)			820		954,191
Ares European CLO XI BV, Series 11X, Class B1, (3 mo. EURIBOR + 1.85%), 1.85%, 04/15/32(a)			730		853,411
Ares European CLO XII BV, Series 12X, Class B1, (3 mo. EURIBOR + 1.75%), 1.75%, 04/20/32(a)			1,370		1,600,495
Ares XXXVII CLO Ltd., Series 2015-4A, Class A1R, (3 mo. LIBOR US + 1.17%), 1.45%, 10/15/30(a)(b)	USD		1,150		1,138,426
Argent Mortgage Loan Trust, Series 2005-W1, Class A2, (1 mo. LIBOR US + 0.48%), 0.63%, 05/25/35(a)			3,796		3,435,506
ASSURANT CLO I Ltd., Series 2017-1A, Class B, (3 mo. LIBOR US + 1.70%), 1.97%, 10/20/29(a)(b)			1,400		1,371,556
Atrium IX, Series 9A, Class AR, (3 mo. LIBOR US + 1.24%), 1.50%, 05/28/30(a)(b)			4,010		3,913,133
Atrium XII
Series 12A, Class AR, (3 mo. LIBOR US + 0.83%), 1.09%, 04/22/27(a)(b)			1,602		1,586,783
Series 12A, Class CR, (3 mo. LIBOR US + 1.65%), 1.91%, 04/22/27(a)(b)			2,381		2,259,779
Atrium XIII, Series 13A, Class B, (3 mo. LIBOR US + 1.50%), 1.76%, 11/21/30(a)(b)			1,000		972,758
Avery Point IV CLO Ltd., Series 2014-1A, Class AR, (3 mo. LIBOR US + 1.10%), 1.35%, 04/25/26(a)(b)			7,040		7,037,769
Avery Point V CLO Ltd.
Series 2014-5A, Class AR, (3 mo. LIBOR US + 0.98%), 1.25%, 07/17/26(a)(b)			1,344		1,341,937
Series 2014-5A, Class BR, (3 mo. LIBOR US + 1.50%), 1.77%, 07/17/26(a)(b)			2,250		2,230,822
Avery Point VI CLO Ltd.
Series 2015-6A, Class AR, (3 mo. LIBOR US + 1.05%), 1.30%, 08/05/27(a)(b)			3,959		3,955,238
Series 2015-6A, Class BR, (3 mo. LIBOR US + 1.50%), 1.75%, 08/05/27(a)(b)			3,240		3,172,795

S C H E D U L E   O F  I N V E S T M E  N T S 57

Schedule of Investments  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Asset-Backed Securities (continued)
Avery Point VII CLO Ltd., Series 2015-7A, Class AR, (3 mo. LIBOR US + 1.14%), 1.42%, 01/15/28(a)(b)	USD		7,480	$	7,440,052
Avoca CLO XII Ltd., Series 12X, Class CR, (3 mo. EURIBOR + 2.05%), 2.05%, 04/15/30(a)	EUR		475		548,864
Avoca CLO XV DAC, Series 15X, Class B2R, (3 mo. EURIBOR + 1.05%), 1.05%, 04/15/31(a)			400		456,258
Avoca CLO XVII DAC, Series 17A, Class B1R, (3 mo. EURIBOR + 1.70%), 1.70%, 10/15/32(a)(b)			1,390		1,639,088
Avoca CLO XVIII DAC, Series 18X, Class C, (3 mo. EURIBOR + 1.75%), 1.75%, 04/15/31(a)			400		455,458
B2R Mortgage Trust, Series 2015-2, Class A, 3.34%, 11/15/48(b)	USD		26		25,879
Babson CLO Ltd.
Series 2015-2A, Class AR, (3 mo. LIBOR US + 1.19%), 1.46%, 10/20/30(a)(b)			2,590		2,571,497
Series 2015-IA, Class BR, (3 mo. LIBOR US + 1.40%), 1.67%, 01/20/31(a)(b)			610		595,697
Bain Capital Credit CLO Ltd.
Series 2016-2A, Class AR, (3 mo. LIBOR US + 1.14%), 1.42%, 01/15/29(a)(b)			1,346		1,332,618
Series 2016-2A, Class BR, (3 mo. LIBOR US + 1.80%), 2.08%, 01/15/29(a)(b)			1,000		991,332
Series 2018-2A, Class A1, (3 mo. LIBOR US + 1.08%), 1.35%, 07/19/31(a)(b)			1,420		1,402,553
BankAmerica Manufactured Housing Contract Trust
Series 1997-2, Class B1, 7.07%, 02/10/22(d)			1,680		995,198
Series 1998-2, Class B1, 7.46%, 12/10/25(d)			2,790		1,314,909
Barings CLO Ltd., Series 2018-3A, Class A1, (3 mo. LIBOR US + 0.95%), 1.22%, 07/20/29(a)(b)			1,085		1,073,637
Battalion CLO 18 Ltd.
Series 2020-18A, Class B, (3 mo. LIBOR US + 2.30%), 0.00%, 10/15/32(a)(b)			1,827		1,827,000
Series 2020-18A, Class D1, (3 mo. LIBOR US + 4.00%), 0.00%, 10/15/32(a)(b)			1,617		1,617,000
Battalion CLO VII Ltd., Series 2014-7A, Class A1RR, (3 mo. LIBOR US + 1.04%), 1.31%, 07/17/28(a)(b)			3,450		3,429,869
Battalion CLO VIII Ltd.
Series 2015-8A, Class A1R2, (3 mo. LIBOR US + 1.07%), 1.34%, 07/18/30(a)(b)			6,500		6,421,809
Series 2015-8A, Class A2R2, (3 mo. LIBOR US + 1.55%), 1.82%, 07/18/30(a)(b)			3,250		3,155,678
Series 2015-8A, Class BR2, (3 mo. LIBOR US + 2.00%), 2.27%, 07/18/30(a)(b)			2,901		2,714,249
Battalion CLO X Ltd., Series 2016-10A, Class A1R, (3 mo. LIBOR US + 1.25%), 1.51%, 01/24/29(a)(b)			23,120		23,027,437
Bayview Financial Revolving Asset Trust
Series 2004-B, Class A1, (1 mo. LIBOR US + 1.00%), 1.15%, 05/28/39(a)(b)			10,520		8,597,070
Series 2004-B, Class A2, (1 mo. LIBOR US + 1.30%), 1.45%, 05/28/39(a)(b)			216		179,548
Series 2005-A, Class A1, (1 mo. LIBOR US + 1.00%), 1.15%, 02/28/40(a)(b)			2,270		2,127,589
Series 2005-E, Class A1, (1 mo. LIBOR US + 1.00%), 1.15%, 12/28/40(a)(b)			827		729,795
BCMSC Trust
Series 2000-A, Class A2, 7.58%, 06/15/30(d)			1,674		493,954

Security		Par (000)		Value
Asset-Backed Securities (continued)
BCMSC Trust
Series 2000-A, Class A3, 7.83%, 06/15/30(d)	USD		1,554	$	473,885
Series 2000-A, Class A4, 8.29%, 06/15/30(d)			1,121		361,925
BDS Ltd., Series 2019-FL3, Class A, (1 mo. LIBOR US + 1.40%), 1.55%, 12/15/35(a)(b)			4,680		4,598,307
Bear Stearns Asset-Backed Securities I Trust
Series 2004-HE7, Class M2, (1 mo. LIBOR US + 1.73%), 1.87%, 08/25/34(a)			186		185,419
Series 2006-HE1, Class 1M4, (1 mo. LIBOR US + 0.68%), 0.83%, 12/25/35(a)			1,688		2,180,845
Series 2006-HE7, Class 1A2, (1 mo. LIBOR US + 0.17%), 0.32%, 09/25/36(a)			2,680		3,294,611
Series 2007-FS1, Class 1A3, (1 mo. LIBOR US + 0.17%), 0.32%, 05/25/35(a)			894		984,087
Series 2007-HE1, Class 21A2, (1 mo. LIBOR US + 0.16%), 0.31%, 01/25/37(a)			560		552,106
Series 2007-HE2, Class 1A4, (1 mo. LIBOR US + 0.32%), 0.47%, 03/25/37(a)			1,004		803,399
Series 2007-HE2, Class 22A, (1 mo. LIBOR US + 0.14%), 0.29%, 03/25/37(a)			883		872,804
Series 2007-HE2, Class 23A, (1 mo. LIBOR US + 0.14%), 0.29%, 03/25/37(a)			1,615		1,687,672
Series 2007-HE3, Class 1A3, (1 mo. LIBOR US + 0.25%), 0.40%, 04/25/37(a)			1,031		1,128,138
Series 2007-HE3, Class 1A4, (1 mo. LIBOR US + 0.35%), 0.50%, 04/25/37(a)			6,111		5,484,475
Bear Stearns Asset-Backed Securities Trust, Series 2005-4, Class M2, (1 mo. LIBOR US + 1.20%), 1.35%, 01/25/36(a)			33		32,684
Benefit Street Partners CLO II Ltd., Series 2013- IIA, Class A2R, (3 mo. LIBOR US + 1.75%), 2.03%, 07/15/29(a)(b)			900		894,477
Benefit Street Partners CLO III Ltd., Series 2013- IIIA, Class A1R, (3 mo. LIBOR US + 1.25%), 1.52%, 07/20/29(a)(b)			749		748,071
Benefit Street Partners CLO IV Ltd., Series 2014- IVA, Class A1RR, (3 mo. LIBOR US + 1.25%), 1.52%, 01/20/29(a)(b)			7,830		7,798,839
Benefit Street Partners CLO V-B Ltd., Series 2018-5BA, Class A1A, (3 mo. LIBOR US + 1.09%), 1.36%, 04/20/31(a)(b)			4,360		4,324,970
Benefit Street Partners CLO VI Ltd.
Series 2015-VIA, Class A1R, (3 mo. LIBOR US + 1.24%), 1.51%, 10/18/29(a)(b)			12,030		11,980,546
Series 2015-VIA, Class A2R, (3 mo. LIBOR US + 1.72%), 1.99%, 10/18/29(a)(b)			3,320		3,260,881
Benefit Street Partners CLO VII Ltd.
Series 2015-VIIA, Class A1AR, (3 mo. LIBOR US + 0.78%), 1.05%, 07/18/27(a)(b)			1,634		1,625,559
Series 2015-VIIA, Class CR, (3 mo. LIBOR US + 2.40%), 2.67%, 07/18/27(a)(b)			600		573,764
Benefit Street Partners CLO VIII Ltd., Series 2015- 8A, Class A1AR, (3 mo. LIBOR US + 1.10%), 1.37%, 01/20/31(a)(b)			1,250		1,232,802
Benefit Street Partners CLO X Ltd.
Series 2016-10A, Class A1R, (3 mo. LIBOR US + 1.14%), 1.42%, 01/15/29(a)(b)			1,000		993,087
Series 2016-10A, Class A2R, (3 mo. LIBOR US + 1.75%), 2.03%, 01/15/29(a)(b)			600		591,541
Benefit Street Partners CLO XX Ltd., Series 2020- 20A, Class D, (3 mo. LIBOR US + 4.25%), 4.40%, 07/15/31(a)(b)			3,010		3,007,886

58 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)			Value
Asset-Backed Securities (continued)
Birch Grove CLO Ltd., Series 19A, Class D, (3 mo. LIBOR US + 3.90%), 4.15%, 06/15/31(a)(b)	USD		1,195		$	1,183,789
Black Diamond CLO Ltd., Series 2013-1A, Class A2R, (3 mo. LIBOR US + 1.45%), 1.72%, 02/06/26(a)(b)			345			344,368
BlueMountain CLO Ltd.
Series 2012-2A, Class AR2, (3 mo. LIBOR US + 1.05%), 1.30%, 11/20/28(a)(b)			1,500			1,492,789
Series 2013-1A, Class A1R2, (3 mo. LIBOR US + 1.23%), 1.50%, 01/20/29(a)(b)			3,952			3,944,176
Series 2013-2A, Class A1R, (3 mo. LIBOR US + 1.18%), 1.44%, 10/22/30(a)(b)			6,321			6,252,706
Series 2015-3A, Class A1R, (3 mo. LIBOR US + 1.00%), 1.27%, 04/20/31(a)(b)			2,550			2,512,233
BlueMountain CLO XXIX Ltd., Series 2020-29A, Class B, (3 mo. LIBOR US + 2.25%), 2.56%, 07/25/31(a)(b)			750			749,958
BlueMountain CLO XXV Ltd., Series 2019-25A, Class E, (3 mo. LIBOR US + 6.70%), 6.98%, 07/15/32(a)(b)			1,000			938,099
BlueMountain Fuji Eur CLO IV DAC, Series 4X, Class A2, (3 mo. EURIBOR + 1.35%), 1.35%, 03/30/32(a)	EUR		670			785,335
BlueMountain Fuji Eur CLO V DAC, Series 5X, Class C, (3 mo. EURIBOR + 2.45%), 2.45%, 01/15/33(a)			1,560			1,799,285
Bowman Park CLO Ltd., Series 2014-1A, Class AR, (3 mo. LIBOR US + 1.18%), 1.44%, 11/23/25(a)(b)	USD		1,265			1,263,315
Brookside Mill CLO Ltd.
Series 2013-1A, Class BR, (3 mo. LIBOR US + 1.35%), 1.62%, 01/17/28(a)(b)			500			491,486
Series 2013-1A, Class DR, (3 mo. LIBOR US + 2.65%), 2.92%, 01/17/28(a)(b)			1,073			1,001,075
Cairn CLO XII DAC
Series 2020-12A, Class B, (3 mo. EURIBOR + 2.30%), 2.30%, 04/15/33(a)(b)(c)	EUR		500	��		587,694
Series 2020-12A, Class C, (3 mo. EURIBOR + 3.00%), 3.00%, 04/15/33(a)(b)(c)			1,175			1,379,014
California Street CLO XII Ltd., Series 2013-12A, Class AR, (3 mo. LIBOR US + 1.03%), 1.31%, 10/15/25(a)(b)	USD		1,270			1,265,711
Carlyle C17 CLO Ltd., Series C17A, Class A1AR, (3 mo. LIBOR US + 1.03%), 1.30%, 04/30/31(a)(b)			7,620			7,526,961
Carlyle Global Market Strategies CLO Ltd.
Series 2013-2A, Class AR, (3 mo. LIBOR US + 0.89%), 1.16%, 01/18/29(a)(b)			1,488			1,472,612
Series 2013-3A, Class A1AR, (3 mo. LIBOR US + 1.10%), 1.38%, 10/15/30(a)(b)			248			244,451
Series 2013-4A, Class A1RR, (3 mo. LIBOR US + 1.00%), 1.28%, 01/15/31(a)(b)			1,853			1,822,599
Series 2014-1A, Class A1R2, (3 mo. LIBOR US + 0.97%), 1.24%, 04/17/31(a)(b)			3,160			3,122,309
Series 2015-3A, Class A2R, (3 mo. LIBOR US + 1.60%), 1.85%, 07/28/28(a)(b)			2,470			2,423,960
Carlyle U.S. CLO Ltd.
Series 2016-4A, Class A2R, (3 mo. LIBOR US + 1.45%), 1.72%, 10/20/27(a)(b)			750			730,561
Series 2017-4A, Class A1, (3 mo. LIBOR US + 1.18%), 1.46%, 01/15/30(a)(b)			4,620			4,585,012

Security		Par (000)		Value
Asset-Backed Securities (continued)
Carlyle U.S. CLO Ltd.
Series 2019-2A, Class A1, (3 mo. LIBOR US + 1.28%), 1.56%, 07/15/32(a)(b)	USD		4,000	$	3,979,228
Series 2020-1A, Class C1, (3 mo. LIBOR US + 4.00%), 4.19%, 07/20/31(a)(b)			750		750,007
Carrington Mortgage Loan Trust
Series 2006-NC1, Class M2, (1 mo. LIBOR US + 0.42%), 0.57%, 01/25/36(a)			610		506,130
Series 2006-NC3, Class A3, (1 mo. LIBOR US + 0.15%), 0.30%, 08/25/36(a)			3,561		3,347,284
Series 2006-NC4, Class A3, (1 mo. LIBOR US + 0.16%), 0.31%, 10/25/36(a)			772		735,352
Series 2006-NC5, Class A3, (1 mo. LIBOR US + 0.15%), 0.30%, 01/25/37(a)			3,978		3,304,425
CarVal CLO II Ltd.
Series 2019-1A, Class C, (3 mo. LIBOR US + 3.25%), 3.52%, 04/20/32(a)(b)			713		705,901
Series 2019-1A, Class D, (3 mo. LIBOR US + 4.15%), 4.42%, 04/20/32(a)(b)			6,252		6,251,864
CarVal CLO III Ltd., Series 2019-2A, Class D, (3 mo. LIBOR US + 3.70%), 3.97%, 07/20/32(a)(b)			2,000		1,982,566
CarVal CLO Ltd., Series 2018-1A, Class D, (3 mo. LIBOR US + 2.89%), 3.16%, 07/16/31(a)(b)			500		479,344
Cascade MH Asset Trust, Series 2019-MH1, Class A, 4.00%, 11/25/44(b)(d)			11,382		11,733,854
CBAM Ltd.
Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.25%), 1.52%, 07/20/30(a)(b)			6,050		6,044,692
Series 2017-2A, Class B1, (3 mo. LIBOR US + 1.75%), 2.02%, 10/17/29(a)(b)			2,955		2,901,596
Series 2017-3A, Class A, (3 mo. LIBOR US + 1.23%), 1.50%, 10/17/29(a)(b)			3,780		3,764,614
Series 2017-3A, Class B1, (3 mo. LIBOR US + 1.70%), 1.97%, 10/17/29(a)(b)			1,000		979,384
C-BASS Trust, Series 2006-CB7, Class A4, (1 mo. LIBOR US + 0.16%), 0.31%, 10/25/36(a)			579		481,803
CDO Repack SPC Ltd., Series 2006-CLF1, Class D1, 0.00%, 05/20/30(b)			420		439,360
Cedar Funding II CLO Ltd.
Series 2013-1A, Class A1R, (3 mo. LIBOR US + 1.23%), 1.47%, 06/09/30(a)(b)			1,511		1,502,711
Series 2013-1A, Class BR, (3 mo. LIBOR US + 1.75%), 1.99%, 06/09/30(a)(b)			2,450		2,424,489
Cedar Funding IV CLO Ltd., Series 2014-4A, Class AR, (3 mo. LIBOR US + 1.23%), 1.49%, 07/23/30(a)(b)			3,790		3,769,781
Cedar Funding IX CLO Ltd., Series 2018-9A, Class A1, (3 mo. LIBOR US + 0.98%), 1.25%, 04/20/31(a)(b)			940		927,434
Cedar Funding V CLO Ltd., Series 2016-5A, Class A1R, (3 mo. LIBOR US + 1.10%), 1.37%, 07/17/31(a)(b)			1,880		1,860,495
Cedar Funding VI CLO Ltd., Series 2016-6A, Class AR, (3 mo. LIBOR US + 1.09%), 1.36%, 10/20/28(a)(b)			15,035		14,922,439
Cedar Funding VIII CLO Ltd.
Series 2017-8A, Class A1, (3 mo. LIBOR US + 1.25%), 1.52%, 10/17/30(a)(b)			16,520		16,395,966
Series 2017-8A, Class B, (3 mo. LIBOR US + 1.70%), 1.97%, 10/17/30(a)(b)			2,628		2,565,837

S C H E D U L E  O F  I N V E S T M E N  T S 59

Schedule of Investments  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Asset-Backed Securities (continued)
Cedar Funding VIII CLO Ltd.
Series 2017-8A, Class C, (3 mo. LIBOR US + 2.25%), 2.52%, 10/17/30(a)(b)	USD		750	$	721,460
Cent CLO Ltd., Series 2015-24A, Class A1R, (3 mo. LIBOR US + 1.07%), 1.35%, 10/15/26(a)(b)			3,868		3,859,780
CIFC European Funding CLO II DAC, Series 2X, Class B1, (3 mo. EURIBOR + 1.60%), 1.60%, 04/15/33(a)	EUR		900		1,032,145
CIFC Funding Ltd.
Series 2012-2RA, Class A2, (3 mo. LIBOR US + 1.25%), 1.52%, 01/20/28(a)(b)	USD		750		726,959
Series 2013-1A, Class A2R, (3 mo. LIBOR US + 1.75%), 2.02%, 07/16/30(a)(b)			500		489,725
Series 2014-4RA, Class A1A, (3 mo. LIBOR US + 1.13%), 1.40%, 10/17/30(a)(b)			26,820		26,699,766
Series 2014-4RA, Class A2, (3 mo. LIBOR US + 1.65%), 1.92%, 10/17/30(a)(b)			250		248,882
Series 2015-2A, Class AR2, (3 mo. LIBOR US + 1.01%), 1.29%, 04/15/30(a)(b)(c)			1,270		1,257,427
Series 2015-2A, Class CR2, (3 mo. LIBOR US + 2.00%), 2.28%, 04/15/30(a)(b)			2,904		2,778,297
Series 2015-4A, Class A1R, (3 mo. LIBOR US + 1.15%), 1.42%, 10/20/27(a)(b)			690		686,135
Series 2017-1A, Class AR, (3 mo. LIBOR US + 1.01%), 1.28%, 04/23/29(a)(b)			5,840		5,820,520
Series 2017-1A, Class B, (3 mo. LIBOR US + 1.70%), 1.97%, 04/23/29(a)(b)			2,910		2,869,317
Series 2017-5A, Class C, (3 mo. LIBOR US + 2.85%), 3.12%, 11/16/30(a)(b)			300		283,243
Series 2018-1A, Class A, (3 mo. LIBOR US + 1.00%), 1.27%, 04/18/31(a)(b)			1,834		1,797,595
Series 2019-4A, Class A2, (3 mo. LIBOR US + 1.80%), 2.08%, 07/15/32(a)(b)			400		393,842
Series 2020-1A, Class B, (3 mo. LIBOR US + 2.30%), 2.54%, 07/15/32(a)(b)			3,260		3,259,985
Series 2020-1A, Class D, (3 mo. LIBOR US + 4.00%), 4.24%, 07/15/32(a)(b)			1,120		1,110,656
Citigroup Mortgage Loan Trust
Series 2007-AHL2, Class A3B, (1 mo. LIBOR US + 0.20%), 0.35%, 05/25/37(a)			6,399		5,133,168
Series 2007-AHL2, Class A3C, (1 mo. LIBOR US + 0.27%), 0.42%, 05/25/37(a)			2,907		2,350,462
Clear Creek CLO, Series 2015-1A, Class DR, (3 mo. LIBOR US + 2.95%), 3.22%, 10/20/30(a)(b)			620		581,394
Cloud Pass-Through Trust, Series 2019-1A, Class CLOU, 3.55%, 12/05/22(b)(d)			11,295		11,474,689
Conseco Finance Corp.
Series 1997-3, Class M1, 7.53%, 03/15/28(d)			1,353		1,366,946
Series 1997-6, Class M1, 7.21%, 01/15/29(d)			252		256,541
Series 1998-4, Class M1, 6.83%, 04/01/30(d)			342		330,130
Series 1998-8, Class A1, 6.28%, 09/01/30			594		625,304
Series 1998-8, Class M1, 6.98%, 09/01/30(d)			2,477		2,294,432
Series 1999-5, Class A5, 7.86%, 03/01/30(d)			947		576,300
Series 1999-5, Class A6, 7.50%, 03/01/30(d)			1,015		595,033
Series 2001-D, Class B1, (1 mo. LIBOR US + 2.50%), 2.65%, 11/15/32(a)			1,825		1,691,806
Conseco Finance Securitizations Corp.
Series 2000-1, Class A5, 8.06%, 09/01/29(d)			1,602		573,319
Series 2000-4, Class A6, 8.31%, 05/01/32(d)			1,373		487,182
Series 2000-5, Class A6, 7.96%, 05/01/31			2,221		1,119,564

Security		Par (000)		Value
Asset-Backed Securities (continued)
Conseco Finance Securitizations Corp.
Series 2000-5, Class A7, 8.20%, 05/01/31	USD		4,051	$	2,103,010
Contego CLO VIII DAC
Series 8A, Class B1, (3 mo. EURIBOR + 2.10%), 2.10%, 01/25/32(a)(b)	EUR		2,400		2,810,468
Series 8A, Class C, (3 mo. EURIBOR + 2.80%), 2.80%, 01/25/32(a)(b)(c)			500		586,228
Corevest American Finance Trust, Series 2020-2, Class A, 3.38%, 05/15/52(b)	USD		1,942		2,111,729
Countrywide Asset-Backed Certificates
Series 2004-5, Class A, (1 mo. LIBOR US + 0.90%), 1.05%, 10/25/34(a)			488		478,582
Series 2005-16, Class 1AF, 4.62%, 04/25/36(d)			3,335		3,332,362
Series 2005-17, Class 1AF4, 6.05%, 05/25/36(e)			1,685		1,738,919
Series 2006-1, Class AF4, 4.61%, 07/25/36(d)			2,051		2,083,340
Series 2006-11, Class 3AV2, (1 mo. LIBOR US + 0.16%), 0.31%, 09/25/46(a)			201		196,700
Series 2006-17, Class 2A2, (1 mo. LIBOR US + 0.15%), 0.30%, 03/25/47(a)			210		206,017
Series 2006-18, Class M1, (1 mo. LIBOR US + 0.30%), 0.45%, 03/25/37(a)			6,168		4,744,444
Series 2006-8, Class 2A3, (1 mo. LIBOR US + 0.16%), 0.31%, 12/25/35(a)			475		470,653
Series 2006-8, Class 2A4, (1 mo. LIBOR US + 0.25%), 0.40%, 01/25/46(a)			8,384		7,736,536
Series 2006-S10, Class A3, (1 mo. LIBOR US + 0.32%), 0.47%, 10/25/36(a)			4,005		3,747,234
Series 2006-S3, Class A4, 6.53%, 01/25/29(e)			299		342,444
Series 2006-SPS1, Class A, (1 mo. LIBOR US + 0.22%), 0.37%, 12/25/25(a)			107		136,781
Series 2007-12, Class 1A2, (1 mo. LIBOR US + 0.84%), 0.99%, 08/25/47(a)			5,823		5,681,213
Countrywide Asset-Backed Certificates Revolving Home Equity Loan Trust, Series 2004-U, Class 2A, (1 mo. LIBOR US + 0.27%), 0.42%, 03/15/34(a)			666		629,054
Credit Suisse First Boston Mortgage Securities Corp., Series 2001-MH29, Class B1, 8.10%, 09/25/31(d)			1,750		1,825,809
Credit-Based Asset Servicing & Securitization LLC
Series 2006-CB2, Class AF4, 3.20%, 12/25/36(e)			421		418,447
Series 2006-MH1, Class B1, 6.25%, 10/25/36(b)(e)			852		889,284
Series 2006-SL1, Class A2, 6.06%, 09/25/36(b)(e)			3,037		414,262
Series 2007-CB6, Class A4, (1 mo. LIBOR US + 0.34%), 0.49%, 07/25/37(a)(b)			611		490,054
Cumberland Park CLO Ltd.
Series 2015-2A, Class CR, (3 mo. LIBOR US + 1.80%), 2.07%, 07/20/28(a)(b)			1,190		1,153,066
Series 2015-2A, Class DR, (3 mo. LIBOR US + 2.70%), 2.97%, 07/20/28(a)(b)			500		476,057
CVC Cordatus Loan Fund VI DAC, Series 6X, Class CR, (3 mo. EURIBOR + 1.60%), 1.60%, 04/15/32(a)	EUR		1,160		1,302,891
CWHEQ Home Equity Loan Trust, Series 2006- S5, Class A5, 6.16%, 06/25/35	USD		343		379,204

60 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Asset-Backed Securities (continued)
CWHEQ Revolving Home Equity Loan
Resuritization Trust
Series 2006-RES, Class 4Q1B, (1 mo. LIBOR US + 0.30%), 0.45%, 12/15/33(a)(b)	USD		656	$	622,250
Series 2006-RES, Class 5B1A, (1 mo. LIBOR US + 0.19%), 0.34%, 05/15/35(a)(b)			258		246,786
Series 2006-RES, Class 5B1B, (1 mo. LIBOR US + 0.19%), 0.34%, 05/15/35(a)(b)(c)			151		140,920
CWHEQ Revolving Home Equity Loan Trust
Series 2005-B, Class 2A, (1 mo. LIBOR US + 0.18%), 0.33%, 05/15/35(a)			407		396,653
Series 2006-C, Class 2A, (1 mo. LIBOR US + 0.18%), 0.33%, 05/15/36(a)			2,321		2,236,369
Series 2006-H, Class 1A, (1 mo. LIBOR US + 0.15%), 0.30%, 11/15/36(a)			1,476		1,234,547
Deer Creek CLO Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.18%), 1.45%, 10/20/30(a)(b)			5,561		5,488,472
Dorchester Park CLO DAC, Series 2015-1A, Class BR, (3 mo. LIBOR US + 1.45%), 1.72%, 04/20/28(a)(b)			3,064		3,000,924
Dryden 33 Senior Loan Fund, Series 2014-33A, Class BR2, (3 mo. LIBOR US + 1.75%), 2.03%, 04/15/29(a)(b)			250		247,049
Dryden 36 Senior Loan Fund, Series 2014-36A, Class DR2, (3 mo. LIBOR US + 3.70%), 3.98%, 04/15/29(a)(b)			750		729,603
Dryden 43 Senior Loan Fund, Series 2016-43A, Class AR, (3 mo. LIBOR US + 1.14%), 1.41%, 07/20/29(a)(b)			7,230		7,215,806
Dryden 53 CLO Ltd., Series 2017-53A, Class A, (3 mo. LIBOR US + 1.12%), 1.40%, 01/15/31(a)(b)			18,720		18,565,479
Dryden 76 CLO Ltd., Series 2019-76A, Class A1, (3 mo. LIBOR US + 1.33%), 1.60%, 10/20/32(a)(b)			750		740,628
Dryden 77 CLO Ltd., Series 2020-77A, Class D1, (3 mo. LIBOR US + 5.14%), 5.51%, 05/20/31(a)(b)			750		749,667
Dryden XXV Senior Loan Fund
Series 2012-25A, Class ARR, (3 mo. LIBOR US + 0.90%), 1.18%, 10/15/27(a)(b)			9,911		9,835,945
Series 2012-25A, Class CRR, (3 mo. LIBOR US + 1.85%), 2.13%, 10/15/27(a)(b)			1,340		1,279,580
Dryden XXVI Senior Loan Fund, Series 2013-26A, Class AR, (3 mo. LIBOR US + 0.90%), 1.18%, 04/15/29(a)(b)			1,170		1,157,488
Dryden XXVIII Senior Loan Fund, Series 2013- 28A, Class A1LR, (3 mo. LIBOR US + 1.20%), 1.48%, 08/15/30(a)(b)			9,085		8,986,067
Eaton Vance CLO Ltd.
Series 2013-1A, Class A1RR, (3 mo. LIBOR US + 1.16%), 1.44%, 01/15/28(a)(b)			1,280		1,273,914
Series 2013-1A, Class A2RR, (3 mo. LIBOR US + 1.85%), 2.13%, 01/15/28(a)(b)			1,150		1,147,137
Series 2018-1A, Class C, (3 mo. LIBOR US + 2.20%), 2.48%, 10/15/30(a)(b)			3,550		3,382,200
Elm CLO Ltd.
Series 2014-1A, Class ARR, (3 mo. LIBOR US + 1.17%), 1.44%, 01/17/29(a)(b)			18,150		18,061,325
Series 2014-1A, Class BRR, (3 mo. LIBOR US + 1.75%), 2.02%, 01/17/29(a)(b)			1,950		1,934,391

Security		Par (000)		Value
Asset-Backed Securities (continued)
Elmwood CLO I Ltd., Series 2019-1A, Class B, (3 mo. LIBOR US + 1.90%), 2.17%, 04/20/30(a)(b)	USD		1,500	$	1,481,583
Elmwood CLO II Ltd.
Series 2019-2A, Class A, (3 mo. LIBOR US + 1.45%), 1.72%, 04/20/31(a)(b)			4,020		4,019,987
Series 2019-2A, Class D, (3 mo. LIBOR US + 3.95%), 4.22%, 04/20/31(a)(b)			1,450		1,436,969
Elmwood CLO III Ltd., Series 2019-3A, Class D, (3 mo. LIBOR US + 3.85%), 4.13%, 10/15/32(a)(b)			250		247,091
Elmwood CLO V Ltd.
Series 2020-2A, Class B, (3 mo. LIBOR US + 2.20%), 2.48%, 07/24/31(a)(b)			2,880		2,879,748
Series 2020-2A, Class C, (3 mo. LIBOR US + 2.75%), 3.03%, 07/24/31(a)(b)			2,880		2,860,284
FBR Securitization Trust, Series 2005-5, Class M2, (1 mo. LIBOR US + 0.71%), 0.85%, 11/25/35(a)			6,465		6,210,180
Finance of America HECM Buyout, Series 2020- HB1, Class M5, 6.00%, 02/25/30(b)(c)(d)			1,758		1,378,272
First Franklin Mortgage Loan Trust
Series 2004-FFH3, Class M3, (1 mo. LIBOR US + 1.05%), 1.20%, 10/25/34(a)			1,000		933,580
Series 2006-FF13, Class A1, (1 mo. LIBOR US + 0.12%), 0.27%, 10/25/36(a)			2,340		1,857,976
Series 2006-FF16, Class 2A3, (1 mo. LIBOR US + 0.14%), 0.29%, 12/25/36(a)			12,064		7,447,656
Series 2006-FF17, Class A5, (1 mo. LIBOR US + 0.15%), 0.30%, 12/25/36(a)			16,552		15,079,653
Series 2006-FFH1, Class M2, (1 mo. LIBOR US + 0.40%), 0.55%, 01/25/36(a)			2,652		1,849,617
FirstKey Homes Trust
Series 2020-SFR1, Class E, 2.79%,��08/17/37(b).			4,480		4,581,346
Series 2020-SFR1, Class F1, 3.64%, 09/17/25(b)			2,690		2,775,402
Flatiron CLO Ltd., Series 2015-1A, Class AR, (3 mo. LIBOR US + 0.89%), 1.17%, 04/15/27(a)(b)			1,698		1,695,791
Fremont Home Loan Trust, Series 2006-3, Class 1A1, (1 mo. LIBOR US + 0.14%), 0.29%, 02/25/37(a)			2,890		2,260,319
Galaxy XV CLO Ltd., Series 2013-15A, Class AR, (3 mo. LIBOR US + 1.20%), 1.48%, 10/15/30(a)(b)			1,350		1,344,099
Galaxy XXIII CLO Ltd., Series 2017-23A, Class A, (3 mo. LIBOR US + 1.28%), 1.54%, 04/24/29(a)(b)			2,603		2,586,763
Galaxy XXIX CLO Ltd.
Series 2018-29A, Class B, (3 mo. LIBOR US + 1.40%), 1.68%, 11/15/26(a)(b)			250		245,131
Series 2018-29A, Class C, (3 mo. LIBOR US + 1.68%), 1.96%, 11/15/26(a)(b)			1,470		1,397,394
GE-WMC Asset-Backed Pass-Through
Certificates, Series 2005-2, Class A2C, (1 mo. LIBOR US + 0.50%), 0.65%, 12/25/35(a)			266		262,706
Gilbert Park CLO Ltd.
Series 2017-1A, Class C, (3 mo. LIBOR US + 1.95%), 2.23%, 10/15/30(a)(b)			3,110		2,981,592
Series 2017-1A, Class D, (3 mo. LIBOR US + 2.95%), 3.23%, 10/15/30(a)(b)			4,292		4,093,708

S C H E D U L E  O F  I N V E S T M E N  T S 61

Schedule of Investments  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Asset-Backed Securities (continued)
GoldenTree Loan Management U.S. CLO 1 Ltd.
Series 2017-1A, Class CR, (3 mo. LIBOR US + 1.85%), 2.12%, 04/20/29(a)(b)	USD		3,120	$	3,018,399
Series 2017-1A, Class DR, (3 mo. LIBOR US + 2.65%), 2.92%, 04/20/29(a)(b)			1,800		1,670,794
GoldenTree Loan Management U.S. CLO 5 Ltd., Series 2019-5A, Class A, (3 mo. LIBOR US + 1.30%), 1.57%, 10/20/32(a)(b)			1,750		1,739,186
GoldenTree Loan Management U.S. CLO 7 Ltd., Series 2020-7A, Class D, (3 mo. LIBOR US + 2.98%), 3.39%, 04/20/31(a)(b)			2,240		2,212,725
GoldenTree Loan Opportunities IX Ltd., Series 2014-9A, Class AR2, (3 mo. LIBOR US + 1.11%), 1.38%, 10/29/29(a)(b)			1,830		1,826,459
GoldenTree Loan Opportunities X Ltd., Series 2015-10A, Class AR, (3 mo. LIBOR US + 1.12%), 1.39%, 07/20/31(a)(b)			4,688		4,640,063
GoldenTree Loan Opportunities XI Ltd., Series 2015-11A, Class AR2, (3 mo. LIBOR US + 1.07%), 1.34%, 01/18/31(a)(b)			3,749		3,720,135
Greenpoint Manufactured Housing
Series 1999-5, Class M1B, 8.29%, 12/15/29(d)			870		910,069
Series 1999-5, Class M2, 9.23%, 12/15/29(d)			965		821,662
Grippen Park CLO Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.26%), 1.53%, 01/20/30(a)(b)			1,123		1,120,582
GSAA Home Equity Trust
Series 2005-14, Class 1A2, (1 mo. LIBOR US + 0.35%), 0.50%, 12/25/35(a)			836		338,205
Series 2006-4, Class 1A1, 3.53%, 03/25/36(d)			2,398		1,900,790
Series 2006-5, Class 2A1, (1 mo. LIBOR US + 0.07%), 0.22%, 03/25/36(a)			14		6,361
Series 2007-2, Class AF3, 5.92%, 03/25/37(d)			501		143,829
GSAMP Trust
Series 2007-H1, Class A1B, (1 mo. LIBOR US + 0.20%), 0.35%, 01/25/47(a)			950		633,444
Series 2007-HS1, Class M6, (1 mo. LIBOR US + 2.25%), 2.40%, 02/25/47(a)			1,300		1,315,838
Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class A1, (3 mo. LIBOR US + 1.37%), 1.65%, 04/15/33(a)(b)			5,820		5,808,567
Gulf Stream Meridian 2 Ltd., Series 2020-IIA, Class C, (3 mo. LIBOR US + 4.85%), 5.13%, 10/15/29(a)(b)			1,500		1,492,025
Halcyon Loan Advisors Funding Ltd., Series 2015- 2A, Class AR, (3 mo. LIBOR US + 1.08%), 1.33%, 07/25/27(a)(b)			7,627		7,598,730
Highbridge Loan Management Ltd.
Series 12A-18, Class A1B, (3 mo. LIBOR US + 1.25%), 1.52%, 07/18/31(a)(b)			750		737,322
Series 6A-2015, Class A1R, (3 mo. LIBOR US + 1.00%), 1.25%, 02/05/31(a)(b)			11,313		11,132,653
Series 7A-2015, Class BR, (3 mo. LIBOR US + 1.18%), 1.46%, 03/15/27(a)(b)			500		483,312
Home Equity Asset Trust
Series 2006-3, Class M2, (1 mo. LIBOR US + 0.40%), 0.55%, 07/25/36(a)			2,440		2,187,025
Series 2007-1, Class 2A3, (1 mo. LIBOR US + 0.15%), 0.30%, 05/25/37(a)			2,490		2,117,779
Home Equity Mortgage Loan Asset-Backed Trust
Series 2004-A, Class M2, (1 mo. LIBOR US + 2.03%), 2.17%, 07/25/34(a)			530		527,626

Security		Par (000)		Value
Asset-Backed Securities (continued)
Home Equity Mortgage Loan Asset-Backed Trust
Series 2007-A, Class 2A2, (1 mo. LIBOR US + 0.19%), 0.34%, 04/25/37(a)	USD		1,900	$	1,390,003
Home Equity Mortgage Trust, Series 2006-2, Class 1A1, 5.87%, 07/25/36(e)			2,273		590,095
Home Loan Mortgage Loan Trust, Series 2005-1, Class A3, (1 mo. LIBOR US + 0.72%), 0.87%, 04/15/36(a)			974		913,116
HPS Loan Management Ltd.
Series 10A-16, Class A1R, (3 mo. LIBOR US + 1.14%), 1.41%, 01/20/28(a)(b)			4,550		4,525,774
Series 14A-19, Class A1, (3 mo. LIBOR US + 1.27%), 1.51%, 07/25/30(a)(b)			1,300		1,293,503
ICG U.S. CLO Ltd., Series 2015-1A, Class A1R, (3 mo. LIBOR US + 1.14%), 1.41%, 10/19/28(a)(b)			5,420		5,384,077
Invesco Euro CLO II DAC, Series 2X, Class B1, (3 mo. EURIBOR + 1.80%), 1.80%, 08/15/32(a) .	EUR		1,440		1,687,815
Invitation Homes Trust
Series 2018-SFR3, Class A, (1 mo. LIBOR US + 1.00%), 1.15%, 07/17/37(a)(b)	USD		2,711		2,710,915
Series 2018-SFR3, Class E, (1 mo. LIBOR US + 2.00%), 2.15%, 07/17/37(a)(b)			2,468		2,469,852
Irwin Home Equity Loan Trust, Series 2006-3, Class 2A3, 6.53%, 09/25/37(b)(e)			391		390,340
JPMorgan Mortgage Acquisition Trust, Series 2006-CW1, Class M1, (1 mo. LIBOR US + 0.27%), 0.42%, 05/25/36(a)			1,170		1,118,924
Kayne CLO 5 Ltd., Series 2019-5A, Class A, (3 mo. LIBOR US + 1.35%), 1.61%, 07/24/32(a)(b)			3,770		3,760,983
Kayne CLO II Ltd., Series 2018-2A, Class A, (3 mo. LIBOR US + 1.24%), 1.52%, 10/15/31(a)(b)			500		499,039
KKR CLO 16 Ltd., Series 16, Class A1R, (3 mo. LIBOR US + 1.25%), 1.52%, 01/20/29(a)(b)			7,421		7,387,925
LCM 26 Ltd., Series 26A, Class A1, (3 mo. LIBOR US + 1.07%), 1.34%, 01/20/31(a)(b)			8,120		8,031,808
LCM XIV LP, Series 14A, Class AR, (3 mo. LIBOR US + 1.04%), 1.31%, 07/20/31(a)(b)			500		489,691
LCM XX LP
Series 20A, Class AR, (3 mo. LIBOR US + 1.04%), 1.31%, 10/20/27(a)(b)			3,740		3,706,621
Series 20A, Class BR, (3 mo. LIBOR US + 1.55%), 1.82%, 10/20/27(a)(b)			250		245,333
LCM XXI LP, Series 21A, Class AR, (3 mo. LIBOR US + 0.88%), 1.15%, 04/20/28(a)(b)			3,430		3,400,084
LCM XXIV Ltd., Series 24A, Class A, (3 mo. LIBOR US + 1.31%), 1.58%, 03/20/30(a)(b)			500		499,549
Legacy Mortgage Asset Trust
Series 2019-SL2, Class A, 3.38%, 02/25/59(b)(c)(d)			8,371		8,396,015
Series 2019-SL2, Class B, 0.00%, 02/25/59(b)(c)			2,348		398,228
Series 2019-SL2, Class M, 4.25%, 02/25/59(b)(c)(d)			2,083		1,989,265
Lehman ABS Manufactured Housing Contract Trust
Series 2001-B, Class M1, 6.63%, 04/15/40(d)			4,228		4,497,664
Series 2002-A, Class C, 0.00%, 06/15/33			357		316,058

62 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Asset-Backed Securities (continued)
Lehman ABS Mortgage Loan Trust, Series 2007-1, Class 2A1, (1 mo. LIBOR US + 0.09%), 0.24%, 06/25/37(a)(b)	USD		432	$	336,435
Lendmark Funding Trust, Series 2019-2A, Class A, 2.78%, 04/20/28(b)			12,230		12,365,853
Litigation Fee Residual Funding LLC, Series 2015-1, Class A, 4.00%, 10/01/27(c)			1,919		1,917,909
LoanCore Issuer Ltd., Series 2018-CRE1, Class A, (1 mo. LIBOR US + 1.13%), 1.28%, 05/15/28(a)(b)			2,245		2,233,958
Loanpal Solar Loan Ltd., Series 2020-2GF, Class A, 2.75%, 07/20/47(b)			7,620		7,786,711
Long Beach Mortgage Loan Trust
Series 2006-5, Class 2A3, (1 mo. LIBOR US + 0.15%), 0.30%, 06/25/36(a)			3,741		2,313,357
Series 2006-7, Class 2A3, (1 mo. LIBOR US + 0.16%), 0.31%, 08/25/36(a)			6,337		3,320,578
Series 2006-9, Class 2A2, (1 mo. LIBOR US + 0.11%), 0.26%, 10/25/36(a)			1,518		688,936
Series 2006-9, Class 2A4, (1 mo. LIBOR US + 0.23%), 0.38%, 10/25/36(a)			1,528		720,318
Madison Avenue Manufactured Housing Contract Trust, Series 2002-A, Class B2, (1 mo. LIBOR US + 3.25%), 3.40%, 03/25/32(a)			1,020		1,020,652
Madison Park Funding X Ltd.
Series 2012-10A, Class AR2, (3 mo. LIBOR US + 1.22%), 1.49%, 01/20/29(a)(b)			10,710		10,670,923
Series 2012-10A, Class BR2, (3 mo. LIBOR US + 1.80%), 2.07%, 01/20/29(a)(b)			250		246,497
Madison Park Funding XI Ltd., Series 2013-11A, Class AR, (3 mo. LIBOR US + 1.16%), 1.42%, 07/23/29(a)(b)			4,830		4,801,917
Madison Park Funding XIII Ltd.
Series 2014-13A, Class AR2, (3 mo. LIBOR US + 0.95%), 1.22%, 04/19/30(a)(b)			7,780		7,702,652
Series 2014-13A, Class BR2, (3 mo. LIBOR US + 1.50%), 1.77%, 04/19/30(a)(b)			4,540		4,461,052
Madison Park Funding XIX Ltd.
Series 2015-19A, Class A1R2, (3 mo. LIBOR US + 0.92%), 1.18%, 01/22/28(a)(b)			7,698		7,637,917
Series 2015-19A, Class A2R2, (3 mo. LIBOR US + 1.50%), 1.76%, 01/22/28(a)(b)			1,000		988,174
Madison Park Funding XVI Ltd., Series 2015-16A, Class A2R, (3 mo. LIBOR US + 1.90%), 2.17%, 04/20/26(a)(b)			500		496,424
Madison Park Funding XVII Ltd., Series 2015-17A, Class B1R, (3 mo. LIBOR US + 1.75%), 2.02%, 07/21/30(a)(b)			1,770		1,745,311
Madison Park Funding XVIII Ltd., Series 2015- 18A, Class A1R, (3 mo. LIBOR US + 1.19%), 1.46%, 10/21/30(a)(b)			14,970		14,811,032
Madison Park Funding XXII Ltd., Series 2016-22A, Class A1R, (3 mo. LIBOR US + 1.26%), 1.54%, 01/15/33(a)(b)			3,000		2,914,467
Madison Park Funding XXIII Ltd.
Series 2017-23A, Class A, (3 mo. LIBOR US + 1.21%), 1.45%, 07/27/30(a)(b)			250		248,693
Series 2017-23A, Class B, (3 mo. LIBOR US + 1.70%), 1.94%, 07/27/30(a)(b)			500		497,319
Madison Park Funding XXVI Ltd., Series 2017- 26A, Class AR, (3 mo. LIBOR US + 1.20%), 1.47%, 07/29/30(a)(b)			11,115		11,007,400

Security		Par (000)		Value
Asset-Backed Securities (continued)
Madison Park Funding XXXVI Ltd., Series 2019- 36A, Class B1, (3 mo. LIBOR US + 1.85%), 2.13%, 01/15/33(a)(b)	USD		2,470	$	2,458,661
Marble Point CLO XI Ltd., Series 2017-2A, Class A, (3 mo. LIBOR US + 1.18%), 1.45%, 12/18/30(a)(b)			2,000		1,974,419
Mariner CLO 5 Ltd., Series 2018-5A, Class A, (3 mo. LIBOR US + 1.11%), 1.36%, 04/25/31(a)(b)			3,550		3,533,889
Mariner CLO 8 Ltd., Series 2020-8A, Class A, (3 mo. LIBOR US + 1.27%), 2.44%, 04/20/33(a)(b)			3,010		2,985,887
Mariner CLO LLC
Series 2015-1A, Class BR2, (3 mo. LIBOR US + 1.50%), 1.77%, 04/20/29(a)(b)			7,152		6,985,516
Series 2015-1A, Class CR2, (3 mo. LIBOR US + 1.90%), 2.17%, 04/20/29(a)(b)			2,000		1,940,060
Series 2016-3A, Class BR2, (3 mo. LIBOR US + 1.50%), 1.76%, 07/23/29(a)(b)(c)			1,478		1,456,865
Series 2016-3A, Class CR2, (3 mo. LIBOR US + 2.05%), 2.31%, 07/23/29(a)(b)(c)			5,162		5,103,669
Series 2016-3A, Class DR2, (3 mo. LIBOR US + 2.90%), 3.16%, 07/23/29(a)(b)(c)			500		474,600
Series 2017-4A, Class A, (3 mo. LIBOR US + 1.21%), 1.45%, 10/26/29(a)(b)			1,800		1,792,599
Mariner Finance Issuance Trust
Series 2019-AA, Class A, 2.96%, 07/20/32(b)			14,870		15,131,371
Series 2019-AA, Class B, 3.51%, 07/20/32(b)			2,420		2,435,676
Series 2019-AA, Class C, 4.01%, 07/20/32(b)			2,150		2,122,289
Series 2020-AA, Class A, 2.19%, 08/21/34(b)			7,050		7,073,425
Series 2020-AA, Class B, 3.21%, 08/21/34(b)			1,630		1,643,799
Series 2020-AA, Class C, 4.10%, 08/21/34(b)			1,536		1,562,140
Series 2020-AA, Class D, 5.75%, 08/21/34(b)			2,030		1,967,162
MASTR Asset-Backed Securities Trust
Series 2006-AM2, Class A4, (1 mo. LIBOR US + 0.26%), 0.41%, 06/25/36(a)(b)			1,516		1,394,003
Series 2007-HE1, Class A4, (1 mo. LIBOR US + 0.28%), 0.43%, 05/25/37(a)			1,318		1,001,816
MASTR Specialized Loan Trust, Series 2006-3, Class A, (1 mo. LIBOR US + 0.26%), 0.41%, 06/25/46(a)(b)			491		466,732
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2C, (1 mo. LIBOR US + 0.24%), 0.39%, 05/25/37(a)			1,882		1,415,068
Merrill Lynch Mortgage Investors Trust
Series 2006-OPT1, Class M1, (1 mo. LIBOR US + 0.26%), 0.41%, 08/25/37(a)			385		207,389
Series 2006-RM3, Class A2B, (1 mo. LIBOR US + 0.09%), 0.24%, 06/25/37(a)			928		288,650
MidOcean Credit CLO III, Series 2014-3A, Class A3A2, (3 mo. LIBOR US + 0.97%), 1.24%, 04/21/31(a)(b)			2,006		1,967,413
Mill City Solar Loan Ltd., Series 2019-2GS, Class A, 3.69%, 07/20/43(b)			7,282		7,642,095
Morgan Stanley ABS Capital I, Inc. Trust
Series 2005-HE1, Class A2MZ, (1 mo. LIBOR US + 0.60%), 0.75%, 12/25/34(a)			820		756,154
Series 2005-HE5, Class M4, (1 mo. LIBOR US + 0.87%), 1.02%, 09/25/35(a)			3,764		2,252,645
Morgan Stanley Home Equity Loan Trust, Series 2006-3, Class A3, (1 mo. LIBOR US + 0.16%), 0.31%, 04/25/36(a)			2,004		1,589,877

S C H E D U L E  O F  I N V E S T M E N  T S 63

Schedule of Investments  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Asset-Backed Securities (continued)
Morgan Stanley Mortgage Loan Trust
Series 2006-16AX, Class 1A, (1 mo. LIBOR US + 0.17%), 0.32%, 11/25/36(a)	USD		4,221	$	1,303,171
Series 2007-9SL, Class A, (1 mo. LIBOR US + 0.32%), 0.47%, 07/25/37(a)			1,021		987,100
Mosaic Solar Loan Trust
Series 2018-2GS, Class A, 4.20%, 02/22/44(b)			2,919		3,105,687
Series 2019-2A, Class A, 2.88%, 09/20/40(b)			921		973,783
Series 2020-1A, Class A, 2.10%, 04/20/46(b)			1,615		1,650,633
Series 2020-1A, Class B, 3.10%, 04/20/46(b)			2,442		2,501,581
Mountain Hawk II CLO Ltd., Series 2013-2A, Class BR, (3 mo. LIBOR US + 1.60%), 1.87%, 07/20/24(a)(b)			1,444		1,439,849
MP CLO III Ltd., Series 2013-1A, Class AR, (3 mo. LIBOR US + 1.25%), 1.52%, 10/20/30(a)(b)			2,820		2,795,416
MP CLO VII Ltd.
Series 2015-1A, Class ARR, (3 mo. LIBOR US + 1.08%), 1.35%, 10/18/28(a)(b)			490		487,619
Series 2015-1A, Class BRR, (3 mo. LIBOR US + 1.60%), 1.87%, 10/18/28(a)(b)			750		732,566
MP CLO VIII Ltd.
Series 2015-2A, Class AR, (3 mo. LIBOR US + 0.91%), 1.16%, 10/28/27(a)(b)			5,511		5,484,230
Series 2015-2A, Class BR, (3 mo. LIBOR US + 1.42%), 1.67%, 10/28/27(a)(b)			3,250		3,170,485
Nationstar HECM Loan Trust, Series 2020-1A, Class M3, 2.82%, 09/25/30(b)(c)(d)			2,151		2,150,607
Nationstar Home Equity Loan Trust
Series 2007-B, Class M1, (1 mo. LIBOR US + 0.41%), 0.56%, 04/25/37(a)			3,320		2,879,008
Series 2007-C, Class 2AV3, (1 mo. LIBOR US + 0.18%), 0.33%, 06/25/37(a)			42		42,254
Navient Private Education Loan Trust, Series 2014-AA, Class B, 3.50%, 08/15/44(b)			6,000		6,129,850
Navient Private Education Refi Loan Trust
Series 2020-A, Class A2B, (1 mo. LIBOR US + 0.90%), 1.05%, 11/15/68(a)(b)			2,410		2,398,713
Series 2020-FA, Class B, 2.69%, 07/15/69(b)			2,590		2,592,040
Neuberger Berman CLO XVII Ltd.
Series 2014-17A, Class BR2, (3 mo. LIBOR US + 1.50%), 1.76%, 04/22/29(a)(b)			1,500		1,459,641
Series 2014-17A, Class CR2, (3 mo. LIBOR US + 2.00%), 2.26%, 04/22/29(a)(b)			1,900		1,813,946
Neuberger Berman CLO XVI-S Ltd., Series 2017- 16SA, Class A, (3 mo. LIBOR US + 0.85%), 1.13%, 01/15/28(a)(b)			2,490		2,481,126
Neuberger Berman CLO XX Ltd.
Series 2015-20A, Class AR, (3 mo. LIBOR US + 0.80%), 1.08%, 01/15/28(a)(b)			947		940,309
Series 2015-20A, Class BR, (3 mo. LIBOR US + 1.25%), 1.53%, 01/15/28(a)(b)			750		735,285
Neuberger Berman CLO XXIII Ltd., Series 2016- 23A, Class BR, (3 mo. LIBOR US + 1.55%), 1.82%, 10/17/27(a)(b)			400		389,714
Neuberger Berman Loan Advisers CLO 26 Ltd.
Series 2017-26A, Class A, (3 mo. LIBOR US + 1.17%), 1.44%, 10/18/30(a)(b)			5,520		5,475,032
Series 2017-26A, Class B, (3 mo. LIBOR US + 1.50%), 1.77%, 10/18/30(a)(b)			250		246,999
Neuberger Berman Loan Advisers CLO 37 Ltd., Series 2020-37A, Class B, (3 mo. LIBOR US + 2.20%), 2.37%, 07/20/31(a)(b)(c)			1,000		1,004,000

Security		Par (000)		Value
Asset-Backed Securities (continued)
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-S5, Class A1, (1 mo. LIBOR US + 0.40%), 0.55%, 10/25/36(a)(b)	USD		242	$	233,529
Oaktree CLO Ltd.
Series 2014-1A, Class A2R, (3 mo. LIBOR US + 1.85%), 2.10%, 05/13/29(a)(b)			1,840		1,787,106
Series 2015-1A, Class A1R, (3 mo. LIBOR US + 0.87%), 1.14%, 10/20/27(a)(b)			422		420,946
Oaktree EIF III Series I Ltd., Series 2016-IIIA, Class B, (3 mo. LIBOR US + 2.00%), 2.27%, 10/20/27(a)(b)			425		422,854
Oakwood Mortgage Investors, Inc.
Series 2001-D, Class A2, 5.26%, 01/15/19(d)			680		482,045
Series 2001-D, Class A4, 6.93%, 09/15/31(d)			433		352,572
Series 2002-B, Class M1, 7.62%, 06/15/32(d)			4,448		3,727,958
OCP CLO Ltd.
Series 2013-4A, Class A2RR, (3 mo. LIBOR US + 1.45%), 1.71%, 04/24/29(a)(b)			2,500		2,432,496
Series 2013-4A, Class BRR, (3 mo. LIBOR US + 1.90%), 2.16%, 04/24/29(a)(b)			4,618		4,395,957
Series 2013-4A, Class CRR, (3 mo. LIBOR US + 3.00%), 3.26%, 04/24/29(a)(b)			3,000		2,848,017
Series 2014-5A, Class A1R, (3 mo. LIBOR US + 1.08%), 1.33%, 04/26/31(a)(b)			660		655,475
Series 2014-7A, Class A2RR, (3 mo. LIBOR US + 1.65%), 1.92%, 07/20/29(a)(b)			750		735,920
Series 2015-10A, Class A1R, (3 mo. LIBOR US + 0.82%), 1.07%, 10/26/27(a)(b)			556		553,281
Series 2015-10A, Class BR, (3 mo. LIBOR US + 1.85%), 2.10%, 10/26/27(a)(b)			1,120		1,094,374
Series 2015-9A, Class BR, (3 mo. LIBOR US + 1.75%), 2.03%, 07/15/27(a)(b)			250		245,609
Series 2016-12A, Class A1R, (3 mo. LIBOR US + 1.12%), 1.39%, 10/18/28(a)(b)			10,736		10,699,469
Series 2016-12A, Class A2R, (3 mo. LIBOR US + 1.60%), 1.87%, 10/18/28(a)(b)			500		493,596
Series 2017-13A, Class A1A, (3 mo. LIBOR US + 1.26%), 1.54%, 07/15/30(a)(b)			9,170		9,138,130
Series 2017-14A, Class B, (3 mo. LIBOR US + 1.95%), 2.20%, 11/20/30(a)(b)			500		468,165
Series 2020-19A, Class B, (3 mo. LIBOR US + 2.50%), 2.82%, 07/20/31(a)(b)			500		499,903
Series 2020-19A, Class C, (3 mo. LIBOR US + 2.95%), 3.27%, 07/20/31(a)(b)			650		644,133
Series 2020-19A, Class D, (3 mo. LIBOR US + 4.47%), 4.79%, 07/20/31(a)(b)			525		522,467
OCP Euro CLO DAC, Series 2017-2X, Class B, (3 mo. EURIBOR + 1.35%), 1.35%, 01/15/32(a) .	EUR		1,130		1,312,429
Octagon Investment Partners 18-R Ltd., Series 2018-18A, Class A1A, (3 mo. LIBOR US + 0.96%), 1.23%, 04/16/31(a)(b)	USD		7,300		7,183,779
Octagon Investment Partners 32 Ltd., Series 2017-1A, Class B1, (3 mo. LIBOR US + 1.70%), 1.98%, 07/15/29(a)(b)			1,650		1,622,173
Octagon Investment Partners 33 Ltd., Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.19%), 1.46%, 01/20/31(a)(b)			1,310		1,305,742
Octagon Investment Partners 46 Ltd.
Series 2020-2A, Class B, (3 mo. LIBOR US + 2.20%), 2.45%, 07/15/33(a)(b)			3,290		3,289,912
Series 2020-2A, Class D, (3 mo. LIBOR US + 4.60%), 4.85%, 07/15/33(a)(b)			2,470		2,469,590

64 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Asset-Backed Securities (continued)
Octagon Investment Partners XVI Ltd., Series 2013-1A, Class A1R, (3 mo. LIBOR US + 1.02%), 1.29%, 07/17/30(a)(b)	USD		3,580	$	3,528,857
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class A1R2, (3 mo. LIBOR US + 1.00%), 1.24%, 01/25/31(a)(b)			7,240		7,239,986
Octagon Investment Partners XXIII Ltd., Series 2015-1A, Class CR, (3 mo. LIBOR US + 1.85%), 2.13%, 07/15/27(a)(b)			2,840		2,735,292
OFSI Fund VII Ltd., Series 2014-7A, Class AR, (3 mo. LIBOR US + 0.90%), 1.17%, 10/18/26(a)(b)			146		145,824
OHA Credit Funding 3 Ltd., Series 2019-3A, Class B1, (3 mo. LIBOR US + 1.80%), 2.07%, 07/20/32(a)(b)			2,989		2,948,480
OHA Loan Funding Ltd.
Series 2013-2A, Class AR, (3 mo. LIBOR US + 1.04%), 1.30%, 05/23/31(a)(b)			6,219		6,136,451
Series 2015-1A, Class A1R2, (3 mo. LIBOR US + 1.34%), 1.62%, 11/15/32(a)(b)			5,400		5,386,796
OneMain Financial Issuance Trust
Series 2019-1A, Class E, 5.69%, 02/14/31(b)			5,010		5,161,929
Series 2019-2A, Class A, 3.14%, 10/14/36(b)			14,760		15,809,200
Series 2020-1A, Class A, 3.84%, 05/14/32(b)			12,330		12,968,751
Series 2020-2A, Class C, 2.76%, 09/14/35(b)			2,620		2,645,844
Series 2020-2A, Class D, 3.45%, 09/14/35(b)			6,620		6,733,658
Option One Mortgage Acceptance Corp. Asset- Backed Certificates, Series 2003-4, Class A2, (1 mo. LIBOR US + 0.64%), 0.79%, 07/25/33(a)			821		765,036
Option One Mortgage Loan Trust
Series 2006-3, Class 1A1, (1 mo. LIBOR US + 0.14%), 0.29%, 02/25/37(a)			1,244		938,704
Series 2007-CP1, Class 2A3, (1 mo. LIBOR US + 0.21%), 0.36%, 03/25/37(a)			2,360		1,642,113
Series 2007-FXD1, Class 1A1, 5.87%, 01/25/37(e)			2,614		2,580,484
Series 2007-FXD1, Class 2A1, 5.87%, 01/25/37(e)			6,561		6,484,810
Series 2007-FXD2, Class 1A1, 5.82%, 03/25/37(e)			3,532		3,647,993
Option One Mortgage Loan Trust Asset-Backed Certificates, Series 2005-4, Class M3, (1 mo. LIBOR US + 0.74%), 0.88%, 11/25/35(a)			4,030		3,450,715
Origen Manufactured Housing Contract Trust
Series 2001-A, Class M1, 7.82%, 03/15/32(d)			1,345		1,318,774
Series 2007-B, Class A1, (1 mo. LIBOR US + 1.20%), 1.35%, 10/15/37(a)(b)(c)			1,726		1,674,137
Ownit Mortgage Loan Trust Series, Series 2006-2, Class A2C, 6.00%, 01/25/37(e)			1,990		1,926,276
OZLM Funding III Ltd., Series 2013-3A, Class BRR, (3 mo. LIBOR US + 2.70%), 2.96%, 01/22/29(a)(b)			4,720		4,691,185
OZLM Funding IV Ltd.
Series 2013-4A, Class A1R, (3 mo. LIBOR US + 1.25%), 1.51%, 10/22/30(a)(b)			13,115		13,050,543
Series 2013-4A, Class A2R, (3 mo. LIBOR US + 1.70%), 1.96%, 10/22/30(a)(b)			2,120		2,076,051
OZLM Funding Ltd., Series 2012-1A, Class A2R2, (3 mo. LIBOR US + 1.85%), 2.11%, 07/22/29(a)(b)			495		490,651

Security		Par (000)		Value
Asset-Backed Securities (continued)
OZLM VI Ltd., Series 2014-6A, Class A2AS, (3 mo. LIBOR US + 1.75%), 2.02%, 04/17/31(a)(b)	USD		900	$	889,151
OZLM VIII Ltd., Series 2014-8A, Class BRR, (3 mo. LIBOR US + 2.20%), 2.47%, 10/17/29(a)(b)			1,160		1,131,039
OZLM XII Ltd., Series 2015-12A, Class A2R, (3 mo. LIBOR US + 1.60%), 1.87%, 04/30/27(a)(b)			500		493,778
OZLM XIV Ltd., Series 2015-14A, Class A2AR, (3 mo. LIBOR US + 1.70%), 1.98%, 01/15/29(a)(b)			5,770		5,680,199
OZLM XIX Ltd., Series 2017-19A, Class A1, (3 mo. LIBOR US + 1.22%), 1.50%, 11/22/30(a)(b)			2,160		2,140,012
OZLM XVIII Ltd., Series 2018-18A, Class A, (3 mo. LIBOR US + 1.02%), 1.30%, 04/15/31(a)(b)			2,620		2,570,239
OZLM XX Ltd., Series 2018-20A, Class A2, (3 mo. LIBOR US + 1.65%), 1.92%, 04/20/31(a)(b)			600		585,573
OZLM XXI Ltd., Series 2017-21A, Class B, (3 mo. LIBOR US + 1.90%), 2.17%, 01/20/31(a)(b)			930		866,736
OZLM XXIV Ltd., Series 2019-24A, Class A2A, (3 mo. LIBOR US + 2.25%), 2.52%, 07/20/32(a)(b)			750		749,995
Palmer Square CLO Ltd.
Series 2014-1A, Class A1R2, (3 mo. LIBOR US + 1.13%), 1.40%, 01/17/31(a)(b)			4,548		4,493,661
Series 2015-1A, Class A1R2, (3 mo. LIBOR US + 1.22%), 1.47%, 05/21/29(a)(b)			10,965		10,932,149
Series 2015-1A, Class A2R2, (3 mo. LIBOR US + 1.65%), 1.90%, 05/21/29(a)(b)			2,460		2,416,032
Series 2015-2A, Class A2R2, (3 mo. LIBOR US + 1.55%), 1.82%, 07/20/30(a)(b)			2,500		2,472,220
Series 2015-2A, Class CR2, (3 mo. LIBOR US + 2.75%), 3.02%, 07/20/30(a)(b)			1,000		935,804
Series 2018-1A, Class A1, (3 mo. LIBOR US + 1.03%), 1.30%, 04/18/31(a)(b)			3,360		3,299,505
Series 2018-2A, Class A1A, (3 mo. LIBOR US + 1.10%), 1.37%, 07/16/31(a)(b)			4,820		4,765,977
Series 2018-2A, Class A2, (3 mo. LIBOR US + 1.65%), 1.92%, 07/16/31(a)(b)			1,500		1,492,674
Series 2018-3A, Class A2, (3 mo. LIBOR US + 1.35%), 1.63%, 08/15/26(a)(b)		��	3,323		3,266,552
Palmer Square Loan Funding Ltd.
Series 2018-2A, Class A2, (3 mo. LIBOR US + 1.05%), 1.33%, 07/15/26(a)(b)			3,050		3,010,822
Series 2019-1A, Class D, (3 mo. LIBOR US + 5.80%), 6.07%, 04/20/27(a)(b)			1,700		1,580,907
Series 2019-2A, Class B, (3 mo. LIBOR US + 2.25%), 2.52%, 04/20/27(a)(b)			1,500		1,461,638
Series 2019-2A, Class C, (3 mo. LIBOR US + 3.25%), 3.52%, 04/20/27(a)(b)			250		229,921
Series 2019-3A, Class A2, (3 mo. LIBOR US + 1.60%), 1.85%, 08/20/27(a)(b)			2,610		2,576,304
Series 2019-3A, Class B, (3 mo. LIBOR US + 2.10%), 2.35%, 08/20/27(a)(b)			1,940		1,875,577
Series 2019-4A, Class D, (3 mo. LIBOR US + 5.90%), 6.16%, 10/24/27(a)(b)			1,488		1,358,007
Series 2020-1A, Class A2, (3 mo. LIBOR US + 1.35%), 1.60%, 02/20/28(a)(b)			4,860		4,713,520

S C H E D U L E  O F  I N V E S T M E N  T S 65

Schedule of Investments  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Asset-Backed Securities (continued)
Palmer Square Loan Funding Ltd.
Series 2020-2A, Class A2, (3 mo. LIBOR US + 1.55%), 1.82%, 04/20/28(a)(b)	USD		5,850	$	5,718,039
Series 2020-2A, Class B, (3 mo. LIBOR US + 2.25%), 2.52%, 04/20/28(a)(b)			1,000		978,417
Series 2020-2A, Class C, (3 mo. LIBOR US + 3.00%), 3.27%, 04/20/28(a)(b)			1,000		939,842
Series 2020-4A, Class A2, (3 mo. LIBOR US + 1.60%), 0.00%, 11/25/28(a)(b)			2,640		2,640,000
Series 2020-4A, Class C, (3 mo. LIBOR US + 3.60%), 0.00%, 11/25/28(a)(b)			500		500,000
Parallel Ltd.
Series 2015-1A, Class AR, (3 mo. LIBOR US + 0.85%), 1.12%, 07/20/27(a)(b)			2,540		2,517,738
Series 2015-1A, Class C1R, (3 mo. LIBOR US + 1.75%), 2.02%, 07/20/27(a)(b)			1,150		1,097,763
Park Avenue Institutional Advisers CLO Ltd.
Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.22%), 1.49%, 11/14/29(a)(b)			6,970		6,930,948
Series 2017-1A, Class A2, (3 mo. LIBOR US + 1.70%), 1.97%, 11/14/29(a)(b)			2,940		2,885,414
Series 2019-1A, Class A1, (3 mo. LIBOR US + 1.48%), 1.76%, 05/15/32(a)(b)			500		499,998
Series 2019-1A, Class A2A, (3 mo. LIBOR US + 2.00%), 2.28%, 05/15/32(a)(b)			500		494,403
Pretium Mortgage Credit Partners I LLC, Series 2020-NPL2, Class A1, 3.72%, 02/27/60(b)(e)			15,060		15,084,442
Progress Residential Trust
Series 2017-SFR1, Class A, 2.77%, 08/17/34(b)			2,634		2,682,956
Series 2018-SFR1, Class F, 4.78%, 03/17/35(b)			1,620		1,653,737
Series 2018-SFR2, Class F, 4.95%, 08/17/35(b)			1,030		1,041,764
Series 2019-SFR1, Class E, 4.47%, 08/17/35(b)			2,000		2,063,213
Series 2020-SFR2, Class B, 2.58%, 06/17/37(b)			550		564,435
Series 2020-SFR2, Class D, 3.87%, 06/17/37(b)			1,886		1,975,414
Series 2020-SFR3, Class E, 2.30%, 10/17/27(b)			2,870		2,870,986
Series 2020-SFR3, Class F, 2.80%, 10/17/27(b)			5,410		5,411,891
Race Point IX CLO Ltd., Series 2015-9A, Class A1AR, (3 mo. LIBOR US + 1.21%), 1.49%, 10/15/30(a)(b)			3,710		3,704,789
Race Point X CLO Ltd., Series 2016-10A, Class A1R, (3 mo. LIBOR US + 1.10%), 1.35%, 07/25/31(a)(b)			5,472		5,410,597
RAMP Series Trust, Series 2004-RS7, Class A2A, (1 mo. LIBOR US + 0.62%), 0.77%, 07/25/34(a)			1,825		1,543,775
Regatta Funding LP, Series 2013-2A, Class A1R2, (3 mo. LIBOR US + 1.25%), 1.53%, 01/15/29(a)(b)			1,300		1,294,170
Regatta VI Funding Ltd., Series 2016-1A, Class AR, (3 mo. LIBOR US + 1.08%), 1.35%, 07/20/28(a)(b)			10,290		10,273,546
Regatta VII Funding Ltd., Series 2016-1A, Class BR, (3 mo. LIBOR US + 1.50%), 1.73%, 12/20/28(a)(b)			250		243,587
Regional Management Issuance Trust, Series 2019-1, Class A, 3.05%, 11/15/28(b)			12,820		12,830,825
Republic FInance Issuance Trust, Series 2019-A, Class A, 3.43%, 11/22/27(b)			14,870		15,117,200
Riserva CLO Ltd., Series 2016-3A, Class AR, (3 mo. LIBOR US + 1.14%), 1.41%, 10/18/28(a)(b)			4,670		4,631,538

Security		Par (000)		Value
Asset-Backed Securities (continued)
Rockford Tower CLO Ltd.
Series 2017-1A, Class AR, (3 mo. LIBOR US + 1.03%), 1.31%, 04/15/29(a)(b)	USD		10,140	$	10,065,390
Series 2017-1A, Class BR, (3 mo. LIBOR US + 1.45%), 1.73%, 04/15/29(a)(b)			7,210		7,068,667
Series 2017-1A, Class CR, (3 mo. LIBOR US + 1.85%), 2.13%, 04/15/29(a)(b)			2,490		2,377,372
Series 2017-1A, Class DR, (3 mo. LIBOR US + 2.65%), 2.93%, 04/15/29(a)(b)			750		701,730
Series 2017-2A, Class BR, (3 mo. LIBOR US + 1.50%), 1.78%, 10/15/29(a)(b)			7,771		7,535,959
Series 2017-2A, Class CR, (3 mo. LIBOR US + 1.90%), 2.18%, 10/15/29(a)(b)			2,750		2,640,824
Series 2017-2A, Class DR, (3 mo. LIBOR US + 2.85%), 3.13%, 10/15/29(a)(b)			4,766		4,702,087
Series 2017-2A, Class ER, (3 mo. LIBOR US + 6.25%), 6.53%, 10/15/29(a)(b)			1,750		1,522,004
Series 2017-3A, Class A, (3 mo. LIBOR US + 1.19%), 1.46%, 10/20/30(a)(b)			14,614		14,554,818
Series 2018-1A, Class A, (3 mo. LIBOR US + 1.10%), 1.35%, 05/20/31(a)(b)			1,953		1,937,510
Series 2018-1A, Class B, (3 mo. LIBOR US + 1.72%), 1.97%, 05/20/31(a)(b)			1,500		1,470,394
Series 2018-1A, Class D, (3 mo. LIBOR US + 3.00%), 3.25%, 05/20/31(a)(b)			750		717,910
Series 2018-2A, Class A, (3 mo. LIBOR US + 1.16%), 1.43%, 10/20/31(a)(b)			1,000		993,963
Series 2018-2A, Class B, (3 mo. LIBOR US + 1.80%), 2.07%, 10/20/31(a)(b)			500		492,103
Series 2019-2A, Class B, (3 mo. LIBOR US + 1.93%), 2.18%, 08/20/32(a)(b)			1,250		1,229,575
Rockford Tower Europe CLO DAC
Series 2018-1X, Class B, (3 mo. EURIBOR + 1.85%), 1.85%, 12/20/31(a)	EUR		3,898		4,573,813
Series 2018-1X, Class C, (3 mo. EURIBOR + 2.47%), 2.47%, 12/20/31(a)			435		506,114
Romark WM-R Ltd., Series 2018-1A, Class A1, (3 mo. LIBOR US + 1.03%), 1.30%, 04/20/31(a)(b)	USD		4,272		4,264,289
RR 11 Ltd., Series 2020-11A, Class A2, (3 mo. LIBOR US + 2.10%), 2.28%, 10/15/31(a)(b)			4,176		4,175,985
RR 2 Ltd.
Series 2017-2A, Class A2, (3 mo. LIBOR US + 1.60%), 1.88%, 10/15/29(a)(b)			750		733,334
Series 2017-2A, Class B, (3 mo. LIBOR US + 2.00%), 2.28%, 10/15/29(a)(b)			750		719,223
RR 3 Ltd., Series 2018-3A, Class A1R2, (3 mo. LIBOR US + 1.09%), 1.37%, 01/15/30(a)(b)			2,020		1,999,681
RR 4 Ltd., Series 2018-4A, Class A2, (3 mo. LIBOR US + 1.55%), 1.83%, 04/15/30(a)(b)			1,400		1,361,090
RR 6 Ltd., Series 2019-6A, Class A1A, (3 mo. LIBOR US + 1.25%), 1.53%, 04/15/30(a)(b)			9,840		9,798,126
RRE 2 Loan Management DAC, Series 2A, Class B, (3 mo. EURIBOR + 1.80%), 1.80%, 01/15/32(a)(b)	EUR		750		879,964
SACO I Trust, Series 2006-9, Class A1, (1 mo. LIBOR US + 0.30%), 0.45%, 08/25/36(a)	USD		242		239,411
Security National Mortgage Loan Trust, Series 2007-1A, Class 2A, (1 mo. LIBOR US + 0.35%), 0.50%, 04/25/37(a)(b)			391		390,206

66 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Asset-Backed Securities (continued)
Seneca Park CLO Ltd., Series 2014-1A, Class AR, (3 mo. LIBOR US + 1.12%), 1.39%, 07/17/26(a)(b)	USD		35	$	34,946
SG Mortgage Securities Trust, Series 2006-FRE2, Class A2C, (1 mo. LIBOR US + 0.16%), 0.31%, 07/25/36(a)			953		306,672
Silver Creek CLO Ltd.
Series 2014-1A, Class AR, (3 mo. LIBOR US + 1.24%), 1.51%, 07/20/30(a)(b)			3,920		3,908,375
Series 2014-1A, Class CR, (3 mo. LIBOR US + 2.30%), 2.57%, 07/20/30(a)(b)			500		480,909
SLM Private Credit Student Loan Trust
Series 2004-A, Class A3, (3 mo. LIBOR US + 0.40%), 0.65%, 06/15/33(a)			1,675		1,645,185
Series 2004-B, Class A3, (3 mo. LIBOR US + 0.33%), 0.58%, 03/15/24(a)			5,813		5,756,281
Series 2006-A, Class A5, (3 mo. LIBOR US + 0.29%), 0.54%, 06/15/39(a)			14,392		13,689,232
Series 2006-B, Class A5, (3 mo. LIBOR US + 0.27%), 0.52%, 12/15/39(a)			456		424,993
SLM Private Education Loan Trust, Series 2010-C, Class A5, (1 mo. LIBOR US + 4.75%), 4.90%, 10/15/41(a)(b)			17,610		19,191,977
SMB Private Education Loan Trust
Series 2015-B, Class B, 3.50%, 12/17/40(b)			2,480		2,548,490
Series 2020-BA, Class B, 2.76%, 07/15/53(b)			2,440		2,427,673
Series 2020-PTA, Class A2A, 1.60%, 09/15/54(b)			20,680		20,808,845
Series 2020-PTA, Class B, 2.50%, 09/15/54(b)			6,740		6,624,010
Sound Point CLO II Ltd., Series 2013-1A, Class A1R, (3 mo. LIBOR US + 1.07%), 1.32%, 01/26/31(a)(b)			500		495,139
Sound Point CLO XI Ltd., Series 2016-1A, Class CR, (3 mo. LIBOR US + 2.25%), 2.52%, 07/20/28(a)(b)			440		429,099
Sound Point CLO XIV Ltd.
Series 2016-3A, Class AR, (3 mo. LIBOR US + 1.15%), 1.41%, 01/23/29(a)(b)			9,440		9,411,519
Series 2016-3A, Class C, (3 mo. LIBOR US + 2.65%), 2.91%, 01/23/29(a)(b)			1,000		974,187
Sound Point CLO XV Ltd., Series 2017-1A, Class AR, (3 mo. LIBOR US + 1.15%), 1.41%, 01/23/29(a)(b)			1,720		1,707,283
Sound Point CLO XVIII Ltd., Series 2017-4A, Class B, (3 mo. LIBOR US + 1.80%), 2.07%, 01/21/31(a)(b)			500		464,759
Sound Point CLO XXIII, Series 2019-2A, Class A1, (3 mo. LIBOR US + 1.40%), 1.68%, 04/15/32(a)(b)			19,610		19,448,267
Sound Point Euro CLO I Funding DAC, Series 1X, Class B1, (3 mo. EURIBOR + 2.00%), 2.00%, 04/25/32(a)	EUR		660		770,895
Sound Point Euro CLO II Funding DAC, Series 2A, Class B1, (3 mo. EURIBOR + 1.85%), 1.85%, 10/26/32(a)(b)			3,020		3,546,089
Soundview Home Loan Trust, Series 2004-WMC1, Class M2, (1 mo. LIBOR US + 0.80%), 0.94%, 01/25/35(a)	USD		45		42,404
St. Paul’s CLO XII DAC, Series 12X, Class B1, (3 mo. EURIBOR + 1.60%), 1.60%, 04/15/33(a)	EUR		1,420		1,638,073

Security		Par (000)		Value
Asset-Backed Securities (continued)
Starwood Waypoint Homes Trust, Series 2017-1, Class E, (1 mo. LIBOR US + 2.60%), 2.75%, 01/17/35(a)(b)	USD		4,500	$	4,505,068
Steele Creek CLO Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.25%), 1.53%, 10/15/30(a)(b)			4,140		4,079,349
Stewart Park CLO Ltd., Series 2015-1A, Class CR, (3 mo. LIBOR US + 1.80%), 2.08%, 01/15/30(a)(b)			1,630		1,520,901
Stratus CLO Ltd., Series 2020-2A, Class D, (3 mo. LIBOR US + 3.65%), 3.92%, 10/15/28(a)(b)			500		500,212
Structured Asset Securities Corp. Assistance Loan Trust, Series 2003-AL2, Class A, 3.36%, 01/25/31(b)			236		233,351
Structured Asset Securities Corp. Mortgage Pass- Through Certificates, Series 2004-23XS, Class 2A1, (1 mo. LIBOR US + 0.30%), 0.45%, 01/25/35(a)			235		232,774
Sutton Park CLO DAC, Series 1X, Class BE, (3 mo. EURIBOR + 2.35%), 2.35%, 11/15/31(a)	EUR		940		1,079,577
Symphony CLO XVII Ltd., Series 2016-17A, Class AR, (3 mo. LIBOR US + 0.88%), 1.16%, 04/15/28(a)(b)	USD		3,598		3,569,848
Symphony CLO XVIII Ltd.
Series 2016-18A, Class AR, (3 mo. LIBOR US + 1.15%), 1.41%, 01/23/28(a)(b)			4,140		4,116,195
Series 2016-18A, Class B, (3 mo. LIBOR US + 1.80%), 2.06%, 01/23/28(a)(b)			300		295,769
Symphony CLO XXI Ltd., Series 2019-21A, Class A, (3 mo. LIBOR US + 1.38%), 1.66%, 07/15/32(a)(b)			4,230		4,227,769
TCI-Flatiron CLO Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.20%), 1.48%, 11/18/30(a)(b)			3,290		3,268,088
TCW CLO Ltd., Series 2020-1A, Class D, (3 mo. LIBOR US + 4.50%), 5.26%, 04/20/28(a)(b)			2,150		2,151,982
Thacher Park CLO Ltd., Series 2014-1A, Class AR, (3 mo. LIBOR US + 1.16%), 1.43%, 10/20/26(a)(b)			125		125,022
THL Credit Wind River CLO Ltd.
Series 2012-1A, Class BR2, (3 mo. LIBOR US + 1.45%), 1.73%, 01/15/26(a)(b)			920		909,726
Series 2016-1A, Class AR, (3 mo. LIBOR US + 1.05%), 1.33%, 07/15/28(a)(b)			4,880		4,868,874
Series 2017-1A, Class C, (3 mo. LIBOR US + 2.30%), 2.57%, 04/18/29(a)(b)			1,400		1,362,897
TIAA CLO II Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.28%), 1.55%, 04/20/29(a)(b)			2,340		2,334,669
TIAA CLO III Ltd., Series 2017-2A, Class A, (3 mo. LIBOR US + 1.15%), 1.42%, 01/16/31(a)(b)			1,467		1,447,579
TICP CLO I Ltd., Series 2015-1A, Class AR, (3 mo. LIBOR US + 0.80%), 1.07%, 07/20/27(a)(b)			852		846,772
TICP CLO IX Ltd., Series 2017-9A, Class A, (3 mo. LIBOR US + 1.14%), 1.41%, 01/20/31(a)(b)			3,080		3,049,211
TICP CLO V Ltd., Series 2016-5A, Class ER, (3 mo. LIBOR US + 5.75%), 6.02%, 07/17/31(a)(b)			1,000		881,713
TICP CLO VI Ltd.
Series 2016-6A, Class AR, (3 mo. LIBOR US + 1.20%), 1.48%, 01/15/29(a)(b)			3,820		3,799,200

S C H E D U L E  O F  I N V E S T M E N  T S 67

Schedule of Investments  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Asset-Backed Securities (continued)
TICP CLO VI Ltd.
Series 2016-6A, Class BR, (3 mo. LIBOR US + 1.70%), 1.98%, 01/15/29(a)(b)	USD		5,360	$	5,270,271
TICP CLO VII Ltd., Series 2017-7A, Class ER, (3 mo. LIBOR US + 7.05%), 7.33%, 04/15/33(a)(b)			750		654,811
TICP CLO XI Ltd., Series 2018-11A, Class A, (3 mo. LIBOR US + 1.18%), 1.45%, 10/20/31(a)(b)			750		742,499
TICP CLO XII Ltd., Series 2018-12A, Class A, (3 mo. LIBOR US + 1.11%), 1.39%, 01/15/31(a)(b)			250		247,951
Towd Point Mortgage Trust, Series 2019-SJ2, Class M1, 4.50%, 11/25/58(b)(d)			8,260		8,598,812
TRESTLES CLO III Ltd.
Series 2020-3A, Class A1, (3 mo. LIBOR US + 1.33%), 1.60%, 01/20/33(a)(b)			8,860		8,842,625
Series 2020-3A, Class B1, (3 mo. LIBOR US + 1.85%), 2.12%, 01/20/33(a)(b)			2,590		2,589,987
TRESTLES CLO Ltd., Series 2017-1A, Class A1A, (3 mo. LIBOR US + 1.29%), 1.53%, 07/25/29(a)(b)			250		249,320
Tricon American Homes, Series 2020-SFR1, Class D, 2.55%, 07/17/38(b)			6,675		6,814,310
Tricon American Homes Trust
Series 2017-SFR1, Class D, 3.41%, 09/17/34(b)			2,784		2,824,884
Series 2017-SFR1, Class F, 5.15%, 09/17/34(b)			14,485		14,873,407
Series 2017-SFR2, Class F, 5.10%, 01/17/36(b)			8,715		9,051,280
Series 2018-SFR1, Class E, 4.56%, 05/17/37(b)			890		940,357
Series 2018-SFR1, Class F, 4.96%, 05/17/37(b)			610		648,900
VCAT LLC, Series 2020-NPL1, Class A1, 3.67%, 08/25/50(b)(e)			11,737		11,734,215
Venture CLO Ltd.
Series 2018-32A, Class A2A, (3 mo. LIBOR US + 1.07%), 1.34%, 07/18/31(a)(b)			1,480		1,458,163
Series 2018-35A, Class AS, (3 mo. LIBOR US + 1.15%), 1.41%, 10/22/31(a)(b)			2,810		2,815,636
Venture XVIII CLO Ltd., Series 2014-18A, Class AR, (3 mo. LIBOR US + 1.22%), 1.50%, 10/15/29(a)(b)			9,820		9,679,428
Vericrest Opportunity Loan Trust, Series 2019- NPL2, Class A1, 3.97%, 02/25/49(b)(e)			922		922,279
Vibrant CLO VII Ltd., Series 2017-7A, Class A1, (3 mo. LIBOR US + 1.27%), 1.54%, 09/15/30(a)(b)			1,750		1,738,096
Voya CLO Ltd.
Series 2014-3A, Class CR, (3 mo. LIBOR US + 2.65%), 2.89%, 07/25/26(a)(b)			1,680		1,574,327
Series 2014-4A, Class A1RA, (3 mo. LIBOR US + 1.10%), 1.37%, 07/14/31(a)(b)			249		244,726
Series 2015-2A, Class BR, (3 mo. LIBOR US + 1.50%), 1.76%, 07/23/27(a)(b)			780		763,375
Series 2017-3A, Class A1A, (3 mo. LIBOR US + 1.23%), 1.50%, 07/20/30(a)(b)			2,201		2,195,209
Series 2017-4A, Class A1, (3 mo. LIBOR US + 1.13%), 1.41%, 10/15/30(a)(b)			6,640		6,604,310
Series 2019-1A, Class AR, (3 mo. LIBOR US + 1.06%), 1.34%, 04/15/31(a)(b)			10,079		9,984,644
Voya Euro CLO II DAC, Series 2X, Class C, (3 mo. EURIBOR + 2.75%), 2.75%, 07/15/32(a)	EUR		730		856,062

Security		Par (000)		Value
Asset-Backed Securities (continued)
Wachovia Asset Securitization Issuance II LLC Trust, Series 2007-HE2A, Class A, (1 mo. LIBOR US + 0.13%), 0.30%, 07/25/37(a)(b)	USD		1,467	$	1,316,337
Washington Mutual Asset-Backed Certificates Trust
Series 2006-HE4, Class 2A2, (1 mo. LIBOR US + 0.18%), 0.33%, 09/25/36(a)			4,973		2,231,767
Series 2006-HE5, Class 1A, (1 mo. LIBOR US + 0.16%), 0.30%, 10/25/36(a)			1,877		1,536,416
Series 2007-HE3, Class 2A3, (1 mo. LIBOR US + 0.24%), 0.39%, 05/25/37(a)			1,282		1,103,479
Wellfleet CLO Ltd.
Series 2017-1A, Class A1R, (3 mo. LIBOR US + 1.15%), 1.42%, 04/20/29(a)(b)			3,730		3,718,745
Series 2017-3A, Class B, (3 mo. LIBOR US + 1.95%), 2.22%, 01/17/31(a)(b)			750		720,741
Westcott Park CLO Ltd., Series 2016-1A, Class AR, (3 mo. LIBOR US + 1.21%), 1.48%, 07/20/28(a)(b)			5,610		5,587,589
Whitebox CLO I Ltd., Series 2019-1A, Class C, (3 mo. LIBOR US + 4.35%), 4.61%, 07/24/32(a)(b)			2,570		2,552,162
Whitebox CLO II Ltd.
Series 2020-2A, Class A1, (3 mo. LIBOR US + 1.75%), 1.99%, 10/24/31(a)(b)			1,470		1,467,030
Series 2020-2A, Class B, (3 mo. LIBOR US + 2.25%), 2.49%, 10/24/31(a)(b)			1,470		1,450,011
Series 2020-2A, Class D, (3 mo. LIBOR US + 4.15%), 4.39%, 10/24/31(a)(b)			1,470		1,460,941
Yale Mortgage Loan Trust, Series 2007-1, Class A, (1 mo. LIBOR US + 0.40%), 0.55%, 06/25/37(a)(b)			2,418		996,243
York CLO 1 Ltd., Series 2014-1A, Class DRR, (3 mo. LIBOR US + 3.01%), 3.27%, 10/22/29(a)(b)			250		235,311
York CLO-2 Ltd., Series 2015-1A, Class AR, (3 mo. LIBOR US + 1.15%), 1.41%, 01/22/31(a)(b)			250		248,036
York CLO-3 Ltd., Series 2016-1A, Class BR, (3 mo. LIBOR US + 1.75%), 2.02%, 10/20/29(a)(b)			3,380		3,321,885
York CLO-4 Ltd.
Series 2016-2A, Class A1R, (3 mo. LIBOR US + 1.09%), 1.36%, 04/20/32(a)(b)(c)			8,250		8,126,250
Series 2016-2A, Class BR, (3 mo. LIBOR US + 1.55%), 1.82%, 04/20/32(a)(b)(c)			3,000		2,880,000
Series 2016-2A, Class CR, (3 mo. LIBOR US + 2.15%), 2.42%, 04/20/32(a)(b)			3,000		2,859,000
York CLO-7 Ltd., Series 2019-2A, Class C, (3 mo. LIBOR US + 2.75%), 3.01%, 01/22/33(a)(b)			500		494,391
Total Asset-Backed Securities — 11.0% (Cost: $2,225,960,384)					2,210,762,256
		Shares
Common Stocks
Diversified Financial Services — 0.1%
Dragoneer Growth Opportunities Corp.(f)			323,687		3,965,166
Falcon Capital Acquisition Corp.(f)			359,337		3,697,577
					7,662,743

68 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Shares		Value
Energy Equipment & Services — 0.0%
Pioneer Energy Services Corp.(c)(f)			7,278	$	282,627
Vantage Drilling Co.(f)			311,000		1,088
					283,715
Entertainment — 0.0%
Cinemark Holdings, Inc.			104,612		1,046,120
Equity Real Estate Investment Trusts (REITs) — 0.0%
Service Properties Trust			389,045		3,092,908
Health Care Providers & Services — 0.0%
HCA Healthcare, Inc.			14,402		1,795,641
Hotels, Restaurants & Leisure — 0.0%
Caesars Entertainment, Inc.(f)			105,840		5,933,390
Target Hospitality Corp.(f)			112,843		137,669
					6,071,059
Household Durables — 0.1%
Beazer Homes U.S.A., Inc.(f)			52,287		690,189
Century Communities, Inc.(f)(g)			56,406		2,387,666
Taylor Morrison Home Corp.(f)			328,641		8,081,282
					11,159,137
Independent Power and Renewable Electricity Producers — 0.0%
Vistra Energy Corp.(g)			139,988		2,640,174
Media — 0.0%
Altice U.S.A., Inc.(f)			77,054		2,003,404
Metals & Mining — 0.0%
Northern Graphite Corp.(f)			99,612		20,198
Oil, Gas & Consumable Fuels — 0.0%
CA Resources Corp.(f)			136,266		1,771,458
Real Estate Management & Development — 0.0%
Forestar Group, Inc.(f)			128,970		2,282,769
KE Holdings, Inc., ADR(f)(h)			9,967		610,977
					2,893,746
Total Common Stocks — 0.2% (Cost: $37,492,413)					40,440,303
		Par (000)
Corporate Bonds
Aerospace & Defense — 1.7%
BAE Systems Holdings, Inc.
3.80%, 10/07/24(b)	USD		2,488		2,761,576
3.85%, 12/15/25(b)			12,498		14,107,786
4.75%, 10/07/44(b)			259		330,604
BAE Systems PLC, 3.40%, 04/15/30(b)			13,988		15,633,150
Boeing Co.
2.80%, 03/01/23			2,463		2,510,802
4.51%, 05/01/23			6,687		7,050,372
4.88%, 05/01/25			10,598		11,531,951
3.83%, 03/01/59			605		533,257
5.93%, 05/01/60			5,008		6,198,098
Embraer Netherlands Finance BV, 5.40%, 02/01/27			947		894,323
Embraer Overseas Ltd., 5.70%, 09/16/23			1,337		1,354,339
General Dynamics Corp.
3.75%, 05/15/28			4,050		4,754,175
3.63%, 04/01/30			8,065		9,591,187
4.25%, 04/01/50			1,506		1,966,916
Huntington Ingalls Industries, Inc. 3.84%, 05/01/25(b)			5,245		5,763,178

Security		Par (000)		Value
Aerospace & Defense (continued)
Huntington Ingalls Industries, Inc. 4.20%, 05/01/30(b)	USD		9,516	$	10,922,410
L3 Technologies, Inc., 4.95%, 02/15/21			250		251,006
L3Harris Technologies, Inc.
3.85%, 06/15/23			2,291		2,480,358
3.85%, 12/15/26			10,802		12,411,457
4.40%, 06/15/28			13,382		15,951,546
4.40%, 06/15/28			3,547		4,228,077
2.90%, 12/15/29			864		947,895
Lockheed Martin Corp.
3.60%, 03/01/35			14,240		17,129,715
6.15%, 09/01/36			1,247		1,848,709
4.07%, 12/15/42			2,369		2,959,448
3.80%, 03/01/45			2,429		2,887,605
4.70%, 05/15/46			1,489		2,029,032
2.80%, 06/15/50			9,104		9,568,720
Northrop Grumman Corp.
2.93%, 01/15/25			10,547		11,475,706
3.25%, 01/15/28			18,403		20,677,149
4.03%, 10/15/47			3,320		4,064,820
5.25%, 05/01/50			3,342		4,794,088
Raytheon Technologies Corp.
3.65%, 08/16/23			694		749,899
3.15%, 12/15/24(b)			4,040		4,364,307
3.95%, 08/16/25			7,411		8,422,123
7.20%, 08/15/27(b)			2,353		3,178,976
7.00%, 11/01/28(b)			7,205		9,876,120
4.13%, 11/16/28			10,595		12,545,804
7.50%, 09/15/29			475		690,395
2.15%, 05/18/30	EUR		8,500		11,083,863
2.25%, 07/01/30	USD		15,973		16,893,635
4.20%, 12/15/44(b)			1,922		2,178,377
4.15%, 05/15/45			1,513		1,814,891
Textron, Inc.
3.88%, 03/01/25			3,610		3,955,869
3.65%, 03/15/27			2,985		3,247,848
3.90%, 09/17/29			8,086		9,059,369
2.45%, 03/15/31			2,100		2,086,736
TransDigm, Inc.
8.00%, 12/15/25(b)			9,810		10,668,375
6.25%, 03/15/26(b)			23,463		24,502,294
United Technologies Corp., 5.40%, 05/01/35			2,386		3,242,756
					338,171,092
Air Freight & Logistics — 0.3%
FedEx Corp.
1.30%, 08/05/31	EUR		6,865		8,259,314
3.88%, 08/01/42	USD		2,943		3,245,330
4.55%, 04/01/46			1,320		1,591,790
United Parcel Service, Inc.
3.40%, 03/15/29			7,874		9,095,553
2.50%, 09/01/29			4,016		4,390,933
4.45%, 04/01/30			9,021		11,292,547
5.20%, 04/01/40			8,859		12,271,414
XPO Logistics, Inc.
6.13%, 09/01/23(b)			1,462		1,492,227
6.75%, 08/15/24(b)			3,480		3,686,016
					55,325,124
Airlines — 0.6%
Air Canada Pass-Through Trust
Series 2015-2, Class B, 5.00%, 12/15/23(b)			1,241		1,029,580
Series 2017-1, Class AA, 3.30%, 01/15/30(b)			1,974		1,876,540
Series 2017-1, Class B, 3.70%, 01/15/26(b)			20		16,402

S C H E D U L E  O F  I N V E S T M E N  T S 69

Schedule of Investments  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Airlines (continued)
Alaska Airlines Pass-Through Trust,
Series 2020-1, Class A, 4.80%, 08/15/27(b)	USD		8,910	$	9,331,040
Allegiant Travel Co., 8.50%, 02/05/24(b)			5,339		5,339,000
American Airlines Pass-Through Trust
4.00%, 12/15/25(c)			1,705		1,489,916
3.50%, 12/15/27(c)			4,717		4,221,335
Series 2015-2, Class AA, 3.60%, 09/22/27			1,034		991,409
Series 2015-2, Class B, 4.40%, 09/22/23			5,551		3,995,759
Series 2016-1, Class AA, 3.58%, 01/15/28			4,124		3,957,270
Series 2016-1, Class B, 5.25%, 01/15/24			4,405		3,043,032
Series 2016-2, Class AA, 3.20%, 06/15/28			1,892		1,778,305
Series 2016-3, Class AA, 3.00%, 10/15/28			4,252		3,972,602
Series 2016-3, Class B, 3.75%, 10/15/25			74		51,714
Series 2017-1, Class AA, 3.65%, 02/15/29			1,449		1,393,365
Series 2017-1, Class B, 4.95%, 02/15/25			1,300		916,503
Series 2017-2, Class B, 3.70%, 10/15/25			1,508		959,234
Series 2019-1, Class AA, 3.15%, 02/15/32			5,096		4,806,439
Series 2019-1, Class B, 3.85%, 02/15/28			5,353		3,537,137
American Airlines, Inc.
4.13%, 06/15/22(c)			15,927		13,678,107
4.87%, 10/22/23(c)			1,080		910,090
Avianca Holdings SA, 9.00%, 05/10/23(b)(f)(i)			983		154,208
Delta Air Lines Pass-Through Trust,
Series 2019-1, Class AA, 3.20%, 04/25/24			12,694		12,651,017
GOL Equity Finance SA, 3.75%, 07/15/24(b)(j)			790		493,106
Gol Finance, Inc., 7.00%, 01/31/25(b)			3,654		2,546,907
JetBlue 2020-1 Class A Pass-Through Trust, 4.00%, 11/15/32			9,725		10,062,654
Sun Country Airlines
Series 2019-1B, 4.70%, 12/15/25(c)			2,342		1,929,470
Series 2019-1C, 7.00%, 12/15/25(c)			2,344		1,922,008
Transportes Aereos Portugueses SA, 5.63%, 12/02/24(b)	EUR		400		286,085
Turkish Airlines Pass-Through Trust,
Series 2015-1, Class A, 4.20%, 03/15/27(b)	USD		1,341		1,067,182
United Airlines Pass-Through Trust
Series 2014-1, Class B, 4.75%, 04/11/22			364		334,474
Series 2014-2, Class B, 4.63%, 09/03/22			416		387,656
Series 2015-1, Class AA, 3.45%, 12/01/27			1,472		1,442,426
Series 2016-1, Class AA, 3.10%, 07/07/28			577		564,564
Series 2016-1, Class B, 3.65%, 01/07/26			432		329,159
Series 2016-2, Class AA, 2.88%, 10/07/28			1,811		1,720,278
Series 2016-2, Class B, 3.65%, 10/07/25			240		180,970
Series 2018-1, Class AA, 3.50%, 03/01/30			1,217		1,153,006
Series 2018-1, Class B, 4.60%, 03/01/26			1,894		1,468,649
Series 2019-2, Class AA, 2.70%, 05/01/32			3,365		3,183,072
Series 2019-2, Class B, 3.50%, 05/01/28			4,946		3,618,584
					112,790,254
Auto Components — 0.0%
American Axle & Manufacturing, Inc., 6.25%, 04/01/25			1,860		1,836,750
Magna International, Inc., 2.45%, 06/15/30			2,085		2,196,248
					4,032,998
Automobiles — 0.3%
BMW U.S. Capital LLC, 3.90%, 04/09/25(b)			4,460		4,983,247
Daimler Finance North America LLC
2.30%, 02/12/21(b)			8,755		8,808,731
3.35%, 05/04/21(b)			13,164		13,374,031

Security		Par (000)		Value
Automobiles (continued)
Nissan Motor Co. Ltd.
3.52%, 09/17/25(b)	USD		10,201	$	10,292,197
4.81%, 09/17/30(b)			14,616		14,703,766
					52,161,972
Banks — 5.7%
Banco de Credito del Peru, (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 3.00%), 3.13%, 07/01/30(b)(k)			3,279		3,279,000
Banco Espirito Santo SA
2.63%, 05/08/17(f)(i)	EUR		400		60,968
4.75%, 01/15/18(f)(i)			2,200		335,323
4.00%, 01/21/19(f)(i)			6,300		960,242
Banco Internacional del Peru SAA Interbank, 3.25%, 10/04/26(b)	USD		2,224		2,322,690
Banco Latinoamericano de Comercio Exterior SA, 2.38%, 09/14/25(b)			2,301		2,324,010
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, 5.38%, 04/17/25(b)			3,285		3,637,645
Banco Santander SA
2.71%, 06/27/24			13,400		14,177,468
3.31%, 06/27/29			3,600		3,915,804
Banco Votorantim SA, 4.00%, 09/24/22(b)			2,516		2,574,969
Bancolombia SA, 3.00%, 01/29/25			1,852		1,851,537
Bangkok Bank PCL, (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 1.90%), 3.73%, 09/25/34(k)			2,275		2,215,992
Bank of America Corp.
(3 mo. LIBOR US + 0.63%), 2.33%, 10/01/21(k)			37,283		37,283,000
(3 mo. LIBOR US + 0.37%), 2.74%, 01/23/22(k)			83		83,584
(3 mo. LIBOR US + 0.63%), 3.50%, 05/17/22(k)			10,605		10,803,824
(3 mo. LIBOR US + 1.16%), 3.12%, 01/20/23(k)			5,470		5,647,520
(3 mo. LIBOR US + 1.02%), 2.88%, 04/24/23(k)			428		442,718
(3 mo. LIBOR US + 0.93%), 2.82%, 07/21/23(k)			2,979		3,094,061
(3 mo. LIBOR US + 0.79%), 3.00%, 12/20/23(k)			3,584		3,762,466
4.20%, 08/26/24			6,037		6,723,036
4.00%, 01/22/25			4,977		5,544,378
3.95%, 04/21/25			4,095		4,548,875
(3 mo. LIBOR US + 0.87%), 2.46%, 10/22/25(k)			13,300		14,022,559
4.45%, 03/03/26			11,549		13,319,968
(3 mo. LIBOR US + 1.06%), 3.56%, 04/23/27(k)			8,198		9,156,592
(3 mo. LIBOR US + 1.58%), 3.82%, 01/20/28(k)			26,270		29,692,192
(3 mo. LIBOR US + 1.51%), 3.71%, 04/24/28(k)			13,449		15,207,923
(3 mo. LIBOR US + 1.37%), 3.59%, 07/21/28(k)			1,191		1,337,563
(3 mo. LIBOR US + 1.04%), 3.42%, 12/20/28(g)(k)			36,756		40,901,181
(3 mo. LIBOR US + 1.07%), 3.97%, 03/05/29(k)			16,847		19,329,695
(3 mo. LIBOR US + 1.31%), 4.27%, 07/23/29(k)			9,955		11,677,834

70 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020   Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Banks (continued)
Bank of America Corp.
(3 mo. LIBOR US + 1.18%), 3.19%, 07/23/30(k)		USD    2,902	$	3,192,681
(3 mo. LIBOR US + 1.19%), 2.88%, 10/22/30(k)		2,515		2,716,432
(Secured Overnight Financing Rate + 2.15%), 2.59%, 04/29/31(k)		8,616		9,166,743
(Secured Overnight Financing Rate + 1.93%), 2.68%, 06/19/41(k)		20,897		21,337,537
Bank of East Asia Ltd., (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 3.75%), 4.00%, 05/29/30(k)		2,160		2,226,825
Bank Tabungan Negara Persero Tbk PT, 4.20%, 01/23/25		200		198,812
Barclays PLC
4.38%, 01/12/26		4,159		4,659,396
(3 mo. LIBOR US + 1.90%), 4.97%, 05/16/29(k)		9,427		11,031,161
(1 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 1.90%), 2.65%, 06/24/31(k)		4,288		4,277,983
BBVA Bancomer SA, 6.75%, 09/30/22(b)		2,888		3,113,625
BNP Paribas SA
3.50%, 03/01/23(b)		8,616		9,132,735
3.38%, 01/09/25(b)		2,338		2,535,964
4.38%, 09/28/25(b)		2,732		3,046,265
(3 mo. LIBOR US + 1.11%), 2.82%, 11/19/25(b)(k)		15,073		15,884,219
4.40%, 08/14/28(b)		1,756		2,059,428
(Secured Overnight Financing Rate + 1.51%), 3.05%, 01/13/31(b)(k)		10,668		11,441,040
BPCE SA
3.00%, 05/22/22(b)		2,017		2,086,650
2.70%, 10/01/29(b)		9,456		10,166,540
Citigroup, Inc.
(3 mo. LIBOR US + 0.95%), 2.88%, 07/24/23(k)		4,900		5,084,601
4.40%, 06/10/25		7,783		8,781,620
(3 mo. LIBOR US + 1.56%), 3.89%, 01/10/28(k)		4,408		4,989,384
(3 mo. LIBOR US + 1.39%), 3.67%, 07/24/28(k)		34,845		39,169,695
(3 mo. LIBOR US + 1.15%), 3.52%, 10/27/28(k)		2,309		2,573,328
(3 mo. LIBOR US + 1.19%), 4.08%, 04/23/29(k)		5,249		6,071,113
(Secured Overnight Financing Rate + 1.42%), 2.98%, 11/05/30(k)		40,007		43,252,838
(Secured Overnight Financing Rate + 3.91%), 4.41%, 03/31/31(k)		1,814		2,174,489
Citizens Financial Group, Inc., 3.25%, 04/30/30		2,910		3,212,196
Credicorp Ltd., 2.75%, 06/17/25(b)		590		597,522
Danske Bank A/S
5.00%, 01/12/22(b)		13,526		14,209,720
(3 mo. LIBOR US + 1.25%), 3.00%, 09/20/22(b)(k)		927		944,594
(1 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 1.03%), 1.17%, 12/08/23(b)(k)		3,435		3,438,332
5.38%, 01/12/24(b)		14,017		15,766,377

Security		Par (000)		Value
Banks (continued)
Danske Bank A/S
(1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 1.35%), 1.62%, 09/11/26(b)(k)	USD		3,505	$	3,479,841
Fifth Third Bancorp, 3.65%, 01/25/24			2,460		2,683,607
Grupo Aval Ltd., 4.75%, 09/26/22			1,073		1,099,825
HSBC Holdings PLC
(3 mo. LIBOR US + 1.35%), 4.29%, 09/12/26(k)			4,934		5,508,762
(3 mo. LIBOR US + 1.55%), 4.04%, 03/13/28(k)			2,280		2,519,817
(Secured Overnight Financing Rate + 1.73%), 2.01%, 09/22/28(k)			2,881		2,855,809
(3 mo. LIBOR US + 1.53%), 4.58%, 06/19/29(k)			3,175		3,663,097
(3 mo. LIBOR US + 1.61%), 3.97%, 05/22/30(k)			12,500		13,955,857
Huntington National Bank, 3.25%, 05/14/21			3,780		3,839,629
ING Groep NV
4.10%, 10/02/23			23,473		25,719,722
4.63%, 01/06/26(b)			5,226		6,129,421
Intesa Sanpaolo SpA, 6.50%, 02/24/21(b)			1,790		1,827,100
Itau Unibanco Holding SA
2.90%, 01/24/23(b)			4,491		4,538,739
3.25%, 01/24/25(b)			2,456		2,502,050
JPMorgan Chase & Co.
2.97%, 01/15/23			1,360		1,404,362
(3 mo. LIBOR US + 0.70%), 3.21%, 04/01/23(k)			23,172		24,077,792
(3 mo. LIBOR US + 0.73%), 3.56%, 04/23/24(k)			2,451		2,628,207
(3 mo. LIBOR US + 0.89%), 3.80%, 07/23/24(k)			13,298		14,405,473
3.88%, 09/10/24			7,758		8,605,067
(3 mo. LIBOR US + 1.00%), 4.02%, 12/05/24(k)			39,194		43,008,669
(3 mo. LIBOR US + 1.16%), 3.22%, 03/01/25(k)			30,542		32,807,009
3.90%, 07/15/25			8,990		10,168,812
(Secured Overnight Financing Rate + 1.16%), 2.30%, 10/15/25(k)			8,819		9,278,699
(Secured Overnight Financing Rate + 1.59%), 2.01%, 03/13/26(k)			4,655		4,819,571
(Secured Overnight Financing Rate + 1.85%), 2.08%, 04/22/26(k)			5,000		5,228,899
3.20%, 06/15/26			200		221,999
(3 mo. LIBOR US + 1.25%), 3.96%, 01/29/27(k)			3,380		3,849,443
(3 mo. LIBOR US + 1.34%), 3.78%, 02/01/28(k)			27,927		31,586,510
(3 mo. LIBOR US + 1.38%), 3.54%, 05/01/28(k)			28,330		31,910,860
(Secured Overnight Financing Rate + 1.89%), 2.18%, 06/01/28(k)			5,825		6,077,610
(3 mo. LIBOR US + 0.95%), 3.51%, 01/23/29(k)			32		35,994
(3 mo. LIBOR US + 1.12%), 4.01%, 04/23/29(k)			6,576		7,629,403
(3 mo. LIBOR US + 1.33%), 4.45%, 12/05/29(k)			14,177		17,044,929
(Secured Overnight Financing Rate + 1.51%), 2.74%, 10/15/30(k)			1,799		1,927,326

S C H E D U L E  O F  I N V E S T M E N  T S 71

Schedule of Investments  (continued) September 30, 2020   Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Banks (continued)
JPMorgan Chase & Co.
(Secured Overnight Financing Rate + 3.79%), 4.49%, 03/24/31(k)		USD    1,831	$	2,234,447
(Secured Overnight Financing Rate + 2.44%), 3.11%, 04/22/51(k)		15,738		16,888,792
Kasikornbank PCL, (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 1.70%), 3.34%, 10/02/31(k)		1,940		1,905,080
KeyCorp
4.10%, 04/30/28		718		842,262
2.55%, 10/01/29		3,481		3,703,548
Lloyds Banking Group PLC
4.05%, 08/16/23		201		217,518
3.75%, 01/11/27		6,060		6,707,662
Mitsubishi UFJ Financial Group, Inc.
3.00%, 02/22/22		3,776		3,902,198
2.62%, 07/18/22		6,043		6,262,291
2.67%, 07/25/22		540		559,818
3.46%, 03/02/23		19,706		20,995,486
2.19%, 02/25/25		14,000		14,663,021
1.41%, 07/17/25		2,959		3,000,403
3.20%, 07/18/29		1,119		1,236,237
Mizuho Financial Group, Inc.
2.63%, 04/12/21(b)		7,490		7,581,755
2.27%, 09/13/21		5,639		5,740,641
(3 mo. LIBOR US + 0.98%), 2.84%, 07/16/25(k)		797		845,864
(3 mo. LIBOR US + 1.10%), 2.56%, 09/13/25(k)		18,319		19,253,469
3.66%, 02/28/27		352		392,943
(3 mo. LIBOR US + 1.51%), 2.20%, 07/10/31(k)		3,166		3,207,606
(3 mo. LIBOR US + 1.27%), 1.98%, 09/08/31(k)		5,413		5,376,559
Royal Bank of Scotland Group PLC, (3 mo. LIBOR US + 1.48%), 3.50%, 05/15/23(k)		696		720,849
Santander UK Group Holdings PLC, 2.88%, 08/05/21		12,877		13,135,981
Shinhan Financial Group Co. Ltd., (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 1.50%), 3.34%, 02/05/30(k)		1,025		1,074,969
Shizuoka Bank Ltd., (3 mo. LIBOR US - 0.50%), 0.00%, 01/25/23(a)(j)		200		189,790
Standard Chartered PLC, (3 mo. LIBOR US + 1.08%), 3.89%, 03/15/24(b)(k)		2,885		3,040,788
Sumitomo Mitsui Financial Group, Inc.
2.70%, 07/16/24		16,297		17,339,751
2.35%, 01/15/25		11,070		11,660,545
1.47%, 07/08/25		2,094		2,132,509
U.S. Bancorp, 3.00%, 07/30/29		3,250		3,614,467
Washington Mutual Escrow Bonds
0.00%, (c)(f)(i)(l)		13,308		1
0.00%, (c)(f)(i)(l)		11,911		1
0.00%, (c)(f)(i)(l)		2,570		—
0.00%, (c)(f)(i)(l)		3,115		—
Wells Fargo & Co.
3.75%, 01/24/24		6,345		6,893,976
3.55%, 09/29/25		7,860		8,750,452
(3 mo. LIBOR US + 0.83%), 2.41%, 10/30/25(k)		4,567		4,782,223
3.00%, 04/22/26		7,336		7,986,177

Security	Par (000)		Value
Banks (continued)
Wells Fargo & Co.
3.00%, 10/23/26		USD    4,873	$	5,326,635
(3 mo. LIBOR US + 1.31%), 3.58%, 05/22/28(k)		6,434		7,202,483
(Secured Overnight Financing Rate + 2.10%), 2.39%, 06/02/28(k)		2,099		2,189,843
(3 mo. LIBOR US + 1.17%), 2.88%, 10/30/30(k)		14,317		15,374,993
(Secured Overnight Financing Rate + 2.53%), 3.07%, 04/30/41(k)		18,795		19,661,461
				1,132,409,866
Beverages — 0.8%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.70%, 02/01/36		28,831		34,828,425
Anheuser-Busch InBev Worldwide, Inc.
4.75%, 01/23/29		38,680		47,205,802
3.50%, 06/01/30		21,681		24,667,150
4.90%, 01/23/31		4,325		5,441,043
5.45%, 01/23/39		1,023		1,324,416
8.00%, 11/15/39		3,000		4,837,508
4.95%, 01/15/42		500		613,482
Central American Bottling Corp., 5.75%, 01/31/27(b)		1,707		1,768,968
Coca-Cola Co.
2.50%, 06/01/40		4,340		4,550,641
2.75%, 06/01/60		6,450		6,550,767
Coca-Cola Femsa SAB de CV, 1.85%, 09/01/32		2,555		2,576,207
Embotelladora Andina SA, 3.95%, 01/21/50(b)		2,139		2,262,661
Fomento Economico Mexicano SAB de CV, 3.50%, 01/16/50		2,880		3,040,920
Keurig Dr Pepper, Inc., 3.20%, 05/01/30		6,658		7,469,881
Molson Coors Brewing Co.
5.00%, 05/01/42		1,379		1,561,793
4.20%, 07/15/46		1,500		1,582,261
PepsiCo, Inc.
4.60%, 07/17/45		1,586		2,172,939
3.45%, 10/06/46		1,562		1,810,648
4.00%, 05/02/47		181		228,546
				154,494,058
Biotechnology — 0.7%
AbbVie, Inc.
2.30%, 11/21/22(b)		6,787		7,022,693
3.85%, 06/15/24(b)		167		183,018
2.60%, 11/21/24(b)		30,942		32,783,169
3.80%, 03/15/25(b)		13,744		15,239,932
3.20%, 05/14/26		1,986		2,186,436
2.95%, 11/21/26(b)		2,317		2,523,739
4.55%, 03/15/35(b)		5,398		6,636,483
4.50%, 05/14/35		9,666		11,764,633
4.70%, 05/14/45		1,604		1,975,007
4.88%, 11/14/48		7,823		9,934,093
Amgen, Inc.
2.45%, 02/21/30		4,757		5,042,114
4.40%, 05/01/45		12,437		15,408,114
Biogen, Inc., 2.25%, 05/01/30		9,862		10,099,457
Elanco Animal Health, Inc.
4.91%, 08/27/21		212		217,565
5.27%, 08/28/23		3,230		3,464,175
5.90%, 08/28/28		437		504,735
Gilead Sciences, Inc.
1.20%, 10/01/27		1,882		1,887,669
4.60%, 09/01/35		1,584		2,037,808

72 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020   Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Biotechnology (continued)
Gilead Sciences, Inc.
4.80%, 04/01/44		USD    5,022	$	6,473,013
4.50%, 02/01/45		2,386		2,985,600
				138,369,453
Building Products — 0.0%
Johnson Controls International plc
4.63%, 07/02/44		1,483		1,854,035
5.13%, 09/14/45		7		9,241
Masonite International Corp.
5.75%, 09/15/26(b)		120		125,100
5.38%, 02/01/28(b)		1,697		1,809,740
Owens Corning
3.95%, 08/15/29		1,900		2,152,300
4.30%, 07/15/47		1,312		1,442,181
Standard Industries, Inc.
5.00%, 02/15/27(b)		1,674		1,740,960
4.75%, 01/15/28(b)		597		619,388
				9,752,945
Capital Markets — 2.0%
Bank of New York Mellon Corp., (3 mo. LIBOR US + 1.07%), 3.44%, 02/07/28(k)		6,475		7,428,328
CCTI 2017 Ltd., 3.63%, 08/08/22		1,675		1,698,031
Charles Schwab Corp., 3.20%, 03/02/27		3,391		3,801,590
Cindai Capital Ltd., 0.00%, 02/08/23(j)(m)		2,461		2,488,533
Credit Suisse AG, 3.63%, 09/09/24		4,401		4,868,970
Credit Suisse Group AG
(3 mo. LIBOR US + 1.20%), 3.00%, 12/14/23(b)(k)		8,280		8,618,930
(Secured Overnight Financing Rate + 3.73%), 4.19%, 04/01/31(b)(k)		5,454		6,296,588
Credit Suisse Group Funding Guernsey Ltd.
3.80%, 09/15/22		9,654		10,215,343
3.80%, 06/09/23		3,341		3,594,328
Deutsche Bank AG
4.25%, 02/04/21		2,930		2,961,121
(Secured Overnight Financing Rate + 3.04%), 3.55%, 09/18/31(k)		1,573		1,589,420
E*TRADE Financial Corp., 3.80%, 08/24/27		785		882,537
Goldman Sachs Group, Inc.
2.35%, 11/15/21		4,591		4,601,523
5.75%, 01/24/22		432		461,510
3.50%, 01/23/25		8,671		9,513,843
3.50%, 04/01/25		34,054		37,584,373
(3 mo. LIBOR US + 1.20%), 3.27%, 09/29/25(k)		3,652		3,952,881
3.75%, 02/25/26		3,474		3,910,024
(3 mo. LIBOR US + 1.17%), 1.45%, 05/15/26(a)		10,315		10,415,264
3.85%, 01/26/27		3,159		3,556,430
(3 mo. LIBOR US + 1.51%), 3.69%, 06/05/28(k)		22,323		25,022,492
Intercontinental Exchange, Inc.
3.75%, 09/21/28		5,126		5,931,971
1.85%, 09/15/32		8,838		8,781,154
Lehman Brothers Holdings, Inc., 6.75%, 12/28/17(c)(f)(i)		7,360		1
Moody’s Corp.
4.88%, 02/15/24		1,978		2,235,547
3.25%, 01/15/28		4,450		5,006,968
Morgan Stanley
3.70%, 10/23/24		9,381		10,407,811

Security	Par (000)		Value
Capital Markets (continued)
Morgan Stanley
(Secured Overnight Financing Rate + 1.15%), 2.72%, 07/22/25(k)		USD        6,457	$	6,859,092
4.00%, 07/23/25		18,642		21,070,125
(Secured Overnight Financing Rate + 1.99%), 2.19%, 04/28/26(k)		31,086		32,555,893
3.13%, 07/27/26		2,858		3,163,980
3.63%, 01/20/27		30,604		34,682,289
(3 mo. LIBOR US + 1.34%), 3.59%, 07/22/28(k)		1,846		2,076,179
(3 mo. LIBOR US + 1.14%), 3.77%, 01/24/29(k)		5,943		6,783,408
(3 mo. LIBOR US + 1.63%), 4.43%, 01/23/30(k)		11,021		13,168,133
(Secured Overnight Financing Rate + 1.14%), 2.70%, 01/22/31(k)		5,366		5,715,838
(Secured Overnight Financing Rate + 3.12%), 3.62%, 04/01/31(k)		13,253		15,227,430
Series F, 3.88%, 04/29/24		70		77,248
Nomura Holdings, Inc.
3.10%, 01/16/30		3,704		3,929,414
2.68%, 07/16/30		1,707		1,762,112
Northern Trust Corp., 3.15%, 05/03/29		3,064		3,494,278
Poseidon Finance 1 Ltd., 0.00%, 02/01/25(j)(m)		2,640		2,516,970
State Street Corp.
2.65%, 05/19/26		2,996		3,280,716
2.40%, 01/24/30		3,934		4,308,568
(Secured Overnight Financing Rate + 2.65%), 3.15%, 03/30/31(b)(k)		224		255,529
UBS Group AG
(3 mo. LIBOR US + 0.95%), 2.86%, 08/15/23(b)(k)		18,674		19,366,769
4.13%, 09/24/25(b)		11,625		13,241,834
4.13%, 04/15/26(b)		4,551		5,254,312
(1 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 1.08%), 1.36%, 01/30/27(b)(k)		13,635		13,627,820
				398,243,448
Chemicals — 0.3%
Braskem Netherlands Finance BV
4.50%, 01/10/28		877		844,112
(5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 8.22%), 8.50%, 01/23/81(b)(k)		6,046		6,085,677
(5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 8.22%), 8.50%, 01/23/81(k)		993		999,517
Cydsa SAB de CV, 6.25%, 10/04/27(b)		2,170		2,186,953
Dow Chemical Co.
9.00%, 04/01/21		3,960		4,119,453
4.55%, 11/30/25		1,962		2,282,328
DuPont de Nemours, Inc., 4.49%, 11/15/25		17,273		19,909,896
Eastman Chemical Co., 4.50%, 12/01/28		1,368		1,608,697
Ecolab, Inc., 1.30%, 01/30/31		2,087		2,043,472
LYB International Finance BV, 4.88%, 03/15/44		3,606		4,310,248
Mitsubishi Chemical Holdings Corp.
0.00%, 03/30/22(j)(m)		JPY      150,000		1,401,787
0.00%, 03/29/24(j)(m)		40,000		370,855
Rock International Investment, Inc., 6.63%, 03/27/20(f)(i)		USD            500		150,000
RPM International, Inc., 4.25%, 01/15/48		155		163,805
Sasol Financing USA LLC, 5.88%, 03/27/24		1,461		1,400,734

S C H E D U L E  O F  I N V E S T M E N  T S 73

Schedule of Investments  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Chemicals (continued)
Sherwin-Williams Co.
4.20%, 01/15/22		USD    2,800	$	2,905,233
2.95%, 08/15/29		5,806		6,390,075
2.30%, 05/15/30		1,729		1,805,572
4.00%, 12/15/42		971		1,075,130
				60,053,544
Commercial Services & Supplies — 0.2%
Beijing Environment Bvi Co. Ltd., 5.30%, 10/18/21		680		697,000
Clean Harbors, Inc., 4.88%, 07/15/27(b)		2,288		2,373,800
Conservation Fund, 3.47%, 12/15/29		1,008		1,089,770
KAR Auction Services, Inc., 5.13%, 06/01/25(b)		2,696		2,695,946
Republic Services, Inc.
2.90%, 07/01/26		2,994		3,310,725
3.38%, 11/15/27		410		466,099
3.95%, 05/15/28		11,362		13,385,484
2.30%, 03/01/30		5,451		5,795,341
Waste Management, Inc., 3.90%, 03/01/35		492		595,888
Waste Pro USA, Inc., 5.50%, 02/15/26(b)		1,398		1,414,762
				31,824,815
Communications Equipment — 0.1%
Motorola Solutions, Inc.
4.60%, 02/23/28		237		276,715
4.60%, 05/23/29		10,242		12,095,532
2.30%, 11/15/30		3,669		3,642,288
5.50%, 09/01/44		6,050		7,031,934
				23,046,469
Construction & Engineering — 0.0%
China City Construction International Co. Ltd., 5.35%, 07/03/17(f)(i)		CNH      340		2,754
GMR Hyderabad International Airport Ltd., 5.38%, 04/10/24		USD      400		394,933
Zhengzhou Real Estate Group Co. Ltd., 3.95%, 10/09/22		965		977,062
				1,374,749
Construction Materials — 0.0%
Cemex SAB de CV, 5.20%, 09/17/30(b)		3,426		3,438,505
U.S. Concrete, Inc., 6.38%, 06/01/24		1,627		1,677,844
				5,116,349
Consumer Finance — 0.9%
Alpha Holding SA de CV, 9.00%, 02/10/25(b)		3,084		2,322,638
American Express Co., 3.70%, 08/03/23		6,764		7,342,774
Capital One Financial Corp.
4.75%, 07/15/21		546		564,933
3.90%, 01/29/24		8,058		8,770,978
3.20%, 02/05/25		1,160		1,253,185
Discover Bank, 4.65%, 09/13/28		14,850		17,477,453
Discover Financial Services
4.50%, 01/30/26		4,031		4,599,097
4.10%, 02/09/27		952		1,055,738
Ford Motor Credit Co. LLC
3.20%, 01/15/21		2,007		2,002,760
5.75%, 02/01/21		7,810		7,858,812
3.34%, 03/18/21		1,500		1,500,375
General Motors Financial Co., Inc.
5.20%, 03/20/23		23,557		25,555,644
3.70%, 05/09/23		8,790		9,185,500
5.10%, 01/17/24		2,093		2,285,561
4.00%, 01/15/25		20,533		21,939,305
4.35%, 04/09/25		3,899		4,229,728

Security	Par (000)		Value
Consumer Finance (continued)
General Motors Financial Co., Inc.
2.75%, 06/20/25		USD    15,914	$	16,281,901
0.85%, 02/26/26		EUR    17,000		18,851,302
Hyundai Capital Services, Inc., 3.00%, 08/29/22(b)		USD      7,790		8,055,347
Navient Corp.
5.88%, 03/25/21		1,549		1,558,681
6.63%, 07/26/21		1,857		1,884,855
6.50%, 06/15/22		2,529		2,579,580
7.25%, 09/25/23		1,473		1,520,873
5.88%, 10/25/24		1,377		1,369,261
6.75%, 06/25/25		1,446		1,464,075
6.75%, 06/15/26		1,424		1,420,440
Synchrony Financial
4.38%, 03/19/24		1,140		1,233,533
4.25%, 08/15/24		570		619,390
Toyota Motor Credit Corp.
2.15%, 02/13/30		6,889		7,260,486
3.38%, 04/01/30		3,548		4,089,867
				186,134,072
Containers & Packaging — 0.1%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
4.13%, 08/15/26(b)		299		303,111
5.25%, 08/15/27(b)		2,217		2,259,123
Ball Corp.
5.25%, 07/01/25		597		675,759
4.88%, 03/15/26		448		499,520
International Paper Co.
6.00%, 11/15/41		2,411		3,314,169
4.40%, 08/15/47		2,477		3,025,824
Owens-Brockway Glass Container, Inc., 5.88%, 08/15/23(b)		2,010		2,110,500
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg, 7.00%, 07/15/24(b)		125		127,250
				12,315,256
Diversified Consumer Services — 0.1%
American University, 3.67%, 04/01/49		4,301		4,918,549
Bright Scholar Education Holdings Ltd., 7.45%, 07/31/22		200		204,500
China Education Group Holdings Ltd., 2.00%, 03/28/24(j)		HKD      8,000		1,197,576
Claremont Mckenna College, 3.38%, 01/01/50		USD         996		1,126,945
Ford Foundation, 2.42%, 06/01/50		265		272,240
George Washington University, 4.13%, 09/15/48		1,968		2,418,392
Massachusetts Institute of Technology, 3.96%, 07/01/38		1,385		1,721,260
University of Southern California, 3.03%, 10/01/39		246		266,204
Wesleyan University, 4.78%, 07/01/2116		1,285		1,645,230
				13,770,896
Diversified Financial Services — 0.9%
ANLLIAN Capital Ltd., 0.00%, 02/05/25(j)(m)		EUR         800		900,664
ASG Finance Designated Activity Co., 7.88%, 12/03/24(b)		USD      4,445		3,178,175
AXA Equitable Holdings, Inc., 3.90%, 04/20/23		184		197,823
Azul Investments LLP, 5.88%, 10/26/24(b)		1,759		1,320,899
Baoxin Auto Finance I Ltd., (3 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 8.91%), 5.63%(k)(l)		300		217,875

74 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020   Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Diversified Financial Services (continued)
Capitol Investment Merger Sub 2 LLC, 10.00%, 08/01/24(b)		USD    4,232	$	4,433,020
China Huadian Overseas Development 2018 Ltd., (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 6.07%), 3.38%(k)(l)		2,165		2,202,887
CK Hutchison International 17 II Ltd., 3.25%, 09/29/27		600		658,500
CNH Industrial Capital LLC, 4.38%, 11/06/20		13,090		13,131,169
Coastal Emerald Ltd.
(5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 7.45%), 4.30%, (k)(l)		1,190		1,201,156
3.95%, 08/01/22		695		701,908
Deutsche Telekom International Finance BV, 3.60%, 01/19/27(b)		4,339		4,861,972
Easy Tactic Ltd.
9.13%, 07/28/22		200		185,750
8.63%, 02/27/24		830		712,503
Fortune Star BVI Ltd.
5.95%, 01/29/23		200		202,687
6.85%, 07/02/24		540		556,200
GE Capital International Funding Co., 4.42%, 11/15/35		12,123		12,796,538
GlaxoSmithKline Capital, Inc., 3.88%, 05/15/28		8,087		9,611,923
Grupo Aval Ltd., 4.38%, 02/04/30(b)		5,009		4,828,175
Guojing Capital BVI Ltd., 3.95%, 12/11/22		498		511,384
Holcim U.S. Finance S.a.r.l & Cie SCS, 5.15%, 09/12/23(b)		2,325		2,577,510
Hyundai Capital America
3.95%, 02/01/22(b)		3,655		3,785,209
2.38%, 02/10/23(b)		15,891		16,293,201
Intercorp Peru Ltd., 3.88%, 08/15/29(b)		789		780,124
Latam Finance Ltd., 6.88%, 04/11/24(f)(i)		873		323,283
Manappuram Finance Ltd., 5.90%, 01/13/23		400		391,250
Mirae Asset Daewoo Co. Ltd., 2.63%, 07/30/25		1,175		1,191,744
Muthoot Finance Ltd., 4.40%, 09/02/23		200		195,062
New Lion Bridge Co. Ltd., 9.75%, 10/10/20		430		426,775
ORIX Corp., 2.90%, 07/18/22		4,137		4,282,374
Pacific National Finance Pty Ltd., 4.75%, 03/22/28		1,100		1,155,199
Pearl Holding III Ltd., 9.50%, 12/11/22		600		145,125
Prime Bloom Holdings Ltd., 6.95%, 07/05/22		890		167,431
Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.63%, 03/01/29(b)		3,343		3,313,749
Quicken Loans, Inc.
5.75%, 05/01/25(b)		3,385		3,484,857
5.25%, 01/15/28(b)		3,322		3,500,259
RELX Capital, Inc.
3.50%, 03/16/23		6,730		7,157,624
4.00%, 03/18/29		8,959		10,514,032
3.00%, 05/22/30		11,344		12,403,910
Santos Finance Ltd., 5.25%, 03/13/29		1,500		1,651,585
Shell International Finance BV
3.88%, 11/13/28		10,509		12,271,723
2.38%, 11/07/29		10,494		11,076,211
3.63%, 08/21/42		1,539		1,682,158
4.38%, 05/11/45		6,362		7,802,240
Shriram Transport Finance Co. Ltd.
5.95%, 10/24/22		436		409,976
5.10%, 07/16/23		243		222,877
Total Capital International SA
3.70%, 01/15/24		3,644		3,997,857
2.43%, 01/10/25		4,468		4,753,467

Security	Par (000)		Value
Diversified Financial Services (continued)
Trust Fibra Uno, 6.95%, 01/30/44(b)		USD    2,194	$	2,335,239
USAA Capital Corp., 2.13%, 05/01/30(b)		3,190		3,360,980
				184,064,239
Diversified Telecommunication Services — 1.5%
AT&T Inc.
0.00%, 11/27/22(b)(m)		36,000		35,500,851
4.45%, 04/01/24		2,436		2,720,961
3.80%, 02/15/27		7		7,898
4.25%, 03/01/27		1,170		1,358,417
4.30%, 02/15/30		2,536		3,005,997
2.25%, 02/01/32		4,504		4,504,895
4.50%, 05/15/35		14,502		17,121,722
3.15%, 09/04/36		EUR    1,800		2,496,260
2.60%, 05/19/38		11,000		14,387,171
4.90%, 06/15/42		USD    2,043		2,414,565
4.65%, 06/01/44		2,343		2,663,768
4.80%, 06/15/44		878		1,046,417
4.35%, 06/15/45		453		507,549
4.50%, 03/09/48		2,656		3,048,065
3.30%, 02/01/52		3,226		3,057,661
3.50%, 09/15/53(b)		11,262		10,888,373
3.55%, 09/15/55(b)		16,953		16,430,385
3.65%, 09/15/59(b)		3,446		3,385,176
Axtel SAB de CV, 6.38%, 11/14/24(b)		2,921		3,034,189
Bharti Airtel International Netherlands BV
5.13%, 03/11/23		278		294,941
5.35%, 05/20/24		922		994,896
Comunicaciones Celulares SA Via Comcel Trust, 6.88%, 02/06/24		1,530		1,547,243
Connect Finco S.a.r.l/Connect U.S. Finco LLC, 6.75%, 10/01/26(b)		5,764		5,782,157
Digicel International Finance Ltd./Digicel Holdings Bermuda Ltd.
8.75%, 05/25/24(b)		1,109		1,116,954
(6.00% Cash and 7.00% PIK), 13.00%, 12/31/25(b)(n)		562		506,607
8.00%, 12/31/26(b)		443		345,209
Empresa Nacional de Telecomunicaciones SA, 4.75%, 08/01/26(b)		6,698		7,372,020
Globe Telecom, Inc.
2.50%, 07/23/30		1,535		1,483,194
3.00%, 07/23/35		910		865,637
Level 3 Financing, Inc.
5.38%, 01/15/24		3,830		3,850,127
5.25%, 03/15/26		2,579		2,671,715
4.63%, 09/15/27(b)		597		613,417
4.25%, 07/01/28(b)		8,811		8,945,984
3.63%, 01/15/29(b)		6,525		6,443,437
Network i2i Ltd., (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 4.27%), 5.65%(k)(l)		700		695,844
UPC Holding BV, 5.50%, 01/15/28(b)		1,479		1,525,219
Verizon Communications, Inc.
4.13%, 03/16/27(g)		22,613		26,735,397
4.33%, 09/21/28		7,332		8,890,041
3.88%, 02/08/29		16,847		19,930,057
4.02%, 12/03/29		2,321		2,779,301
1.50%, 09/18/30		11,450		11,411,654
4.50%, 08/10/33		1,523		1,931,675
4.40%, 11/01/34		2,986		3,722,571
4.27%, 01/15/36		26,368		32,524,757
1.85%, 05/18/40		EUR    4,290		5,389,754

S C H E D U L E  O F  I N V E S T M E N  T S 75

Schedule of Investments  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Diversified Telecommunication Services (continued)
Verizon Communications, Inc.
4.86%, 08/21/46		USD    3,587	$	4,898,039
5.50%, 03/16/47		534		804,334
Series 20Y, 2.88%, 01/15/38		EUR    4,400		6,376,773
Ziggo BV
5.50%, 01/15/27(b)		USD    5,252		5,501,470
4.88%, 01/15/30(b)		1,372		1,420,020
				304,950,764
Electric Utilities — 2.4%
Adani Electricity Mumbai Ltd.
3.95%, 02/12/30(b)		2,519		2,457,599
3.95%, 02/12/30		1,919		1,872,224
Adani Transmission Ltd.
4.00%, 08/03/26		662		683,929
4.25%, 05/21/36		1,646		1,639,147
AEP Texas, Inc.
3.95%, 06/01/28		10,571		12,217,535
4.15%, 05/01/49		950		1,140,854
3.45%, 01/15/50		1,440		1,575,277
AEP Transmission Co. LLC
4.00%, 12/01/46		1,806		2,191,166
4.25%, 09/15/48		2,195		2,789,354
3.80%, 06/15/49(g)		4,475		5,289,436
3.15%, 09/15/49		3,515		3,767,070
3.65%, 04/01/50		1,807		2,107,214
Alabama Power Co.
3.55%, 12/01/23		885		967,942
6.00%, 03/01/39		215		313,299
4.15%, 08/15/44		290		354,220
3.75%, 03/01/45		4,887		5,649,072
4.30%, 07/15/48		2,138		2,739,897
3.45%, 10/01/49		4,816		5,493,354
Baltimore Gas & Electric Co.
3.50%, 08/15/46		4,197		4,760,321
3.75%, 08/15/47		2,530		2,969,711
4.25%, 09/15/48		1,490		1,889,408
3.20%, 09/15/49		2,000		2,153,809
2.90%, 06/15/50		163		166,249
Bi Hai Co. Ltd., 6.25%, 03/05/22		400		402,500
CenterPoint Energy Houston Electric LLC
3.55%, 08/01/42		2,240		2,564,744
3.95%, 03/01/48		549		680,172
Commonwealth Edison Co., 2.95%, 08/15/27		1,200		1,335,073
Dayton Power & Light Co., 3.95%, 06/15/49		4,998		5,422,588
DTE Electric Co.
2.95%, 03/01/50		1,742		1,837,722
Series A, 4.05%, 05/15/48		6,639		8,365,613
Duke Energy Carolinas LLC
3.95%, 11/15/28		1,701		2,039,626
2.45%, 08/15/29		8,544		9,250,224
2.45%, 02/01/30		7,726		8,355,384
3.75%, 06/01/45		1,177		1,391,264
3.88%, 03/15/46		3,172		3,840,778
3.70%, 12/01/47		3,085		3,654,052
3.20%, 08/15/49		5,348		5,939,757
Duke Energy Florida LLC
3.80%, 07/15/28		2,807		3,287,498
2.50%, 12/01/29		18,416		19,976,159
1.75%, 06/15/30		12,459		12,652,812
3.40%, 10/01/46		2,103		2,362,170
4.20%, 07/15/48		53		67,609

Security	Par (000)		Value
Electric Utilities (continued)
Duke Energy Ohio, Inc.
3.65%, 02/01/29		USD    12,683	$	14,726,002
2.13%, 06/01/30		2,925		3,070,384
Duke Energy Progress LLC
3.70%, 09/01/28		10,090		11,717,457
3.45%, 03/15/29		4,103		4,736,545
4.10%, 05/15/42		2,372		2,892,652
4.10%, 03/15/43		5,261		6,427,184
4.20%, 08/15/45		260		323,855
3.70%, 10/15/46		49		57,708
2.50%, 08/15/50		2,300		2,229,928
Edison International
2.40%, 09/15/22		139		141,696
3.13%, 11/15/22		10		10,318
3.55%, 11/15/24		3,527		3,718,560
Entergy Arkansas LLC, 4.20%, 04/01/49		1,197		1,527,310
Entergy Louisiana LLC
5.40%, 11/01/24		1,470		1,731,985
4.20%, 09/01/48		7,609		9,642,591
Eversource Energy, 2.90%, 10/01/24		5,710		6,180,151
Exelon Corp.
4.95%, 06/15/35		530		654,775
5.10%, 06/15/45		70		90,804
FirstEnergy Corp.
2.05%, 03/01/25		1,392		1,412,614
3.90%, 07/15/27		1,670		1,836,097
2.65%, 03/01/30		7,667		7,774,730
2.25%, 09/01/30		2,734		2,673,945
3.40%, 03/01/50		4,237		4,110,218
FirstEnergy Transmission LLC
4.35%, 01/15/25(b)		13,860		15,448,765
5.45%, 07/15/44(b)		1,121		1,448,468
4.55%, 04/01/49(b)		7,583		8,914,323
Florida Power & Light Co.
3.25%, 06/01/24		60		65,060
3.95%, 03/01/48		7,001		8,856,090
3.15%, 10/01/49		11,814		13,411,364
Generacion Mediterranea SA/Generacion Frias SA/Central Termica Roca SA, 9.63%, 07/27/23(b)		4,333		2,365,547
Huachen Energy Co. Ltd., 6.63%, 05/18/20(f)(i)		200		72,063
ITC Holdings Corp., 2.70%, 11/15/22		3,406		3,552,494
LLPL Capital Pte Ltd., 6.88%, 02/04/39		610		704,954
MidAmerican Energy Co.
3.10%, 05/01/27		390		434,793
3.65%, 04/15/29		13,756		16,389,571
3.65%, 08/01/48		1,020		1,203,998
4.25%, 07/15/49		2,933		3,801,568
3.15%, 04/15/50		3,370		3,734,489
Mid-Atlantic Interstate Transmission LLC, 4.10%, 05/15/28(b)		992		1,121,017
Mong Duong Finance Holdings BV, 5.13%, 05/07/29		796		808,189
Northern States Power Co.
3.40%, 08/15/42		3,707		4,232,952
4.00%, 08/15/45		1,610		2,017,616
3.60%, 09/15/47		1,658		1,968,292
2.90%, 03/01/50		2,475		2,650,338
NSTAR Electric Co.
3.20%, 05/15/27		161		180,204
3.25%, 05/15/29		825		941,769
3.95%, 04/01/30		642		776,586

76 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Electric Utilities (continued)
Ohio Power Co.
6.60%, 02/15/33		USD      3,415	$	4,816,540
4.00%, 06/01/49		3,666		4,489,636
Oncor Electric Delivery Co. LLC
3.70%, 11/15/28		5,350		6,291,886
5.75%, 03/15/29		480		631,145
2.75%, 05/15/30		3,074		3,431,256
5.30%, 06/01/42		597		845,074
3.80%, 09/30/47		2,314		2,810,425
3.80%, 06/01/49		187		227,552
3.10%, 09/15/49		3,583		3,937,850
5.35%, 10/01/52(b)		1,028		1,557,317
Public Service Electric & Gas Co.
3.65%, 09/01/28		6,843		8,012,232
3.20%, 05/15/29		1,531		1,748,470
Public Service Electric and Gas Co., 2.05%, 08/01/50		1,150		1,058,619
Southern California Edison Co.
2.90%, 03/01/21		2,215		2,238,500
1.85%, 02/01/22		1,804		1,806,428
3.70%, 08/01/25		11,997		13,298,301
4.20%, 03/01/29		1,808		2,069,436
2.25%, 06/01/30		9,815		9,848,240
3.60%, 02/01/45		1,389		1,426,123
Tampa Electric Co.
4.35%, 05/15/44		1,190		1,480,771
4.30%, 06/15/48		1,207		1,519,964
4.45%, 06/15/49		2,671		3,450,119
Tohoku Electric Power Co., Inc., 0.00%, 12/03/20(j)(m)		JPY    110,000		1,035,889
Trans-Allegheny Interstate Line Co., 3.85%, 06/01/25(b)		USD     18,145		20,108,017
Vistra Operations Co. LLC
3.55%, 07/15/24(b)		9,301		9,908,284
5.50%, 09/01/26(b)		4,297		4,484,994
5.63%, 02/15/27(b)		4,376		4,617,555
5.00%, 07/31/27(b)		3,804		3,986,592
4.30%, 07/15/29(b)		11,528		12,583,066
				475,122,132
Electrical Equipment — 0.3%
Carrier Global Corp.
1.92%, 02/15/23(b)		14,677		15,101,199
2.24%, 02/15/25(b)		28,975		30,225,889
Otis Worldwide Corp.
2.29%, 04/05/27		935		994,520
2.57%, 02/15/30		6,030		6,480,626
Suzlon Energy Ltd., (1.25% Cash or 2.75% PIK), Series SUEL, 1.25%, 08/17/32(c)(f)(i)(j)(n)		160		112,000
				52,914,234
Electronic Equipment, Instruments & Components — 0.0%
Corning, Inc.
3.70%, 11/15/23		775		838,849
4.38%, 11/15/57		4,068		4,925,601
				5,764,450
Energy Equipment & Services — 0.1%
Hilong Holding Ltd., 8.25%, 09/26/22(f)(i)		250		124,687
Odebrecht Drilling Norbe VIII/IX Ltd., 6.35%, 12/01/21(b)		360		320,114
Pioneer Energy Services Corp.
(11.00% Cash or 11.00% PIK), 11.00%, 05/15/25(b)(c)(n)		3,017		2,413,913

Security	Par (000)		Value
Energy Equipment & Services (continued)
Pioneer Energy Services Corp.
(5.00% Cash or 5.00% PIK), 5.00%, 11/15/25(b)(c)(j)(n)		USD    2,034	$	1,099,267
Transocean Guardian Ltd., 5.88%, 01/15/24(b)		927		598,186
Transocean Phoenix 2 Ltd., 7.75%, 10/15/24(b)		7,556		6,952,663
Transocean Proteus Ltd., 6.25%, 12/01/24(b)		759		677,006
				12,185,836
Equity Real Estate Investment Trusts (REITs) — 1.2%
American Tower Corp.
5.00%, 02/15/24		4,536		5,129,160
3.38%, 05/15/24		3,600		3,897,741
2.40%, 03/15/25		12,994		13,732,386
2.75%, 01/15/27		1,252		1,350,577
3.95%, 03/15/29		1,825		2,101,104
3.80%, 08/15/29		8,966		10,264,021
1.88%, 10/15/30		1,251		1,236,069
Boston Properties LP, 3.13%, 09/01/23		2,102		2,223,413
CC Holdings GS V LLC/Crown Castle GS III Corp., 3.85%, 04/15/23		2,211		2,381,164
Crown Castle International Corp.
3.15%, 07/15/23		2,323		2,470,344
1.35%, 07/15/25		5,279		5,336,281
4.45%, 02/15/26		2,370		2,716,162
3.70%, 06/15/26		5,925		6,607,975
3.80%, 02/15/28		474		537,757
4.30%, 02/15/29		1,324		1,545,440
3.10%, 11/15/29		14,492		15,703,906
3.30%, 07/01/30		1,360		1,487,259
2.25%, 01/15/31		3,983		4,025,780
5.20%, 02/15/49		581		764,572
4.15%, 07/01/50		1,362		1,556,794
Digital Dutch Finco BV
1.50%, 03/15/30		EUR     9,150		11,200,009
1.00%, 01/15/32		5,050		5,847,226
Equinix, Inc.
2.63%, 11/18/24		USD     1,762		1,873,457
1.25%, 07/15/25		5,023		5,057,415
1.00%, 09/15/25		13,088		12,994,353
1.55%, 03/15/28		3,099		3,104,198
GLP Capital LP/GLP Financing II, Inc., 4.00%, 01/15/31		2,938		3,058,546
LMIRT Capital Pte Ltd., 7.25%, 06/19/24		200		182,375
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.
5.63%, 05/01/24		6,235		6,610,846
4.63%, 06/15/25(b)		802		818,040
4.50%, 09/01/26		1,730		1,755,111
5.75%, 02/01/27		4,235		4,563,213
MPT Operating Partnership LP/MPT Finance Corp.
5.25%, 08/01/26		299		307,970
5.00%, 10/15/27		4,705		4,905,903
4.63%, 08/01/29		537		558,732
National Retail Properties, Inc., 2.50%, 04/15/30(g)		4,195		4,160,322
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer, 5.88%, 10/01/28(b)		567		565,583
Prologis Euro Finance LLC, 1.50%, 09/10/49		EUR     7,300		8,681,155
Realty Income Corp.
4.65%, 08/01/23		USD            5		5,525
4.13%, 10/15/26		2,631		3,044,393

S C H E D U L E  O F  I N V E S T M E N  T S 77

Schedule of Investments  (continued) September 30, 2020   Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Equity Real Estate Investment Trusts (REITs) (continued)
Realty Income Corp.
3.00%, 01/15/27		USD    865	$	941,117
3.25%, 01/15/31		3,140		3,474,871
RHP Hotel Properties LP/RHP Finance Corp., 4.75%, 10/15/27		2,358		2,173,887
Service Properties Trust
5.00%, 08/15/22		4,481		4,455,996
4.50%, 06/15/23		7,725		7,575,753
4.35%, 10/01/24		1,505		1,362,025
7.50%, 09/15/25		1,479		1,571,733
VICI Properties LP/VICI Note Co., Inc.
3.50%, 02/15/25(b)		26,650		26,383,633
4.25%, 12/01/26(b)		13,700		13,763,705
3.75%, 02/15/27(b)		4,326		4,253,669
4.63%, 12/01/29(b)		597		607,448
4.13%, 08/15/30(b)		5,173		5,088,939
				236,015,053
Food & Staples Retailing — 0.5%
Albertsons Cos., Inc./Safeway, Inc./New
Albertsons LP/Albertsons LLC
3.50%, 02/15/23(b)		3,289		3,344,091
5.75%, 03/15/25		6,117		6,309,991
7.50%, 03/15/26(b)		3,937		4,319,046
4.63%, 01/15/27(b)		806		824,691
5.88%, 02/15/28(b)		3,317		3,540,898
4.88%, 02/15/30(b)		597		622,373
Alimentation Couche-Tard, Inc., 3.55%, 07/26/27(b)		12,317		13,785,858
CVS Health Corp.
4.10%, 03/25/25		3,698		4,177,372
3.25%, 08/15/29		7,073		7,780,359
3.75%, 04/01/30		22,364		25,520,316
5.30%, 12/05/43		1,240		1,585,824
5.13%, 07/20/45		13,841		17,487,952
Performance Food Group, Inc., 5.50%, 10/15/27(b)		3,012		3,102,360
				92,401,131
Food Products — 0.3%
BRF GmbH, 4.35%, 09/29/26(b)		2,245		2,321,470
BRF SA, 5.75%, 09/21/50(b)		2,675		2,646,270
Campbell Soup Co., 8.88%, 05/01/21		2,350		2,465,443
CP Foods Capital Ltd., 0.50%, 06/18/25(j)		400		394,000
Darling Ingredients, Inc., 5.25%, 04/15/27(b)		1,690		1,774,500
JBS Investments II GmbH
7.00%, 01/15/26(b)		3,405		3,634,837
5.75%, 01/15/28(b)		2,508		2,608,320
JBS USA LUX SA/JBS USA Finance, Inc.
5.75%, 06/15/25(b)		2,836		2,916,968
6.75%, 02/15/28(b)		4,011		4,351,935
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
6.50%, 04/15/29(b)		4,974		5,520,991
5.50%, 01/15/30(b)		746		811,999
Knight Castle Investments Ltd., 7.99%, 01/23/21		700		491,969
Lamb Weston Holdings, Inc.
4.63%, 11/01/24(b)		2,776		2,893,980
4.88%, 11/01/26(b)		2,790		2,908,575
Mondelez International, Inc., 2.75%, 04/13/30		4,984		5,419,730
Pilgrim’s Pride Corp., 5.88%, 09/30/27(b)		5,344		5,517,680
Post Holdings, Inc.
5.75%, 03/01/27(b)		3,722		3,912,752
5.63%, 01/15/28(b)		2,728		2,894,654

Security	Par (000)		Value
Food Products (continued)
Post Holdings, Inc.
5.50%, 12/15/29(b)		USD    2,156	$	2,306,920
Simmons Foods, Inc., 5.75%, 11/01/24(b)		1,440		1,441,498
				57,234,491
Gas Utilities — 0.0%
Atmos Energy Corp., 3.38%, 09/15/49		2,607		2,956,099
Piedmont Natural Gas Co., Inc.
3.64%, 11/01/46		427		485,063
3.35%, 06/01/50		1,635		1,789,196
Promigas SA ESP/Gases del Pacifico SAC, 3.75%, 10/16/29		1,460		1,430,800
				6,661,158
Health Care Equipment & Supplies — 0.1%
Becton Dickinson and Co., 3.30%, 03/01/23		4,494		4,721,511
Boston Scientific Corp.
4.00%, 03/01/29		4,150		4,827,864
2.65%, 06/01/30		1,706		1,810,508
Medtronic Global Holdings SCA
1.50%, 07/02/39		EUR    3,660		4,486,526
1.38%, 10/15/40		570		681,856
1.75%, 07/02/49		3,500		4,303,610
Teleflex, Inc., 4.63%, 11/15/27		USD    1,667		1,754,518
				22,586,393
Health Care Providers & Services — 1.5%
Aetna, Inc.
4.50%, 05/15/42		2,558		3,045,596
4.13%, 11/15/42		10		11,409
4.75%, 03/15/44		1,023		1,263,320
AHS Hospital Corp., 5.02%, 07/01/45		2,140		2,881,018
AMN Healthcare, Inc.
5.13%, 10/01/24(b)		4,520		4,627,350
4.63%, 10/01/27(b)		2,029		2,079,725
Anthem, Inc.
3.65%, 12/01/27		6,450		7,349,429
4.10%, 03/01/28		2,442		2,839,817
Centene Corp.
5.25%, 04/01/25(b)		2,566		2,666,716
5.38%, 06/01/26(b)		12,003		12,648,161
5.38%, 08/15/26(b)		2,500		2,647,938
4.25%, 12/15/27		8,294		8,679,090
4.63%, 12/15/29		2,090		2,254,399
CHRISTUS Health, 4.34%, 07/01/28		4,070		4,736,643
Cigna Corp.
3.00%, 07/15/23		1,605		1,702,683
3.75%, 07/15/23		65		70,439
3.25%, 04/15/25		4,621		5,082,063
3.40%, 03/01/27		4,183		4,690,687
4.38%, 10/15/28		18,752		22,306,585
Cottage Health Obligated Group, 3.30%, 11/01/49		10,759		11,943,766
DaVita, Inc., 4.63%, 06/01/30(b)		6,689		6,851,543
DH Europe Finance II S.a.r.l
1.35%, 09/18/39		EUR    4,795		5,555,422
1.80%, 09/18/49		3,600		4,244,700
Encompass Health Corp.
4.50%, 02/01/28		USD    1,372		1,378,860
4.75%, 02/01/30		1,382		1,402,094
HCA, Inc.
4.75%, 05/01/23		8,538		9,314,011
5.00%, 03/15/24		7,975		8,934,541
5.38%, 02/01/25		1,552		1,699,440

78 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Health Care Providers & Services (continued)
HCA, Inc.
5.25%, 04/15/25		USD     25,546	$	29,496,667
5.88%, 02/15/26		896		1,003,520
5.25%, 06/15/26		2,781		3,244,561
5.38%, 09/01/26		597		659,685
5.63%, 09/01/28		896		1,024,979
5.88%, 02/01/29		597		695,505
4.13%, 06/15/29		3,078		3,481,372
Humana, Inc.
4.50%, 04/01/25		4,430		5,088,166
3.13%, 08/15/29		2,294		2,538,109
4.88%, 04/01/30		2,923		3,653,251
McLaren Health Care Corp., 4.39%, 05/15/48		2,199		2,734,478
Molina Healthcare, Inc., 5.38%, 11/15/22		2,368		2,474,560
Ochsner Clinic Foundation, 5.90%, 05/15/45		734		954,129
PeaceHealth Obligated Group, 4.79%, 11/15/48		462		600,368
RWJ Barnabas Health, Inc., 3.48%, 07/01/49		1,409		1,466,239
Select Medical Corp., 6.25%, 08/15/26(b)		14,365		14,939,600
Sutter Health, 3.70%, 08/15/28		1,823		2,050,330
Tenet Healthcare Corp.
4.63%, 07/15/24		4,979		5,003,895
4.63%, 09/01/24(b)		9,353		9,428,946
5.13%, 05/01/25		8,459		8,537,669
4.88%, 01/01/26(b)		15,230		15,506,577
6.25%, 02/01/27(b)		9,396		9,698,645
5.13%, 11/01/27(b)		896		920,371
4.63%, 06/15/28(b)		511		518,358
UnitedHealth Group, Inc.
2.95%, 10/15/27		11,106		12,394,245
3.85%, 06/15/28		863		1,018,529
5.80%, 03/15/36		5		7,241
6.50%, 06/15/37		231		359,362
2.75%, 05/15/40		14,634		15,462,852
4.63%, 11/15/41		2,362		3,099,134
4.75%, 07/15/45		4,326		5,904,978
4.20%, 01/15/47		1,634		2,069,550
4.25%, 04/15/47		50		63,678
3.75%, 10/15/47		1,148		1,365,063
				310,372,057
Hotels, Restaurants & Leisure — 0.9%
1011778 BC ULC/New Red Finance, Inc.
5.00%, 10/15/25(b)		8,681		8,901,150
3.88%, 01/15/28(b)		448		456,422
Aramark Services, Inc.
4.75%, 06/01/26		1,657		1,676,553
5.00%, 02/01/28(b)		3,857		3,885,927
Boyd Gaming Corp.
8.63%, 06/01/25(b)		1,656		1,815,440
6.38%, 04/01/26		1,848		1,924,119
6.00%, 08/15/26		1,726		1,779,938
Caesars Resort Collection LLC/CRC Finco, Inc., 5.25%, 10/15/25(b)		4,652		4,500,810
Cedar Fair LP, 5.25%, 07/15/29		3,581		3,437,760
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op
5.50%, 05/01/25(b)		6,059		6,240,770
5.38%, 04/15/27		3,117		3,101,415
Churchill Downs, Inc.
5.50%, 04/01/27(b)		3,722		3,885,024
4.75%, 01/15/28(b)		1,701		1,709,505

Security	Par (000)		Value
Hotels, Restaurants & Leisure (continued)
Colt Merger Sub, Inc.
5.75%, 07/01/25(b)		USD        2,601	$	2,682,281
6.25%, 07/01/25(b)		13,890		14,518,453
8.13%, 07/01/27(b)		4,331		4,590,860
Golden Nugget, Inc., 6.75%, 10/15/24(b)		3,550		2,964,250
Hilton Domestic Operating Co., Inc.
5.13%, 05/01/26		4,106		4,226,183
4.88%, 01/15/30		597		614,910
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.
4.63%, 04/01/25		2,955		2,984,550
4.88%, 04/01/27		2,561		2,601,784
HIS Co. Ltd., 0.00%, 11/15/24(j)(m)		JPY       40,000		305,065
Hyatt Hotels Corp., 5.38%, 04/23/25		USD        4,131		4,447,245
International Game Technology PLC
6.25%, 02/15/22(b)		2,025		2,068,031
6.50%, 02/15/25(b)		3,422		3,640,152
6.25%, 01/15/27(b)		448		480,480
IRB Holding Corp., 7.00%, 06/15/25(b)		1,742		1,857,408
Marriott International, Inc., 4.63%, 06/15/30		2,084		2,231,854
Marriott Ownership Resorts, Inc., 6.13%, 09/15/25(b)		3,879		3,995,370
Marriott Ownership Resorts, Inc./ILG LLC, 6.50%, 09/15/26		3,289		3,376,882
McDonald’s Corp.
2.13%, 03/01/30		3,710		3,860,413
4.60%, 05/26/45		2,222		2,756,144
4.88%, 12/09/45		5,602		7,264,260
4.45%, 09/01/48		2,753		3,428,094
3.63%, 09/01/49		2,366		2,656,672
Melco Resorts Finance Ltd.
5.63%, 07/17/27		200		206,875
5.38%, 12/04/29(b)		537		534,063
MGM China Holdings Ltd.
5.38%, 05/15/24(b)		2,481		2,552,329
5.88%, 05/15/26(b)		2,506		2,593,710
5.88%, 05/15/26		200		207,000
MGM Resorts International
5.75%, 06/15/25		392		411,130
4.63%, 09/01/26		229		227,855
5.50%, 04/15/27		390		407,550
REXLot Holdings Ltd., 4.50%, 04/17/19(f)(i)(j)		HKD        1,161		14,979
Sands China Ltd., 4.38%, 06/18/30		USD        1,962		2,060,464
Scientific Games International, Inc., 5.00%, 10/15/25(b)		3,693		3,711,465
SeaWorld Parks & Entertainment, Inc.
8.75%, 05/01/25(b)		4,134		4,371,705
9.50%, 08/01/25(b)		1,587		1,648,830
Starbucks Corp.
2.25%, 03/12/30		2,711		2,815,490
2.55%, 11/15/30		11,184		11,874,660
Station Casinos LLC, 5.00%, 10/01/25(b)		1,495		1,470,407
Studio City Finance Ltd., 7.25%, 02/11/24		200		206,210
Wyndham Destinations, Inc., 6.63%, 07/31/26(b)		1,141		1,195,323
Wyndham Hotels & Resorts, Inc., 5.38%, 04/15/26(b)		1,681		1,710,418
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.
5.50%, 03/01/25(b)		6,222		5,872,012
5.25%, 05/15/27(b)		3,101		2,883,930
Wynn Macau Ltd.
4.88%, 10/01/24(b)		3,585		3,526,744

S C H E D U L E  O F  I N V E S T M E N  T S 79

Schedule of Investments  (continued) September 30, 2020   Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)			Value
Hotels, Restaurants & Leisure (continued)
Wynn Macau Ltd.
5.50%, 10/01/27(b)		USD      2,511		$	2,454,502
5.50%, 10/01/27		400			391,000
5.13%, 12/15/29(b)		597			571,628
Series AUG, 5.50%, 01/15/26		200			196,000
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.
7.75%, 04/15/25(b)		5,371			5,688,346
5.13%, 10/01/29(b)		5,182			4,935,855
					185,606,654
Household Durables — 0.4%
Ashton Woods USA LLC/Ashton Woods Finance Co.
6.75%, 08/01/25(b)		1,069			1,085,035
9.88%, 04/01/27(b)		3,448			3,792,800
6.63%, 01/15/28(b)		6,260			6,291,300
Beazer Homes U.S.A., Inc., 7.25%, 10/15/29		4,961			5,320,672
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp., 6.25%, 09/15/27(b)		6,893			6,951,074
Century Communities, Inc., 6.75%, 06/01/27		7,145			7,537,975
Harvest International Co., 0.00%, 11/21/22(j)(m)		HKD      8,000			1,116,153
KB Home, 7.63%, 05/15/23		USD      1,769			1,941,477
Lennar Corp.
2.95%, 11/29/20		20			20,000
8.38%, 01/15/21		755			768,213
4.75%, 04/01/21		1,788			1,803,645
4.13%, 01/15/22		1,350			1,382,062
4.50%, 04/30/24		1,533			1,640,310
5.88%, 11/15/24		4,092			4,552,350
4.75%, 05/30/25		299			326,323
5.25%, 06/01/26		60			67,350
4.75%, 11/29/27		537			613,120
LGI Homes, Inc., 6.88%, 07/15/26(b)		1,069			1,117,105
M/I Homes, Inc., 4.95%, 02/01/28		5,263			5,420,890
Mattamy Group Corp.
5.25%, 12/15/27(b)		3,110			3,195,525
4.63%, 03/01/30(b)		3,535			3,579,541
PulteGroup, Inc.
4.25%, 03/01/21		152			152,950
5.50%, 03/01/26		418			476,520
5.00%, 01/15/27		562			635,763
6.00%, 02/15/35		53			65,455
Taylor Morrison Communities, Inc., 5.88%, 06/15/27(b)		299			328,900
Tempur Sealy International, Inc., 5.50%, 06/15/26.		3,695			3,835,225
Toll Brothers Finance Corp.			��
4.38%, 04/15/23		5,264			5,502,117
3.80%, 11/01/29		5,508			5,831,595
TRI Pointe Group, Inc.
5.25%, 06/01/27		2,378			2,538,515
5.70%, 06/15/28		333			364,635
Weekley Homes LLC/Weekley Finance Corp., 4.88%, 09/15/28(b)		1,891			1,909,910
					80,164,505
Household Products — 0.0%
Clorox Co., 3.10%, 10/01/27		900			1,013,872
Kimberly-Clark de Mexico SAB de CV, 2.43%, 07/01/31(b)		1,908			1,950,930
Spectrum Brands, Inc., 5.75%, 07/15/25		2,442			2,517,702
					5,482,504

Security	Par (000)		Value
Independent Power and Renewable Electricity Producers — 0.3%
Calpine Corp.
5.25%, 06/01/26(b)		USD      8,264	$	8,585,304
4.50%, 02/15/28(b)		15,793		16,174,243
China Shuifa Singyes Energy Holdings Ltd., (6.00% Cash or 6.00% PIK), 6.00%, 12/19/22(n)		340		309,183
Colbun SA, 3.15%, 03/06/30(b)		675		726,891
NRG Energy, Inc.
7.25%, 05/15/26		8,865		9,434,754
6.63%, 01/15/27		5,276		5,579,370
5.75%, 01/15/28		2,783		3,002,161
5.25%, 06/15/29(b)		3,165		3,441,937
2.75%, 06/01/48(j)		2,906		3,009,849
Orazul Energy Egenor S en C por A, 5.63%, 04/28/27(b)		607		627,335
ReNew Power Pvt Ltd., 5.88%, 03/05/27		200		198,860
ReNew Power Synthetic, 6.67%, 03/12/24		1,000		1,031,250
Star Energy Geothermal Wayang Windu Ltd., 6.75%, 04/24/33(b)		181		199,313
Stoneway Capital Corp.
10.00%, 03/01/27(f)(i)		4,059		1,632,329
10.00%, 03/01/27(b)(f)(i)		4,327		1,740,249
Talen Energy Supply LLC
6.50%, 06/01/25		1,999		1,306,856
10.50%, 01/15/26(b)		1,956		1,486,560
7.25%, 05/15/27(b)		3,184		3,173,238
				61,659,682
Industrial Conglomerates — 0.2%
3M Co., 2.38%, 08/26/29		3,687		3,987,694
General Electric Co., 5.88%, 01/14/38		13,269		15,516,181
Grupo KUO SAB De CV, 5.75%, 07/07/27(b)		2,142		2,068,369
Honeywell International, Inc.
2.70%, 08/15/29		1,451		1,605,334
0.75%, 03/10/32		EUR      7,580		8,939,606
Roper Technologies, Inc., 2.95%, 09/15/29		USD      6,577		7,239,497
Tyco Electronics Group SA
3.45%, 08/01/24		865		940,548
3.13%, 08/15/27		1,669		1,825,020
				42,122,249
Insurance — 0.4%
Ambac Assurance Corp., 5.10%(b)(l)		462		633,218
Ambac LSNI LLC, (3 mo. LIBOR US + 5.00%), 6.00%, 02/12/23(a)(b)		2,510		2,510,263
Aon Corp.
4.50%, 12/15/28		8,643		10,456,383
3.75%, 05/02/29		15,704		18,114,165
2.80%, 05/15/30		1,500		1,625,190
Aon PLC, 4.75%, 05/15/45		1,475		1,921,403
Marsh & McLennan Cos., Inc.
1.35%, 09/21/26		EUR      4,390		5,423,720
4.38%, 03/15/29		USD      4,809		5,822,645
1.98%, 03/21/30		EUR      3,035		4,021,490
2.25%, 11/15/30		USD      5,332		5,579,520
MetLife, Inc., 4.72%, 12/15/44		1,873		2,473,699
Principal Financial Group, Inc.
3.70%, 05/15/29		2,435		2,853,433
2.13%, 06/15/30		3,114		3,207,753
QBE Insurance Group Ltd., (USD Swap Rate 11:00 am NY 10Y + 4.40%), 5.88%, 06/17/46(k)		450		491,649
Trinity Acquisition PLC, 4.40%, 03/15/26		1,765		2,038,162
Union Life Insurance Co. Ltd., 3.00%, 09/19/21		229		213,471

80 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Insurance (continued)
Willis North America, Inc.
3.60%, 05/15/24	USD	2,050	$	2,238,956
3.88%, 09/15/49		777		893,006
ZhongAn Online P&C Insurance Co. Ltd., 3.50%, 03/08/26		1,200		1,201,666
				71,719,792
Interactive Media & Services — 0.0%
Baidu, Inc., 4.38%, 05/14/24		3,320		3,644,610
Tencent Holdings Ltd., 3.24%, 06/03/50		2,350		2,380,397
				6,025,007
Internet & Direct Marketing Retail — 0.3%
Alibaba Group Holding Ltd., 3.60%, 11/28/24		5,095		5,582,795
Amazon.com, Inc., 3.88%, 08/22/37		9,842		12,253,561
Baozun, Inc., 1.63%, 05/01/24(j)		258		237,455
Booking Holdings, Inc.
4.10%, 04/13/25		13,198		14,850,665
1.80%, 03/03/27	EUR	6,125		7,564,907
Expedia Group, Inc.
6.25%, 05/01/25(b)	USD	5,251		5,791,375
3.80%, 02/15/28		2,973		3,002,260
3.25%, 02/15/30		5,730		5,520,915
Netflix, Inc.
4.88%, 04/15/28		955		1,067,213
6.38%, 05/15/29		478		587,940
5.38%, 11/15/29(b)		537		632,935
4.88%, 06/15/30(b)		597		680,580
				57,772,601
IT Services — 1.1%
21Vianet Group, Inc., 7.88%, 10/15/21		685		699,556
DXC Technology Co.
4.00%, 04/15/23		6,655		7,007,997
4.13%, 04/15/25		1,330		1,437,043
Fidelity National Information Services, Inc.
3.00%, 08/15/26		5,100		5,657,427
1.00%, 12/03/28	EUR	10,500		12,606,254
2.95%, 05/21/39		4,400		6,237,362
Fiserv, Inc.
3.20%, 07/01/26	USD	3,974		4,415,287
3.50%, 07/01/29		13,009		14,829,159
2.65%, 06/01/30		6,790		7,306,620
1.63%, 07/01/30	EUR	8,660		10,826,842
Global Payments, Inc.
3.80%, 04/01/21	USD	1,910		1,935,452
4.80%, 04/01/26		4,157		4,853,299
4.45%, 06/01/28		2,703		3,175,473
3.20%, 08/15/29		5,410		5,900,922
International Business Machines Corp.
3.30%, 05/15/26		18,911		21,295,931
1.70%, 05/15/27		1,442		1,490,782
1.95%, 05/15/30		31,140		32,126,361
4.15%, 05/15/39		2,600		3,184,534
2.85%, 05/15/40		9,573		10,156,115
Leidos, Inc., 4.38%, 05/15/30(b)		13,524		15,849,452
LINE Corp., 0.00%, 09/19/25(j)(m)	JPY	20,000		188,738
Mastercard, Inc.
2.95%, 06/01/29	USD	17,164		19,384,947
3.35%, 03/26/30		6,428		7,537,209
PayPal Holdings, Inc.
1.65%, 06/01/25		4,546		4,708,374
2.65%, 10/01/26		1,096		1,195,936
Sabre GLBL, Inc., 5.25%, 11/15/23(b)		300		293,250

Security	Par (000)		Value
IT Services (continued)
Transcosmos, Inc., 0.00%, 12/22/20(j)(m)	JPY	40,000	$	398,753
Visa, Inc.
2.75%, 09/15/27	USD	3,727		4,124,840
4.15%, 12/14/35		3,063		3,966,391
2.70%, 04/15/40		5,603		6,060,676
				218,850,982
Leisure Products — 0.1%
Hasbro, Inc.
2.60%, 11/19/22		12,338		12,781,954
3.90%, 11/19/29		1,450		1,526,066
				14,308,020
Life Sciences Tools & Services — 0.2%
Agilent Technologies, Inc.
3.05%, 09/22/26		9,644		10,600,109
2.75%, 09/15/29		2,205		2,390,243
Avantor, Inc., 6.00%, 10/01/24(b)		1,212		1,266,540
Charles River Laboratories International, Inc.
5.50%, 04/01/26(b)		1,408		1,481,920
4.25%, 05/01/28(b)		758		795,513
IQVIA, Inc.
5.00%, 10/15/26(b)		3,518		3,676,310
5.00%, 05/15/27(b)		3,707		3,887,049
Jaguar Holding Co. II/PPD Development LP, 5.00%, 06/15/28(b)		904		943,550
Thermo Fisher Scientific, Inc.
4.13%, 03/25/25		342		389,582
2.60%, 10/01/29		4,103		4,472,701
4.50%, 03/25/30		3,037		3,757,129
1.88%, 10/01/49	EUR	7,400		8,729,538
				42,390,184
Machinery — 0.2%
China Conch Venture Holdings International Ltd., 0.00%, 09/05/23(j)(m)	HKD	6,000		859,010
Colfax Corp., 6.00%, 02/15/24(b)	USD	2,044		2,118,095
HTA Group Ltd., 7.00%, 12/18/25(b)		2,290		2,387,325
John Deere Cash Management SA
1.85%, 04/02/28	EUR	730		955,179
2.20%, 04/02/32		2,385		3,301,625
Parker-Hannifin Corp.
2.70%, 06/14/24	USD	9,940		10,642,217
3.25%, 06/14/29		1,783		1,996,866
Terex Corp., 5.63%, 02/01/25(b)		4,180		4,190,450
Vertical U.S. Newco, Inc., 5.25%, 07/15/27(b)		5,290		5,497,712
				31,948,479
Media — 1.9%
Altice France SA
7.38%, 05/01/26(b)		15,115		15,839,008
8.13%, 02/01/27(b)		5,275		5,749,750
5.50%, 01/15/28(b)		3,005		3,042,563
AMC Networks, Inc.
5.00%, 04/01/24		3,289		3,363,002
4.75%, 08/01/25		3,348		3,460,811
CCO Holdings LLC/CCO Holdings Capital Corp.
5.75%, 02/15/26(b)		5,720		5,948,800
5.50%, 05/01/26(b)		3,389		3,520,324
5.13%, 05/01/27(b)		8,329		8,763,940
5.88%, 05/01/27(b)		1,819		1,909,768
5.00%, 02/01/28(b)		10,487		11,011,350
5.38%, 06/01/29(b)		3,505		3,798,544
4.75%, 03/01/30(b)		4,054		4,292,172

S C H E D U L E  O F  I N V E S T M E N  T S 81

Schedule of Investments  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Media (continued)
Charter Communications Operating LLC/Charter Communications Operating Capital
(3 mo. LIBOR US + 1.65%), 1.90%, 02/01/24(a)	USD	208	$	212,795
6.38%, 10/23/35		6,501		8,915,462
6.48%, 10/23/45		20,357		27,303,889
5.38%, 05/01/47		9,250		10,983,090
5.13%, 07/01/49		1,609		1,865,560
4.80%, 03/01/50		1,621		1,843,294
6.83%, 10/23/55		1,405		1,945,877
Cinemark Holdings, Inc., 4.50%, 08/15/25(b)(j)		2,609		2,594,283
Clear Channel Worldwide Holdings, Inc., 5.13%, 08/15/27(b)		3,843		3,690,241
Comcast Corp.
4.15%, 10/15/28		14,620		17,617,378
2.65%, 02/01/30		5,553		6,050,633
3.40%, 04/01/30		27,632		31,883,540
1.95%, 01/15/31		19,508		20,051,099
4.40%, 08/15/35		322		408,604
3.90%, 03/01/38		6,050		7,179,140
3.75%, 04/01/40		7,481		8,748,877
4.75%, 03/01/44		8		10,540
4.60%, 08/15/45		2,191		2,826,386
3.40%, 07/15/46		8,690		9,669,281
4.00%, 08/15/47		445		539,618
3.97%, 11/01/47		5,977		7,144,834
4.70%, 10/15/48		1,868		2,491,166
4.00%, 11/01/49		945		1,146,681
2.65%, 08/15/62		1,525		1,457,823
Cox Communications, Inc.
3.25%, 12/15/22(b)		2,960		3,120,089
3.15%, 08/15/24(b)		19,141		20,595,615
CSC Holdings LLC
7.50%, 04/01/28(b)		3,177		3,505,978
5.75%, 01/15/30(b)		6,441		6,843,562
Diamond Sports Group LLC/Diamond Sports Finance Co., 5.38%, 08/15/26(b)		1,821		1,288,358
Discovery Communications LLC
1.90%, 03/19/27	EUR	3,980		4,871,782
5.20%, 09/20/47	USD	2,919		3,535,950
5.30%, 05/15/49		905		1,105,945
4.00%, 09/15/55(b)		7,431		7,544,732
Gray Television, Inc.
5.88%, 07/15/26(b)		1,994		2,068,775
7.00%, 05/15/27(b)		2,255		2,444,730
iHeartCommunications, Inc.
6.38%, 05/01/26		3,559		3,707,433
5.25%, 08/15/27(b)		3,210		3,129,750
4.75%, 01/15/28(b)		299		281,792
JOYY, Inc., 0.75%, 06/15/25(j)		166		180,217
Lamar Media Corp.
5.75%, 02/01/26		2,213		2,284,923
3.75%, 02/15/28(b)		358		356,210
Meredith Corp., 6.88%, 02/01/26		3,573		2,983,455
NBCUniversal Media LLC, 6.40%, 04/30/40		89		137,269
Nexstar Broadcasting, Inc.
5.63%, 07/15/27(b)		3,217		3,379,072
4.75%, 11/01/28(b)		2,573		2,620,729
Nielsen Co. Luxembourg S.a.r.l, 5.00%, 02/01/25(b)		1,349		1,374,294

Security	Par (000)		Value
Media (continued)
Outfront Media Capital LLC/Outfront Media Capital Corp.
5.00%, 08/15/27(b)	USD	4,648	$	4,531,800
4.63%, 03/15/30(b)		299		287,040
Sirius XM Radio, Inc.
4.63%, 07/15/24(b)		8,075		8,352,578
5.38%, 07/15/26(b)		2,752		2,864,006
5.00%, 08/01/27(b)		6,435		6,708,487
5.50%, 07/01/29(b)		4,240		4,547,400
TEGNA, Inc.
4.63%, 03/15/28(b)		4,459		4,360,010
5.00%, 09/15/29(b)		657		648,788
Time Warner Cable LLC
4.00%, 09/01/21		911		930,733
6.55%, 05/01/37		990		1,316,168
TWDC Enterprises 18 Corp.
3.70%, 12/01/42		2,383		2,695,444
4.13%, 06/01/44		1,476		1,782,346
3.00%, 07/30/46		2,724		2,810,267
Viacom, Inc., 6.88%, 04/30/36		3,442		4,736,224
ViacomCBS, Inc.
4.38%, 03/15/43		3,795		4,034,170
5.85%, 09/01/43		3,148		3,993,226
Walt Disney Co.
3.70%, 10/15/25		1,846		2,093,643
6.15%, 02/15/41		64		94,428
4.75%, 09/15/44		1,915		2,433,138
2.75%, 09/01/49		1,965		1,916,093
Weibo Corp., 1.25%, 11/15/22(j)		89		84,607
Ziggo Bond Co. BV, 6.00%, 01/15/27(b)		1,779		1,839,041
				387,700,420
Metals & Mining — 0.3%
ABJA Investment Co. Pte Ltd., 5.95%, 07/31/24		200		204,999
Anglo American Capital PLC
5.63%, 04/01/30(b)		3,625		4,449,397
2.63%, 09/10/30(b)		7,395		7,374,886
AngloGold Ashanti Holdings PLC, 3.75%, 10/01/30		1,102		1,125,418
FMG Resources August 2006 Pty Ltd.
4.75%, 05/15/22(b)		2,474		2,532,757
5.13%, 03/15/23(b)		1,681		1,754,124
5.13%, 05/15/24(b)		327		349,073
4.50%, 09/15/27(b)		358		382,169
Freeport-McMoRan, Inc.
5.00%, 09/01/27		358		373,949
5.25%, 09/01/29		358		384,850
Fresnillo PLC, 4.25%, 10/02/50(b)		3,648		3,604,490
Industrias Penoles SAB de CV
4.15%, 09/12/29(b)		3,906		4,242,892
4.75%, 08/06/50(b)		1,074		1,105,394
Minera Mexico SA de CV, 4.50%, 01/26/50(b)		1,833		1,988,805
Newmont Corp.
2.80%, 10/01/29		4,682		5,042,331
2.25%, 10/01/30		3,364		3,471,729
Nucor Corp., 3.95%, 05/01/28		2,488		2,899,807
Steel Dynamics, Inc., 2.80%, 12/15/24		3,750		3,955,981
Teck Resources Ltd., 6.13%, 10/01/35		1,384		1,654,406
Vale Overseas Ltd., 3.75%, 07/08/30		2,475		2,542,444
Vedanta Resources Finance II PLC, 8.00%, 04/23/23		700		549,719

82 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Metals & Mining (continued)
Vedanta Resources Ltd., 6.13%, 08/09/24	USD	586	$	410,200
Votorantim SA, 6.75%, 04/05/21(b)		1,349		1,382,725
				51,782,545
Multiline Retail — 0.0%
Dollar General Corp., 4.13%, 04/03/50		2,356		2,794,114
Macy’s, Inc., 8.38%, 06/15/25(b)		1,286		1,329,634
				4,123,748
Multi-Utilities — 0.3%
Ameren Illinois Co.
3.80%, 05/15/28		3,671		4,291,268
3.70%, 12/01/47		100		117,669
3.25%, 03/15/50		3,650		4,106,360
CenterPoint Energy Resources Corp., 1.75%, 10/01/30		9,695		9,732,107
Consumers Energy Co.
3.95%, 05/15/43		5		6,030
3.25%, 08/15/46		628		699,686
4.05%, 05/15/48		1,325		1,664,761
3.75%, 02/15/50		5,099		6,255,352
3.10%, 08/15/50		6,026		6,577,020
3.50%, 08/01/51		3,600		4,213,968
Dominion Energy Gas Holdings LLC
4.80%, 11/01/43		1,110		1,384,855
4.60%, 12/15/44		1,268		1,576,321
PG&E Corp., 5.00%, 07/01/28		6,372		6,180,840
Virginia Electric & Power Co.
2.75%, 03/15/23		6,506		6,816,101
3.50%, 03/15/27		3,975		4,531,549
4.00%, 01/15/43		8,631		10,564,961
4.00%, 11/15/46		1,554		1,922,669
				70,641,517
Oil, Gas & Consumable Fuels — 2.9%
Boardwalk Pipelines LP
4.80%, 05/03/29		640		697,423
3.40%, 02/15/31		3,031		2,970,852
BP Capital Markets America, Inc.
3.79%, 02/06/24		7,003		7,679,700
3.80%, 09/21/25		7,158		8,068,307
3.41%, 02/11/26		3,329		3,715,550
3.12%, 05/04/26		2,440		2,693,767
BP Capital Markets PLC
3.81%, 02/10/24		4,525		4,974,201
3.54%, 11/04/24		342		377,455
Bruin E&P Partners LLC, 8.88%, 08/01/23(f)(i)		2,601		3,251
Buckeye Partners LP
4.15%, 07/01/23		1,988		1,961,659
4.35%, 10/15/24		2,500		2,453,125
4.13%, 03/01/25(b)		1,160		1,102,000
3.95%, 12/01/26		358		333,584
Cameron LNG LLC
3.30%, 01/15/35(b)		7,430		8,382,935
3.40%, 01/15/38(b)		11,339		12,271,461
Cheniere Corpus Christi Holdings LLC
5.88%, 03/31/25		14,310		16,311,037
5.13%, 06/30/27		13,464		14,987,337
Cheniere Energy Partners LP
5.25%, 10/01/25		4,139		4,234,197
5.63%, 10/01/26		2,955		3,073,200
4.50%, 10/01/29		896		919,090

Security	Par (000)		Value
Oil, Gas & Consumable Fuels (continued)
Cheniere Energy, Inc.
(4.88% Cash or 4.88% PIK), 4.88%, 05/28/21(b)(j)(n)	USD	16,055	$	16,044,815
4.63%, 10/15/28(b)		2,529		2,595,386
Chesapeake Energy Corp.
6.63%, 08/15/20(f)(i)		623		21,805
6.13%, 02/15/21(f)(i)		9,090		318,150
5.38%, 06/15/21(f)(i)		425		15,938
Chevron U.S.A., Inc., 2.34%, 08/12/50		3,650		3,456,676
Concho Resources, Inc.
3.75%, 10/01/27		7,139		7,711,444
4.30%, 08/15/28		7,020		7,764,499
2.40%, 02/15/31		1,245		1,179,315
CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25(b)		3,125		2,945,312
DCP Midstream Operating LP
5.38%, 07/15/25		493		508,322
5.13%, 05/15/29		358		352,630
Diamondback Energy, Inc., 3.50%, 12/01/29		17,404		16,871,865
Enbridge Energy Partners LP, 7.38%, 10/15/45		658		963,405
Enbridge, Inc., 2.90%, 07/15/22		2,018		2,094,593
Endeavor Energy Resources LP/EER Finance, Inc.
5.50%, 01/30/26(b)		1,718		1,705,115
5.75%, 01/30/28(b)		1,351		1,357,755
Energy Transfer Operating LP
3.60%, 02/01/23		3,265		3,359,834
4.25%, 03/15/23		3,843		3,995,726
4.20%, 09/15/23		3,200		3,377,445
4.90%, 02/01/24		113		120,586
4.05%, 03/15/25		2,850		2,995,582
2.90%, 05/15/25		24,294		24,425,266
6.50%, 02/01/42		6,482		6,789,679
Energy Transfer Partners LP/Regency Energy Finance Corp.
5.88%, 03/01/22		11,403		11,911,417
5.00%, 10/01/22		12,080		12,713,360
4.50%, 11/01/23		5,290		5,628,420
Enterprise Products Operating LLC
6.88%, 03/01/33		2,153		2,886,943
6.65%, 10/15/34		145		192,820
4.45%, 02/15/43		6,682		7,213,214
4.85%, 03/15/44		3,040		3,457,606
5.10%, 02/15/45		3,534		4,113,892
EOG Resources, Inc., 4.15%, 01/15/26		9,444		10,815,451
Exxon Mobil Corp., 1.41%, 06/26/39		EUR 9,940		11,486,655
Gray Oak Pipeline LLC
2.00%, 09/15/23(b)		USD 4,753		4,779,215
2.60%, 10/15/25(b)		6,056		6,076,851
Great Western Petroleum LLC/Great Western Finance Corp., 9.00%, 09/30/21(b)		7,127		4,151,477
Hammerhead Resources, Inc., 9.00%, 07/10/22(c)		3,381		2,541,425
Hess Corp., 5.60%, 02/15/41		2,000		2,158,575
HPCL-Mittal Energy Ltd., 5.45%, 10/22/26		200		201,500
Kinder Morgan Energy Partners LP
6.50%, 02/01/37		6,083		7,568,787
6.95%, 01/15/38		1,402		1,834,740
6.38%, 03/01/41		2,148		2,631,084
Leviathan Bond Ltd., 5.75%, 06/30/23(b)		2,914		3,001,417
Marathon Petroleum Corp. 4.75%, 12/15/23		2,680		2,937,309

S C H E D U L E  O F  I N V E S T M E N  T S 83

Schedule of Investments  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Oil, Gas & Consumable Fuels (continued)
Marathon Petroleum Corp.
4.75%, 09/15/44	USD	1,372	$	1,430,336
5.85%, 12/15/45		1,915		2,174,568
Matador Resources Co., 5.88%, 09/15/26		627		524,141
Medco Platinum Road Pte Ltd., 6.75%, 01/30/25		200		191,000
MPLX LP
3.38%, 03/15/23		2,055		2,165,042
4.88%, 12/01/24		11,620		12,981,711
4.25%, 12/01/27		2,445		2,740,339
2.65%, 08/15/30		7,015		6,847,087
5.20%, 03/01/47		2,810		3,063,870
NGPL PipeCo LLC
4.38%, 08/15/22(b)		5,395		5,600,228
4.88%, 08/15/27(b)		7,707		8,363,191
7.77%, 12/15/37(b)		1,336		1,700,599
Northwest Pipeline LLC, 4.00%, 04/01/27		10,855		11,969,406
Oasis Petroleum, Inc., 6.50%, 11/01/21(f)(i)		1,547		340,340
Odebrecht Offshore Drilling Finance Ltd.
6.72%, 12/01/22(b)		746		670,765
(7.72% Cash or 7.72% PIK), 7.72%, 12/01/26(b)(n)		42		4,077
Odebrecht Oil & Gas Finance Ltd., 0.00%(b)(l)(m)		193		193
Parsley Energy LLC/Parsley Finance Corp., 5.63%, 10/15/27(b)		643		639,785
PBF Holding Co. LLC/PBF Finance Corp., 9.25%, 05/15/25(b)		5,440		5,576,109
Pioneer Natural Resources Co., 1.90%, 08/15/30 .		4,712		4,419,483
PTTEP Treasury Center Co. Ltd., 2.59%, 06/10/27(b)		490		506,685
Puma International Financing SA
5.13%, 10/06/24(b)		2,888		2,555,878
5.00%, 01/24/26(b)		1,709		1,427,549
QEP Resources, Inc., 5.25%, 05/01/23		925		672,938
Sabine Pass Liquefaction LLC
5.63%, 04/15/23		6,227		6,820,869
5.75%, 05/15/24		16,871		19,106,033
5.63%, 03/01/25		34,953		39,980,650
5.88%, 06/30/26		11,384		13,461,514
4.20%, 03/15/28		5,555		6,032,205
Shelf Drilling Holdings Ltd., 8.50%, 11/15/24(c)		10,789		8,631,200
SM Energy Co.
1.50%, 07/01/21(j)		5,224		4,796,004
10.00%, 01/15/25(b)		6,246		5,933,700
Suncor Energy, Inc.
6.80%, 05/15/38(o)		1,859		2,431,813
6.50%, 06/15/38		1,163		1,488,975
6.85%, 06/01/39		1,848		2,422,205
Sunoco Logistics Partners Operations LP
4.25%, 04/01/24		11,234		11,796,104
5.95%, 12/01/25		2,980		3,401,774
Sunoco LP/Sunoco Finance Corp.
4.88%, 01/15/23		1,721		1,729,605
5.50%, 02/15/26		1,394		1,392,258
6.00%, 04/15/27		1,057		1,086,068
Talos Production LLC/Talos Production Finance, Inc., 11.00%, 04/03/22		5,130		4,873,500
Targa Resources Partners LP/Targa Resources Partners Finance Corp.
5.13%, 02/01/25		1,818		1,813,455
5.88%, 04/15/26		2,941		3,019,525
5.38%, 02/01/27		1,690		1,699,498
6.50%, 07/15/27		3,372		3,515,310

Security	Par (000)		Value
Oil, Gas & Consumable Fuels (continued)
Targa Resources Partners LP/Targa Resources Partners Finance Corp.
5.00%, 01/15/28	USD	448	$	436,800
6.88%, 01/15/29		2,717		2,906,375
5.50%, 03/01/30(b)		597		597,627
Texas Eastern Transmission LP
3.50%, 01/15/28(b)		4,737		5,119,932
4.15%, 01/15/48(b)		3,170		3,385,344
Thaioil Treasury Center Co. Ltd., 3.75%, 06/18/50		2,470		2,344,184
TransCanada PipeLines Ltd.
4.63%, 03/01/34		2,905		3,430,621
5.85%, 03/15/36		1,026		1,342,000
Transcontinental Gas Pipe Line Co. LLC
7.85%, 02/01/26		6,627		8,580,013
4.00%, 03/15/28		6,240		6,967,600
4.60%, 03/15/48		3,414		3,903,724
3.95%, 05/15/50(b)		5,137		5,392,237
Western Midstream Operating LP, (3 mo. LIBOR US + 0.85%), 2.12%, 01/13/23(a)		4,291		3,990,630
Williams Cos., Inc., 7.50%, 01/15/31		2,180		2,871,631
WPX Energy, Inc.
8.25%, 08/01/23		375		423,750
5.88%, 06/15/28		558		583,110
Yankuang Group Cayman Ltd., 4.75%, 11/30/20		770		771,902
				591,528,497
Paper & Forest Products — 0.1%
Celulosa Arauco y Constitucion SA, 4.25%, 04/30/29(b)		1,802		1,919,130
Georgia-Pacific LLC
3.73%, 07/15/23(b)		3,907		4,206,387
1.75%, 09/30/25(b)		3,780		3,940,121
7.38%, 12/01/25		3,288		4,249,234
2.10%, 04/30/27(b)		2,870		3,013,694
7.75%, 11/15/29		1,275		1,906,164
2.30%, 04/30/30(b)		4,364		4,630,568
8.88%, 05/15/31		528		853,592
Inversiones CMPC SA, 4.38%, 05/15/23(b)		827		876,878
Suzano Austria GmbH, 3.75%, 01/15/31		800		799,200
				26,394,968
Pharmaceuticals — 0.8%
Allergan Funding SCS, 3.45%, 03/15/22		14,735		15,008,843
AstraZeneca PLC, 1.38%, 08/06/30		14,424		14,030,157
Bausch Health Americas, Inc.
9.25%, 04/01/26(b)		3,933		4,326,300
8.50%, 01/31/27(b)		4,589		5,042,164
Bausch Health Cos., Inc.
5.50%, 11/01/25(b)		4,757		4,881,871
9.00%, 12/15/25(b)		3,992		4,342,498
5.75%, 08/15/27(b)		1,865		1,979,231
7.00%, 01/15/28(b)		1,897		2,010,820
7.25%, 05/30/29(b)		1,961		2,112,978
Bayer U.S. Finance II LLC
2.85%, 04/15/25(b)		2,800		2,874,375
4.38%, 12/15/28(b)		6,176		7,251,809
3.60%, 07/15/42(b)		2,845		2,738,113
Bristol-Myers Squibb Co., 4.55%, 02/20/48		3,279		4,434,493
Eli Lilly & Co., 1.70%, 11/01/49	EUR	3,400		4,329,665
Horizon Therapeutics USA, Inc., 5.50%, 08/01/27(b)	USD	358		379,928
Johnson & Johnson, 3.70%, 03/01/46		2,341		2,930,268
Luye Pharma Group Ltd., 1.50%, 07/09/24(j)		900		882,110

84 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Pharmaceuticals (continued)
Merck & Co., Inc.
3.40%, 03/07/29	USD	4,691	$	5,465,357
1.45%, 06/24/30		6,258		6,345,518
Pfizer, Inc.
3.45%, 03/15/29		8,145		9,535,313
1.70%, 05/28/30		2,919		3,008,272
Pharmacia LLC, 6.60%, 12/01/28		2,164		3,001,543
Shire Acquisitions Investments Ireland DAC
2.88%, 09/23/23		4,400		4,663,780
3.20%, 09/23/26		4,497		5,000,319
Sino Biopharmaceutical Ltd., 0.00%, 02/17/25(j)(m)	EUR	924		1,051,166
Takeda Pharmaceutical Co. Ltd.
5.00%, 11/26/28	USD	8,445		10,496,214
2.05%, 03/31/30		2,809		2,836,654
2.00%, 07/09/40	EUR	10,410		12,927,435
Wyeth LLC, 5.95%, 04/01/37	USD	6,252		9,270,446
				153,157,640
Professional Services — 0.0%
Equifax, Inc., 3.10%, 05/15/30		3,905		4,254,344
Real Estate Management & Development — 0.4%
Agile Group Holdings Ltd.
(5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 11.29%), 7.88%, (k)(l)		200		202,500
6.70%, 03/07/22		236		241,605
5.75%, 01/02/25		650		637,000
Arrow Bidco LLC, 9.50%, 03/15/24(b)		2,177		1,806,910
Central China Real Estate Ltd.
6.88%, 10/23/20		500		500,000
6.50%, 03/05/21		260		260,003
6.75%, 11/08/21		435		436,823
7.25%, 04/24/23		200		200,500
7.65%, 08/27/23		200		200,761
7.25%, 07/16/24		320		311,200
7.25%, 08/13/24		350		338,625
CFLD Cayman Investment Ltd.
8.63%, 02/28/21		581		581,000
6.90%, 01/13/23		650		614,250
8.60%, 04/08/24		719		665,749
China Aoyuan Group Ltd.
4.80%, 02/18/21		800		798,000
7.95%, 02/19/23		1,765		1,826,775
6.35%, 02/08/24		1,100		1,091,750
China Evergrande Group
9.50%, 04/11/22		200		180,000
11.50%, 01/22/23		400		354,625
4.25%, 02/14/23(j)	HKD	28,000		3,357,980
10.00%, 04/11/23	USD	400		338,000
7.50%, 06/28/23		400		318,250
12.00%, 01/22/24		900		789,187
10.50%, 04/11/24		200		160,500
China SCE Group Holdings Ltd.
7.25%, 04/19/23		1,000		1,015,312
7.38%, 04/09/24		636		641,366
CIFI Holdings Group Co. Ltd.
6.45%, 11/07/24		200		204,500
6.00%, 07/16/25		200		201,625
5.95%, 10/20/25		800		802,750
Country Garden Holdings Co. Ltd.
6.50%, 04/08/24		200		215,563
5.40%, 05/27/25		965		1,037,073
6.15%, 09/17/25		200		221,750

Security	Par (000)		Value
Real Estate Management & Development (continued)
Esic Sukuk Ltd., 3.94%, 07/30/24	USD	1,500	$	1,506,562
Fantasia Holdings Group Co. Ltd.
8.38%, 03/08/21		510		506,972
11.75%, 04/17/22		230		235,606
7.95%, 07/05/22		530		509,959
12.25%, 10/18/22		200		205,500
10.88%, 01/09/23		200		199,813
Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, 11/15/25(b)		4,330		4,327,835
Forestar Group, Inc.
8.00%, 04/15/24(b)		9,456		9,999,720
5.00%, 03/01/28(b)		3,502		3,537,020
Future Land Development Holdings Ltd., 7.50%, 01/22/21		700		703,281
Gemdale Ever Prosperity Investment Ltd., 5.60%, 06/14/22		200		205,491
Global Prime Capital Pte Ltd., 5.95%, 01/23/25		451		436,202
Greenland Global Investment Ltd., 5.60%, 11/13/22		200		193,737
Hopson Capital International Group Co. Ltd., 6.00%, 02/17/21		800		797,000
Hopson Development Holdings Ltd., 7.50%, 06/27/22		400		399,000
Howard Hughes Corp.
5.38%, 03/15/25(b)		4,211		4,278,797
5.38%, 08/01/28(b)		4,396		4,393,758
Jingrui Holdings Ltd., 9.45%, 04/23/21		700		686,219
Kaisa Group Holdings Ltd.
6.75%, 02/18/21		555		550,837
8.50%, 06/30/22		254		248,523
11.95%, 10/22/22		900		929,250
11.50%, 01/30/23		200		203,813
10.88%, 07/23/23		200		198,500
11.95%, 11/12/23		215		220,375
9.38%, 06/30/24		500		469,375
KWG Group Holdings Ltd.
7.88%, 09/01/23		486		499,365
7.40%, 03/05/24		200		205,563
5.95%, 08/10/25		614		598,650
Logan Group Co. Ltd., 5.75%, 01/14/25		436		437,362
Logan Property Holdings Co. Ltd., 6.50%, 07/16/23		200		203,688
Longfor Group Holdings Ltd., 3.95%, 09/16/29		620		660,300
MAF Global Securities Ltd., 4.75%, 05/07/24		1,073		1,141,404
New Metro Global Ltd., 6.80%, 08/05/23		400		406,000
No Va Land Investment Group Corp., 5.50%, 04/27/23(j)		1,285		1,304,001
NWD MTN Ltd., 4.13%, 07/18/29		1,200		1,214,625
Powerlong Real Estate Holdings Ltd.
7.13%, 11/08/22		620		638,600
6.95%, 07/23/23		200		204,000
Realogy Group LLC/Realogy Co-Issuer Corp., 9.38%, 04/01/27(b)		410		424,432
Redsun Properties Group Ltd.
11.50%, 03/04/21		800		814,000
10.50%, 10/03/22		600		617,062
RKPF Overseas 2019 A Ltd., 6.00%, 09/04/25		595		590,537
Ronshine China Holdings Ltd.
11.25%, 08/22/21		265		275,600
8.75%, 10/25/22		730		742,775
7.35%, 12/15/23		466		454,615

S C H E D U L E  O F  I N V E S T M E N  T S 85

Schedule of Investments  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Real Estate Management & Development (continued)
Scenery Journey Ltd.
11.50%, 10/24/22	USD	665	$	601,825
12.00%, 10/24/23		800		695,791
Seazen Group Ltd.
6.45%, 06/11/22		200		202,491
6.00%, 08/12/24		400		398,000
Shimao Group Holdings Ltd.
5.60%, 07/15/26		200		218,563
4.60%, 07/13/30		1,263		1,326,150
Shui On Development Holding Ltd.
5.75%, 11/12/23		300		299,250
6.15%, 08/24/24		580		580,000
Sunac China Holdings Ltd.
8.35%, 04/19/23		200		203,688
7.95%, 10/11/23		200		201,688
7.50%, 02/01/24		200		200,700
6.65%, 08/03/24		700		673,703
7.00%, 07/09/25		302		291,415
Theta Capital Pte Ltd., 8.13%, 01/22/25		300		262,313
Times China Holdings Ltd.
5.75%, 04/26/22		500		499,170
6.75%, 07/16/23		295		301,361
Vanke Real Estate Hong Kong Co. Ltd., 3.15%, 05/12/25		1,650		1,720,641
Wanda Group Overseas Ltd., 7.50%, 07/24/22		840		809,550
Yango Justice International Ltd.
6.80%, 03/11/21		795		793,012
9.25%, 04/15/23		600		615,937
8.25%, 11/25/23		400		400,375
Yanlord Land HK Co. Ltd.
6.75%, 04/23/23		200		206,813
6.80%, 02/27/24		680		712,300
Yuzhou Properties Co. Ltd.
8.50%, 02/04/23		200		208,688
6.00%, 10/25/23		620		614,575
8.50%, 02/26/24		900		933,187
8.38%, 10/30/24		200		206,813
Zhenro Properties Group Ltd.
5.60%, 02/28/21		325		324,187
9.15%, 05/06/23		910		943,272
8.30%, 09/15/23		200		202,749
				83,575,863
Road & Rail — 0.7%
Burlington Northern Santa Fe LLC
5.75%, 05/01/40		4,135		5,975,116
5.05%, 03/01/41		399		538,179
4.40%, 03/15/42		4,271		5,360,320
CMB International Leasing Management Ltd., 2.75%, 08/12/30		1,150		1,126,560
CSX Corp.
4.25%, 03/15/29		3,216		3,867,872
6.15%, 05/01/37		75		108,953
5.50%, 04/15/41		285		388,904
4.10%, 03/15/44		1,488		1,785,629
4.30%, 03/01/48		7,631		9,504,803
4.75%, 11/15/48		3,141		4,169,948
4.50%, 03/15/49		1,303		1,698,916
4.25%, 11/01/66		1,775		2,201,725
Norfolk Southern Corp.
3.65%, 08/01/25		3,515		3,953,292
2.90%, 06/15/26		6,045		6,672,663
2.55%, 11/01/29		365		396,988

Security	Par (000)		Value
Road & Rail (continued)
Norfolk Southern Corp.
4.84%, 10/01/41	USD	455	$	597,548
4.45%, 06/15/45		35		44,402
3.40%, 11/01/49		1,244		1,378,002
4.05%, 08/15/52		6,058		7,423,774
Penske Truck Leasing Co. LP/PTL Finance Corp.
4.25%, 01/17/23(b)		2,565		2,760,428
2.70%, 03/14/23(b)		3,425		3,565,425
2.70%, 11/01/24(b)		1,580		1,676,331
3.95%, 03/10/25(b)		2,210		2,458,344
4.00%, 07/15/25(b)		6,435		7,249,212
4.45%, 01/29/26(b)		950		1,087,414
3.40%, 11/15/26(b)		839		918,184
3.35%, 11/01/29(b)		930		988,696
Ryder System, Inc.
2.50%, 09/01/22		345		356,150
2.50%, 09/01/24		3,710		3,899,170
4.63%, 06/01/25		17,920		20,592,463
Union Pacific Corp.
3.25%, 08/15/25		4,144		4,601,664
2.75%, 03/01/26		4,737		5,194,740
3.38%, 02/01/35		2,074		2,399,248
3.60%, 09/15/37		4,179		4,830,153
3.95%, 08/15/59		2,134		2,490,404
3.84%, 03/20/60		6,449		7,481,025
3.75%, 02/05/70		700		790,293
Union Pacific Railroad Co. Pass-Through Trust, Series 2014-1, 3.23%, 05/14/26		2,583		2,865,834
				133,398,772
Semiconductors & Semiconductor Equipment — 1.2%
Analog Devices, Inc., 3.50%, 12/05/26		1,332		1,507,089
Applied Materials, Inc., 2.75%, 06/01/50		6,670		7,009,792
Broadcom Corp./Broadcom Cayman Finance Ltd.
3.13%, 01/15/25		2,971		3,164,869
3.88%, 01/15/27		24,486		27,128,165
Broadcom, Inc.
2.25%, 11/15/23		10,401		10,813,366
3.63%, 10/15/24		3,113		3,394,336
4.70%, 04/15/25		21,345		24,254,591
4.25%, 04/15/26		21,377		24,083,778
4.11%, 09/15/28		5,190		5,853,018
4.15%, 11/15/30		3,866		4,342,847
Intel Corp.
4.10%, 05/19/46		273		340,739
3.73%, 12/08/47		83		99,121
4.75%, 03/25/50		7,044		9,700,434
KLA Corp.
4.10%, 03/15/29		7,170		8,604,951
5.00%, 03/15/49		980		1,308,747
3.30%, 03/01/50		11,466		12,114,077
Lam Research Corp.
3.75%, 03/15/26		7,638		8,762,557
1.90%, 06/15/30		2,535		2,630,323
4.88%, 03/15/49		2,870		4,062,384
2.88%, 06/15/50		3,261		3,371,186
3.13%, 06/15/60		1,024		1,096,661
NVIDIA Corp.
3.20%, 09/16/26		6,970		7,861,983
2.85%, 04/01/30		12,173		13,676,442
3.50%, 04/01/50		6,241		7,303,712
NXP BV/NXP Funding LLC 4.63%, 06/01/23(b)		8,885		9,717,063

86 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Semiconductors & Semiconductor Equipment (continued)
NXP BV/NXP Funding LLC 5.55%, 12/01/28(b)	USD	2,008	$	2,483,344
NXP BV/NXP Funding LLC/NXP USA, Inc.
3.15%, 05/01/27(b)		65		70,252
4.30%, 06/18/29(b)(g)		6,513		7,507,735
3.40%, 05/01/30(b)		13,258		14,513,648
QUALCOMM, Inc.
4.80%, 05/20/45		4,845		6,538,682
4.30%, 05/20/47		3,969		5,098,197
Rohm Co. Ltd., 0.00%, 12/05/24(j)(m)	JPY	30,000		294,410
Texas Instruments, Inc., 1.75%, 05/04/30	USD	1,423		1,467,793
				240,176,292
Software — 0.5%
Activision Blizzard, Inc.
1.35%, 09/15/30		4,271		4,175,091
2.50%, 09/15/50		4,950		4,612,640
Autodesk, Inc.
4.38%, 06/15/25		405		464,640
3.50%, 06/15/27		13,495		15,309,520
Microsoft Corp.
4.20%, 11/03/35		169		221,922
3.45%, 08/08/36		817		991,394
4.10%, 02/06/37		3,621		4,694,309
3.75%, 02/12/45		2,586		3,246,588
3.70%, 08/08/46		8,202		10,299,240
2.53%, 06/01/50		4,735		4,951,953
Oracle Corp.
3.90%, 05/15/35		9,232		11,230,638
3.85%, 07/15/36		1,295		1,530,086
3.80%, 11/15/37		6,303		7,394,738
3.60%, 04/01/40		5,518		6,320,717
5.38%, 07/15/40		2,370		3,305,517
4.13%, 05/15/45		4,119		4,913,279
4.00%, 07/15/46		705		835,658
3.60%, 04/01/50		20,529		23,139,657
				107,637,587
Specialty Retail — 0.2%
Home Depot, Inc., 2.95%, 06/15/29		18,514		20,903,811
L Brands, Inc., 6.63%, 10/01/30(b)		731		743,793
Lowe’s Cos., Inc.
4.00%, 04/15/25		13,350		15,149,249
4.38%, 09/15/45		1,553		1,914,745
4.05%, 05/03/47		2,419		2,892,683
4.55%, 04/05/49		1,762		2,260,942
				43,865,223
Technology Hardware, Storage & Peripherals — 0.5%
Apple Inc.
3.85%, 05/04/43		11,059		13,786,855
3.45%, 02/09/45		5,020		5,860,636
2.55%, 08/20/60		6,900		6,854,480
Dell International LLC/EMC Corp.
6.02%, 06/15/26(b)		335		393,350
4.90%, 10/01/26(b)		4,377		4,947,860
8.10%, 07/15/36(b)		7,500		9,862,787
Hewlett Packard Enterprise Co.
4.40%, 10/15/22		20,602		22,015,772
4.65%, 10/01/24		22,290		25,205,532
HP, Inc., 6.00%, 09/15/41		285		349,361
Innolux Corp., Series 1, 0.00%, 01/22/25(j)(m)		800		868,390
Seagate HDD Cayman, 4.09%, 06/01/29(b)		3,217		3,499,336
				93,644,359

Security	Par (000)		Value
Textiles, Apparel & Luxury Goods — 0.1%
Hanesbrands, Inc.
4.63%, 05/15/24(b)	USD	3,828	$	3,980,316
4.88%, 05/15/26(b)		537		573,247
NIKE, Inc., 2.75%, 03/27/27		10,798		12,009,649
Under Armour, Inc., 3.25%, 06/15/26		358		337,415
William Carter Co., 5.63%, 03/15/27(b)		1,700		1,774,375
				18,675,002
Thrifts & Mortgage Finance — 0.0%
Mongolian Mortgage Corp. Hfc LLC, 9.75%, 01/29/22		800		773,750
Nationstar Mortgage Holdings, Inc., 9.13%, 07/15/26(b)		5,946		6,377,085
				7,150,835
Tobacco — 0.5%
Altria Group, Inc.
4.00%, 01/31/24		5,847		6,429,938
4.40%, 02/14/26		8,822		10,190,848
4.80%, 02/14/29		5,450		6,466,941
3.13%, 06/15/31	EUR	8,450		11,312,108
5.80%, 02/14/39	USD	12,869		16,468,612
BAT Capital Corp.
4.91%, 04/02/30		3,175		3,744,714
4.54%, 08/15/47		4,377		4,687,216
5.28%, 04/02/50		1,965		2,309,399
Philip Morris International, Inc., 1.45%, 08/01/39	EUR	11,250		13,033,834
Reynolds American, Inc.
4.45%, 06/12/25	USD	9,839		11,072,204
5.85%, 08/15/45		11,857		14,407,970
				100,123,784
Trading Companies & Distributors — 0.2%
American Builders & Contractors Supply Co., Inc.
5.88%, 05/15/26(b)		1,723		1,787,613
4.00%, 01/15/28(b)		2,286		2,323,147
Beacon Roofing Supply, Inc., 4.88%, 11/01/25(b)		3,424		3,355,520
H&E Equipment Services, Inc., 5.63%, 09/01/25		5,888		6,138,240
HD Supply, Inc., 5.38%, 10/15/26(b)		2,094		2,190,408
Herc Holdings, Inc., 5.50%, 07/15/27(b)		3,403		3,520,914
United Rentals North America, Inc.
4.63%, 10/15/25		2,451		2,506,147
5.88%, 09/15/26		3,421		3,604,879
5.50%, 05/15/27		3,428		3,637,965
3.88%, 11/15/27		4,513		4,648,390
4.88%, 01/15/28		7,036		7,387,800
5.25%, 01/15/30		448		488,880
				41,589,903
Transportation Infrastructure — 0.0%
Adani Ports & Special Economic Zone Ltd., 4.00%, 07/30/27		203		202,493
Delhi International Airport Ltd., 6.13%, 10/31/26		300		302,194
Rumo Luxembourg S.a.r.l, 5.88%, 01/18/25(b)		728		762,352
				1,267,039
Wireless Telecommunication Services — 0.6%
America Movil SAB de CV, 2.88%, 05/07/30		5,957		6,444,700
Bharti Airtel Ltd., 1.50%, 02/17/25(j)		1,900		2,027,809
Digicel Group 0.5 Ltd.
(7.00% Cash or 7.00% PIK), 7.00%, (b)(j)(l)(n)		164		19,690
(5.00% Cash and 3.00% PIK or 8.00% PIK), 8.00%, 04/01/25(b)(n)		991		346,735
Digicel Ltd., 6.75%, 03/01/23(b)(f)(i)		233		145,625
Kenbourne Invest SA, 6.88%, 11/26/24(b)		3,075		3,189,351

S C H E D U L E  O F  I N V E S T M E N  T S 87

Schedule of Investments  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Wireless Telecommunication Services (continued)
Millicom International Cellular SA, 6.63%, 10/15/26(b)	USD	1,100	$	1,179,062
Sprint Corp.
7.88%, 09/15/23		312		358,410
7.13%, 06/15/24		156		179,495
7.63%, 02/15/25		4,480		5,241,600
7.63%, 03/01/26		4,516		5,457,067
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, 09/20/21(b)		4,129		4,174,992
T-Mobile USA, Inc.
3.50%, 04/15/25(b)		23,210		25,468,333
3.75%, 04/15/27(b)		20,008		22,451,777
3.88%, 04/15/30(b)		9,814		11,135,161
2.55%, 02/15/31(b)		7,806		8,076,166
Vodafone Group PLC
4.13%, 05/30/25		1,336		1,523,426
4.38%, 02/19/43		4,046		4,703,967
5.25%, 05/30/48		10,959		14,168,041
				116,291,407
Total Corporate Bonds — 37.9% (Cost: $7,273,695,120)				7,584,689,702
Floating Rate Loan Interests(a)
Air Freight & Logistics — 0.0%
XPO Logistics, Inc., Refinancing Term Loan (2018), (1 mo. LIBOR US + 2.00%, 0.00% Floor), 2.15%, 02/24/25		6,661		6,521,405
Airlines — 0.1%
Allegiant Travel Co., Replacement Term Loan, (3 mo. LIBOR US + 3.00%, 0.00% Floor), 3.25%, 02/05/24		14,104		12,975,887
Kestrel Bidco, Inc. (AKAWestJet Airlines), Term Loan, (3 mo. LIBOR US + 3.00%, 1.00% Floor), 4.00%, 12/11/26		14,656		12,667,248
				25,643,135
Biotechnology — 0.0%
Grifols Worldwide Operations Ltd., Dollar Tranche B Term Loan, (1 wk. LIBOR US + 2.00%, 0.00% Floor), 2.10%, 11/15/27		7,203		7,045,692
Building Products — 0.0%
JELD-WEN, Inc., Term B-4 Loan, (1 mo. LIBOR US + 2.00%, 0.00% Floor), 2.15%, 12/14/24		2,890		2,804,605
TAMKO Building Products LLC, Initial Term Loan, (1 mo. LIBOR US + 3.25%, 0.00% Floor), 3.40%, 05/31/26(c)		3,765		3,699,083
				6,503,688
Commercial Services & Supplies — 0.1%
621 17th Street Operating Co. LLC (633 17th Street Operating Co. LLC), Loan, (1 mo. LIBOR US + 2.90%, 0.00% Floor), 3.05%, 05/15/21(c)		8,600		7,740,000
KAR Auction Services, Inc., Tranche B-6 Term Loan, (1 mo. LIBOR US + 2.25%, 0.00% Floor), 2.44%, 09/19/26(c)		1,069		1,029,233
				8,769,233

Security	Par (000)		Value
Construction & Engineering — 0.0%
Pike Corp., Initial Term Loan (2020), (1 mo. LIBOR US + 3.00%, 0.00% Floor), 3.15%, 07/24/26	USD	1,414	$	1,399,860
PLH Infrastructure Services, Inc., Term Loan, (3 mo. LIBOR US + 6.00%, 0.00% Floor), 6.24%, 08/07/23(c)		2,537		2,156,486
Ply Gem Midco, Inc., Initial Term Loan, (1 mo. LIBOR US + 3.75%, 0.00% Floor), 3.90%, 04/12/25		2,335		2,287,781
				5,844,127
Construction Materials — 0.0%
Advanced Drainage Systems, Inc., Initial Term Loan, (1 mo. LIBOR US + 2.25%, 0.00% Floor), 2.44%, 09/24/26		928		924,542
Consumer Finance — 0.0%
Crédito Real SAB de CV, SOFOM, ENR (Marevalley Corp.), Tranche A Loan, (3 mo. LIBOR US + 3.75%, 0.00% Floor), 4.00%, 02/21/23(c)		815		727,795
Diversified Financial Services — 0.2%
18 Fremont Street Acquisition LLC, Term Loan, (3 mo. LIBOR US + 8.00%, 1.50% Floor), 9.50%, 08/09/25		12,000		10,800,246
BSREP II Houston Office 1HC Owner LLC, Mezzanine Loan, (1 mo. LIBOR US + 2.10%, 0.00% Floor), 2.26%, 01/09/21(c)		10,813		10,766,218
Connect Finco S.a.r.l (AKA Inmarsat), Initial Term Loan, (1 mo. LIBOR US + 4.50%, 1.00% Floor), 5.50%, 12/12/26		2,522		2,441,938
Flutter Entertainment PLC, USD Term Loan, (3 mo. LIBOR US + 3.50%, 0.00% Floor), 3.72%, 07/10/25		3,251		3,239,582
Intelsat Jackson Holdings SA
DIP Facility, (3 mo. LIBOR US + 5.50%, 1.00% Floor), 6.50%, 07/13/21		1,289		1,309,903
Tranche B-3 Term Loan, (1 mo. PRIME US + 4.75%, 1.00% Floor), 8.00%, 11/27/23		1,275		1,279,424
Tranche B-4 Term Loan, (1 mo. PRIME US + 5.50%, 1.00% Floor), 8.75%, 01/02/24		1,458		1,467,444
Pretium Mortgage Credit Partners I LP, Term Loan B1, (1 mo. LIBOR US + 2.25%, 0.00% Floor), 2.50%, 10/21/20(c)		4,837		4,812,519
RNTR-1 LLC (AKA Seer Sylvan), Initial Term Loan, (1 mo. LIBOR US + 2.38%, 0.25% Floor), 2.63%, 12/20/21(c)		7,528		7,414,952
				43,532,226
Diversified Telecommunication Services — 0.0%
Cablevision Lightpath LLC, Term Loan B, 4.00%, 09/29/27		1,223		1,215,356
Electronic Equipment, Instruments & Components — 0.0%
Robertshaw U.S. Holding Corp. (FKA Fox U.S. Bidco Corp.), Initial Term Loan (Second Lien), (3 mo. LIBOR US + 8.00%, 1.00% Floor), 9.00%, 02/28/26		1,795		1,063,537
Equity Real Estate Investment Trusts (REITs) — 0.1%
VICI Properties 1 LLC, Term B Loan, (1 mo. LIBOR US + 1.75%, 0.00% Floor), 1.91%, 12/22/24		8,361		8,067,884

88 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Food Products — 0.0%
JBS USA Lux SA (FKA JBS USA LLC), New Term Loan, (1 mo. LIBOR US + 2.00%, 0.00% Floor), 2.15%, 05/01/26	USD	3,342	$	3,246,605
Shearer’s Foods LLC, Term Loan B, 4.75%, 09/23/27		992		983,945
				4,230,550
Health Care Providers & Services — 0.1%
Acadia Healthcare Co., Inc., Tranche B-4 Term Loan, (1 mo. LIBOR US + 2.50%, 0.00% Floor), 2.65%, 02/16/23		15,068		14,917,809
Select Medical Corp., Tranche B Term Loan, (1 mo. LIBOR US + 2.50%, 0.00% Floor), 2.78%, 03/06/25		1,124		1,091,601
				16,009,410
Hotels, Restaurants & Leisure — 0.3%
Aimbridge Acquisition Co., Inc.
Initial Term Loan (2019) (First Lien), (1 mo. LIBOR US + 3.75%, 0.00% Floor), 3.89%, 02/01/26(c)		3,914		3,483,117
Term Loan B, 6.75%, 02/02/26(c)		2,052		2,010,960
Caesars Resort Collection LLC
Term B-1 Loan, (1 mo. LIBOR US + 4.50%, 0.00% Floor), 4.65%, 07/20/25(p)		1,469		1,419,305
Term B-1 Loan, (3 mo. LIBOR US + 4.50%, 0.00% Floor), 4.77%, 07/20/25		734		709,652
DuPont Hotel Project Owner LLC, Loan, (1 mo. LIBOR US + 2.50%, 1.00% Floor), 3.50%, 04/01/24(c)		12,000		10,800,000
Golden Nugget, Inc. (AKA Landry’s, Inc.), Initial B Term Loan, (2 mo. LIBOR US + 2.50%, 0.75% Floor), 3.25%, 10/04/23		6,512		5,789,031
Herschend Entertainment Company LLC, Initial Term Loan, (3 mo. LIBOR US + 5.75%, 1.00% Floor), 6.75%, 08/25/25(c)		5,463		5,217,165
PCI Gaming Authority, Term B Facility Loan, (1 mo. LIBOR US + 2.50%, 0.00% Floor), 2.65%, 05/31/26		6,597		6,396,009
Spectacle Gary Holdings LLC, Closing Date Term Loan, (3 mo. LIBOR US + 9.00%, 2.00% Floor), 11.00%, 12/23/25		13,889		13,133,459
				48,958,698
Machinery — 0.0%
Douglas Dynamics LLC, 2020 Term B Loan, (1 mo. LIBOR US + 3.75%, 1.00% Floor), 4.75%, 06/08/26(c)		1,284		1,271,415
Gates Global LLC, Initial B-2 Dollar Term Loan, (1 mo. LIBOR US + 2.75%, 1.00% Floor), 3.75%, 03/31/24		979		962,788
				2,234,203
Media — 0.1%
Airbnb, Inc., Initial Term Loan (First Lien), (3 mo. LIBOR US + 7.50%, 1.00% Floor), 8.50%, 04/17/25(c)		3,814		4,100,523
Burlingame Point LLC, Construction Loan, (3 mo. LIBOR US + 3.10%, 1.75% Floor), 3.10%, 05/09/23(c)		9,919		9,919,147
Charter Communications Operating LLC (AKA CCO Safari LLC), Term A-4 Loan, (1 mo. LIBOR US + 1.25%, 0.00% Floor), 1.40%, 02/01/25(c)		4,237		4,130,616

Security	Par (000)		Value
Media (continued)
CSC Holdings LLC (FKA CSC Holdings, Inc. (Cablevision)), September 2019 Initial Term Loan, (1 mo. LIBOR US + 2.50%, 0.00% Floor), 2.65%, 04/15/27	USD	4,526	$	4,380,018
Lamar Media Corp., Term B Loan, (1 mo. LIBOR US + 1.50%, 0.00% Floor), 1.66%, 02/06/27		477		466,235
				22,996,539
Metals & Mining — 0.0%
Samarco Mineracao SA, Term Loan, 3.89%, 12/02/19(f)(i)		1,122		594,762
Zekelman Industries, Inc. (FKA JMC Steel Group, Inc.), 2020 Term Loan, (1 mo. LIBOR US + 2.00%, 0.00% Floor), 2.14%, 01/24/27		1,368		1,322,375
				1,917,137
Multi-Utilities — 0.1%
PG&E Corp., Loan, (1 mo. LIBOR US + 4.50%, 1.00% Floor), 5.50%, 01/01/22		7,780		7,610,921
Oil, Gas & Consumable Fuels — 0.2%
BCP Raptor II LLC, Initial Term Loan, (1 mo. LIBOR US + 4.75%, 0.00% Floor), 4.90%, 11/03/25		9,428		6,567,970
Buckeye Partners LP, Initial Term Loan, (1 mo. LIBOR US + 2.75%, 0.00% Floor), 2.90%, 11/01/26		11,578		11,346,263
California Resources Corp.
Initial Loan, (1 mo. LIBOR US + 4.75%, 1.00% Floor), 5.75%, 12/31/22(f)(i)		8,708		3,132,442
Junior DIP Facility, (1 mo. LIBOR US + 9.00%, 1.00% Floor), 10.00%, 01/15/21(c)		5,211		5,159,299
Loan, (1 mo. LIBOR US + 10.38%, 1.00% Floor), 11.38%, 12/31/21(f)(i)		7,760		148,759
Chesapeake Energy Corp., Term A Loan , (1 mo. LIBOR US + 8.00%, 1.00% Floor), 9.00%, 06/23/24(c)(f)(i)		15,648		10,640,640
				36,995,373
Real Estate Management & Development — 0.1%
BRE Park Avenue Tower Owner LLC, Mezzanine A Loan, (1 mo. LIBOR US + 2.05%, 0.00% Floor), 2.21%, 03/09/24(c)		16,472		16,404,401
Road & Rail — 0.0%
Genesee & Wyoming, Inc., Initial Term Loan, (3 mo. LIBOR US + 2.00%, 0.00% Floor), 2.22%, 12/30/26		4,237		4,163,245
Software — 0.1%
Interface Security Systems LLC, Initial Term Loan, (3 mo. LIBOR US + 7.00%, 1.75% Floor), 8.75%, 08/07/23(c)		5,621		5,431,776
Playtika Holding Corp., Term B Loan, (3 mo. LIBOR US + 6.00%, 1.00% Floor), 7.00%, 12/10/24		10,974		10,969,728
				16,401,504
Technology Hardware, Storage & Peripherals — 0.0%
Everi Payments, Inc.
Term B Loan, (1 mo. LIBOR US + 2.75%, 1.00% Floor), 3.75%, 05/09/24		806		777,223
Term Loan, (1 mo. LIBOR US + 10.50%, 1.00% Floor), 11.50%, 05/09/24(c)		736		747,197
				1,524,420

S C H E D U L E  O F  I N V E S T M E N  T S 89

Schedule of Investments  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Thrifts & Mortgage Finance — 0.1%
Caliber Home Loans, Inc.
Term Loan, (1 mo. LIBOR US + 3.25%, 0.00% Floor), 3.41%, 04/24/21(c)	USD	5,290	$	5,263,369
Term Loan, (1 mo. LIBOR US + 3.25%, 0.00% Floor), 3.16%, 04/24/21(c)		5,154		5,128,411
Roundpoint Mortgage Servicing Corp., Closing Date Term Loan, (1 mo. LIBOR US + 3.38%, 0.00% Floor), 3.53%, 08/27/21(c)		5,395		5,398,955
				15,790,735
Trading Companies & Distributors — 0.0%
Foundation Building Materials Holding Company LLC, Term Loan, (1 mo. LIBOR US + 3.00%, 0.00% Floor), 3.42%, 08/13/25		3,940		3,875,803
Total Floating Rate Loan Interests — 1.6% (Cost: $346,436,631)				314,971,559
Foreign Agency Obligations
Argentina — 0.0%
YPF SA, 7.00%, 12/15/47(b)		1,525		958,129
Brazil — 0.1%
Banco do Brasil SA
5.38%, 01/15/21(b)		1,204		1,213,782
5.88%, 01/26/22(b)		1,244		1,298,036
Centrais Eletricas Brasileiras SA
5.75%, 10/27/21(b)		365		376,589
3.63%, 02/04/25(b)		1,830		1,823,137
Petrobras Global Finance BV
5.09%, 01/15/30		2,902		3,049,567
6.75%, 06/03/50		1,066		1,139,621
				8,900,732
Chile — 0.0%
Corp Nacional del Cobre de Chile, 3.75%, 01/15/31(b)		730		812,125
Empresa de los Ferrocarriles del Estado, 3.07%, 08/18/50(b)		1,105		1,077,375
Empresa de Transporte de Pasajeros Metro SA, 3.65%, 05/07/30(b)		1,110		1,225,163
				3,114,663
China — 0.2%
Chengdu Xingcheng Investment Group Co. Ltd., 2.50%, 03/20/21	EUR	800		929,172
China Construction Bank Corp.
(5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 1.88%), 4.25%, 02/27/29(k)	USD	805		860,092
(5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 2.15%), 2.45%, 06/24/30(k)		2,950		2,951,150
China Development Bank Financial Leasing Co. Ltd., (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 2.75%), 2.88%, 09/28/30(k)		1,200		1,195,677
China Minmetals Corp., (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 4.72%), 3.75%(k)(l)		339		345,702
China Resources Land Ltd., (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 5.14%), 3.75%(k)(l)		1,450		1,475,828

Security	Par (000)		Value
China (continued)
Chinalco Capital Holdings Ltd.
4.25%, 04/21/22	USD	1,025	$	1,040,695
(5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 5.79%), 4.10%, (k)(l)		735		743,728
CITIC Ltd., 2.85%, 02/25/30		1,140		1,177,050
Franshion Brilliant Ltd., 4.25%, 07/23/29		1,000		1,015,938
Guangxi Financial Investment Group Co. Ltd., 5.75%, 01/23/21		500		495,156
Huarong Finance 2019 Co. Ltd.
3.25%, 11/13/24		2,300		2,370,127
4.50%, 05/29/29		1,300		1,397,094
3.88%, 11/13/29		1,600		1,646,000
3.63%, 09/30/30		1,240		1,260,134
(5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 6.98%), 4.25%, (k)(l)		855		851,794
Huarong Finance II Co. Ltd., 5.00%, 11/19/25		1,550		1,719,531
Inner Mongolia High-Grade High Way Construction And Development Co. Ltd., 4.38%, 12/04/20		300		299,844
Leader Goal International Ltd., (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 6.92%), 4.25%(k)(l)		700		714,875
Rongshi International Finance Ltd., 3.75%, 05/21/29		1,945		2,171,106
Sino-Ocean Land Treasure IV Ltd.
5.25%, 04/30/22		480		494,793
4.75%, 08/05/29		1,615		1,633,169
Sinopec Group Overseas Development 2018 Ltd., 2.15%, 05/13/25(b)		2,345		2,424,613
Sunny Express Enterprises Corp., 3.13%, 04/23/30		1,385		1,459,390
				30,672,658
Colombia — 0.1%
Ecopetrol SA
5.38%, 06/26/26		11,184		12,311,137
6.88%, 04/29/30		2,198		2,628,807
Empresas Publicas de Medellin ESP
4.25%, 07/18/29(b)		1,883		1,880,364
4.38%, 02/15/31(b)		1,447		1,447,000
Oleoducto Central SA, 4.00%, 07/14/27(b)		2,213		2,298,200
				20,565,508
Hong Kong — 0.0%
Nanyang Commercial Bank Ltd., (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 2.18%), 3.80%, 11/20/29(k)		1,750		1,770,781
India — 0.0%
Bharat Petroleum Corp. Ltd., 4.00%, 05/08/25		473		495,467
Greenko Dutch BV, 5.25%, 07/24/24		200		203,437
Greenko Investment Co., 4.88%, 08/16/23		200		198,688
Greenko Solar Mauritius Ltd., 5.55%, 01/29/25		200		204,000
Oil India Ltd., 5.13%, 02/04/29		880		940,500
Power Finance Corp. Ltd.
3.75%, 06/18/24		1,060		1,090,475
3.75%, 12/06/27		1,130		1,111,991
4.50%, 06/18/29		893		901,930
REC Ltd., 4.75%, 05/19/23		725		761,022
				5,907,510

90 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Indonesia — 0.0%
Pertamina Persero PT
3.10%, 01/21/30	USD	500	$	514,844
4.18%, 01/21/50		2,800		2,823,100
				3,337,944
Kuwait — 0.1%
Equate Petrochemical BV, 4.25%, 11/03/26		879		921,130
MEGlobal Canada ULC
5.00%, 05/18/25(b)		3,035		3,267,367
5.00%, 05/18/25		3,400		3,664,228
5.88%, 05/18/30(b)		1,770		2,059,838
5.88%, 05/18/30		1,350		1,574,443
				11,487,006
Malaysia — 0.0%
1MDB Energy Ltd., 5.99%, 05/11/22		1,500		1,573,125
Petronas Capital Ltd., 3.50%, 04/21/30(b)		2,628		2,938,393
				4,511,518
Mexico — 0.1%
Mexico City Airport Trust, 5.50%, 07/31/47(b)		561		455,964
Petroleos Mexicanos
5.50%, 01/21/21		600		605,250
4.25%, 01/15/25		3,372		3,124,685
4.50%, 01/23/26		6,952		6,153,909
6.95%, 01/28/60		10,944		8,465,184
(3 mo. LIBOR US + 3.65%), 3.90%, 03/11/22(a)		2,287		2,234,239
				21,039,231
Morocco — 0.0%
OCP SA, 4.50%, 10/22/25		1,171		1,235,039
Panama — 0.0%
Banco Nacional de Panama, 2.50%, 08/11/30(b)		1,627		1,601,228
Peru — 0.0%
Consorcio Transmantaro SA, 4.70%, 04/16/34(b)		1,155		1,361,853
Qatar — 0.0%
Ooredoo International Finance Ltd., 5.00%, 10/19/25		878		1,026,163
Saudi Arabia — 0.0%
SABIC Capital II BV
4.00%, 10/10/23		1,273		1,368,475
4.00%, 10/10/23(b)		1,864		2,003,800
				3,372,275
Singapore — 0.0%
BOC Aviation Ltd., 3.00%, 09/11/29		2,000		2,038,750
United Arab Emirates — 0.1%
Abu Dhabi Crude Oil Pipeline LLC, 4.60%, 11/02/47		1,100		1,347,156
DP World Crescent Ltd., 3.91%, 05/31/23		2,019		2,127,443
MDGH - GMTN BV
2.50%, 11/07/24(b)		2,650		2,762,625
2.88%, 11/07/29(b)		1,779		1,903,530
				8,140,754
United States — 0.0%
Citgo Holding, Inc., 9.25%, 08/01/24(b)		1,775		1,690,688
Total Foreign Agency Obligations — 0.7% (Cost: $126,210,436)				132,732,430

Security	Par (000)		Value
Foreign Government Obligations
Bahrain — 0.0%
Kingdom of Bahrain
7.38%, 05/14/30	USD	3,267	$	3,584,511
5.63%, 09/30/31		1,615		1,574,625
				5,159,136
Brazil — 0.1%
Federative Republic of Brazil, 3.88%, 06/12/30		8,693		8,693,000
Chile — 0.0%
Republic of Chile, 2.45%, 01/31/31		2,116		2,227,090
China — 3.5%
People’s Republic of China
3.30%, 07/04/23	CNH	3,500		525,409
1.99%, 04/09/25	CNY	2,864,850		402,631,898
2.41%, 06/19/25		447,300		64,176,543
2.85%, 06/04/27		318,800		45,816,282
3.29%, 05/23/29		159,300		23,574,255
2.68%, 05/21/30		1,199,730		169,326,865
				706,051,252
Colombia — 0.3%
Colombian TES
6.25%, 11/26/25	COP	12,296,000		3,509,645
7.25%, 10/18/34		34,310,100		9,761,569
Republic of Colombia
3.88%, 04/25/27	USD	16,282		17,584,560
4.50%, 03/15/29		13,000		14,564,062
3.13%, 04/15/31		8,599		8,783,879
5.20%, 05/15/49		8,440		10,196,575
				64,400,290
Dominican Republic — 0.1%
Dominican Republic
4.50%, 01/30/30		11,416		11,184,112
6.40%, 06/05/49		3,458		3,467,726
5.88%, 01/30/60(b)		2,128		2,008,300
5.88%, 01/30/60		2,934		2,768,963
				19,429,101
Egypt — 0.1%
Arab Republic of Egypt
5.25%, 10/06/25(b)		2,831		2,823,923
5.63%, 04/16/30	EUR	2,767		2,938,017
6.38%, 04/11/31(b)		2,459		2,682,157
7.90%, 02/21/48	USD	3,230		2,973,619
8.88%, 05/29/50(b)		4,205		4,168,206
				15,585,922
Hungary — 0.1%
Republic of Hungary, 5.38%, 03/25/24		8,710		9,981,116
Indonesia — 0.3%
Perusahaan Penerbit SBSN Indonesia III, 3.80%, 06/23/50		1,504		1,600,820
Republic of Indonesia
7.00%, 05/15/27	IDR	88,851,000		6,078,651
4.10%, 04/24/28	USD	10,993		12,490,796
2.85%, 02/14/30		15,357		16,148,845
7.00%, 09/15/30	IDR	39,330,000		2,643,145
6.63%, 05/15/33		25,942,000		1,643,168
7.50%, 06/15/35		76,657,000		5,180,658
8.38%, 04/15/39		111,094,000		7,940,085
7.38%, 05/15/48		72,527,000		4,784,260
				58,510,428

S C H E D U L E  O F  I N V E S T M E N  T S 91

Schedule of Investments  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Italy — 0.3%
Buoni Poliennali Del Tesoro, 1.80%, 03/01/41(b)	EUR	47,825	$	58,732,718
Maldives — 0.0%
Republic of Maldives, 7.00%, 06/07/22	USD	775		575,437
Mexico — 0.3%
United Mexican States
4.15%, 03/28/27		30,448		33,842,952
3.25%, 04/16/30		8,149		8,360,874
4.50%, 01/31/50		17,010		17,903,025
				60,106,851
Mongolia — 0.0%
Mongolian People’s Republic, 8.75%, 03/09/24	��	236		263,804
Panama — 0.2%
Republic of Panama
3.88%, 03/17/28		25,538		28,961,688
3.16%, 01/23/30		6,025		6,544,656
				35,506,344
Peru — 0.1%
Republic of Peru
4.13%, 08/25/27		17,494		20,385,977
2.78%, 01/23/31		3,272		3,540,304
				23,926,281
Philippines — 0.2%
Republic of the Philippines
3.00%, 02/01/28		30,655		33,733,988
3.75%, 01/14/29		4,174		4,871,841
				38,605,829
Qatar — 0.0%
State of Qatar, 3.75%, 04/16/30		6,383		7,392,312
Romania — 0.0%	��
Republic of Romania, 3.00%, 02/14/31(b)		4,056		4,162,470
Russian Federation — 0.2%
Russian Federation
8.15%, 02/03/27	RUB	564,263		8,182,812
6.00%, 10/06/27		316,725		4,098,410
4.38%, 03/21/29	USD	6,200		7,123,800
6.90%, 05/23/29	RUB	651,725		8,837,644
8.50%, 09/17/31		632,552		9,567,853
				37,810,519
Saudi Arabia — 0.1%
Kingdom of Saudi Arabia, 3.25%, 10/22/30	USD	8,493		9,214,905
Sri Lanka — 0.0%
Republic of Sri Lanka
6.85%, 03/14/24		625		458,203
6.35%, 06/28/24		200		144,312
7.85%, 03/14/29		200		137,813
7.55%, 03/28/30		1,200		810,000
				1,550,328
Ukraine — 0.1%
Ukraine Government
6.75%, 06/20/26	EUR	2,600		2,961,699
9.75%, 11/01/28	USD	11,527		12,441,955
7.38%, 09/25/32		11,392		10,701,360
				26,105,014

Security	Par (000)		Value
Uruguay — 0.1%
Republic of Uruguay
4.38%, 10/27/27	USD	15,409	$	17,797,803
5.10%, 06/18/50		3,180		4,264,181
				22,061,984
Total Foreign Government Obligations — 6.1% (Cost: $1,197,658,415)				1,216,052,131
	Shares
Investment Companies
Equity Funds — 0.0%
Communication Services Select Sector SPDR Fund		900		53,460
Fixed-Income Funds — 1.4%
iShares iBoxx High Yield Corporate Bond ETF(g)(h)(q)		1,523,730		127,840,947
SPDR Bloomberg Barclays High Yield Bond ETF(h)		1,379,494		143,839,839
				271,680,786
Total Investment Companies — 1.4% (Cost: $272,702,865)				271,734,246
	Par (000)
Municipal Bonds
Arizona — 0.0%
Arizona Health Facilities Authority, RB, 1.01%, 01/01/37(d)	USD	1,355		1,241,318
California — 0.6%
Bay Area Toll Authority
RB, 2.43%, 04/01/26		2,845		3,064,634
RB, Series S1, 6.92%, 04/01/40		3,145		4,839,055
RB, Series S1, 7.04%, 04/01/50		10,645		19,144,926
California Pollution Control Financing Authority, RB, AMT, 5.00%, 11/21/45(b)		1,000		1,024,630
California State University, RB, Series B, 2.98%, 11/01/51		8,170		8,536,180
City of Riverside, CA Electric Revenue, RB, 7.61%, 10/01/40		1,325		2,176,710
Contra Costa Community College District, GO, 6.50%, 08/01/34		570		840,476
Los Angeles Community College District, GO, 6.60%, 08/01/42		3,990		6,792,257
Los Angeles Unified School District
GO, 5.75%, 07/01/34		415		579,228
GO, 6.76%, 07/01/34		7,405		10,958,585
Sacramento County Sanitation Districts Financing Authority, Refunding RB, (NPFGC), Series B, 0.70%, 12/01/35(d)		3,500		3,022,321
San Jose Redevelopment Agency Successor Agency
TA, Series A, 3.18%, 08/01/26		2,025		2,259,353
TA, Series A, 3.13%, 08/01/28		4,275		4,741,103
TA, Series A, 3.25%, 08/01/29		3,585		3,979,565
State of California
GO, 7.50%, 04/01/34		855		1,417,120
GO, 7.55%, 04/01/39		4,565		7,948,715
GO, 7.30%, 10/01/39		2,575		4,228,201
GO, 7.35%, 11/01/39		720		1,203,394

92 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
California (continued)
State of California Refunding GO, 4.60%, 04/01/38	USD	22,215	$	26,373,870
University of California
RB, 5.77%, 05/15/43		8,110		11,812,052
RB, 4.86%, 05/15/2112		1,940		2,756,119
				127,698,494
Connecticut — 0.0%
State of Connecticut
GO, Series A, 3.31%, 01/15/26		860		960,844
GO, Series D, 5.09%, 10/01/30		5,755		7,140,631
				8,101,475
District of Columbia — 0.0%
District of Columbia
RB, 5.00%, 07/15/34		775		909,207
RB, 5.00%, 07/15/35		775		905,634
				1,814,841
Florida — 0.1%
County of Broward, FL Airport System Revenue
RB, 2.91%, 10/01/32		1,435		1,454,588
RB, Series C, 2.50%, 10/01/28		5,360		5,441,204
County of Miami-Dade, FL Aviation Revenue
RB, 2.53%, 10/01/30		5,705		5,692,221
RB, 4.06%, 10/01/31		1,765		1,951,631
RB, Series A, 5.00%, 10/01/38		1,600		1,809,488
Refunding RB, Series D, 3.35%, 10/01/29		560		592,088
Refunding RB, Series D, 3.45%, 10/01/30		1,030		1,089,853
Sumter Landing Community Development District, RB, 4.17%, 10/01/47		920		1,023,040
				19,054,113
Georgia — 0.0%
Municipal Electric Authority of Georgia
RB, 6.64%, 04/01/57		2,487		3,710,753
RB, 6.66%, 04/01/57		1,115		1,690,753
				5,401,506
Hawaii — 0.0%
State of Hawaii, GO, 1.70%, 08/01/32		415		412,879
Idaho — 0.0%
Idaho Health Facilities Authority, RB, Series A, 5.00%, 12/01/47		1,155		1,377,234
Illinois — 0.1%
State of Illinois, GO, 5.10%, 06/01/33		13,140		13,192,166
Indiana — 0.0%
Indiana Housing & Community Development Authority, RB, (GNMA), Series A, 3.80%, 07/01/38		495		538,852
Massachusetts — 0.1%
Commonwealth of Massachusetts
GO, 5.46%, 12/01/39		430		610,209
GO, 2.90%, 09/01/49		225		247,639
Massachusetts Development Finance Agency
RB, 5.00%, 07/01/47		1,260		1,465,909
RB, Series J2, 5.00%, 07/01/48		1,035		1,230,843
Massachusetts HFA
RB, Series A, 4.50%, 12/01/48		1,160		1,242,488
Refunding RB, AMT, Series B, 4.50%, 12/01/39		910		962,953
Refunding RB, AMT, Series B, 4.60%, 12/01/44		960		1,038,643

Security	Par (000)		Value
Massachusetts (continued)
Massachusetts School Building Authority
RB, 2.87%, 10/15/31	USD	5,350	$	5,779,284
RB, 2.97%, 10/15/32		4,300		4,653,890
				17,231,858
Michigan — 0.0%
Michigan Finance Authority
RB, 5.00%, 11/15/28		1,380		1,697,055
RB, 5.00%, 06/01/39		840		947,235
RB, 5.00%, 11/15/41		850		999,277
Michigan State HDA
RB, Series A, 3.55%, 10/01/33		1,055		1,157,145
RB, Series A, 4.00%, 10/01/43		1,010		1,110,869
RB, Series A, 4.05%, 10/01/48		465		510,551
Royal Oak Hospital Finance Authority, RB, Series D, 5.00%, 09/01/39		1,160		1,298,504
				7,720,636
Mississippi — 0.0%
State of Mississippi
GO, 1.63%, 11/01/31		155		158,582
GO, 1.73%, 11/01/32		470		481,590
				640,172
New Jersey — 0.1%
New Jersey Transportation Trust Fund Authority, RB, Series C, 5.75%, 12/15/28		1,630		1,855,869
New Jersey Turnpike Authority, RB, Series F, 7.41%, 01/01/40		2,329		3,924,505
Rutgers The State University of New Jersey, RB, 3.27%, 05/01/43		4,555		4,914,617
				10,694,991
NewYork — 0.5%
City of New York, NY, GO, 2.90%, 08/01/32		2,875		3,101,032
Metropolitan Transportation Authority
RB, 5.87%, 11/15/39		735		867,947
RB, 6.67%, 11/15/39		350		444,682
RB, Series E, 6.81%, 11/15/40		860		1,105,934
New York City Housing Development Corp.
RB, 3.70%, 11/01/38		1,090		1,156,763
RB, Series C-1B, 3.85%, 11/01/43		3,300		3,537,039
New York City Transitional Finance Authority Future Tax Secured Revenue
RB, Series B3, 3.90%, 08/01/31		4,860		5,557,361
RB, Series C3, 3.35%, 11/01/30		6,190		6,886,375
RB, Series C4, 3.55%, 05/01/25		4,155		4,643,919
RB, Series F2, 3.05%, 05/01/27		4,675		5,177,749
New York City Water & Sewer System
RB, 5.75%, 06/15/41		385		593,963
RB, 6.01%, 06/15/42		665		1,054,890
RB, 5.38%, 06/15/43		2,920		2,950,602
RB, 5.44%, 06/15/43		3,400		5,255,414
RB, 5.50%, 06/15/43		5,285		5,342,342
RB, 5.88%, 06/15/44		1,240		1,989,245
Refunding RB, 5.38%, 06/15/43		1,490		1,505,273
New York State Dormitory Authority
RB, 2.99%, 07/01/40		630		656,429
RB, Series H, 5.39%, 03/15/40		1,470		2,059,911
Refunding RB, Series F, 3.19%, 02/15/43		1,985		2,152,613
New York State Urban Development Corp.
RB, 3.32%, 03/15/29		4,035		4,513,511
RB, 2.23%, 03/15/33		5,940		6,035,693
Refunding RB, Series B, 2.35%, 03/15/27		3,650		3,872,029

S C H E D U L E  O F  I N V E S T M E N  T S 93

Schedule of Investments  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
NewYork (continued)
New York Transportation Development Corp.
RB, Series A, 5.00%, 07/01/46	USD	730	$	780,297
RB, Series A, 5.25%, 01/01/50		9,190		9,902,041
Port Authority of New York & New Jersey
RB, 5.65%, 11/01/40		2,165		3,090,451
RB, 4.96%, 08/01/46		5,020		6,760,434
RB, 4.93%, 10/01/51		1,045		1,421,284
RB, 4.46%, 10/01/62		2,890		3,702,581
State of New York, Refunding GO, Series B, 2.80%, 02/15/32		5,195		5,656,628
				101,774,432
Ohio — 0.1%
American Municipal Power, Inc.
RB, Series B, 7.83%, 02/15/41		1,500		2,500,065
RB, Series B, 8.08%, 02/15/50		2,650		4,845,711
JobsOhio Beverage System, RB, Series B, 3.99%, 01/01/29		8,385		9,619,691
				16,965,467
Oregon — 0.1%
Oregon School Boards Association
GO, (AMBAC), 4.76%, 06/30/28		3,750		4,319,962
GO, (NPFGC), Series B, 5.55%, 06/30/28		2,875		3,524,980
GO, (NPFGC), Series B, 5.68%, 06/30/28		10,105		12,646,307
State of Oregon, GO, 5.89%, 06/01/27		3,860		4,885,216
				25,376,465
Pennsylvania — 0.0%
City of Philadelphia, PA Airport Revenue, RB, Series B, 5.00%, 07/01/42		1,000		1,157,580
Commonwealth Financing Authority
RB, 4.14%, 06/01/38		530		630,255
RB, Series A, 3.86%, 06/01/38		1,180		1,367,585
Pennsylvania Turnpike Commission, RB, Series B, 5.00%, 12/01/48		2,805		3,350,123
				6,505,543
Puerto Rico — 0.1%
Commonwealth of Puerto Rico, GO, Refunding, Series A, 8.00%, 07/01/35(f)(i)		5,625		3,547,601
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue
RB, Series A-1, 0.00%, 07/01/46(m)		41,207		11,633,560
RB, Series A-1, 0.00%, 07/01/51(m)		25,029		5,105,666
				20,286,827
South Carolina — 0.1%
Lexington County Health Services District, Inc., RB, 5.00%, 11/01/41		960		1,108,263
South Carolina Public Service Authority
RB, Series C, 6.45%, 01/01/50		1,955		3,134,158
RB, Series D, 2.39%, 12/01/23		3,392		3,564,042
Spartanburg County School District No. 7, GO, (SCSDE), Series B, 5.00%, 03/01/48		645		804,334
				8,610,797
Tennessee — 0.0%
Tennessee Housing Development Agency
RB, Series 3, 3.75%, 07/01/38		15		16,309
RB, Series 3, 3.85%, 07/01/43		455		491,159
RB, Series 3, 3.95%, 01/01/49		360		388,242
				895,710

Security	Par (000)		Value
Texas — 0.2%
City of San Antonio, TX Electric & Gas Systems Revenue
RB, 5.72%, 02/01/41	USD	3,180	$	4,633,006
RB, 5.81%, 02/01/41		3,260		4,921,752
Dallas/Fort Worth International Airport
RB, Series A, 3.14%, 11/01/45		1,080		1,129,658
RB, Series A, 5.00%, 11/01/45		3,670		3,683,763
RB, Series H, 5.00%, 11/01/45		2,650		2,784,381
State of Texas, GO, 5.52%, 04/01/39		10,740		15,989,175
Texas A&M University, RB, 2.84%, 05/15/27		2,240		2,504,858
Texas Municipal Gas Acquisition and Supply Corp. I, RB, Series D, 6.25%, 12/15/26		720		857,851
				36,504,444
Virginia — 0.1%
Tobacco Settlement Financing Corp., RB, Series A-1, 6.71%, 06/01/46		4,090		4,212,700
Virginia College Building Authority, RB, 1.97%, 02/01/32		3,930		3,987,456
				8,200,156
Washington — 0.0%
Central Puget Sound Regional Transit Authority, RB, Series S1, 5.00%, 11/01/50		1,730		2,060,153
Grant County Public Utility District No. 2 Priest Rapids Hydroelectric Project, RB, 4.58%, 01/01/40		600		775,674
				2,835,827
West Virginia — 0.0%
Tobacco Settlement Finance Authority, RB, Series A, 7.47%, 06/01/47		4,100		4,360,268
Total Municipal Bonds — 2.2% (Cost: $404,631,349)				447,436,471
Non-Agency Mortgage-Backed Securities
Collateralized Mortgage Obligations — 1.7%
Alternative Loan Trust, Series 2007-14T2, Class A1, 6.00%, 07/25/37		2,630		1,895,731
American Home Mortgage Assets Trust
Series 2006-3, Class 2A11, (12 mo. Federal Reserve Cumulative Average US + 0.94%), 1.96%, 10/25/46(a)		851		683,902
Series 2006-4, Class 1A12, (1 mo. LIBOR US + 0.21%), 0.36%, 10/25/46(a)		2,339		1,544,008
Series 2006-5, Class A1, (12 mo. Federal Reserve Cumulative Average US + 0.92%), 1.94%, 11/25/46(a)		3,467		1,487,277
Series 2007-1, Class A1, (12 mo. Federal Reserve Cumulative Average US + 0.70%), 1.72%, 02/25/47(a)		774		420,003
Angel Oak Mortgage Trust, Series 2020-4, Class A3, 2.81%, 06/25/65(b)(d)		4,681		4,698,306
Angel Oak Mortgage Trust I LLC, Series 2019-4, Class A3, 3.30%, 07/26/49(b)(d)		4,152		4,195,369
Angel Oak Mortgage Trust LLC
Series 2020-3, Class A3, 2.87%, 04/25/65(b)(d)		7,010		7,045,036
Series 2020-3, Class M1, 3.81%, 04/25/65(b)(d)		4,120		4,176,719
APS Resecuritization Trust
Series 2016-1, Class 1MZ, 4.14%,  07/31/57(b)(d)		7,321		2,569,633
Series 2016-3, Class 3A, (1 mo. LIBOR US + 2.85%), 3.00%, 09/27/46(a)(b)		4,686		4,663,876

94 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Collateralized Mortgage Obligations (continued)
APS Resecuritization Trust
Series 2016-3, Class 4A, (1 mo. LIBOR US + 2.60%), 2.75%, 04/27/47(a)(b)	USD	811	$	805,512
ARI Investments LLC
Series 2017-1, Class A, 4.61%, 01/06/25(c)(d)		2,722		2,639,864
Series 2019-1, 4.55%, 01/30/25(c)(d)		3,146		3,083,290
Banc of America Funding Trust
Series 2014-R2, Class 1C, 0.00%, 11/26/36(b)(d)		3,961		940,459
Series 2016-R2, Class 1A1, 4.70%, 05/01/33(b)(d)		1,374		1,313,961
BCAP LLC Trust, Series 2011-RR5, Class 11A5, (1 mo. LIBOR US + 0.15%), 0.48%, 05/28/36(a)(b)		4,498		4,266,115
Bear Stearns ALT-A Trust, Series 2007-1, Class 1A1, (1 mo. LIBOR US + 0.32%), 0.47%, 01/25/47(a)		1,363		1,174,839
Bear Stearns Asset-Backed Securities I Trust, Series 2005-AC9, Class A5, 6.25%, 12/25/35(e)		230		211,307
Bear Stearns Mortgage Funding Trust
Series 2006-SL1, Class A1, (1 mo. LIBOR US + 0.28%), 0.43%, 08/25/36(a)		1,199		1,177,078
Series 2007-AR2, Class A1, (1 mo. LIBOR US + 0.17%), 0.32%, 03/25/37(a)		328		292,938
Series 2007-AR3, Class 1A1, (1 mo. LIBOR US + 0.14%), 0.29%, 03/25/37(a)		545		487,981
Series 2007-AR4, Class 2A1, (1 mo. LIBOR US + 0.21%), 0.36%, 06/25/37(a)		553		514,677
BlackRock Capital Finance LP, Series 1997-R2, Class AP, 1.68%, 12/25/35(b)(d)(q)		3		3,188
Chase Mortgage Finance Trust, Series 2007-S6, Class 1A1, 6.00%, 12/25/37		23,552		15,890,253
Citicorp Mortgage Securities Trust
Series 2007-9, Class 1A1, 6.25%, 12/25/37		1,704		1,525,554
Series 2008-2, Class 1A1, 6.50%, 06/25/38		5,590		4,912,205
Citigroup Mortgage Loan Trust, Series 2007-2, Class 2A, 6.00%, 11/25/36		12		12,303
CitiMortgage Alternative Loan Trust, Series 2007- A6, Class 1A11, 6.00%, 06/25/37		864		869,872
COLT Mortgage Loan Trust, Series 2020-3, Class A3, 2.38%, 04/27/65(b)(d)		2,438		2,441,431
Countrywide Alternative Loan Trust
Series 2005-22T1, Class A1, (1 mo. LIBOR US + 0.35%), 0.50%, 06/25/35(a)		3,687		2,880,729
Series 2005-72, Class A3, (1 mo. LIBOR US + 0.60%), 0.75%, 01/25/36(a)		621		569,722
Series 2005-76, Class 2A1, (12 mo. Federal Reserve Cumulative Average US + 1.00%), 2.02%, 02/25/36(a)		779		711,093
Series 2006-11CB, Class 3A1, 6.50%, 05/25/36		1,631		1,202,424
Series 2006-15CB, Class A1, 6.50%, 06/25/36		393		301,280
Series 2006-23CB, Class 2A5, (1 mo. LIBOR US + 0.40%), 0.55%, 08/25/36(a)		5,570		1,080,877
Series 2006-OA14, Class 1A1, (12 mo. Federal Reserve Cumulative Average US + 1.73%), 2.75%, 11/25/46(a)		3,233		2,668,888
Series 2006-OA16, Class A2, (1 mo. LIBOR US + 0.19%), 0.34%, 10/25/46(a)		3,672		3,435,618
Series 2006-OA16, Class A4C, (1 mo. LIBOR US + 0.34%), 0.49%, 10/25/46(a)		4,083		2,934,622

Security	Par (000)		Value
Collateralized Mortgage Obligations (continued)
Countrywide Alternative Loan Trust
Series 2006-OA21, Class A1, (1 mo. LIBOR US + 0.19%), 0.35%, 03/20/47(a)	USD	8,564	$	6,995,505
Series 2006-OA8, Class 1A1, (1 mo. LIBOR US + 0.19%), 0.34%, 07/25/46(a)		443		386,063
Series 2006-OC10, Class 2A3, (1 mo. LIBOR US + 0.23%), 0.38%, 11/25/36(a)		1,606		1,441,418
Series 2006-OC7, Class 2A3, (1 mo. LIBOR US + 0.25%), 0.40%, 07/25/46(a)		2,317		2,036,205
Series 2007-3T1, Class 1A1, 6.00%, 04/25/37 .		343		223,919
Series 2007-OA3, Class 1A1, (1 mo. LIBOR US + 0.14%), 0.29%, 04/25/47(a)		1,026		918,916
Series 2007-OA3, Class 2A2, (1 mo. LIBOR US + 0.18%), 0.33%, 04/25/47(a)		7		352
Series 2007-OA8, Class 2A1, (1 mo. LIBOR US + 0.18%), 0.33%, 06/25/47(a)		353		267,523
Series 2007-OH2, Class A2A, (1 mo. LIBOR US + 0.24%), 0.39%, 08/25/47(a)		434		387,803
Countrywide Home Loan Mortgage Pass-Through Trust
Series 2004-29, Class 1A1, (1 mo. LIBOR US + 0.54%), 0.69%, 02/25/35(a)		240		225,205
Series 2006-OA4, Class A1, (12 mo. Federal Reserve Cumulative Average US + 0.96%), 1.98%, 04/25/46(a)		1,431		609,792
Series 2006-OA5, Class 3A1, (1 mo. LIBOR US + 0.20%), 0.35%, 04/25/46(a)		642		582,032
Series 2007-15, Class 2A2, 6.50%, 09/25/37		8,888		5,460,184
Credit Suisse Commercial Mortgage Trust
Series 2009-12R, Class 3A1, 6.50%, 10/27/37(b)		8,103		4,394,154
Series 2009-5R, Class 4A4, 3.03%, 06/25/36(b)(d)		1,654		1,410,579
Series 2014-11R, Class 16A1, 3.23%, 09/27/47(b)(d)		888		908,594
Series 2014-4R, Class 16A3, (1 mo. LIBOR US + 0.20%), 0.38%, 02/27/36(a)(b)(c)		717		663,012
Series 2014-9R, Class 9A1, (1 mo. LIBOR US + 0.12%), 0.30%, 08/27/36(a)(b)		1,249		1,155,600
Series 2019-JR1, Class A1, 4.10%, 09/27/66(b)(d)		28,894		29,002,873
Series 2020-SPT1, Class M1, 3.85%, 04/25/65(b)(d)		4,796		4,840,780
CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-10, Class 10A1, (1 mo. LIBOR US + 1.35%), 1.50%, 11/25/35(a)		1,284		252,712
Deephaven Residential Mortgage Trust, Series 2020-2, Class A3, 2.86%, 05/25/65(b)		3,800		3,814,630
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA4, Class A2A, (1 mo. LIBOR US + 0.17%), 0.32%, 08/25/47(a)		1,219		841,133
Deutsche Alt-A Securities, Inc., Series 2007-RS1, Class A2, (1 mo. LIBOR US + 0.50%), 0.67%, 01/27/37(a)(b)		36		34,791
Deutsche Alt-B Securities Mortgage Loan Trust
Series 2006-AB3, Class A3, 6.51%, 07/25/36(d)		435		424,543
Series 2006-AB3, Class A8, 6.36%, 07/25/36(d)		277		270,728

S C H E D U L E  O F  I N V E S T M E N  T S 95

Schedule of Investments  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Collateralized Mortgage Obligations (continued)
GreenPoint Mortgage Funding Trust, Series 2006- AR2, Class 4A1, (12 mo. Federal Reserve Cumulative Average US + 2.00%), 3.02%, 03/25/36(a)	USD	839	$	799,701
GSR Mortgage Loan Trust, Series 2007-1F, Class 2A4, 5.50%, 01/25/37		213		238,782
HarborView Mortgage Loan Trust
Series 2006-12, Class 1A1A, (1 mo. LIBOR US + 0.21%), 0.36%, 12/19/36(a)		13,859		12,100,681
Series 2007-4, Class 2A2, (1 mo. LIBOR US + 0.25%), 0.41%, 07/19/47(a)		721		619,424
Homeward Opportunities Fund I Trust
Series 2020-2, Class A2, 2.64%, 05/25/65(b)(d)		4,767		4,891,068
Series 2020-2, Class A3, 3.20%, 05/25/65(b)(d)		5,763		5,962,848
Impac CMB Trust
Series 2004-11, Class 1A2, (1 mo. LIBOR US + 0.52%), 0.67%, 03/25/35(a)		1,229		1,204,538
Series 2005-6, Class 1A1, (1 mo. LIBOR US + 0.50%), 0.65%, 10/25/35(a)		961		911,136
IndyMac Index Mortgage Loan Trust
Series 2006-AR15, Class A1, (1 mo. LIBOR US + 0.12%), 0.27%, 07/25/36(a)		517		464,366
Series 2007-AR19, Class 3A1, 3.18%, 09/25/37(d)		3,059		2,096,467
Series 2007-FLX5, Class 2A2, (1 mo. LIBOR US + 0.24%), 0.39%, 08/25/37(a)		1,000		841,322
JPMorgan Alternative Loan Trust
Series 2007-A1, Class 1A4, (1 mo. LIBOR US + 0.42%), 0.57%, 03/25/37(a)		1,547		1,460,220
Series 2007-A2, Class 2A1, 3.68%, 05/25/37(d)		328		291,776
Legacy Mortgage Asset Trust
Series 2019-SL1, Class A, 4.00%, 12/28/54(d)		3,798		3,833,459
Series 2020-GS5, Class A1, 3.25%, 06/25/60(b)		4,293		4,320,592
Series 2020-SL1, Class A, 2.73%, (b)(e)(l)		6,120		6,119,970
Lehman XS Trust
Series 2007-16N, Class AF2, (1 mo. LIBOR US + 0.95%), 1.10%, 09/25/47(a)		3,736		3,658,132
Series 2007-20N, Class A1, (1 mo. LIBOR US + 1.15%), 1.30%, 12/25/37(a)		930		862,189
LSTAR Securities Investment Trust, Series 2019-1, Class A1, (1 mo. LIBOR US + 1.70%), 1.86%, 03/01/24(a)(b)		2,773		2,745,234
MASTR Resecuritization Trust, Series 2008-3, Class A1, 0.61%, 08/25/37(b)(d)		1,072		587,338
MCM Trust
Series 2018-NPL1, Class A, 4.00%, 05/28/58(b)		932		936,812
Series 2018-NPL1, Class B, 0.00%, 05/28/58(b)		6,154		4,339,037
Series 2018-NPL2, Class A, 4.00%, 10/25/28(b)(c)(e)		3,441		3,441,422
Series 2018-NPL2, Class B, 0.00%, 10/25/28(b)		10,087		3,169,381
Merrill Lynch Alternative Note Asset Trust, Series 2007-OAR2, Class A2, (1 mo. LIBOR US + 0.21%), 0.36%, 04/25/37(a)		2,189		1,962,402
Merrill Lynch Mortgage Investors Trust, Series 2006-A3, Class 6A1, 3.40%, 05/25/36(d)		1,238		1,128,037

Security	Par (000)		Value
Collateralized Mortgage Obligations (continued)
MFA Trust, Series 2020-NQM1, Class A3, 2.30%, 08/25/49(b)(d)	USD	684	$	687,847
Mortgage Loan Resecuritization Trust, Series 2009-RS1, Class A85, (1 mo. LIBOR US + 0.34%), 0.50%, 04/16/36(a)(b)		7,621		6,722,653
New Residential Mortgage Loan Trust
Series 2019-2A, Class A1, 4.25%, 12/25/57(b)(d)		1,831		1,969,490
Series 2020-NPL2, Class A1, 3.23%, 08/25/60(b)(e)		1,779		1,779,567
Series 2020-RPL1, Class B3, 3.94%, 11/25/59(b)(d)		6,210		4,991,395
Series 2020-RPL2, Class A1, 3.58%, 08/25/25(b)(d)		13,371		13,367,547
Nomura Asset Acceptance Corp. Alternative Loan Trust
Series 2001-R1A, Class A, 7.00%, 02/19/30(b)(d)		440		449,520
Series 2006-AF1, Class 1A4, 6.63%, 05/25/36(e)		576		192,357
Series 2007-2, Class A4, (1 mo. LIBOR US + 0.42%), 0.57%, 06/25/37(a)		395		320,713
PRPM LLC, Series 2019-1A, Class A1, 4.50%, 01/25/24(b)(e)		2,733		2,754,087
RALI Trust, Series 2007-QH9, Class A1, 2.11%, 11/25/37(d)		734		657,466
Reperforming Loan REMIC Trust
Series 2005-R2, Class 1AF1, (1 mo. LIBOR US + 0.34%), 0.49%, 06/25/35(a)(b)		467		434,072
Series 2005-R3, Class AF, (1 mo. LIBOR US + 0.40%), 0.55%, 09/25/35(a)(b)		146		127,041
Residential Mortgage Loan Trust
Series 2020-2, Class A2, 2.51%, 05/25/60(b)(d)		3,500		3,521,454
Series 2020-2, Class M1, 3.57%, 05/25/60(b)(d)		7,854		8,059,124
Seasoned Credit Risk Transfer Trust, Series 2018-1, Class BX, 1.53%, 05/25/57(d)		543		251,342
Seasoned Loans Structured Transaction Trust, Series 2020-2, Class M1, 4.75%, 09/25/60(b)(d)		15,220		15,258,050
Sequoia Mortgage Trust, Series 2007-3, Class 2AA1, 3.26%, 07/20/37(d)		1,464		1,321,619
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-3, Class 4A, 3.57%, 04/25/36(d)		906		716,058
Structured Asset Mortgage Investments II Trust
Series 2006-AR4, Class 3A1, (1 mo. LIBOR US + 0.19%), 0.34%, 06/25/36(a)		2,350		2,102,842
Series 2006-AR5, Class 2A1, (1 mo. LIBOR US + 0.21%), 0.36%, 05/25/46(a)		538		463,470
Thornburg Mortgage Securities Trust, Series 2007-3, Class 4A1, (12 mo. LIBOR US + 1.25%), 1.62%, 06/25/47(a)		357		331,974
TVC Mortgage Trust, Series 2020-RTL1, Class A1, 3.47%, 09/25/24(b)		1,960		1,995,274
Verus Securitization Trust
Series 2019-INV2, Class M1, 3.50%, 07/25/59(b)(d)		660		672,635
Series 2020-4, Class A3, 2.32%, 05/25/65(b)(e)		3,239		3,251,116
Series 2020-4, Class M1, 3.29%, 05/25/65(b)(d)		3,120		3,187,448
Series 2020-INV1, Class A2, 3.04%, 03/25/60(b)(d)		1,895		1,944,926
Series 2020-INV1, Class A3, 3.89%, 03/25/60(b)(d)		1,800		1,873,329

96 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Collateralized Mortgage Obligations (continued)
Visio Trust, Series 2020-1, Class M1, 4.45%, 08/25/55(b)(d)	USD	1,100	$	1,125,190
Vista Point Securitization Trust
Series 2020-1, Class A1, 1.76%, 03/25/65(b)(d)		15,343		15,424,421
Series 2020-2, Class A3, 2.50%, 04/25/65(b)(d)		3,917		3,919,684
Series 2020-2, Class M1, 3.40%, 04/25/65(b)(d)		1,480		1,487,065
Washington Mutual Mortgage Pass-Through Certificates Trust
Series 2006-1, Class 4CB, 6.50%, 02/25/36		1,352		1,172,253
Series 2006-4, Class 1A1, 6.00%, 04/25/36		3,838		3,859,210
Series 2006-4, Class 3A1, 6.50%, 05/25/36(e)		1,300		1,214,394
Series 2006-4, Class 3A5, 6.35%, 05/25/36(e)		504		470,865
Series 2007-OA5, Class 2A, (Cost of Funds for the 11th District of San Francisco + 1.25%), 1.93%, 06/25/47(a)		1,893		1,613,507
				337,954,325
Commercial Mortgage-Backed Securities — 3.4%
1211 Avenue of the Americas Trust
Series 2015-1211, Class D, 4.28%, 08/10/35(b)(d)		6,157		6,326,588
Series 2015-1211, Class E, 4.28%, 08/10/35(b)(d)		1,110		1,063,595
245 Park Avenue Trust
Series 2017-245P, Class D, 3.78%, 06/05/37(b)(d)		480		483,087
Series 2017-245P, Class E, 3.78%, 06/05/37(b)(d)		1,699		1,616,372
280 Park Avenue Mortgage Trust
Series 2017-280P, Class D, (1 mo. LIBOR US + 1.54%), 1.69%, 09/15/34(a)(b)		2,920		2,854,054
Series 2017-280P, Class E, (1 mo. LIBOR US + 2.12%), 2.27%, 09/15/34(a)(b)		5,835		5,615,435
Series 2017-280P, Class F, (1 mo. LIBOR US + 2.83%), 2.98%, 09/15/34(a)(b)		630		593,782
AOA Mortgage Trust, Series 2015-1177, Class C, 3.11%, 12/13/29(b)(d)		5,210		5,174,850
Ashford Hospitality Trust, Series 2018-ASHF, Class D, (1 mo. LIBOR US + 2.10%), 2.25%, 04/15/35(a)(b)		740		673,614
Atrium Hotel Portfolio Trust
Series 2017-ATRM, Class D, (1 mo. LIBOR US + 1.95%), 2.10%, 12/15/36(a)(b)		4,840		4,072,668
Series 2017-ATRM, Class E, (1 mo. LIBOR US + 3.05%), 3.20%, 12/15/36(a)(b)		568		463,090
Banc of America Merrill Lynch Commercial Mortgage Securities Trust
Series 2015-200P, Class F, 3.72%, 04/14/33(b)(d)		1,241		1,244,784
Series 2016-ISQ, Class C, 3.73%, 08/14/34(b)(d)		445		460,385
Series 2016-ISQ, Class E, 3.73%, 08/14/34(b)(d)		5,287		5,085,486
Series 2017-SCH, Class AF, (1 mo. LIBOR US + 1.00%), 1.15%, 11/15/33(a)(b)		150		141,853
Series 2017-SCH, Class BF, (1 mo. LIBOR US + 1.40%), 1.55%, 11/15/33(a)(b)		2,870		2,699,762
Series 2017-SCH, Class CL, (1 mo. LIBOR US + 1.50%), 1.65%, 11/15/32(a)(b)		970		829,263
Series 2017-SCH, Class DL, (1 mo. LIBOR US + 2.00%), 2.15%, 11/15/32(a)(b)		1,930		1,578,296
Series 2018-DSNY, Class C, (1 mo. LIBOR US + 1.35%), 1.50%, 09/15/34(a)(b)		350		329,404

Security	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Banc of America Merrill Lynch Commercial Mortgage Securities Trust Series 2018-DSNY, Class D, (1 mo. LIBOR US + 1.70%), 1.85%, 09/15/34(a)(b)	USD	3,275	$	3,026,263
BANK
Series 2017-BNK9, Class A4, 3.54%, 11/15/54		4,030		4,593,786
Series 2019-BN19, Class C, 4.17%, 08/15/61(d)		686		748,334
Series 2019-BN21, Class A5, 2.85%, 10/17/52		1,088		1,203,698
Series 2020-BN28, Class D, 2.50%, 03/15/63(b)		1,830		1,599,540
Barclays Commercial Mortgage Trust
Series 2018-TALL, Class A, (1 mo. LIBOR US + 0.72%), 0.87%, 03/15/37(a)(b)		918		881,487
Series 2018-TALL, Class D, (1 mo. LIBOR US + 1.45%), 1.60%, 03/15/37(a)(b)		1,120		1,050,091
Bayview Commercial Asset Trust
Series 2005-3A, Class A1, (1 mo. LIBOR US + 0.32%), 0.47%, 11/25/35(a)(b)		2,359		2,216,360
Series 2005-4A, Class A1, (1 mo. LIBOR US + 0.30%), 0.45%, 01/25/36(a)(b)		5,139		4,802,573
Series 2005-4A, Class A2, (1 mo. LIBOR US + 0.39%), 0.54%, 01/25/36(a)(b)		80		75,073
Series 2005-4A, Class M1, (1 mo. LIBOR US + 0.45%), 0.60%, 01/25/36(a)(b)		213		200,377
Series 2006-1A, Class A2, (1 mo. LIBOR US + 0.36%), 0.51%, 04/25/36(a)(b)		271		251,633
Series 2006-2A, Class A2, (1 mo. LIBOR US + 0.28%), 0.43%, 07/25/36(a)(b)		932		868,453
Series 2006-3A, Class A1, (1 mo. LIBOR US + 0.25%), 0.40%, 10/25/36(a)(b)		464		430,682
Series 2006-3A, Class A2, (1 mo. LIBOR US + 0.30%), 0.45%, 10/25/36(a)(b)		323		300,872
Series 2006-4A, Class A1, (1 mo. LIBOR US + 0.23%), 0.38%, 12/25/36(a)(b)		701		651,180
Series 2007-2A, Class A1, (1 mo. LIBOR US + 0.27%), 0.42%, 07/25/37(a)(b)		10,291		9,642,869
Series 2007-6A, Class A4A, (1 mo. LIBOR US + 1.50%), 1.65%, 12/25/37(a)(b)		1,980		1,873,344
Series 2008-2, Class A4A, (1 mo. LIBOR US + 2.50%), 2.65%, 04/25/38(a)(b)		2,533		2,537,617
BBCMS Mortgage Trust
Series 2018-CHRS, Class E, 4.41%, 08/05/38(b)(d)		980		671,230
Series 2019-BWAY, Class D, (1 mo. LIBOR US + 2.16%), 2.31%, 11/25/34(a)(b)		2,450		2,267,003
Series 2020-C6, Class A4, 2.64%, 02/15/53		4,593		5,018,221
BBCMS Trust, Series 2015-SRCH, Class A1, 3.31%, 08/10/35(b)		2,705		2,850,412
BB-UBS Trust, Series 2012-SHOW, Class E, 4.16%, 11/05/36(b)(d)		790		634,720
Bear Stearns Commercial Mortgage Securities Trust
Series 2005-PWR7, Class B, 5.21%, 02/11/41(d)		393		390,249
Series 2007-T26, Class AM, 5.51%, 01/12/45(d)		754		752,748
Benchmark Mortgage Trust
Series 2018-B3, Class D, 3.21%, 04/10/51(b)(d)		210		164,357
Series 2018-B5, Class A3, 3.94%, 07/15/51		4,840		5,677,743
Series 2019-B10, Class 3CCA, 4.03%, 03/15/62(b)(d)		3,610		3,730,518

S C H E D U L E  O F  I N V E S T M E N  T S 97

Schedule of Investments  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Benchmark Mortgage Trust
Series 2019-B14, Class 225C, 3.40%, 12/15/62(b)(d)	USD	1,411	$	1,363,086
Series 2020-B16, Class C, 3.66%, 02/15/53(d)		623		617,057
Series 2020-B16, Class D, 2.50%, 02/15/53(b)		957		806,578
BFLD Trust, Series 2020-EYP, Class E, 3.90%, 10/15/35(a)(b)		5,885		5,885,000
BHMS, Series 2018-ATLS, Class A, (1 mo. LIBOR US + 1.25%), 1.40%, 07/15/35(a)(b)		2,770		2,656,171
BWAY Mortgage Trust
Series 2013-1515, Class A2, 3.45%, 03/10/33(b)		5,084		5,471,445
Series 2013-1515, Class D, 3.63%, 03/10/33(b).		1,400		1,414,696
Series 2013-1515, Class E, 3.72%, 03/10/33(b).		250		248,622
Series 2013-1515, Class F, 4.06%, 03/10/33(b)(d)		250		246,814
Series 2015-1740, Class E, 4.81%, 01/10/35(b)(d)		688		640,006
BX Commercial Mortgage Trust
Series 2018-BIOA, Class F, (1 mo. LIBOR US + 2.47%), 2.62%, 03/15/37(a)(b)		3,350		3,228,610
Series 2018-IND, Class H, (1 mo. LIBOR US + 3.00%), 3.15%, 11/15/35(a)(b)		10,976		10,703,041
Series 2019-XL, Class G, (1 mo. LIBOR US + 2.30%), 2.45%, 10/15/36(a)(b)		18,607		18,304,773
Series 2019-XL, Class J, (1 mo. LIBOR US + 2.65%), 2.80%, 10/15/36(a)(b)		21,704		21,166,091
Series 2020-BXLP, Class F, (1 mo. LIBOR US + 2.00%), 2.15%, 12/15/36(a)(b)		21,806		21,451,707
Series 2020-BXLP, Class G, (1 mo. LIBOR US + 2.50%), 2.65%, 12/15/36(a)(b)		3,627		3,576,645
Series 2020-VIV3, Class B, 3.54%, 03/09/44(b)		2,700		2,713,181
Series 2020-VKNG, Class F, (1 mo. LIBOR US + 2.75%), 2.95%, 10/15/37(a)(b)		4,670		4,670,000
BX Trust
Series 2019-OC11, Class A, 3.20%, 12/09/41(b)		1,830		1,937,109
Series 2019-OC11, Class D, 4.08%, 12/09/41(b)(d)		9,585		9,299,794
Series 2019-OC11, Class E, 4.08%, 12/09/41(b)(d)		11,936		10,965,341
BXP Trust
Series 2017-CC, Class D, 3.67%, 08/13/37(b)(d)		750		746,580
Series 2017-CC, Class E, 3.67%, 08/13/37(b)(d)		1,450		1,347,806
Series 2017-GM, Class D, 3.54%, 06/13/39(b)(d)		590		616,995
Series 2017-GM, Class E, 3.54%, 06/13/39(b)(d)		1,240		1,240,463
CAMB Commercial Mortgage Trust, Series 2019- LIFE, Class D, (1 mo. LIBOR US + 1.75%), 1.90%, 12/15/37(a)(b)		3,619		3,609,576
CD Mortgage Trust
Series 2017-CD5, Class B, 3.96%, 08/15/50(d)		2,091		2,289,145
Series 2017-CD6, Class C, 4.41%, 11/13/50(d)		1,290		1,258,246
CFCRE Commercial Mortgage Trust
Series 2016-C3, Class A3, 3.87%, 01/10/48		410		459,596
Series 2018-TAN, Class B, 4.69%, 02/15/33(b)		944		954,987
Series 2018-TAN, Class C, 5.30%, 02/15/33(b)		1,160		1,132,050
CFK Trust, Series 2019-FAX, Class D, 4.64%, 01/15/39(b)(d)		2,643		2,725,317

Security	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
CGDBB Commercial Mortgage Trust
Series 2017-BIOC, Class A, (1 mo. LIBOR US + 0.79%), 0.94%, 07/15/32(a)(b)	USD	2,960	$	2,959,407
Series 2017-BIOC, Class D, (1 mo. LIBOR US + 1.60%), 1.75%, 07/15/32(a)(b)		4,348		4,343,209
Series 2017-BIOC, Class E, (1 mo. LIBOR US + 2.15%), 2.30%, 07/15/32(a)(b)		6,833		6,765,872
CHC Commercial Mortgage Trust, Series 2019- CHC, Class B, (1 mo. LIBOR US + 1.50%), 1.65%, 06/15/34(a)(b)		7,262		6,849,661
Citigroup Commercial Mortgage Trust
Series 2014-GC19, Class C, 5.26%, 03/10/47(d)		440		462,147
Series 2015-GC27, Class B, 3.77%, 02/10/48		990		1,034,062
Series 2016-C1, Class D, 5.12%, 05/10/49(b)(d).		450		382,471
Series 2016-GC37, Class C, 5.08%, 04/10/49(d)		640		620,760
Series 2016-P3, Class C, 5.05%, 04/15/49(d)		120		117,023
Series 2016-P3, Class D, 2.80%, 04/15/49(b)(d)		137		83,864
Series 2017-C4, Class A4, 3.47%, 10/12/50		1,220		1,384,103
Series 2018-C6, Class A4, 4.41%, 11/10/51		1,960		2,355,363
Series 2019-C7, Class A4, 3.10%, 12/15/72		1,130		1,275,681
Series 2019-PRM, Class E, 4.89%, 05/10/36(b)(d)		4,801		4,934,415
Series 2019-PRM, Class F, 4.89%, 05/10/36(b)(d)		5,180		5,212,311
Series 2019-SMRT, Class D, 4.90%, 01/10/36(b)(d)		7,200		7,366,636
Series 2019-SMRT, Class E, 4.90%, 01/10/36(b)(d)		419		419,850
Citigroup/Deutsche Bank Commercial Mortgage Trust
Series 2006-CD3, Class AM, 5.65%, 10/15/48 .		3,173		3,244,205
Series 2017-CD3, Class A4, 3.63%, 02/10/50		850		963,361
Series 2017-CD4, Class A4, 3.51%, 05/10/50(d)		3,400		3,839,800
Commercial Mortgage Pass-Through Certificates
Series 2014-CR14, Class A4, 4.24%, 02/10/47(d)		855		928,151
Series 2014-CR15, Class C, 4.89%, 02/10/47(d)		3,920		4,164,073
Series 2014-CR18, Class A4, 3.55%, 07/15/47		372		400,885
Series 2014-CR19, Class A5, 3.80%, 08/10/47		1,391		1,527,020
Series 2015-CR24, Class A5, 3.70%, 08/10/48		1,370		1,532,938
Series 2015-CR25, Class A4, 3.76%, 08/10/48		3,505		3,921,114
Series 2015-LC21, Class C, 4.48%, 07/10/48(d)		1,600		1,556,577
Series 2017-COR2, Class A3, 3.51%, 09/10/50		1,180		1,320,040
Series 2017-COR2, Class D, 3.00%, 09/10/50(b)		379		302,818
Series 2018-HCLV, Class B, (1 mo. LIBOR US + 1.40%), 1.55%, 09/15/33(a)(b)		1,420		1,348,008
Commercial Mortgage Trust
Series 2013-GAM, Class A2, 3.37%, 02/10/28(b)		1,656		1,586,934
Series 2013-GAM, Class E, 3.53%, 02/10/28(b)(d)		2,270		1,617,844
Series 2014-CR21, Class A3, 3.53%, 12/10/47		1,352		1,462,867
Series 2014-LC15, Class A4, 4.01%, 04/10/47		2,350		2,558,514
Series 2014-UBS4, Class C, 4.80%, 08/10/47(d)		641		636,050

98 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Commercial Mortgage Trust
Series 2015-CR23, Class A4, 3.50%, 05/10/48(c)	USD	810	$	889,001
Series 2015-LC19, Class D, 2.87%, 02/10/48(b)		126		112,030
Series 2015-LC23, Class A4, 3.77%, 10/10/48		1,040		1,167,869
Series 2016-667M, Class D, 3.29%, 10/10/36(b)(d)		630		613,579
CORE Mortgage Trust, Series 2019-CORE, Class F, (1 mo. LIBOR US + 2.35%), 2.50%, 12/15/31(a)(b)		3,200		3,073,030
Credit Suisse Commercial Mortgage Trust
Series 2017-CALI, Class C, 3.90%, 11/10/32(b)(d)		1,729		1,819,038
Series 2017-PFHP, Class A, (1 mo. LIBOR US + 0.95%), 1.10%, 12/15/30(a)(b)		900		875,431
Series 2017-TIME, Class A, 3.65%, 11/13/39(b).		850		846,341
Series 2020-NET, Class D, 3.83%, 08/15/37(b)(d)		710		710,813
Series 2020-NET, Class E, 3.83%, 08/15/37(b)(d)		3,580		3,528,084
CSAIL Commercial Mortgage Trust
Series 2015-C2, Class A4, 3.50%, 06/15/57		1,160		1,278,216
Series 2015-C2, Class B, 4.21%, 06/15/57(d)		2,020		1,932,950
Series 2016-C5, Class B, 4.46%, 11/15/48(d)		2,410		2,598,375
Series 2018-C14, Class C, 5.05%, 11/15/51(d)		300		322,302
Series 2018-CX12, Class A4, 4.22%, 08/15/51(d)		460		547,091
Series 2019-C15, Class A4, 4.05%, 03/15/52		4,080		4,760,394
Series 2019-C15, Class D, 3.00%, 03/15/52(b)		1,285		945,739
Series 2019-C16, Class C, 4.24%, 06/15/52(d)		2,919		2,871,609
Series 2019-C17, Class C, 3.93%, 09/15/52		3,158		3,397,415
Series 2019-C17, Class D, 2.50%, 09/15/52(b)		2,481		1,826,769
Series 2020-C19, Class A3, 2.56%, 03/15/53		10,090		10,859,335
DBGS Mortgage Trust
Series 2018-5BP, Class B, (1 mo. LIBOR US + 0.83%), 0.98%, 06/15/33(a)(b)		2,890		2,840,552
Series 2019-1735, Class F, 4.33%, 04/10/37(b)(d)		1,144		871,356
Del Amo Fashion Center Trust, Series 2017-AMO, Class D, 3.76%, 06/05/35(b)(d)		962		711,567
Deutsche Bank JPMorgan Mortgage Trust, Series 2016-C1, Class A4, 3.28%, 05/10/49		1,430		1,578,500
Deutsche Bank UBS Mortgage Trust
Series 2017-BRBK, Class A, 3.45%, 10/10/34(b)		2,540		2,723,377
Series 2017-BRBK, Class D, 3.65%, 10/10/34(b)(c)(d)		1,800		1,789,186
Series 2017-BRBK, Class E, 3.65%, 10/10/34(b)(d)		3,560		3,606,375
Series 2017-BRBK, Class F, 3.65%, 10/10/34(b)(d)		1,270		1,260,654
Eleven Madison Trust Mortgage Trust, Series 2015-11MD, Class A, 3.67%, 09/10/35(b)(d)		1,190		1,297,307
Exantas Capital Corp. Ltd., Series 2019-RSO7, Class AS, (1 mo. LIBOR US + 1.50%), 1.65%, 04/15/36(a)(b)		3,495		3,429,894
FREMF Mortgage Trust
Series 2017-KGX1, Class BFX, 3.71%, 10/25/27(b)(d)		1,190		1,251,095

Security	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
FREMF Mortgage Trust
Series 2018-K74, Class B, 4.23%, 02/25/51(b)(d)	USD	120	$	135,507
Series 2018-K80, Class B, 4.37%, 08/25/50(b)(d)		1,510		1,738,366
FRESB Mortgage Trust
Series 2018-SB52, Class A10F, 3.48%, 06/25/28(d)		2,299		2,461,480
Series 2018-SB53, Class A10F, 3.66%, 06/25/28(d)		1,388		1,531,901
GPMT Ltd., Series 2018-FL1, Class A, (1 mo. LIBOR US + 0.90%), 1.06%, 11/21/35(a)(b)		405		403,132
GRACE Mortgage Trust, Series 2014-GRCE, Class F, 3.71%, 06/10/28(b)(d)		1,662		1,650,945
GS Mortgage Securities Corp. II
Series 2005-ROCK, Class A, 5.37%, 05/03/32(b)		2,750		3,192,428
Series 2012-TMSQ, Class D, 3.57%, 12/10/30(b)(d)		1,210		1,057,775
GS Mortgage Securities Corp. Trust
Series 2017-500K, Class D, (1 mo. LIBOR US + 1.30%), 1.55%, 07/15/32(a)(b)		230		228,298
Series 2017-500K, Class E, (1 mo. LIBOR US + 1.50%), 1.75%, 07/15/32(a)(b)		480		475,164
Series 2017-500K, Class F, (1 mo. LIBOR US + 1.80%), 2.15%, 07/15/32(a)(b)		549		542,117
Series 2017-500K, Class G, (1 mo. LIBOR US + 2.50%), 2.85%, 07/15/32(a)(b)		170		167,583
Series 2017-GPTX, Class A, 2.86%, 05/10/34(b)		2,290		2,249,502
Series 2019-BOCA, Class A, (1 mo. LIBOR US + 1.20%), 1.35%, 06/15/38(a)(b)		1,431		1,395,399
Series 2019-SOHO, Class A, (1 mo. LIBOR US + 0.90%), 1.05%, 06/15/36(a)(b)		3,715		3,687,417
Series 2019-SOHO, Class E, (1 mo. LIBOR US + 1.87%), 2.03%, 06/15/36(a)(b)		1,723		1,616,008
GS Mortgage Securities Trust
Series 2012-GCJ9, Class C, 4.45%, 11/10/45(b)(d)		1,207		1,223,841
Series 2014-GC20, Class B, 4.53%, 04/10/47(d)		140		146,648
Series 2014-GC24, Class A5, 3.93%, 09/10/47.		882		968,716
Series 2015-590M, Class E, 3.93%, 10/10/35(b)(d)		1,790		1,795,853
Series 2015-GC32, Class C, 4.57%, 07/10/48(d)		290		284,717
Series 2015-GS1, Class A3, 3.73%, 11/10/48		670		747,202
Series 2016-RENT, Class C, 4.20%, 02/10/29(b)(d)		1,070		1,064,985
Series 2017-GS7, Class D, 3.00%, 08/10/50(b)		530		427,140
Series 2017-GS7, Class E, 3.00%, 08/10/50(b)		180		131,977
Series 2019-GSA1, Class C, 3.93%, 11/10/52(d)		520		482,774
GSCG Trust, Series 2019-600C, Class F, 4.12%, 09/06/34(b)(d)		1,950		1,866,247
HMH Trust, Series 2017-NSS, Class A, 3.06%, 07/05/31(b)		3,390		3,269,078
Hudson Yards Mortgage Trust
Series 2016-10HY, Class A, 2.84%, 08/10/38(b)		2,640		2,835,205
Series 2019-30HY, Class E, 3.56%, 07/10/39(b)(d)		2,178		2,126,869

S C H E D U L E  O F  I N V E S T M E N  T S 99

Schedule of Investments  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Hudson Yards Mortgage Trust Series 2019-55HY, Class F, 3.04%, 12/10/41(b)(d)	USD	4,179	$	3,668,117
IMT Trust
Series 2017-APTS, Class AFX, 3.48%, 06/15/34(b)		1,540		1,637,139
Series 2017-APTS, Class DFX, 3.61%, 06/15/34(b)(d)		1,600		1,533,843
Series 2017-APTS, Class EFX, 3.61%, 06/15/34(b)(d)		810		757,012
JPMBB Commercial Mortgage Securities Trust
Series 2014-C21, Class A5, 3.78%, 08/15/47		1,420		1,555,593
Series 2014-C22, Class A4, 3.80%, 09/15/47		563		617,499
Series 2014-C22, Class B, 4.71%, 09/15/47(d)		670		669,628
Series 2014-C26, Class A4, 3.49%, 01/15/48		1,247		1,366,608
Series 2015-C33, Class D1, 4.27%, 12/15/48(b)(d)		1,873		1,469,671
JPMDB Commercial Mortgage Securities Trust, Series 2018-C8, Class A4, 4.21%, 06/15/51		965		1,147,808
JPMorgan Chase Commercial Mortgage Securities Trust
Series 2012-CBX, Class A4FL, (1 mo. LIBOR US + 1.30%), 1.45%, 06/15/45(a)(b)		401		400,557
Series 2014-C20, Class A5, 3.81%, 07/15/47		1,990		2,171,714
Series 2015-JP1, Class A5, 3.91%, 01/15/49		339		384,282
Series 2015-JP1, Class C, 4.87%, 01/15/49(d)		710		714,523
Series 2016-NINE, Class A, 2.95%, 09/06/38(b)(d)		647		695,734
Series 2017-FL10, Class E, (1 mo. LIBOR US + 3.90%), 4.05%, 06/15/32(a)(b)		560		522,516
Series 2017-JP5, Class D, 4.78%, 03/15/50(b)(d)		1,650		1,218,528
Series 2017-JP6, Class A5, 3.49%, 07/15/50		1,180		1,336,406
Series 2017-JP7, Class B, 4.05%, 09/15/50		320		344,965
Series 2018-AON, Class A, 4.13%, 07/05/31(b)		2,825		3,006,352
Series 2018-AON, Class D, 4.77%, 07/05/31(b)(d)		1,518		1,565,621
Series 2018-WPT, Class DFX, 5.35%, 07/05/33(b)		1,996		1,985,980
Series 2019-BKWD, Class E, (1 mo. LIBOR US + 2.60%), 2.75%, 09/15/29(a)(b)		3,080		2,727,973
Series 2019-COR5, Class A3, 3.12%, 06/13/52		1,700		1,895,950
Series 2019-COR5, Class C, 3.75%, 06/13/52 .		988		945,938
Series 2019-MFP, Class E, (1 mo. LIBOR US + 2.16%), 2.31%, 07/15/36(a)(b)		2,460		2,308,943
Series 2019-MFP, Class F, (1 mo. LIBOR US + 3.00%), 3.15%, 07/15/36(a)(b)		891		829,060
Series 2019-OSB, Class E, 3.91%, 06/05/39(b)(d)		1,384		1,177,662
Series 2020-MKST, Class E, (1 mo. LIBOR US + 2.25%), 2.40%, 12/15/36(a)(b)		1,973		1,758,493
KNDL Mortgage Trust
Series 2019-KNSQ, Class E, (1 mo. LIBOR US + 1.80%), 1.95%, 05/15/36(a)(b)		11,283		11,160,081
Series 2019-KNSQ, Class F, (1 mo. LIBOR US + 2.00%), 2.15%, 05/15/36(a)(b)		2,550		2,401,074
Ladder Capital Commercial Mortgage Trust
Series 2014-909, Class A, 3.39%, 05/15/31(b)		2,030		2,037,661
Series 2014-909, Class C, 4.03%, 05/15/31(b)(d)		2,560		2,555,889

Security	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Ladder Capital Commercial Mortgage Trust Series 2014-909, Class D, 4.03%, 05/15/31(b)(d)	USD	4,633	$	4,600,125
Lehman Brothers Small Balance Commercial Mortgage Trust
Series 2006-2A, Class M2, (1 mo. LIBOR US + 0.39%), 0.54%, 09/25/36(a)(b)		315		305,531
Series 2007-1A, Class 1A, (1 mo. LIBOR US + 0.25%), 0.40%, 03/25/37(a)(b)		757		718,075
LSTAR Commercial Mortgage Trust, Series 2015-3, Class AS, 3.35%, 04/20/48(b)(d)		1,095		1,108,765
MAD Mortgage Trust
Series 2017-330M, Class D, 4.11%, 08/15/34(b)(d)		1,085		1,102,212
Series 2017-330M, Class E, 4.17%, 08/15/34(b)(d)		1,846		1,835,176
Manhattan West, Series 2020-1MW, Class D, 2.41%, 09/10/39(b)(d)		1,259		1,224,429
MFT Trust
Series 2020-ABC, Class C, 3.48%, 02/10/42(b)(d)		6,719		6,450,352
Series 2020-ABC, Class D, 3.48%, 02/10/42(b)(d)		4,800		4,415,264
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2014-C16, Class A5, 3.89%, 06/15/47		3,880		4,221,272
Series 2015-C23, Class A4, 3.72%, 07/15/50		1,016		1,125,741
Series 2015-C23, Class D, 4.29%, 07/15/50(b)(d)		110		97,052
Series 2015-C24, Class A4, 3.73%, 05/15/48		840		937,396
Series 2015-C25, Class B, 4.68%, 10/15/48(d)		2,910		3,255,610
Series 2015-C25, Class C, 4.68%, 10/15/48(d)		430		459,236
Series 2015-C26, Class A5, 3.53%, 10/15/48		1,144		1,271,155
Series 2015-C26, Class D, 3.06%, 10/15/48(b)		372		264,802
Series 2016-C31, Class A5, 3.10%, 11/15/49		2,903		3,188,237
Series 2017-C33, Class C, 4.56%, 05/15/50(d)		840		826,149
Morgan Stanley Capital Barclays Bank Trust, Series 2016-MART, Class A, 2.20%, 09/13/31(b)		820		817,665
Morgan Stanley Capital I Trust
Series 2006-IQ11, Class C, 6.05%, 10/15/42(d)		1,601		1,586,728
Series 2007-T27, Class AJ, 6.22%, 06/11/42(d)		1,763		1,765,817
Series 2014-150E, Class D, 4.44%, 09/09/32(b)(d)		3,015		3,040,990
Series 2014-150E, Class F, 4.44%, 09/09/32(b)(d)		508		474,713
Series 2014-CPT, Class E, 3.56%, 07/13/29(b)(d)		250		253,402
Series 2015-MS1, Class A4, 3.78%, 05/15/48(d)		420		466,175
Series 2015-MS1, Class C, 4.17%, 05/15/48(d)		1,000		927,315
Series 2015-MS1, Class D, 4.17%, 05/15/48(b)(d)		310		255,887
Series 2017-CLS, Class E, (1 mo. LIBOR US + 1.95%), 2.10%, 11/15/34(a)(b)		471		460,710
Series 2017-CLS, Class F, (1 mo. LIBOR US + 2.60%), 2.75%, 11/15/34(a)(b)		6,092		5,928,846
Series 2017-H1, Class C, 4.28%, 06/15/50(d)		560		568,760
Series 2017-H1, Class D, 2.55%, 06/15/50(b)		4,190		3,052,885
Series 2017-HR2, Class D, 2.73%, 12/15/50(c)		430		348,300
Series 2018-H3, Class A5, 4.18%, 07/15/51		175		207,734
Series 2018-H3, Class C, 5.01%, 07/15/51(d)		420		433,998

100 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 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
Series 2018-L1, Class A3, 4.14%, 10/15/51	USD	940	$	1,080,296
Series 2018-MP, Class E, 4.42%, 07/11/40(b)(d).		3,789		2,993,667
Series 2018-SUN, Class A, (1 mo. LIBOR US + 1.15%), 1.30%, 07/15/35(a)(b)		1,410		1,364,426
Series 2018-SUN, Class F, (1 mo. LIBOR US + 2.80%), 2.95%, 07/15/35(a)(b)		417		386,851
Series 2019-H6, Class A4, 3.42%, 06/15/52		1,939		2,205,906
Series 2019-H7, Class A4, 3.26%, 07/15/52		2,450		2,760,230
Series 2019-L2, Class A4, 4.07%, 03/15/52		1,485		1,751,518
Series 2019-NUGS, Class E, (1 mo. LIBOR US + 2.24%), 3.74%, 12/15/36(a)(b)		1,400		1,277,949
Series 2020-L4, Class D, 2.50%, 02/15/53(b)		4,269		3,408,750
Morgan Stanley Capital I, Inc., Series 2018-H3, Class D, 3.00%, 07/15/51(b)		960		689,405
MSCG Trust, Series 2018-SELF, Class F, (1 mo. LIBOR US + 3.05%), 3.20%, 10/15/37(a)(b)		2,550		2,403,298
MSDB Trust, Series 2017-712F, Class B, 3.57%, 07/11/39(b)(d)		1,650		1,728,843
Natixis Commercial Mortgage Securities Trust
Series 2018-FL1, Class A, (1 mo. LIBOR US + 0.95%), 1.11%, 06/15/35(a)(b)		756		729,047
Series��2018-FL1, Class MCR1, (1 mo. LIBOR US + 2.35%), 2.51%, 06/15/35(a)(b)		646		608,196
Series 2018-SOX, Class A, 4.40%, 06/17/38(b)		4,162		4,558,666
Series 2019-LVL, Class D, 4.44%, 08/15/38(b)(d)		1,550		1,519,259
Olympic Tower Mortgage Trust, Series 2017-OT, Class E, 4.08%, 05/10/39(b)(d)		2,910		2,504,883
One Market Plaza Trust, Series 2017-1MKT, Class D, 4.15%, 02/10/32(b)		4,327		4,417,661
PFP Ltd.
Series 2019-5, Class A, (1 mo. LIBOR US + 0.97%), 1.12%, 04/14/36(a)(b)		1,195		1,179,714
Series 2019-5, Class AS, (1 mo. LIBOR US + 1.42%), 1.57%, 04/14/36(a)(b)		900		885,046
Prima Capital CRE Securitization Ltd.
Series 2015-4A, Class C, 4.00%, 08/24/49(b)(c)		1,590		1,536,417
Series 2016-6A, Class C, 4.00%, 08/24/40(b)(c)		7,170		7,131,282
Scorpio European Loan Conduit No. 34 DAC, Series 34A, Class C, (3 mo. LIBOR GBP + 2.10%), 2.17%, 05/17/29(a)(b)	GBP	1,185		1,434,482
SG Commercial Mortgage Securities Trust, Series 2019-PREZ, Class D, 3.59%, 09/15/39(b)(d)	USD	2,200		2,174,727
U.S.
Series 2018-USDC, Class E, 4.64%, 05/13/38(b)(d)		1,890		1,567,486
Series 2018-USDC, Class F, 4.64%, 05/13/38(b)(d)		1,420		1,041,189
UBS Commercial Mortgage Trust, Series 2017-C7, Class A4, 3.68%, 12/15/50		880		1,012,787
VCC Trust, Series 2020-MC1, Class A, 4.50%, 06/25/45(b)(d)		18,082		17,784,817
Velocity Commercial Capital Loan Trust
Series 2014-1, Class M7, 8.02%, 09/25/44(b)(d)		2,399		2,015,086
Series 2016-1, Class M4, 8.65%, 04/25/46(b)(d)		370		383,499
Series 2016-2, Class M2, 4.46%, 10/25/46(d)		200		200,641
Series 2016-2, Class M3, 5.50%, 10/25/46(d)		800		802,438
Series 2016-2, Class M4, 7.23%, 10/25/46(d)		370		373,294
Series 2017-1, Class M2, 4.45%, 05/25/47(b)(d)		410		413,759
Series 2017-1, Class M3, 5.35%, 05/25/47(b)(d)		410		413,929

Security	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Velocity Commercial Capital Loan Trust
Series 2017-2, Class M3, 4.24%, 11/25/47(b)(d)	USD	541	$	501,079
Series 2017-2, Class M4, 5.00%, 11/25/47(b)(d)		326		278,243
Series 2018-1, Class M2, 4.26%, 04/25/48(b)		324		326,194
Series 2020-1, Class M1, 2.80%, 02/25/50(b)(d)		1,412		1,411,764
Series 2020-1, Class M2, 2.98%, 02/25/50(b)(d)		1,163		1,160,375
VNDO Mortgage Trust, Series 2013-PENN, Class D, 4.08%, 12/13/29(b)(d)		550		545,512
VNDO Trust, Series 2016-350P, Class D, 4.03%, 01/10/35(b)(d)		3,390		3,465,916
Wells Fargo Commercial Mortgage Trust
Series 2014-LC18, Class A5, 3.41%, 12/15/47		550		599,905
Series 2015-C27, Class C, 3.89%, 02/15/48		902		860,541
Series 2015-C28, Class A4, 3.54%, 05/15/48		930		1,025,153
Series 2015-C31, Class A4, 3.70%, 11/15/48		590		659,893
Series 2015-NXS1, Class A5, 3.15%, 05/15/48		399		431,988
Series 2015-NXS2, Class A5, 3.77%, 07/15/58(d)		3,050		3,391,006
Series 2015-NXS4, Class A4, 3.72%, 12/15/48		608		681,172
Series 2015-P2, Class A4, 3.81%, 12/15/48		2,150		2,415,451
Series 2015-P2, Class D, 3.24%, 12/15/48(b)		1,784		1,381,838
Series 2016-C32, Class A3FL, (1 mo. LIBOR US + 1.42%), 1.57%, 01/15/59(a)		3,390		3,390,000
Series 2016-C34, Class A3FL, (1 mo. LIBOR US + 1.04%), 1.19%, 06/15/49(a)(b)		1,830		1,828,105
Series 2016-NXS5, Class B, 5.10%, 01/15/59(d)		860		982,840
Series 2017-C39, Class D, 4.50%, 09/15/50(b)(d)		594		473,856
Series 2017-C41, Class B, 4.19%, 11/15/50(d)		1,710		1,816,582
Series 2017-C41, Class C, 4.66%, 11/15/50(d)		900		795,311
Series 2017-C41, Class D, 2.60%, 11/15/50(b)(d)		1,772		1,247,976
Series 2017-HSDB, Class A, (1 mo. LIBOR US + 0.85%), 1.00%, 12/13/31(a)(b)		1,508		1,448,051
Series 2018-1745, Class A, 3.87%, 06/15/36(b)(d)		1,987		2,189,325
Series 2018-BXI, Class E, (1 mo. LIBOR US + 2.16%), 2.31%, 12/15/36(a)(b)		766		751,225
Series 2018-C44, Class D, 3.00%, 05/15/51(b)		348		257,771
Series 2018-C45, Class C, 4.73%, 06/15/51		530		538,691
Series 2018-C48, Class B, 4.90%, 01/15/52(d)		3,612		4,268,653
Series 2019-C52, Class C, 3.56%, 08/15/52		1,880		1,921,156
Series 2020-SDAL, Class D, (1 mo. LIBOR US + 2.09%), 2.24%, 02/15/37(a)(b)		1,530		1,290,377
Series 2020-SDAL, Class E, (1 mo. LIBOR US + 2.74%), 2.89%, 02/15/37(a)(b)		1,300		1,079,880
WFRBS Commercial Mortgage Trust
Series 2014-C21, Class A5, 3.68%, 08/15/47		1,515		1,656,843
Series 2014-C24, Class B, 4.20%, 11/15/47(d)		770		737,157
				668,996,508
Interest Only Collateralized Mortgage Obligations — 0.0%
Seasoned Credit Risk Transfer Trust, Series 2017-3, Class BIO, 0.00%, 07/25/56(b)(d)		3,224		450,368
Voyager OPTONE Delaware Trust, Series 2009-1, Class SAA7, 4.72%, 02/25/38(b)(d)		14,056		4,857,796
				5,308,164
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		148,756

S C H E D U L E  O F  I N V E S T M E N  T S 101

Schedule of Investments  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Interest Only Commercial Mortgage-Backed Securities (continued)
Banc of America Commercial Mortgage Trust
Series 2017-BNK3, Class XB, 0.78%, 02/15/50(d)	USD	11,850	$	440,297
Series 2017-BNK3, Class XD, 1.44%, 02/15/50(b)(d)		5,000		338,600
BANK
Series 2019-BN20, Class XA, 0.96%, 09/15/62(d)		11,517		720,876
Series 2019-BN20, Class XB, 0.46%, 09/15/62(d)		39,279		1,176,426
Barclays Commercial Mortgage Trust
Series 2015-SRCH, Class XA, 1.12%, 08/10/35(b)(d)		17,673		892,154
Series 2019-C3, Class XA, 1.51%, 05/15/52(d)		9,951		927,525
BBCMS Mortgage Trust
Series 2020-C7, Class XA, 1.63%, 04/15/53(d)		8,128		892,310
Series 2020-C7, Class XB, 0.99%, 04/15/53(d)		1,596		132,636
Benchmark Mortgage Trust
Series 2019-B13, Class XA, 1.27%, 08/15/57(d)		58,192		4,510,528
Series 2019-B9, Class XA, 1.21%, 03/15/52(d)		20,939		1,501,947
Series 2020-B17, Class XB, 0.65%, 03/15/53(c)(d)		7,100		298,200
CFCRE Commercial Mortgage Trust
Series 2016-C3, Class XD, 1.86%, 01/10/48(b)(d)		5,497		435,519
Series 2016-C4, Class XB, 0.89%, 05/10/58(d)		5,810		218,747
Commercial Mortgage Pass-Through Certificates
Series 2013-CR6, Class XA, 1.16%, 03/10/46(d)		16,397		278,494
Series 2015-3BP, Class XA, 0.17%, 02/10/35(b)(d)		150,000		609,000
Series 2015-CR25, Class XA, 0.99%, 08/10/48(d)		4,696		159,622
Series 2018-COR3, Class XD, 1.75%, 05/10/51(b)(d)		3,200		343,618
CSAIL Commercial Mortgage Trust
Series 2017-CX10, Class XB, 0.22%, 11/15/50(d)		12,490		186,343
Series 2019-C16, Class XA, 1.73%, 06/15/52(d)		41,437		4,393,429
Series 2019-C17, Class XA, 1.51%, 09/15/52(d)		39,603		3,688,775
Series 2019-C17, Class XB, 0.70%, 09/15/52(d)		19,090		807,169
DBGS Mortgage Trust, Series 2019-1735, Class X, 0.43%, 04/10/37(b)(d)		21,535		527,392
Deutsche Bank JPMorgan Mortgage Trust, Series 2017-C6, Class XD, 1.00%, 06/10/50(d)		5,780		309,057
GS Mortgage Securities Corp. II, Series 2005- ROCK, Class X1, 0.40%, 05/03/32(b)(d)		21,000		252,725
GS Mortgage Securities Trust, Series 2019- GSA1, Class XA, 0.96%, 11/10/52(d)		14,695		914,212
JPMBB Commercial Mortgage Securities Trust
Series 2014-C22, Class XA, 0.98%, 09/15/47(d)		1,940		52,778
Series 2014-C23, Class XA, 0.78%, 09/15/47(d)		28,703		589,607
Series 2015-C29, Class XA, 0.83%, 05/15/48(d)		1,943		50,067

Security	Par (000)		Value
Interest Only Commercial Mortgage-Backed Securities (continued)
JPMDB Commercial Mortgage Securities Trust, Series 2016-C4, Class XC, 0.75%, 12/15/49(b)(d)	USD	4,940	$	187,574
JPMorgan Chase Commercial Mortgage Securities Trust
Series 2013-LC11, Class XB, 0.65%, 04/15/46(d)		4,570		59,135
Series 2016-JP3, Class XC, 0.75%, 08/15/49(b)(d)		13,040		485,092
Ladder Capital Commercial Mortgage Mortgage Trust, Series 2013-GCP, Class XA, 1.35%, 02/15/36(b)(d)		3,875		278,248
LSTAR Commercial Mortgage Trust, Series 2017-5, Class X, 1.15%, 03/10/50(b)(d)		3,243		107,040
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2014-C19, Class XF, 1.36%, 12/15/47(b)(d)		4,370		192,193
Series 2015-C26, Class XD, 1.49%, 10/15/48(b)(d)		4,490		276,943
Morgan Stanley Capital I Trust
Series 2016-UBS9, Class XD, 1.76%, 03/15/49(b)(d)		13,984		1,091,451
Series 2017-H1, Class XD, 2.36%, 06/15/50(b)(d)		3,293		389,397
Series 2019-H6, Class XB, 0.87%, 06/15/52(d)		23,510		1,255,547
Series 2019-L2, Class XA, 1.19%, 03/15/52(d)		8,833		638,344
Olympic Tower Mortgage Trust, Series 2017-OT, Class XA, 0.51%, 05/10/39(b)(d)		36,697		887,334
One Market Plaza Trust
Series 2017-1MKT, Class XCP, 0.22%, 02/10/32(b)(d)		53,230		105,928
Series 2017-1MKT, Class XNCP, 0.00%, 02/10/32(b)(c)(d)		10,646		106
UBS Commercial Mortgage Trust
Series 2019-C17, Class XA, 1.64%, 10/15/52(d)		32,608		3,401,510
Series 2019-C18, Class XA, 1.18%, 12/15/52(d)		35,737		2,542,860
Wells Fargo Commercial Mortgage Trust
Series 2015-NXS4, Class XA, 1.02%, 12/15/48(d)		2,391		105,327
Series 2016-BNK1, Class XD, 1.40%, 08/15/49(b)(d)		4,420		272,228
Series 2019-C50, Class XA, 1.59%, 05/15/52(d)		20,709		1,916,096
				39,989,162
Mortgage-Backed Securities — 0.1%
Preston Ridge Partners Mortgage LLC, Series 2020-3, Class A1, 2.86%, 09/25/25(b)(e)		26,210		26,209,560
Principal Only Collateralized Mortgage Obligations — 0.0%
Seasoned Credit Risk Transfer Trust, Series 2017-3, Class B, 0.00%, 07/25/56(b)(m)		1,567		171,527
Total Non-Agency Mortgage-Backed Securities — 5.4% (Cost: $1,093,384,551)				1,078,629,246

102 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Preferred Securities
Capital Trusts — 0.4%
Banks — 0.1%
Bangkok Bank PCL, (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 4.73%), 5.00%(k)(l)	USD	300	$	300,000
Bank of America Corp., (3 mo. LIBOR US + 2.93%), 5.88%(k)(l)		8,450		9,111,241
Chong Hing Bank Ltd., (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 3.86%), 5.70%(k)(l)		250		248,748
Emirates NBD Bank PJSC
(6 yr. Swap Semi 30/360 US + 3.66%), 6.13%(k)(l)		1,025		1,056,070
(6 yr. Swap Semi 30/360 US + 5.70%), 6.13%(k)(l)		750		781,875
Kookmin Bank, (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 2.64%), 4.35%(k)(l)		1,700		1,773,844
Lehman Brothers Holdings Capital Trust VII, 5.86%(c)(i)(l)		1,888		—
Nanyang Commercial Bank Ltd., (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 3.21%), 5.00%(k)(l)		200		197,812
Rizal Commercial Banking Corp., (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 6.24%), 6.50%(k)(l)		200		199,000
Shinhan Financial Group Co. Ltd., (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 3.05%), 5.88%(k)(l)		900		967,781
Woori Bank, (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 2.66%), 4.25%(k)(l)		200		203,750
				14,840,121
Capital Markets — 0.3%
Bank of New York Mellon Corp.
(3 mo. LIBOR US + 3.13%), 4.63%(k)(l)		9,722		10,074,422
(3 mo. LIBOR US + 3.42%), 3.65%(k)(l)		4,380		4,292,400
State Street Corp.
(3 mo. LIBOR US + 2.54%), 5.63%(k)(l)		19,655		20,228,926
(3 mo. LIBOR US + 3.60%), 3.85%(k)(l)		4,015		3,992,115
UBS Group AG, (5 yr. Swap Semi 30/360 US + 4.34%), 7.00%(b)(k)(l)		15,350		16,386,125
				54,973,988
Commercial Services & Supplies — 0.0%
King Talent Management Ltd., (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 3.52%), 5.60%(k)(l)		600		522,937
Insurance — 0.0%
Heungkuk Life Insurance Co. Ltd., (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 2.47%), 4.48%(k)(l)		1,000		1,000,000
KDB Life Insurance Co. Ltd., (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 4.66%), 7.50%(k)(l)		900		861,750
Tongyang Life Insurance Co. Ltd., (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 4.98%), 5.25%(k)(l)		950		942,875
				2,804,625

Security	Par (000)		Value
Machinery — 0.0%
Weichai International Hong Kong Energy Group Co. Ltd., (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 6.08%), 3.75%, 03/14/69(k)(l)	USD	278	$	280,346
Media — 0.0%
NBCUniversal Enterprise, Inc., 5.25%(b)(g)(l)		13,680		13,816,800
Real Estate Management & Development — 0.0%
Agile Group Holdings Ltd., (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 9.22%), 6.88%(k)(l)		200		198,000
MAF Global Securities Ltd., (5 yr. Swap Semi 30/360 US + 3.48%), 5.50%(k)(l)		1,341		1,318,790
				1,516,790
Total Preferred Securities — 0.4% (Cost: $87,162,055)				88,755,607
U.S. Government Sponsored Agency Securities
Agency Obligations — 0.0%
Fannie Mae, 6.63%, 11/15/30		1,450		2,227,865
Collateralized Mortgage Obligations — 0.0%
Fannie Mae, Series 2003-W5, Class A, (1 mo. LIBOR US + 0.11%), 0.40%, 04/25/33(a)		1		1,559
Freddie Mac
Series 2015-DN1, Class B, (1 mo. LIBOR US + 11.50%), 11.65%, 01/25/25(a)		488		543,851
Series 2015-HQ2, Class B, (1 mo. LIBOR US + 7.95%), 8.10%, 05/25/25(a)		521		517,589
Series 2017-DNA2, Class B1, (1 mo. LIBOR US + 5.15%), 5.30%, 10/25/29(a)		590		599,595
Series 2017-DNA3, Class B1, (1 mo. LIBOR US + 4.45%), 4.60%, 03/25/30(a)		1,860		1,808,818
Series 2017-HRP1, Class M2, (1 mo. LIBOR US + 2.45%), 2.60%, 12/25/42(a)		500		473,400
Series 2020-DNA4, Class M2, (1 mo. LIBOR US + 3.75%), 3.90%, 08/25/50(a)(b)		3,520		3,562,453
				7,507,265
Commercial Mortgage-Backed Securities — 0.1%
Fannie Mae
Series 2006-M2, Class A2A, 5.27%, 10/25/32(d)		691		779,492
Series 2017-M5, Class A2, 3.29%, 04/25/29(d) .		1,200		1,378,347
Series 2018-M14, Class A2, 3.70%, 08/25/28(d)		3,510		4,143,502
Freddie Mac, Series KL4F, Class A2AS, 3.68%, 10/25/25(d)		1,664		1,824,779
Ginnie Mae
Series 2015-97, Class VA, 2.25%, 12/16/38		1,005		1,044,258
Series 2016-158, Class VA, 2.00%, 03/16/35		658		670,320
				9,840,698
Interest Only Collateralized Mortgage Obligations — 0.0%
Fannie Mae, Series 2020-73, Class AI, 2.00%, 10/25/50		7,100		590,187
Freddie Mac
Series 4995, Class BI, 4.50%, 06/25/50		6,818		916,412
Series 4999, Class QI, 4.00%, 05/25/50		6,765		870,442
Series 5014, Class DI, 4.00%, 09/25/50		4,789		609,591
Series 5029, Class GI, 2.00%, 10/25/50		5,300		497,703
				3,484,335

S C H E D U L E  O F  I N V E S T M E N  T S 103

Schedule of Investments  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Interest Only Commercial Mortgage-Backed Securities — 0.1%
Freddie Mac, Series K111, Class X1, 1.68%, 05/25/30(d)	USD	20,342	$	2,620,319
Ginnie Mae
Series 2012-23, Class IO, 0.28%, 06/16/53(d)		2,376		23,971
Series 2013-191, Class IO, 0.71%, 11/16/53(d)		2,721		70,842
Series 2013-30, Class IO, 0.75%, 09/16/53(d)		11,190		352,675
Series 2013-63, Class IO, 0.83%, 09/16/51(d)		11,619		276,959
Series 2013-78, Class IO, 0.72%, 10/16/54(d)		11,968		403,588
Series 2014-52, Class AI, 0.83%, 08/16/41		437		1,739
Series 2015-173, Class IO, 0.79%, 09/16/55(d)		5,154		249,852
Series 2015-22, Class IO, 0.62%, 03/16/55(d)		7,094		231,872
Series 2015-37, Class IO, 0.69%, 10/16/56(d)		1,867		82,815
Series 2015-48, Class IO, 0.66%, 02/16/50(d)		4,716		159,062
Series 2016-110, Class IO, 0.98%, 05/16/58(d)		5,484		332,162
Series 2016-113, Class IO, 1.16%, 02/16/58(d)		6,525		485,122
Series 2016-125, Class IO, 0.95%, 12/16/57(d)		6,990		414,842
Series 2016-128, Class IO, 0.90%, 09/16/56(d)		11,141		688,339
Series 2016-152, Class IO, 0.84%, 08/15/58(d)		7,199		424,545
Series 2016-162, Class IO, 0.90%, 09/16/58(d)		20,840		1,329,501
Series 2016-165, Class IO, 0.96%, 12/16/57(d)		6,324		394,536
Series 2016-26, Class IO, 0.89%, 02/16/58(d)		29,050		1,497,762
Series 2016-36, Class IO, 0.81%, 08/16/57(d)		2,718		143,659
Series 2016-67, Class IO, 1.00%, 07/16/57(d)		2,762		155,239
Series 2016-92, Class IO, 0.90%, 04/16/58(d)		6,059		337,625
Series 2016-96, Class IO, 0.93%, 12/16/57(d)		14,951		818,537
				11,495,563
Mortgage-Backed Securities — 53.4%
Fannie Mae Mortgage-Backed Securities
2.00%, 10/01/31 - 03/01/32		14,224		14,852,510
2.50%, 09/01/27 - 10/01/50		131,386		139,945,309
3.00%, 04/01/28 - 09/01/50		617,026		663,486,503
3.50%, 08/01/28 - 08/01/50		369,268		404,032,260
4.00%, 08/01/31 - 09/01/50		192,268		213,279,827
4.50%, 02/01/25 - 02/01/50		626,855		692,195,331
5.00%, 11/01/32 - 06/01/45		22,265		25,483,863
5.50%, 12/01/32 - 04/01/41		18,894		22,136,072
6.00%, 02/01/34 - 06/01/41		11,230		13,081,489
6.50%, 05/01/40		2,283		2,745,352
Freddie Mac Mortgage-Backed Securities
2.50%, 04/01/27 - 04/01/31		17,836		18,955,288
3.00%, 09/01/27 - 08/01/50		161,708		172,478,354
3.50%, 09/01/30 - 05/01/50		160,433		175,689,102
4.00%, 08/01/40 - 02/01/47		37,080		40,705,327
4.50%, 02/01/39 - 11/01/49		301,347		329,303,832
5.00%, 07/01/35 - 11/01/41		8,383		9,608,162
5.50%, 02/01/35 - 06/01/41		2,604		3,023,021
Ginnie Mae Mortgage-Backed Securities
2.00%, 10/15/50(r)		9,866		10,249,849
2.50%, 10/15/50(r)		257,853		270,607,643
3.00%, 12/20/44 - 10/15/50(r)		778,536		818,587,543
3.50%, 01/15/42 - 10/15/50(r)		532,723		564,091,911
4.00%, 04/20/39 - 10/15/50(r)		188,732		201,238,712
4.50%, 12/20/39 - 10/15/50(r)		86,430		93,072,714
5.00%, 04/15/33 - 10/15/50(r)		36,640		40,174,187
5.50%, 10/15/50(r)		5,800		6,364,367
Uniform Mortgage-Backed Securities
2.00%, 10/01/35 - 10/01/50(r)		1,201,857		1,243,156,006
2.50%, 10/01/35 - 10/01/50(r)		1,468,881		1,540,126,048
3.00%, 10/01/35 - 10/01/50(r)		1,040,008		1,089,655,592
3.50%, 10/01/35 - 10/01/50(r)		107,352		113,294,594
4.00%, 10/01/35 - 10/01/50(r)		1,375,277		1,467,319,250

Security	Par (000)		Value
Mortgage-Backed Securities (continued)
Uniform Mortgage-Backed Securities
4.50%, 10/01/50(r)	USD	225,661	$	244,101,735
5.00%, 10/01/50(r)		42,159		46,195,395
				10,689,237,148
Total U.S. Government Sponsored Agency Securities — 53.6% (Cost: $10,622,739,463)				10,723,792,874
U.S. Treasury Obligations
U.S. Treasury Bonds
4.63%, 02/15/40		10,812		17,434,350
3.88%, 08/15/40		10,812		16,027,945
4.25%, 11/15/40		10,812		16,811,815
2.50%, 02/15/45		88,094		108,658,443
2.75%, 11/15/47		88,610		115,438,755
3.00%, 02/15/48(s)(t)		88,094		120,000,546
U.S. Treasury Inflation Indexed Bonds, 0.25%, 02/15/50		74,367		87,900,094
U.S. Treasury Inflation Indexed Notes
0.63%, 04/15/23		636,448		665,933,751
0.13%, 07/15/30		45,325		50,419,424
U.S. Treasury Notes
1.75%, 07/15/22 - 11/15/29		253,010		264,557,326
0.50%, 03/15/23 - 05/31/27		436,195		439,764,304
0.25%, 04/15/23		167,495		167,946,451
1.50%, 10/31/24 - 02/15/30		85,515		90,831,610
2.25%, 11/15/24 - 08/15/27		147,346		160,364,613
0.38%, 04/30/25		181,142		182,210,455
0.63%, 03/31/27		60,677		61,473,386
2.38%, 05/15/27		20,160		22,729,613
1.63%, 08/15/29		31,559		34,369,723
Total U.S. Treasury Obligations — 13.1% (Cost: $2,616,152,357)				2,622,872,604
	Shares
Warrants(f)
Diversified Financial Services — 0.0%
Social Capital Hedosophia Holdings (Issued/Exercisable 09/18/17, 1 Share for 1 Warrant, Expires 12/31/20, Strike Price USD 10.00)(c)		833,000		—
Oil, Gas & Consumable Fuels — 0.0%
SM Energy Co. (Issued/Exercisable 07/14/20, 1 Share for 1 Warrant, Expires 06/30/23, Strike Price USD 0.01)		51,102		80,741
Real Estate Management & Development — 0.0%
Target Hospitality Corp. (Issued/Exercisable 03/05/18, 1 Share for 1 Warrant, Expires 03/05/25, Strike Price USD 11.50)		8,280		638
Total Warrants — 0.0% (Cost: $11,817)				81,379
Total Long-Term Investments — 133.6% (Cost: $26,304,237,856)				26,732,950,808

104 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Shares		Value
Short-Term Securities
Money Market Funds — 1.2%
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.02%(q)(u)		178,500,804	$	178,500,805
SL Liquidity Series, LLC, Money Market Series, 0.25%(q)(u)(v)		56,761,232		56,783,936
Total Short-Term Securities — 1.2% (Cost: $235,284,795)				235,284,741
Options Purchased — 0.1%
(Cost: $36,201,886)			26,767,883
Total Investments Before Options Written and TBA Sale Commitments — 134.9% (Cost: $26,575,724,537)				26,995,003,432
	Par (000)
TBA Sale Commitments(r)
Mortgage-Backed Securities — (24.3)%
Ginnie Mae Mortgage-Backed Securities
2.50%, 10/15/50	USD	102,600		(107,750,039	)
3.00%, 10/15/50		288,962		(302,557,888	)
3.50%, 10/15/50		158,760		(167,162,897	)
4.00%, 10/15/50		5,043		(5,358,089	)
4.50%, 10/15/50		2,018		(2,161,877	)
5.50%, 10/15/50		5,800		(6,364,367	)
Uniform Mortgage-Backed Securities
2.00%, 10/01/50		349,221		(361,061,258	)
2.50%, 10/01/35 - 10/01/50		1,621,935		(1,700,599,613	)
3.00%, 10/01/35 - 10/01/50		1,319,800		(1,382,677,665	)
3.50%, 10/01/35 - 10/01/50		210,926		(222,396,008	)
4.00%, 10/01/50		570,793		(608,775,261	)
Total TBA Sale Commitments — (24.3)% (Proceeds: $(4,871,004,784))				(4,866,864,962	)
Options Written — (0.0)%
(Premiums Received: $(16,215,223))			(12,962,851)
Total Investments Net of Options Written and TBA Sale Commitments — 110.6% (Cost: $21,688,504,530)				22,115,175,619
Liabilities in Excess of Other Assets — (10.6)%				(2,110,725,994	)
Net Assets — 100.0%			$	20,004,449,625

^(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)  Non-income producing security.

^(g)  All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written.

^(h)  All or a portion of this security is on loan.

⁽ⁱ⁾  Issuer filed for bankruptcy and/or is in default.

^(j)  Convertible security.

^(k)  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.

^(l)  Perpetual security with no stated maturity date.

^(m)  Zero-coupon bond.

⁽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)  Issuer is a U.S. branch of a foreign domiciled bank.

^(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)  Affiliate of the Portfolio.

^(r)  Represents or includes a TBA transaction.

^(s)  All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.

^(t)  All or a portion of the security has been pledged as collateral in connection with outstanding TBA commitments.

^(u)  Annualized 7-day yield as of period end.

^(v)  All or a portion of this security was purchased with the cash collateral from loaned securities.

S C H E D U L E  O F  I N V E S T M E N  T S 105

Schedule of Investments  (continued) September 30, 2020 Master Total Return Portfolio

Affiliates

Investments in issuers considered to be affiliate(s) of the Master Portfolio during the year ended September 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliated Issuer	Value at 09/30/19		Purchases at Cost			Proceeds from Sale			Net Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Value at 09/30/20		Par/Shares Held at 09/30/20		Income			Capital Gain Distributions from Underlying Funds
BlackRock Capital Finance LP, Series 1997- R2, Class AP	$	3,056	$	—		$	—		$	—		$	132		$	3,188	$	3,374	$	—				$     —
BlackRock Liquidity Funds, T-Fund, Institutional Class		205,577,418		—			(27,076,613	)(a)		—			—			178,500,805		178,500,804		8,545,192				2,436
iShares China Large-Cap ETF(b)		—		10,896,680			(10,759,175	)		(137,505	)		—			—		—		—				—
iShares iBoxx $ Investment Grade Corporate Bond ETF(b)		—		186,595,925			(193,714,139	)		7,118,214			—			—		—		641,544				—
iShares iBoxx High Yield Corporate Bond ETF		—		787,026,009			(665,076,532	)		6,517,135			(625,665	)		127,840,947		1,523,730		1,210,732				—
iShares MSCI Emerging Markets ETF(b)		5,640,060		—			(6,013,756	)		245,218			128,478			—		—		—				—
iShares PHLX Semiconductor ETF(b)		—		7,168,900			(7,816,564	)		647,664			—			—		—		—			��	—
SL Liquidity Series, LLC, Money Market Series		1,616,850		55,167,187	(a)		—			(46	)		(55	)		56,783,936		56,761,232		8,557	(c)			—
									$	14,390,680		$	(497,110	)	$	363,128,876			$	10,406,025				$ 2,436

^(a)  Represents net shares purchased (sold).

^(b)  As of period end, the entity is no longer held by the Master Portfolio.

^(c)  All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

For Master Portfolio compliance purposes, the Master Portfolio’s industry classifications refer to one or more of the industry sub-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 industry sub-classifications for reporting ease.

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
Euro-Schatz		1,922		12/08/20	$	253,041	$	(39,545	)

106 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 Master Total Return Portfolio

Futures Contracts (continued)

Description	Number of Contracts		Expiration Date		Notional Amount (000)		Value/ Unrealized Appreciation (Depreciation)
Long Contracts (continued)
U.S. Treasury Bonds (30 Year)		1,040		12/21/20	$	183,333		$	(330,811	)
U.S. Ultra Treasury Bonds		3,806		12/21/20		844,218			(2,293,083	)
10 Year U.K. Gilt		496		12/29/20		87,113			(234,588	)
U.S. Treasury Notes (2 Year)		5,536		12/31/20		1,223,240			523,227
U.S. Treasury Notes (5 Year)		8,589		12/31/20		1,082,482			526,654
Euro Dollar		539		09/13/21		134,494			93,990
Euro Dollar		539		12/13/21		134,467			105,959
Euro Dollar		539		03/14/22		134,454			(27,436	)
Euro Dollar		539		06/13/22		134,440			(34,566	)
									(1,710,199	)
Short Contracts
Euro-Bund		1,264		12/08/20		258,636			88,054
Euro-Buxl		539		12/08/20		140,723			(2,723,250	)
Canadian Government Bonds (10 Year)		1,056		12/18/20		120,395			93,438
E-Mini S&P 500 Index		56		12/18/20		9,386			46,169
U.S. Treasury Notes (10 Year)		3,813		12/21/20		532,033			(86,277	)
U.S. Ultra Treasury Notes (10 Year)		564		12/21/20		90,196			(65,001	)
Euro Dollar		539		09/18/23		134,292			(240,541	)
Euro Dollar		539		12/18/23		134,224			(246,462	)
Euro Dollar		539		03/18/24		134,177			47,166
Euro Dollar		539		06/17/24		134,110			12,621
									(3,074,083	)
								$	(4,784,282	)

Forward Foreign Currency Exchange Contracts

Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
BRL	82,303,458		USD	14,654,000	Citibank N.A.		10/02/20	$	686
BRL	44,375,571		USD	7,901,000	Citibank N.A.		10/02/20		370
BRL	11,451,942		USD	2,039,000	Citibank N.A.		10/02/20		95
USD	3,958,000		BRL	21,274,250	Barclays Bank PLC		10/02/20		169,976
USD	4,654,000		BRL	25,215,372	Barclays Bank PLC		10/02/20		164,233
USD	5,001,000		BRL	26,820,363	BNP Paribas S.A.		10/02/20		225,453
USD	1,985,000		BRL	10,713,045	Citibank N.A.		10/02/20		77,470
USD	4,961,000		BRL	26,774,517	Citibank N.A.		10/02/20		193,617
USD	4,001,000		BRL	21,427,356	Citibank N.A.		10/02/20		185,715
USD	4,001,000		BRL	21,427,356	Citibank N.A.		10/02/20		185,715
USD	4,999,000		BRL	27,354,528	Citibank N.A.		10/02/20		128,342
USD	2,999,000		BRL	16,410,528	Citibank N.A.		10/02/20		76,995
USD	2,999,000		BRL	16,410,528	Citibank N.A.		10/02/20		76,995
EUR	107,391,500		USD	125,755,446	UBS AG		10/05/20		169,291
JPY	209,449,000		USD	1,982,762	Barclays Bank PLC		10/05/20		3,305
USD	3,308,920		EUR	2,786,000	BNP Paribas S.A.		10/05/20		42,123
USD	2,261,278		EUR	1,921,000	Deutsche Bank AG		10/05/20		8,759
USD	4,036,606		EUR	3,415,000	State Street Bank and Trust Co.		10/05/20		32,257
USD	236,109,405		EUR	197,457,000	UBS AG		10/05/20		4,575,989
AUD	3,769,000		USD	2,684,564	Bank of America N.A.		10/06/20		15,021
USD	3,219,051		AUD	4,384,000	BNP Paribas S.A.		10/06/20		78,966
CAD	31,644,140		USD	23,691,000	JPMorgan Chase Bank N.A.		10/09/20		74,564
AUD	5,684,000		USD	4,002,539	Barclays Bank PLC		10/14/20		68,760
AUD	5,684,000		USD	4,002,539	Barclays Bank PLC		10/14/20		68,760
CLP	3,913,419,750		USD	4,971,000	Citibank N.A.		10/14/20		14,423
EUR	4,254,000		USD	4,972,628	Bank of America N.A.		10/14/20		16,429
EUR	4,254,000		USD	4,975,219	Deutsche Bank AG		10/14/20		13,838
JPY	419,894,262		AUD	5,415,000	Bank of America N.A.		10/14/20		103,353
JPY	896,239,682		AUD	11,558,000	Bank of America N.A.		10/14/20		220,600

S C H E D U L E  O F  I N V E S T M E N  T S 107

Schedule of Investments  (continued) September 30, 2020 Master Total Return Portfolio

Forward Foreign Currency Exchange Contracts (continued)

Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
JPY	493,710,521		USD	4,641,700	HSBC Bank PLC		10/14/20	$	40,293
JPY	493,710,521		USD	4,641,700	HSBC Bank PLC		10/14/20		40,293
MXN	88,759,871		USD	4,004,000	Barclays Bank PLC		10/14/20		3,524
RUB	236,580,000		USD	3,000,000	BNP Paribas S.A.		10/14/20		40,042
RUB	236,580,000		USD	3,000,000	BNP Paribas S.A.		10/14/20		40,042
USD	5,701,078		AUD	7,754,000	BNP Paribas S.A.		10/14/20		147,094
USD	4,971,000		CLP	3,818,970,750	Citibank N.A.		10/14/20		105,898
USD	3,969,000		COP	14,546,385,000	Citibank N.A.		10/14/20		170,685
USD	4,971,000		COP	18,512,004,000	JPMorgan Chase Bank N.A.		10/14/20		137,192
USD	4,966,527		EUR	4,208,000	HSBC Bank PLC		10/14/20		31,419
USD	6,954,082		EUR	5,892,000	HSBC Bank PLC		10/14/20		43,992
USD	2,376,331		EUR	2,006,000	JPMorgan Chase Bank N.A.		10/14/20		23,711
USD	5,504,316		EUR	4,635,000	Morgan Stanley & Co. International PLC		10/14/20		68,426
USD	1,831,363		EUR	1,545,000	UBS AG		10/14/20		19,399
USD	1,832,670		EUR	1,545,000	UBS AG		10/14/20		20,706
USD	4,961,000		HUF	1,517,669,120	Bank of America N.A.		10/14/20		66,590
USD	4,961,000		HUF	1,517,669,120	Bank of America N.A.		10/14/20		66,591
USD	4,999,000		JPY	522,637,451	UBS AG		10/14/20		42,685
USD	2,999,000		KRW	3,498,933,300	Bank of America N.A.		10/14/20		7,180
USD	2,999,000		KRW	3,498,933,300	Bank of America N.A.		10/14/20		7,180
USD	4,998,000		KRW	5,819,171,400	Barclays Bank PLC		10/14/20		22,223
USD	4,998,000		KRW	5,819,171,400	Barclays Bank PLC		10/14/20		22,223
USD	4,995,000		MXN	105,507,387	Citibank N.A.		10/14/20		231,323
USD	4,995,000		MXN	105,507,387	Citibank N.A.		10/14/20		231,323
USD	390,000		MXN	8,392,059	Citibank N.A.		10/14/20		11,097
USD	390,000		MXN	8,392,059	Citibank N.A.		10/14/20		11,097
USD	2,407,647		MXN	53,277,125	Citibank N.A.		10/14/20		2,175
USD	4,655,000		MXN	100,040,605	Deutsche Bank AG		10/14/20		138,149
USD	4,655,000		MXN	100,040,605	Deutsche Bank AG		10/14/20		138,149
USD	10,001,000		MXN	211,763,174	HSBC Bank PLC		10/14/20		439,855
USD	2,325,000		MXN	50,005,774	HSBC Bank PLC		10/14/20		67,230
USD	2,325,000		MXN	50,005,775	HSBC Bank PLC		10/14/20		67,230
USD	2,628,000		MXN	56,561,130	HSBC Bank PLC		10/14/20		74,255
USD	2,628,000		MXN	56,561,130	HSBC Bank PLC		10/14/20		74,255
USD	4,357,353		MXN	96,482,388	UBS AG		10/14/20		1,156
USD	3,969,000		PLN	15,001,629	Bank of America N.A.		10/14/20		87,874
USD	3,969,000		PLN	15,001,629	Bank of America N.A.		10/14/20		87,874
USD	2,999,000		RUB	229,033,630	Bank of America N.A.		10/14/20		55,928
USD	2,999,000		RUB	229,033,630	Bank of America N.A.		10/14/20		55,928
USD	1,171,000		RUB	88,709,105	Citibank N.A.		10/14/20		31,092
USD	9,372,000		RUB	709,975,860	Citibank N.A.		10/14/20		248,843
USD	9,452,000		RUB	717,213,034	Citibank N.A.		10/14/20		235,845
USD	1,708,000		RUB	129,602,186	Citibank N.A.		10/14/20		42,618
USD	4,995,000		ZAR	81,991,426	BNP Paribas S.A.		10/14/20		108,139
USD	2,997,000		ZAR	49,194,856	BNP Paribas S.A.		10/14/20		64,883
ZAR	83,434,755		USD	4,971,000	BNP Paribas S.A.		10/14/20		1,887
ZAR	51,151,244		USD	2,999,000	BNP Paribas S.A.		10/14/20		49,722
ZAR	51,151,244		USD	2,999,000	BNP Paribas S.A.		10/14/20		49,722
ZAR	50,961,600		USD	3,000,000	Citibank N.A.		10/14/20		37,418
ZAR	50,961,600		USD	3,000,000	Citibank N.A.		10/14/20		37,418
USD	4,038,000		BRL	22,337,005	BNP Paribas S.A.		11/04/20		64,205
USD	2,966,000		BRL	16,407,022	BNP Paribas S.A.		11/04/20		47,160
USD	126,112,523		EUR	107,391,500	Goldman Sachs Bank USA		11/04/20		110,430
USD	14,347,407		COP	53,206,642,219	Barclays Bank PLC		12/04/20		491,923
USD	3,739,582		EUR	3,139,000	Bank of America N.A.		12/04/20		54,143
USD	5,958,645		EUR	5,001,678	Bank of America N.A.		12/04/20		86,271
USD	4,897,222		MXN	105,018,972	Deutsche Bank AG		12/04/20		183,095
USD	54,235,662		RUB	4,105,449,793	Citibank N.A.		12/04/20		1,764,719
EUR	21,340,000		USD	24,887,882	Bank of America N.A.		12/16/20		176,680
EUR	21,300,000		USD	24,967,306	Deutsche Bank AG		12/16/20		50,274
EUR	22,780,000		USD	26,660,186	JPMorgan Chase Bank N.A.		12/16/20		95,705
EUR	22,410,000		USD	26,117,309	JPMorgan Chase Bank N.A.		12/16/20		204,004

108 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 Master Total Return Portfolio

Forward Foreign Currency Exchange Contracts (continued)

Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
EUR	42,610,000		USD	49,917,189	JPMorgan Chase Bank N.A.		12/16/20	$	129,717
GBP	28,929,141		EUR	31,550,000	BNP Paribas S.A.		12/16/20		291,142
GBP	29,259,407		EUR	31,550,000	BNP Paribas S.A.		12/16/20		717,516
GBP	29,102,794		EUR	31,510,000	BNP Paribas S.A.		12/16/20		562,309
USD	41,266,169		CNH	280,721,365	Morgan Stanley & Co. International PLC		12/16/20		106,907
USD	1,363,301		EUR	1,145,538	Bank of America N.A.		12/16/20		17,828
USD	100,096,399		EUR	84,080,000	BNP Paribas S.A.		12/16/20		1,341,557
USD	25,444,370		EUR	21,440,000	BNP Paribas S.A.		12/16/20		262,355
USD	13,543,157		EUR	11,388,484	Citibank N.A.		12/16/20		166,992
USD	19,948,131		EUR	16,870,000	Citibank N.A.		12/16/20		133,737
USD	29,766,812		EUR	25,060,000	Citibank N.A.		12/16/20		332,983
USD	20,081,481		EUR	16,910,000	Citibank N.A.		12/16/20		220,106
USD	102,514,686		EUR	86,436,000	JPMorgan Chase Bank N.A.		12/16/20		992,642
USD	1,321,842		EUR	1,111,516	JPMorgan Chase Bank N.A.		12/16/20		16,328
USD	13,523,767		EUR	11,364,462	Morgan Stanley & Co. International PLC		12/16/20		175,816
USD	4,393,331		EUR	3,707,621	UBS AG		12/16/20		38,603
									19,677,120
BRL	22,319,641		USD	4,038,000	BNP Paribas S.A.		10/02/20		(63,837	)
BRL	16,394,268		USD	2,966,000	BNP Paribas S.A.		10/02/20		(46,890	)
BRL	21,006,440		USD	3,980,000	Citibank N.A.		10/02/20		(239,662	)
BRL	21,006,440		USD	3,980,000	Citibank N.A.		10/02/20		(239,662	)
EUR	107,391,500		USD	126,034,664	Goldman Sachs Bank USA		10/05/20		(109,927	)
USD	1,533,920		EUR	1,316,000	Goldman Sachs Bank USA		10/05/20		(9,191	)
USD	1,732,319		EUR	1,479,000	HSBC Bank PLC		10/05/20		(1,921	)
USD	7,509,721		EUR	6,409,000	State Street Bank and Trust Co.		10/05/20		(5,321	)
USD	1,977,014		JPY	209,449,000	JPMorgan Chase Bank N.A.		10/05/20		(9,053	)
AUD	33,052,720		USD	23,691,000	JPMorgan Chase Bank N.A.		10/09/20		(16,487	)
EUR	20,199,910		USD	23,691,000	JPMorgan Chase Bank N.A.		10/09/20		(3,127	)
GBP	18,324,575		USD	23,691,000	JPMorgan Chase Bank N.A.		10/09/20		(44,714	)
USD	23,691,000		AUD	33,606,496	JPMorgan Chase Bank N.A.		10/09/20		(380,163	)
USD	23,691,000		CAD	31,725,258	JPMorgan Chase Bank N.A.		10/09/20		(135,486	)
USD	23,691,000		EUR	20,340,459	JPMorgan Chase Bank N.A.		10/09/20		(161,690	)
USD	23,691,000		GBP	18,447,917	JPMorgan Chase Bank N.A.		10/09/20		(114,449	)
AUD	5,457,000		USD	3,988,794	UBS AG		10/14/20		(80,090	)
AUD	7,513,000		USD	5,491,627	UBS AG		10/14/20		(110,265	)
COP	14,899,626,000		USD	3,969,000	Citibank N.A.		10/14/20		(78,447	)
COP	18,427,497,000		USD	4,971,000	Citibank N.A.		10/14/20		(159,258	)
EUR	1,390,000		USD	1,640,638	Citibank N.A.		10/14/20		(10,457	)
EUR	4,330,000		USD	5,110,764	Citibank N.A.		10/14/20		(32,574	)
EUR	13,195,000		USD	15,630,771	UBS AG		10/14/20		(155,780	)
EUR	13,195,000		USD	15,630,771	UBS AG		10/14/20		(155,780	)
HUF	1,206,486,235		USD	3,968,676	Bank of America N.A.		10/14/20		(77,816	)
HUF	1,206,486,235		USD	3,968,676	Bank of America N.A.		10/14/20		(77,816	)
HUF	301,901,081		USD	992,324	Citibank N.A.		10/14/20		(18,708	)
HUF	301,901,081		USD	992,324	Citibank N.A.		10/14/20		(18,708	)
JPY	412,638,331		AUD	5,474,000	Deutsche Bank AG		10/14/20		(7,718	)
JPY	412,638,331		AUD	5,474,000	Deutsche Bank AG		10/14/20		(7,718	)
KRW	9,328,900,350		USD	7,997,000	JPMorgan Chase Bank N.A.		10/14/20		(20,172	)
KRW	9,328,900,350		USD	7,997,000	JPMorgan Chase Bank N.A.		10/14/20		(20,172	)
MXN	211,641,319		USD	9,942,000	Citibank N.A.		10/14/20		(386,357	)
MXN	128,097,273		USD	5,838,000	Deutsche Bank AG		10/14/20		(54,385	)
MXN	168,913,298		USD	7,908,000	UBS AG		10/14/20		(281,534	)
MXN	39,583,768		USD	1,853,190	UBS AG		10/14/20		(65,976	)
MXN	359,314,556		USD	16,822,000	UBS AG		10/14/20		(598,883	)
PLN	22,271,661		USD	5,953,000	Bank of America N.A.		10/14/20		(191,018	)
PLN	22,271,661		USD	5,953,000	Bank of America N.A.		10/14/20		(191,018	)
RUB	128,615,304		USD	1,708,000	Citibank N.A.		10/14/20		(55,299	)
RUB	711,751,668		USD	9,452,000	Citibank N.A.		10/14/20		(306,024	)
RUB	88,178,291		USD	1,171,000	Citibank N.A.		10/14/20		(37,913	)
RUB	705,727,532		USD	9,372,000	Citibank N.A.		10/14/20		(303,434	)
USD	9,697,266		EUR	8,307,000	JPMorgan Chase Bank N.A.		10/14/20		(45,117	)

S C H E D U L E  O F  I N V E S T M E N  T S 109

Schedule of Investments  (continued) September 30, 2020 Master Total Return Portfolio

Forward Foreign Currency Exchange Contracts (continued)

Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	9,697,266		EUR	8,307,000	JPMorgan Chase Bank N.A.		10/14/20	$	(45,117	)
USD	4,943,000		JPY	526,472,207	BNP Paribas S.A.		10/14/20		(49,681	)
USD	4,943,000		JPY	526,472,207	BNP Paribas S.A.		10/14/20		(49,681	)
USD	3,902,430		MXN	87,908,089	Morgan Stanley & Co. International PLC		10/14/20		(66,636	)
USD	3,095,570		MXN	69,801,602	UBS AG		10/14/20		(55,985	)
USD	2,165,000		RUB	172,095,850	Bank of America N.A.		10/14/20		(46,424	)
USD	2,165,000		RUB	172,095,850	Bank of America N.A.		10/14/20		(46,424	)
USD	835,000		RUB	66,288,145	BNP Paribas S.A.		10/14/20		(16,800	)
USD	835,000		RUB	66,288,145	BNP Paribas S.A.		10/14/20		(16,800	)
USD	3,001,000		RUB	235,908,610	Citibank N.A.		10/14/20		(30,415	)
USD	3,001,000		RUB	235,908,610	Citibank N.A.		10/14/20		(30,415	)
USD	3,000,000		ZAR	51,042,000	Bank of America N.A.		10/14/20		(42,210	)
USD	3,000,000		ZAR	51,042,000	Bank of America N.A.		10/14/20		(42,210	)
USD	6,001,916		ZAR	101,587,230	BNP Paribas S.A.		10/14/20		(52,896	)
USD	14,407,000		ZAR	243,850,001	BNP Paribas S.A.		10/14/20		(126,972	)
USD	6,404,356		ZAR	108,165,922	UBS AG		10/14/20		(42,560	)
ZAR	98,700,161		USD	5,986,000	Bank of America N.A.		10/14/20		(103,263	)
KZT	539,247,006		USD	1,270,760	Citibank N.A.		10/23/20		(32,461	)
USD	2,684,749		AUD	3,769,000	Bank of America N.A.		11/04/20		(15,020	)
USD	125,833,305		EUR	107,391,500	UBS AG		11/04/20		(168,788	)
USD	1,983,425		JPY	209,449,000	Barclays Bank PLC		11/04/20		(3,297	)
USD	1,790,749		EUR	1,591,408	UBS AG		11/27/20		(77,335	)
IDR	194,009,060,238		USD	13,055,791	HSBC Bank PLC		12/04/20		(95,767	)
RUB	125,450,291		USD	1,630,792	Bank of America N.A.		12/04/20		(27,436	)
RUB	212,661,430		USD	2,758,541	Credit Suisse International		12/04/20		(40,557	)
RUB	141,745,141		USD	1,840,523	Credit Suisse International		12/04/20		(28,907	)
RUB	62,678,618		USD	813,438	Credit Suisse International		12/04/20		(12,355	)
RUB	70,696,936		USD	920,341	Credit Suisse International		12/04/20		(16,778	)
RUB	212,090,656		USD	2,768,302	Credit Suisse International		12/04/20		(57,613	)
RUB	173,518,557		USD	2,265,152	Credit Suisse International		12/04/20		(47,445	)
RUB	226,253,011		USD	2,937,226	Credit Suisse International		12/04/20		(45,530	)
RUB	125,261,799		USD	1,636,703	HSBC Bank PLC		12/04/20		(35,757	)
RUB	125,261,799		USD	1,631,310	HSBC Bank PLC		12/04/20		(30,364	)
USD	18,335,820		CNH	126,083,000	Barclays Bank PLC		12/04/20		(164,703	)
USD	118,972,110		CNH	817,731,000	Citibank N.A.		12/04/20		(1,015,920	)
USD	3,997,820		CNH	27,465,000	HSBC Bank PLC		12/04/20		(32,199	)
USD	40,666,987		IDR	615,616,849,730	Standard Chartered Bank		12/04/20		(456,915	)
EUR	31,670,000		GBP	29,421,747	BNP Paribas S.A.		12/16/20		(786,154	)
EUR	6,240,000		GBP	5,759,607	BNP Paribas S.A.		12/16/20		(106,594	)
EUR	31,430,000		GBP	29,168,297	Citibank N.A.		12/16/20		(740,837	)
EUR	25,270,000		GBP	23,313,344	Citibank N.A.		12/16/20		(417,188	)
EUR	22,776,573		USD	27,030,439	Bank of America N.A.		12/16/20		(278,574	)
EUR	2,483,521		USD	2,944,363	Bank of America N.A.		12/16/20		(27,383	)
EUR	21,050,000		USD	24,754,989	Bank of America N.A.		12/16/20		(31,043	)
EUR	50,500,000		USD	60,085,304	BNP Paribas S.A.		12/16/20		(771,323	)
EUR	25,310,000		USD	30,132,694	BNP Paribas S.A.		12/16/20		(405,231	)
EUR	84,080,000		USD	99,950,125	Citibank N.A.		12/16/20		(1,195,283	)
EUR	24,970,000		USD	29,735,842	Citibank N.A.		12/16/20		(407,721	)
EUR	17,110,000		USD	20,162,989	Citibank N.A.		12/16/20		(66,707	)
EUR	2,423,427		USD	2,876,960	Deutsche Bank AG		12/16/20		(30,561	)
EUR	21,100,000		USD	24,870,188	HSBC Bank PLC		12/16/20		(87,515	)
EUR	22,826,479		USD	27,053,865	Morgan Stanley & Co. International PLC		12/16/20		(243,383	)
TWD	38,600,260		USD	1,334,725	Goldman Sachs Bank USA		12/16/20		(1,620	)
USD	528,242		CNH	3,634,112	HSBC Bank PLC		12/16/20		(4,590	)
USD	255,893,973		CNH	1,759,347,830	Standard Chartered Bank		12/16/20		(2,060,947	)
USD	40,830,417		CNH	280,721,365	Standard Chartered Bank		12/16/20		(328,845	)
USD	25,162,369		EUR	21,530,000	Bank of America N.A.		12/16/20		(125,354	)
USD	30,204,190		EUR	25,730,000	BNP Paribas S.A.		12/16/20		(16,577	)
USD	24,697,106		EUR	21,030,000	Citibank N.A.		12/16/20		(3,350	)
USD	25,299,400		EUR	21,630,000	Deutsche Bank AG		12/16/20		(105,777	)
USD	30,169,274		EUR	25,730,000	Deutsche Bank AG		12/16/20		(51,493	)
USD	25,106,181		EUR	21,470,000	JPMorgan Chase Bank N.A.		12/16/20		(111,070	)

110 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 Master Total Return Portfolio

Forward Foreign Currency Exchange Contracts (continued)

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	25,043,270	EUR	21,430,000	JPMorgan Chase Bank N.A.		12/16/20	$	(127,000	)
USD	40,170,060	EUR	34,270,000	JPMorgan Chase Bank N.A.		12/16/20		(81,229	)
USD	50,317,579	EUR	42,880,000	JPMorgan Chase Bank N.A.		12/16/20		(46,451	)
USD	7,106,139	HKD	55,103,485	Bank of America N.A.		12/16/20		(1,838	)
USD	4,133,845	JPY	438,419,026	Goldman Sachs Bank USA		12/16/20		(27,671	)
USD	1,328,432	TWD	38,600,260	Goldman Sachs Bank USA		12/16/20		(4,673	)
USD	9,692,000	TRY	77,796,715	JPMorgan Chase Bank N.A.		12/29/20		(96,484	)
								(17,190,119	)
							$	2,487,001

Interest Rate Caps Purchased

Reference Entity	Exercise Rate			Counterparty	Expiration Date		Notional Amount (000)		Value		Premiums Paid (Received)		Unrealized Appreciation (Depreciation)
30Y-5Y CMS Index Cap		0.87	%	Goldman Sachs Bank USA		03/18/21		USD  948,500	$	966,569	$	820,452	$	146,116

Exchange-Traded Options Purchased

Description	Number of Contracts		Expiration Date		Exercise Price			Notional Amount (000)		Value
Call
SPDR S&P 500 ETF Trust		2,481		10/05/20	USD		335.00	USD	83,086	$	710,806
SPDR S&P 500 ETF Trust		9,161		10/09/20	USD		350.00	USD	306,793		384,762
Facebook, Inc.		1,221		10/16/20	USD		300.00	USD	31,978		39,683
PowerShares QQQ Trust, Series 1 ETF		5,929		10/16/20	USD		280.00	USD	164,731		3,050,470
PowerShares QQQ Trust, Series 1 ETF		49		11/20/20	USD		295.00	USD	1,361		28,812
Caesars Entertainment, Inc.		1,451		01/15/21	USD		45.00	USD	8,134		2,245,422
Caesars Entertainment, Inc.		869		03/19/21	USD	��	35.00	USD	4,872		2,074,737
Caesars Entertainment, Inc.		1,160		03/19/21	USD		40.00	USD	6,503		2,389,600
SPDR S&P 500 ETF Trust		120		03/19/21	USD		380.00	USD	4,019		51,960
SPDR S&P 500 ETF Trust		3,652		06/18/21	USD		400.00	USD	122,302		1,256,288
											12,232,540
Put
SPDR S&P 500 ETF Trust		3,054		10/05/20	USD		328.00	USD	102,275		479,478
Euro Dollar (2 Year) Mid-Curve		56,681		12/11/20	USD		99.63	USD	14,132,699		2,834,050
Euro Dollar (3 Year) Mid-Curve		22,196		06/11/21	USD		99.25	USD	5,522,642		4,161,750
											7,475,278
										$	19,707,818

OTC Barrier Options Purchased

Description

Type of Option

Counterparty

Number of Contracts

Expiration Date

Exercise Price

Barrier Price/Range

Notional Amount (000)

Value

Call

EUR

Currency

One-Touch

Deutsche Bank AG

—

10/29/20

USD

1.22

USD

1.25

EUR

1,160

$

33,842

USD

Currency

Down-and-In

BNP Paribas S.A.

—

10/30/20

ZAR

16.50

ZAR

15.65

USD

19,990

4,852

USD

Currency

Down-and-In

Bank of America N.A.

—

11/02/20

ZAR

16.70

ZAR

15.80

USD

31,400

13,827

USD

Currency

Down-and-In

Bank of America N.A.

—

11/02/20

ZAR

17.03

ZAR

16.13

USD

50,006

58,982

USD

Currency

Down-and-In

BNP Paribas S.A.

—

11/02/20

ZAR

16.58

ZAR

15.68

USD

44,035

14,002

S C H E D U L E  O F  I N V E S T M E N  T S 111

Schedule of Investments  (continued) September 30, 2020 Master Total Return Portfolio

OTC Barrier Options Purchased (continued)

Description

Type of Option

Counterparty

Number of Contracts

Expiration Date

Exercise Price

Barrier Price/Range

Notional Amount (000)

Value

Call (continued)

USD Currency

Down-and-In

Morgan Stanley & Co. International PLC

—

11/02/20

MXN

21.50

MXN

20.50

USD

31,400

$

7,092

USD Currency

Down-and-In

Morgan Stanley & Co. International PLC

—

11/02/20

MXN

21.40

MXN

20.40

USD

94,040

16,981

USD Currency.

One-Touch

Credit Suisse International

—

12/21/20

CAD

1.41

CAD

1.41

USD

736

94,126

USD Currency

One-Touch

Citibank N.A.

—

02/18/21

JPY

100.00

JPY

100.00

USD

943

240,868

484,572

Put

USD Currency

Down-and-Out

Morgan Stanley & Co. International PLC

—

11/20/20

MXN

21.90

MXN

21.25

USD

9,999

49,117

S&P

500 Index

Down-and-Out

Goldman Sachs International

9,262

03/19/21

USD

3,242.36

USD

2,559.76

USD

31,148

343,154

392,271

$

876,843

OTC Options Purchased

Description	Counterparty	Number of Contracts		Expiration Date		Exercise Price		Notional Amount (000)		Value
Call
USD Currency	Bank of America N.A.		—		10/15/20	ZAR	17.00	USD	15,188	$	141,163
USD Currency	JPMorgan Chase Bank N.A.		—		10/23/20	IDR	15,000.00	USD	15,696		128,915
USD Currency	Citibank N.A.		—		10/30/20	MXN	22.50	USD	7,993		128,018
USD Currency	Deutsche Bank AG		—		11/03/20	CLP	775.00	USD	19,460		439,721
USD Currency	JPMorgan Chase Bank N.A.		—		11/03/20	TWD	30.00	USD	13,122		7,009
USD Currency	Citibank N.A.		—		11/06/20	TRY	7.70	USD	6,255		189,854
											1,034,680
Put
USD Currency	Citibank N.A.		—		10/01/20	MXN	21.50	USD	15,812		553
USD Currency	Citibank N.A.		—		10/02/20	RUB	73.50	USD	29,114		8
USD Currency	Bank of America N.A.		—		10/07/20	BRL	5.30	USD	13,690		3,301
USD Currency	Bank of America N.A.		—		10/09/20	MXN	23.80	USD	8,759		659,240
USD Currency	Morgan Stanley & Co. International PLC		—		10/09/20	MXN	21.30	USD	13,920		21,357
AUD Currency	Morgan Stanley & Co. International PLC		—		10/14/20	JPY	72.40	AUD	356,057		169,062
USD Currency	Bank of America N.A.		—		10/30/20	ZAR	17.00	USD	12,000		333,226
USD Currency	BNP Paribas S.A.		—		10/30/20	RUB	79.00	USD	12,000		339,789
USD Currency	Citibank N.A.		—		10/30/20	MXN	21.50	USD	9,998		80,546
USD Currency	Goldman Sachs International		—		10/30/20	JPY	104.50	USD	11,998		39,260
USD Currency	Morgan Stanley & Co. International PLC		—		10/30/20	MXN	21.80	USD	14,995		190,295
USD Currency	Morgan Stanley & Co. International PLC		—		10/30/20	MXN	20.90	USD	15,986		44,526
USD Currency	Citibank N.A.		—		11/09/20	RUB	75.00	USD	15,876		121,782
USD Currency	Deutsche Bank AG		—		12/22/20	CNH	6.80	USD	56,779		603,055
											2,606,000
										$	3,640,680

OTC Interest Rate Swaptions Purchased

Notional

Paid by the Fund

Received by the Fund

Expiration

Exercise

Amount

Description

Rate

Frequency

Rate

Frequency

Counterparty

Date

Rate

(000)

Value

Put

30-Year Interest Rate Swap, 06/20/51

1.41

%

Semi-Annual

3-month LIBOR, 0.23

%

Quarterly

Goldman Sachs International

06/18/21

1.41

%

USD

40,320

$

1,575,973

112 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 Master Total Return Portfolio

Interest Rate Caps Sold

Reference Entity	Exercise Rate			Counterparty	Expiration Date		Notional Amount (000)			Value			Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
30Y-5Y CMS Index Cap		1.17	%	Goldman Sachs Bank USA		03/18/21		USD	948,500	$	(320,327	)	$	(204,876	)	$	(115,451	)

Exchange-Traded Options Written

Description	Number of Contracts		Expiration Date			Exercise Price		Notional Amount (000)		Value
Call
PowerShares QQQ Trust, Series 1 ETF		79		10/02/20	USD		295.00	USD	2,195	$	(158	)
SPDR S&P 500 ETF Trust		3,092		10/05/20	USD		340.00	USD	103,548		(316,930	)
PowerShares QQQ Trust, Series 1 ETF		123		10/16/20	USD		280.00	USD	3,418		(63,283	)
PowerShares QQQ Trust, Series 1 ETF		123		10/16/20	USD		290.00	USD	3,417		(20,172	)
PowerShares QQQ Trust, Series 1 ETF		5,972		10/16/20	USD		285.00	USD	165,926		(1,824,446	)
PowerShares QQQ Trust, Series 1 ETF		123		10/23/20	USD		290.00	USD	3,417		(33,702	)
PowerShares QQQ Trust, Series 1 ETF		246		10/23/20	USD		285.00	USD	6,835		(109,347	)
U.S. Treasury 2-Year Notes Futures		244		10/23/20	USD		110.50	USD	53,915		(11,438	)
U.S. Treasury 5-Year Notes Futures		243		10/23/20	USD		126.25	USD	30,626		(11,391	)
SPDR S&P 500 ETF Trust		2,158		10/30/20	USD		340.00	USD	72,269		(1,206,322	)
iShares iBoxx $ Investment Grade Corporate Bond ETF		330		11/20/20	USD		140.00	USD	4,445		(4,290	)
PowerShares QQQ Trust, Series 1 ETF		85		11/20/20	USD		305.00	USD	2,362		(26,138	)
U.S. Treasury Long-Term Bonds Futures		83		11/20/20	USD		182.00	USD	14,631		(55,766	)
SPDR S&P 500 ETF Trust		119		12/18/20	USD		365.00	USD	3,985		(44,685	)
											(3,728,068	)
Put
SPDR S&P 500 ETF Trust		3,054		10/05/20	USD		322.00	USD	102,275		(186,294	)
PowerShares QQQ Trust, Series 1 ETF		240		10/16/20	USD		250.00	USD	6,668		(22,200	)
U.S. Treasury 2-Year Notes Futures		244		10/23/20	USD		110.38	USD	53,915		(7,625	)
U.S. Treasury 5-Year Notes Futures		243		10/23/20	USD		125.50	USD	30,626		(7,594	)
PowerShares QQQ Trust, Series 1 ETF		123		10/30/20	USD		250.00	USD	3,417		(32,534	)
PowerShares QQQ Trust, Series 1 ETF		246		10/30/20	USD		255.00	USD	6,835		(84,870	)
SPDR S&P 500 ETF Trust		58		11/20/20	USD		280.00	USD	1,942		(11,397	)
PowerShares QQQ Trust, Series 1 ETF		243		12/18/20	USD		220.00	USD	6,752		(80,068	)
SPDR S&P 500 ETF Trust		396		12/18/20	USD		250.00	USD	13,262		(63,954	)
SPDR S&P 500 ETF Trust		240		03/19/21	USD		250.00	USD	8,037		(120,120	)
Euro Dollar (3 Year) Mid-Curve		22,196		06/11/21	USD		98.75	USD	5,522,642		(832,350	)
SPDR S&P 500 ETF Trust		3,652		06/18/21	USD		275.00	USD	122,302		(4,382,400	)
											(5,831,406	)
										$	(9,559,474	)

OTC Barrier Options Written

Description	Type of Security	Counterparty		Number of Contracts		Expiration Date		Exercise Price			Barrier Price/Range			Notional Amount (000)			Value
Call			��
USD
Currency	One-Touch	Credit Suisse International			—		10/21/20		CAD	1.41		CAD	1.41		USD	613	$	(6,322	)
USD Currency	One-Touch	Morgan Stanley & Co. International PLC			—		10/30/20		MXN	22.75		MXN	22.75		USD	200		(64,160	)
USD
Currency	One-Touch	Citibank N.A.			—		11/18/20		JPY	100.00		JPY	100.00		USD	943		(84,967	)
																	$	(155,449	)
Put
USD Currency	Down-and-Out	Morgan Stanley & Co. International PLC			—		11/20/20		MXN	21.40		MXN	21.25		USD	9,999		(21,365	)
																	$	(176,814	)

S C H E D U L E  O F  I N V E S T M E N  T S 113

Schedule of Investments  (continued) September 30, 2020 Master Total Return Portfolio

OTC Options Written

Description	Counterparty	Number of Contracts	Expiration Date		Exercise Price			Notional Amount (000)			Value
Call
USD Currency	Bank of America N.A.	—		10/07/20		BRL	5.45		USD	13,690	$	(454,249	)
USD Currency	JPMorgan Chase Bank N.A.	—		10/23/20		IDR	15,500.00		USD	23,544		(53,500	)
USD Currency	Bank of America N.A.	—		10/30/20		ZAR	18.00		USD	12,000		(51,411	)
USD Currency	Morgan Stanley & Co. International PLC	—		10/30/20		MXN	22.50		USD	15,986		(256,035	)
USD Currency	Deutsche Bank AG	—		11/03/20		CLP	810.00		USD	23,352		(155,327	)
USD Currency	Citibank N.A.	—		11/09/20		RUB	78.00		USD	11,908		(274,893	)
iShares iBoxx $ Investment Grade Corporate Bond ETF	UBS AG	2,000,600		11/20/20		USD	140.00		USD	269,501		(260,078	)
												(1,505,493	)
Put
USD Currency(a)	Citibank N.A.	—		10/02/20		RUB	70.50		USD	21,351		(2	)
USD Currency	Bank of America N.A.	—		10/09/20		MXN	22.80		USD	14,015		(470,956	)
AUD Currency	Morgan Stanley & Co. International PLC	—		10/14/20		JPY	70.15		AUD	445,071		(39,022	)
USD Currency	Bank of America N.A.	—		10/30/20		ZAR	16.25		USD	17,998		(132,694	)
USD Currency	BNP Paribas S.A.	—		10/30/20		RUB	76.80		USD	17,998		(228,110	)
USD Currency	Goldman Sachs International	—		10/30/20		JPY	102.50		USD	11,998		(9,794	)
USD Currency	Morgan Stanley & Co. International PLC	—		10/30/20		MXN	21.20		USD	14,995		(72,656	)
USD Currency	Morgan Stanley & Co. International PLC	—		10/30/20		MXN	20.20		USD	15,986		(11,023	)
USD Currency	Deutsche Bank AG	—		11/03/20		CLP	740.00		USD	9,730		(11,404	)
USD Currency	Citibank N.A.	—		11/06/20		TRY	7.25		USD	6,255		(15,015	)
USD Currency	Deutsche Bank AG	—		12/22/20		CNH	6.75		USD	56,779		(410,067	)
												(1,400,743	)
											$	(2,906,236	)

^(a)  Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

Centrally Cleared Credit Default Swaps — Buy Protection

Reference Obligation/Index	Financing Rate Paid by the Fund			Payment Frequency	Termination Date		Notional Amount (000)			Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)
CDX.NA.HY.33.V1		5.00	%	Quarterly		12/20/24		USD	35,458	$	(1,870,432	)	$	(2,790,442	)		$	920,010

Centrally Cleared Inflation Swaps

												Upfront
						Notional						Premium			Unrealized
Paid by the Fund		Received by the Fund		Termination		Amount						Paid			Appreciation
Reference	Frequency	Rate	Frequency	Date		000)			Value			(Received)			(Depreciation)
0.73%	At Termination	Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU)	At Termination		09/15/25		EUR	69,035	$	(549,437	)		$	—		$	(549,437	)
0.72%	At Termination	Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU)	At Termination		09/15/25		EUR	69,035		(503,242	)			—			(503,242	)
Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU)	At Termination	0.98%	At Termination		09/15/30		EUR	69,035		967,458				—			967,458
Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU)	At Termination	0.96%	At Termination		09/15/30		EUR	69,035		822,182				—			822,182
									$	736,961			$	—		$	736,961

114 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 Master Total Return Portfolio

Centrally Cleared Interest Rate Swaps

														Upfront
								Notional						Premium		Unrealized
Paid by the Fund		Received by the Fund		Effective		Termination		Amount					Paid		Appreciation
Rate	Frequency	Rate	Frequency	Date		Date		(000)		Value			(Received)		(Depreciation)
28-day MXIBTIIE, 4.55%	Monthly	4.51%	Monthly		N/A		09/29/22	MXN	1,380,188	$	29,793		$	67			$	29,726
1-day SONIA, 0.05%	At Termination	0.02%	At Termination		05/26/22(a)		05/26/23	GBP	25,520		39,185			—				39,185
3-month Canadian Bankers Acceptances, 0.51%	Semi-Annual	0.78%	Semi-Annual		08/12/22(a)		08/12/23	CAD	50,765		25,820			—				25,820
1-day CORRA, 0.21%	Semi-Annual	0.49%	Semi-Annual		08/16/22(a)		08/16/23	CAD	50,765		31,519			—				31,519
1-day CORRA, 0.21%	At Termination	0.49%	At Termination		08/25/22(a)		08/25/23	CAD	300,000		173,320			—				173,320
1-day SONIA, 0.05%	At Termination	(0.02)%	At Termination		08/26/22(a)		08/26/23	GBP	13,180		11,950			—				11,950
1-day SONIA, 0.05%	At Termination	(0.04)%	At Termination		08/26/22(a)		08/26/23	GBP	13,180		8,943			—				8,943
3-month Canadian Bankers Acceptances, 0.51%	Semi-Annual	0.76%	Semi-Annual		08/29/22(a)		08/29/23	CAD	312,120		83,443			—				83,443
0.30%	Semi-Annual	3-month LIBOR, 0.23%	Quarterly		09/01/22(a)		09/01/23	USD	236,455		38,497			—				38,497
1-day Overnight Fed Funds Effective Rate, 0.09%	At Termination	0.04%	At Termination		09/19/22(a)		09/19/23	USD	982,433		(200,367	)		—				(200,367	)
1-day Overnight Fed Funds Effective Rate, 0.09%	At Termination	0.05%	At Termination		09/19/22(a)		09/19/23	USD	1,964,868		(148,072	)		—				(148,072	)
1-day SONIA, 0.05%	At Termination	(0.15)%	At Termination		09/19/22(a)		09/19/23	GBP	102,205		(79,708	)		43,767				(123,475	)
1-day SONIA, 0.05%	At Termination	(0.17)%	At Termination		09/21/22(a)		09/21/23	GBP	192,000		(222,510	)		—				(222,510	)
1-day SONIA, 0.05%	At Termination	(0.12)%	At Termination		09/22/22(a)		09/22/23	GBP	175,000		(81,003	)		—				(81,003	)
1-day SONIA, 0.05%	At Termination	(0.13)%	At Termination		09/22/22(a)		09/22/23	GBP	175,000		(108,153	)		—				(108,153	)
1-day Overnight Fed Funds Effective Rate, 0.09%	At Termination	0.04%	At Termination		09/23/22(a)		09/23/23	USD	982,464		(186,177	)		—				(186,177	)
1-day SONIA, 0.05%	At Termination	(0.09)%	At Termination		09/26/22(a)		09/26/23	GBP	220,000		12,750			5,591				7,159
1-day SONIA, 0.05%	At Termination	(0.10)%	At Termination		09/28/22(a)		09/28/23	GBP	118,000		(27,113	)		—				(27,113	)
1-day SONIA, 0.05%	At Termination	(0.11)%	At Termination		09/29/22(a)		09/29/23	GBP	197,298		(68,705	)		—				(68,705	)
1-day SONIA, 0.05%	At Termination	(0.12)%	At Termination		09/29/22(a)		09/29/23	GBP	194,354		(87,780	)		—				(87,780	)
1-day SONIA, 0.05%	At Termination	(0.12)%	At Termination		09/29/22(a)		09/29/23	GBP	197,298		(81,457	)		—				(81,457	)
28-day MXIBTIIE, 4.55%	Monthly	6.67%	Monthly		N/A		08/12/24	MXN	258,548		773,066			556				772,510
28-day MXIBTIIE, 4.55%	Monthly	6.72%	Monthly		N/A		08/13/24	MXN	222,465		681,331			462				680,869
28-day MXIBTIIE, 4.55%	Monthly	6.59%	Monthly		N/A		11/08/24	MXN	169,474		495,587			1,132				494,455

S C H E D U L E  O F  I N V E S T M E N  T S 115

Schedule of Investments  (continued) September 30, 2020 Master Total Return Portfolio

Centrally Cleared Interest Rate Swaps (continued)

														Upfront
								Notional						Premium				Unrealized
Paid by the Fund		Received by the Fund		Effective	Termination			Amount						Paid			Appreciation
Rate	Frequency	Rate	Frequency	Date	Date			(000)		Value			(Received)				(Depreciation)
3-month Canadian Bankers Acceptances, 0.51%	Semi-Annual	0.75%	Semi-Annual	N/A		05/26/25	CAD		143,415	$	163,508			$	(442	)		$	163,950
3-month Canadian Bankers Acceptances, 0.51%	Semi-Annual	0.82%	Semi-Annual	N/A		06/03/25	CAD		5,855		21,450				(28	)			21,478
3-month Canadian Bankers Acceptances, 0.51%	Semi-Annual	0.82%	Semi-Annual	N/A		06/03/25	CAD		5,855		20,355				(55	)			20,410
3-month Canadian Bankers Acceptances, 0.51%	Semi-Annual	0.85%	Semi-Annual	N/A		06/04/25	CAD		63,000		301,034				(767	)			301,801
3-month Canadian Bankers Acceptances, 0.51%	Semi-Annual	0.85%	Semi-Annual	N/A		06/04/25	CAD		63,000		296,320				(335	)			296,655
3-month Canadian Bankers Acceptances, 0.51%	Semi-Annual	0.70%	Semi-Annual	N/A		08/06/25	CAD		260,160		(355,351	)			(891	)			(354,460	)
0.38%	At Termination	1-day Overnight Fed Funds Effective Rate, 0.09%	At Termination	09/18/24(a)		09/18/25	USD		982,433		90,050				—				90,050
0.39%	At Termination	1-day Overnight Fed Funds Effective Rate, 0.09%	At Termination	09/18/24(a)		09/18/25	USD		1,964,868		(110,701	)			—				(110,701	)
3-month Canadian Bankers Acceptances, 0.51%	Semi-Annual	0.74%	Semi-Annual	N/A		09/18/25	CAD		13,320		(6,689	)			(193	)			(6,496	)
3-month Canadian Bankers Acceptances, 0.51%	Semi-Annual	0.75%	Semi-Annual	N/A		09/18/25	CAD		40,315		(10,591	)			(602	)			(9,989	)
3-month Canadian Bankers Acceptances, 0.51%	Semi-Annual	0.74%	Semi-Annual	N/A		09/21/25	CAD		22,500		(11,941	)			(108	)			(11,833	)
3-month Canadian Bankers Acceptances, 0.51%	Semi-Annual	0.74%	Semi-Annual	N/A		09/21/25	CAD		22,500		(9,417	)			(220	)			(9,197	)
0.39%	At Termination	1-day Overnight Fed Funds Effective Rate, 0.09%	At Termination	09/23/24(a)		09/23/25	USD		982,464		(20,887	)			—				(20,887	)
2.91%	Semi-Annual	3-month LIBOR, 0.23%	Quarterly	N/A		08/23/26	USD		3,692		(551,153	)			(46	)			(551,107	)
2.93%	Semi-Annual	3-month LIBOR, 0.23%	Quarterly	N/A		08/24/28	USD		8,170		(1,529,115	)			128				(1,529,243	)
3.16%	Semi-Annual	3-month LIBOR, 0.23%	Quarterly	N/A		10/03/28	USD		4,519		(990,511	)			71				(990,582	)

116 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 Master Total Return Portfolio

Centrally Cleared Interest Rate Swaps (continued)

Paid by the Fund		Received by the Fund		Effective	Termination		Notional Amount						Upfront Premium Paid			Unrealized Appreciation
Rate	Frequency	Rate	Frequency	Date	Date			(000)		Value			(Received)			(Depreciation)
0.68%	Semi-Annual	3-month LIBOR, 0.23%	Quarterly	N/A		09/23/30	USD		19,409	$	66,696			$	—		$	66,696
3-month LIBOR,     0.23%	Quarterly	0.67%	Semi-Annual	N/A		09/23/30	USD		19,409		(89,642	)			—			(89,642	)
										$	(1,612,426	)		$	48,087		$	(1,660,513	)

^(a)  Forward Swap.

OTC Credit Default Swaps — Buy Protection

Reference Obligation/Index	Financing Rate Paid by the Fund			Payment Frequency	Counterparty	Termination Date		Notional Amount (000)			Value			Upfront Premiun Paid (Received)			Unrealized Appreciation (Depreciation)
Australia & New Zealand Banking Group Ltd.		1.00	%	Quarterly	JPMorgan Chase Bank N.A.		12/20/20		USD	795	$	(1,908	)	$	(179	)	$	(1,729	)
Australia & New Zealand Banking Group Ltd.		1.00		Quarterly	JPMorgan Chase Bank N.A.		12/20/20		USD	1,205		(2,890	)		(246	)		(2,644	)
Australia & New Zealand Banking Group Ltd.		1.00		Quarterly	JPMorgan Chase Bank N.A.		12/20/20		USD	1,000		(2,400	)		(16	)		(2,384	)
Avis Budget Group, Inc.		5.00		Quarterly	Barclays Bank PLC		12/20/20		USD	2,550		(12,039	)		106,900			(118,939	)
Avis Budget Group, Inc.		5.00		Quarterly	Barclays Bank PLC		12/20/20		USD	2,545		(9,260	)		133,584			(142,844	)
Avis Budget Group, Inc.		5.00		Quarterly	Barclays Bank PLC		12/20/20		USD	2,545		(12,016	)		171,991			(184,007	)
Avis Budget Group, Inc.		5.00		Quarterly	Goldman Sachs International		12/20/20		USD	2,555		(12,063	)		93,902			(105,965	)
Commonwealth Bank of Australia		1.00		Quarterly	JPMorgan Chase Bank N.A.		12/20/20		USD	1,150		(2,776	)		(185	)		(2,591	)
Commonwealth Bank of Australia		1.00		Quarterly	JPMorgan Chase Bank N.A.		12/20/20		USD	1,000		(2,414	)		(119	)		(2,295	)
Itochu Corp.		1.00		Quarterly	Goldman Sachs International		12/20/20		JPY	29,326		(672	)		60			(732	)
Itochu Corp.		1.00		Quarterly	Goldman Sachs International		12/20/20		JPY	29,326		(672	)		64			(736	)
Itochu Corp.		1.00		Quarterly	Goldman Sachs International		12/20/20		JPY	29,326		(672	)		29			(701	)
Itochu Corp.		1.00		Quarterly	Goldman Sachs International		12/20/20		JPY	32,023		(734	)		87			(821	)
Mitsubishi Corp.		1.00		Quarterly	Barclays Bank PLC		12/20/20		JPY	47,573		(1,100	)		151			(1,251	)
Mitsubishi Corp.		1.00		Quarterly	Goldman Sachs International		12/20/20		JPY	29,326		(678	)		127			(805	)
Mitsui & Co. Ltd.		1.00		Quarterly	Goldman Sachs International		12/20/20		JPY	58,651		(1,355	)		99			(1,454	)
Mitsui & Co. Ltd.		1.00		Quarterly	Goldman Sachs International		12/20/20		JPY	29,326		(678	)		22			(700	)
National Australia Bank Ltd.		1.00		Quarterly	JPMorgan Chase Bank N.A.		12/20/20		USD	1,000		(2,398	)		(60	)		(2,338	)
Standard Chartered Bank		1.00		Quarterly	BNP Paribas S.A.		12/20/20		EUR	460		(1,230	)		461			(1,691	)
Standard Chartered Bank		1.00		Quarterly	BNP Paribas S.A.		12/20/20		EUR	810		(2,167	)		777			(2,944	)
Standard Chartered Bank		1.00		Quarterly	Goldman Sachs International		12/20/20		EUR	610		(1,632	)		262			(1,894	)
					Morgan Stanley & Co.
Standard Chartered Bank		1.00		Quarterly	International PLC		12/20/20		EUR	240		(642	)		246			(888	)
Sumitomo Corp.		1.00		Quarterly	Barclays Bank PLC		12/20/20		JPY	24,938		(575	)		(36	)		(539	)
Sumitomo Corp.		1.00		Quarterly	JPMorgan Chase Bank N.A.		12/20/20		JPY	25,316		(585	)		(40	)		(545	)
Westpac Banking Corp.		1.00		Quarterly	Citibank N.A.		12/20/20		USD	1,000		(2,408	)		(139	)		(2,269	)
DISH DBS Corp.		5.00		Quarterly	Goldman Sachs International		12/20/23		USD	2,168		(134,094	)		71,974			(206,068	)
KB Home		5.00		Quarterly	JPMorgan Chase Bank N.A.		12/20/23		USD	2,138		(266,275	)		(115,698	)		(150,577	)
Realogy Group LLC		5.00		Quarterly	JPMorgan Chase Bank N.A.		12/20/23		USD	1,069		(39,957	)		(6,762	)		(33,195	)
RR Donnelley & Sons Co.		5.00		Quarterly	JPMorgan Chase Bank N.A.		12/20/23		USD	1,070		66,792			34,982			31,810
Beazer Homes USA, Inc.		5.00		Quarterly	Barclays Bank PLC		06/20/24		USD	1,199		(111,069	)		(59,603	)		(51,466	)
Beazer Homes USA, Inc.		5.00		Quarterly	BNP Paribas S.A.		06/20/24		USD	1,000		(92,635	)		(43,893	)		(48,742	)
Beazer Homes USA, Inc.		5.00		Quarterly	BNP Paribas S.A.		06/20/24		USD	1,103		(102,176	)		(52,244	)		(49,932	)
Tenet Healthcare Corp.		5.00		Quarterly	Barclays Bank PLC		06/20/24		USD	1,000		(37,697	)		(8,760	)		(28,937	)
Tenet Healthcare Corp.		5.00		Quarterly	Goldman Sachs International		06/20/24		USD	1,175		(49,526	)		(31,574	)		(17,952	)
Tenet Healthcare Corp.		5.00		Quarterly	Goldman Sachs International		06/20/24		USD	1,150		(48,473	)		(30,903	)		(17,570	)
Tenet Healthcare Corp.		5.00		Quarterly	Goldman Sachs International		06/20/24		USD	1,175		(49,526	)		(31,602	)		(17,924	)
Tenet Healthcare Corp.		5.00		Quarterly	Goldman Sachs International		06/20/24		USD	1,223		(46,104	)		(12,959	)		(33,145	)
Tenet Healthcare Corp.		5.00		Quarterly	JPMorgan Chase Bank N.A.		06/20/24		USD	500		(21,075	)		(5,129	)		(15,946	)
Avis Budget Group, Inc.		5.00		Quarterly	JPMorgan Chase Bank N.A.		12/20/24		USD	750		35,807			53,568			(17,761	)
Avis Budget Group, Inc.		5.00		Quarterly	JPMorgan Chase Bank N.A.		12/20/24		USD	1,680		80,208			118,892			(38,684	)
Boeing Co.		1.00		Quarterly	BNP Paribas S.A.		12/20/24		USD	2,250		173,316			(37,900	)		211,216

S C H E D U L E  O F  I N V E S T M E N  T S 117

Schedule of Investments  (continued) September 30, 2020 Master Total Return Portfolio

OTC Credit Default Swaps — Buy Protection (continued)

Reference Obligation/Index	Financing Rate Paid by the Fund			Payment Frequency		Counterparty	Termination Date		Notional Amount (000)			Value			Upfront Premiun Paid (Received)			Unrealized Appreciation (Depreciation)
Boeing Co.		1.00	%		Quarterly	Morgan Stanley & Co. International PLC		12/20/24		USD	5,950	$	458,324		$	(59,327	)	$	517,651
Broadcom, Inc.		1.00			Quarterly	JPMorgan Chase Bank N.A.		12/20/24		USD	1,325		2,906			34,306			(31,400	)
Occidental Petroleum Corp.		1.00			Quarterly	Barclays Bank PLC		12/20/24		USD	5,080		1,094,168			2,248,983			(1,154,815	)
Avis Budget Group, Inc.		5.00			Quarterly	JPMorgan Chase Bank N.A.		06/20/25		USD	2,540		148,462			297,716			(149,254	)
Federative Republic of Brazil		1.00			Quarterly	Barclays Bank PLC		12/20/25		USD	20,679		1,464,710			1,320,630			144,080
Federative Republic of Brazil		1.00			Quarterly	Barclays Bank PLC		12/20/25		USD	15,020		1,063,857			898,598			165,259
Federative Republic of Brazil		1.00			Quarterly	Barclays Bank PLC		12/20/25		USD	3,770		267,027			207,859			59,168
Federative Republic of Brazil		1.00			Quarterly	Barclays Bank PLC		12/20/25		USD	3,770		267,027			213,157			53,870
Federative Republic of Brazil		1.00			Quarterly	Barclays Bank PLC		12/20/25		USD	3,320		235,153			187,713			47,440
Republic of Chile		1.00			Quarterly	Citibank N.A.		12/20/25		USD	5,147		(86,123	)		(70,726	)		(15,397	)
Republic of Colombia		1.00			Quarterly	Barclays Bank PLC		12/20/25		USD	2,190		53,675			37,611			16,064
Republic of Colombia		1.00			Quarterly	Barclays Bank PLC		12/20/25		USD	2,190		53,676			39,780			13,896
Republic of Colombia		1.00			Quarterly	Citibank N.A.		12/20/25		USD	44,575		1,092,509			864,303			228,206
Republic of Colombia		1.00			Quarterly	Goldman Sachs International		12/20/25		USD	7,980		195,585			148,637			46,948
Republic of Colombia		1.00			Quarterly	Goldman Sachs International		12/20/25		USD	3,230		79,166			74,196			4,970
Republic of Colombia		1.00			Quarterly	Morgan Stanley & Co. International PLC		12/20/25		USD	1,300		31,862			22,964			8,898
Republic of Colombia		1.00			Quarterly	Morgan Stanley & Co. International PLC		12/20/25		USD	1,950		47,793			36,148			11,645
Republic of Indonesia		1.00			Quarterly	Citibank N.A.		12/20/25		USD	21,112		161,308			21,212			140,096
Republic of Indonesia		1.00			Quarterly	Citibank N.A.		12/20/25		USD	3,240		24,755			6,021			18,734
Republic of Indonesia		1.00			Quarterly	Citibank N.A.		12/20/25		USD	3,340		25,520			7,881			17,639
Republic of Indonesia		1.00			Quarterly	JPMorgan Chase Bank N.A.		12/20/25		USD	4,280		32,701			8,598			24,103
Republic of South Africa		1.00			Quarterly	Goldman Sachs International		12/20/25		USD	8,596		881,963			814,375			67,588
Republic of South Africa		1.00			Quarterly	Morgan Stanley & Co. International PLC		12/20/25		USD	3,602		369,536			346,133			23,403
Republic of South Africa		1.00			Quarterly	Morgan Stanley & Co. International PLC		12/20/25		USD	29,969		3,074,956			2,880,215			194,741
Republic of South Africa		1.00			Quarterly	Morgan Stanley & Co. International PLC		12/20/25		USD	23,518		2,413,015			2,260,196			152,819
Republic of South Africa		1.00			Quarterly	Morgan Stanley & Co. International PLC		12/20/25		USD	10,860		1,114,267			1,018,374			95,893
Republic of the Philippines		1.00			Quarterly	Goldman Sachs International		12/20/25		USD	11,217		(257,289	)		(264,601	)		7,312
Russian Federation		1.00			Quarterly	Bank of America N.A.		12/20/25		USD	8,257		103,882			79,419			24,463
Russian Federation		1.00			Quarterly	Bank of America N.A.		12/20/25		USD	9,137		114,959			66,408			48,551
Russian Federation		1.00			Quarterly	Bank of America N.A.		12/20/25		USD	10,860		136,636			83,598			53,038
Russian Federation		1.00			Quarterly	Citibank N.A.		12/20/25		USD	3,718		46,783			24,877			21,906
United Mexican States		1.00			Quarterly	Barclays Bank PLC		12/20/25		USD	31,727		784,234			585,942			198,292
United Mexican States		1.00			Quarterly	Barclays Bank PLC		12/20/25		USD	3,610		89,231			56,179			33,052
United Mexican States		1.00			Quarterly	Barclays Bank PLC		12/20/25		USD	3,610		89,232			61,552			27,680
United Mexican States		1.00			Quarterly	Morgan Stanley & Co. International PLC		12/20/25		USD	3,640		89,973			62,965			27,008
CMBX.NA.9.AAA		0.50			Monthly	Credit Suisse International		09/17/58		USD	4,540		(36,341	)		51,362			(87,703	)
CMBX.NA.9.AAA		0.50			Monthly	Deutsche Bank AG		09/17/58		USD	3,620		(28,976	)		41,547			(70,523	)
CMBX.NA.9.AAA		0.50			Monthly	Morgan Stanley & Co. International PLC		09/17/58		USD	2,530		(20,251	)		28,623			(48,874	)
CMBX.NA.9.AAA		0.50			Monthly	Morgan Stanley & Co. International PLC		09/17/58		USD	3,050		(24,414	)		34,506			(58,920	)
CMBX.NA.9.AAA		0.50			Monthly	Morgan Stanley & Co. International PLC		09/17/58		USD	5,570		(44,586	)		69,142			(113,728	)
CMBX.NA.9.BBB-		3.00			Monthly	Citibank N.A.		09/17/58		USD	2,080		546,478			70,712			475,766
CMBX.NA.9.BBB-		3.00			Monthly	Morgan Stanley & Co. International PLC		09/17/58		USD	204		53,597			11,355			42,242
CMBX.NA.6.AAA		0.50			Monthly	Deutsche Bank AG		05/11/63		USD	2,203		(10,119	)		406			(10,525	)
CMBX.NA.6.AAA		0.50			Monthly	Deutsche Bank AG		05/11/63		USD	5,352		(24,590	)		(1,653	)		(22,937	)
CMBX.NA.6.BBB-		3.00			Monthly	J.P. Morgan Securities LLC		05/11/63		USD	850		283,433			79,380			204,053
												$	15,741,222		$	15,357,403		$	383,819

118 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 Master Total Return Portfolio

OTC Credit Default Swaps — Sell Protection

	Reference Obligation/Index	Financing Rate Received by the Fund			Payment Frequency	Counterparty	Termination Date		Credit     Rating(a)		Notional Amount (000)				Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)
	ITRAXX.ASIA.XJ.IG.24.V1		1.00	%	Quarterly	Goldman Sachs International		12/20/20		A-		USD	1,825		$	4,846		$	(2,235	)		$	7,081
	Broadcom, Inc.(b)		1.00		Quarterly	Citibank N.A.		06/20/24		BBB-		USD	14,931			110,255			(850,719	)			960,974
	CMBX.NA.7.AAA		0.50		Monthly	Morgan Stanley & Co. International PLC		01/17/47		AAA		USD	4,964			37,074			(141,470	)			178,544
��	CMBX.NA.3.AM		0.50		Monthly	Credit Suisse International		12/13/49		N/R		USD	—	(c)		—			(10	)			10
	CMBX.NA.3.AM		0.50		Monthly	Goldman Sachs International		12/13/49		N/R		USD	—	(c)		—			(25	)			25
	CMBX.NA.3.AM		0.50		Monthly	JPMorgan Chase Bank N.A.		12/13/49		N/R		USD	1			—			(51	)			51
	CMBX.NA.9.BBB-		3.00		Monthly	Deutsche Bank AG		09/17/58		N/R		USD	906			(238,034	)		(104,277	)			(133,757	)
	CMBX.NA.9.BBB-		3.00		Monthly	JPMorgan Chase Bank N.A.		09/17/58		N/R		USD	438			(115,075	)		(37,187	)			(77,888	)
	CMBX.NA.9.BBB-		3.00		Monthly	Morgan Stanley & Co. International PLC		09/17/58		N/R		USD	1,060			(278,494	)		(51,526	)			(226,968	)
	CMBX.NA.9.BBB-		3.00		Monthly	Morgan Stanley & Co. International PLC		09/17/58		N/R		USD	231			(60,690	)		(13,499	)			(47,191	)
	CMBX.NA.9.BBB-		3.00		Monthly	Morgan Stanley & Co. International PLC		09/17/58		N/R		USD	1,200			(315,276	)		(1,497	)			(313,779	)
	CMBX.NA.10.A		2.00		Monthly	Deutsche Bank AG		11/17/59		A-		USD	3,340			(272,577	)		(139,551	)			(133,026	)
	CMBX.NA.10.A		2.00		Monthly	Deutsche Bank AG		11/17/59		A-		USD	1,670			(136,289	)		(70,948	)			(65,341	)
	CMBX.NA.10.BBB-		3.00		Monthly	J.P. Morgan Securities LLC		11/17/59		BBB-		USD	60			(14,687	)		(4,960	)			(9,727	)
	CMBX.NA.6.BBB-		3.00		Monthly	Credit Suisse International		05/11/63		BB+		USD	850			(283,434	)		(64,282	)			(219,152	)
															$	(1,562,381	)	$	(1,482,237	)		$	(80,144	)

^(a)  Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings.

^(b)  Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

^(c) Notional amount is less than USD 500.

OTC Interest Rate Swaps

Paid by the Fund		Received by the Fund				Counterparty	Termination		Notional Amount (000)			Value			Upfront Premium Paid				Unrealized Appreciation
Rate	Frequency	Rate		Frequency			Date								(Received)				(Depreciation)
3.27%	Semi-Annual		3-month LIBOR, 0.23%		Quarterly	Deutsche Bank AG		05/16/21		USD	9,510	$	(294,467	)		$	—			$	(294,467	)
1-day BZDIOVER, 0.01%	At Termination		3.10%		At Termination	Citibank N.A.		01/03/22		BRL	209,788		43,673				—				43,673
1-day BZDIOVER, 0.01%	At Termination		5.13%		At Termination	JPMorgan Chase Bank N.A.		01/02/23		BRL	58,940		162,368				—				162,368
1-day BZDIOVER, 0.01%	At Termination		4.52%		At Termination	BNP Paribas S.A.		01/02/23		BRL	230,186		66,266				—				66,266
28-day MXIBTIIE, 4.55%	Monthly		6.33%		Monthly	Citibank N.A.		06/09/25		MXN	14,869		38,656				(56	)			38,712
28-day MXIBTIIE, 4.55%	Monthly		6.32%		Monthly	Goldman Sachs International		08/06/25		MXN	109,616		283,607				(313	)			283,920
												$	300,103			$	(369	)		$	300,472

OTC Inflation Rate Swaps

Paid by the Fund

Received by the Fund

Counterparty

Termination Date

Notional Amount (000)

Upfront Premium Paid

Unrealized Appreciation

Reference

Frequency

Rate

Frequency

Value

(Received)

(Depreciation)

U.S. CPI Urban Consumers NAS (CPURNSA)

At Termination

(0.96)%

At Termination

Citibank N.A.

04/15/21

USD

130,790

$

(2,205,425

)

$ —

$ (2,205,425

)

S C H E D U L E  O F  I N V E S T M E N  T S 119

Schedule of Investments  (continued) September 30, 2020 Master Total Return Portfolio

OTC Inflation Rate Swaps (continued)

Paid by the Fund		Received by the Fund				Termination Date		Notional Amount (000)		Value			Upfront Premium Paid			Unrealized Appreciation
Reference	Frequency	Rate	Frequency	Counterparty									(Received)			(Depreciation)
U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination	(1.00)%	At Termination		Citibank N.A.		04/15/21	USD	130,789	$	(2,251,864	)		$	—		$	(2,251,864	)
U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination	(1.00)%	At Termination		Citibank N.A.		04/15/21	USD	130,789		(2,251,864	)			—			(2,251,864	)
U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination	(1.02)%	At Termination		Citibank N.A.		04/15/21	USD	130,789		(2,275,832	)			—			(2,275,832	)
U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination	(0.60)%	At Termination		Citibank N.A.		04/15/21	USD	76,394		(1,085,001	)			—			(1,085,001	)
0.00%	At Termination	U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination		Citibank N.A.		04/15/22	USD	130,789		2,797,906				—			2,797,906
0.01%	At Termination	U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination		Citibank N.A.		04/15/22	USD	130,789		2,767,843				—			2,767,843
0.02%	At Termination	U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination		Citibank N.A.		04/15/22	USD	130,789		2,747,800				—			2,747,800
0.04%	At Termination	U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination		Citibank N.A.		04/15/22	USD	130,789		2,692,672				—			2,692,672
0.27%	At Termination	U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination		Citibank N.A.		04/15/22	USD	76,394		1,307,781				—			1,307,781
U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination	(0.05)%	At Termination		Citibank N.A.		04/15/22	USD	196,184		(4,384,694	)			—			(4,384,694	)
0.62%	At Termination	U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination		Citibank N.A.		04/15/24	USD	196,184		6,496,771				—			6,496,771
										$	4,356,093			$	—		$	4,356,093

120 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 Master Total Return Portfolio

OTC Total Return Swaps

Paid by the Fund

Received by the Fund

Termination

Notional Amount

Upfront Premium Paid

Unrealized Appreciation

Reference

Frequency

Rate

Frequency

Counterparty

Date

(000)

Value

(Received)

(Depreciation)

Berry Petroleum Corp.

At Termination

3-month LIBOR minus 0.45%, 0.23%

At Termination

Credit Suisse International

11/05/20

USD

205

$

89,149

$

—

$

89,149

Antero Resources Corp.

At Termination

3-month LIBOR minus 0.50%, 0.23%

At Termination

Citibank N.A.

02/12/21

USD

1,311

652,264

—

652,264

EQT Corp.

At Termination

3-month LIBOR minus 0.15%, 0.23%

At Termination

Citibank N.A.

02/12/21

USD

2,363

629,115

—

629,115

Goldman Sachs Systematic Skew U.S. Series 10

3-month LIBOR, 0.23%

At Termination

Excess Return Strategy

At Termination

Goldman Sachs International

09/09/21

USD

3,052

579

—

579

$

1,371,107

$

—

$

1,371,107

Balances Reported in the Statement of Assets and Liabilities for Centrally Cleared Swaps, OTC Swaps and Options Written

	Swaps Premiums Paid		Swap Premiums Received			Unrealized Appreciation		Unrealized Depreciation			Value
Centrally Cleared Swaps(a)	$	51,774	$	(2,794,129	)	$	6,068,086	$	(6,071,628	)	$	—
OTC Swaps		16,191,757		(2,316,960	)		25,383,004		(19,051,657	)		—
Options Written		N/A		N/A			5,257,303		(2,004,931	)		(12,962,851	)

^(a)  Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the 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 Statement of Assets and Liabilities were as follows:

	Commodity Contracts			Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Assets — Derivative Financial Instruments
Futures contracts
Unrealized appreciation(a)		$	—	$	—	$	46,169	$	—	$	1,491,109	$	—	$	1,537,278
Forward foreign currency exchange contracts
Unrealized appreciation on forward foreign currency exchange contracts			—		—		—		19,677,120		—		—		19,677,120
Options purchased
Investments at value — unaffiliated(b)			—		—		13,055,172		4,174,369		9,538,342		—		26,767,883
Swaps — centrally cleared Unrealized appreciation(a)			—		920,010		—		—		3,358,436		1,789,640		6,068,086
Swaps — OTC
Unrealized appreciation on OTC swaps; Swap premiums paid			—		20,797,942		1,371,107		—		594,939		18,810,773		41,574,761
		$	—	$	21,717,952	$	14,472,448	$	23,851,489	$	14,982,826	$	20,600,413	$	95,625,128
Liabilities — Derivative Financial Instruments
Futures contracts
Unrealized depreciation(a)		$	—	$	—	$	—	$	—	$	6,321,560	$	—	$	6,321,560
Forward foreign currency exchange contracts
Unrealized depreciation on forward foreign currency exchange contracts			—		—		—		17,190,119		—		—		17,190,119
Options written
Options written at value			—		—		8,893,388		2,822,972		1,246,491		—		12,962,851

S C H E D U L E  O F  I N V E S T M E N  T S 121

Schedule of Investments  (continued) September 30, 2020 Master Total Return Portfolio

	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Swaps — centrally cleared
Unrealized depreciation(a)	$	—	$	—	$	—	$	—	$	5,018,949	$	1,052,679	$	6,071,628
Swaps — OTC
Unrealized depreciation on OTC swaps;
Swap premiums received		—		6,619,101		—		—		294,836		14,454,680		21,368,617
	$	—	$	6,619,101	$	8,893,388	$	20,013,091	$	12,881,836	$	15,507,359	$	63,914,775

^(a)  Net cumulative unrealized appreciation (depreciation) on futures and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statement of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss).

^(b)  Includes options purchased at value as reported in the Schedule of Investments.

For the year ended September 30, 2020, the effect of derivative financial instruments in the Statement of Operations was as follows:

	Commodity Contracts		Credit Contracts		Equity Contracts			Foreign Currency Exchange Contracts			Interest Rate Contracts			Other Contracts		Total
Net Realized Gain (Loss) from
Futures contracts	$	—	$	—	$	(15,482,787	)	$	—		$	352,588,980		$	—	$	337,106,193
Forward foreign currency exchange contracts		—		—		—			(13,457,019	)		—			—		(13,457,019	)
Options purchased(a)		—		—		(4,107,491	)		(28,241,218	)		(20,323,619	)		—		(52,672,328	)
Options written		—		—		12,630,731			17,695,011			14,412,727			—		44,738,469
Swaps		—		12,205,587		5,626,357			—			17,438,009			7,099,776		42,369,729
	$	—	$	12,205,587	$	(1,333,190	)	$	(24,003,226	)	$	364,116,097		$	7,099,776	$	358,085,044
Net Change in Unrealized Appreciation (Depreciation) on
Futures contracts	$	—	$	—	$	(314,289	)	$	—		$	(752,308	)	$	—	$	(1,066,597	)
Forward foreign currency exchange contracts		—		—		—			(10,783,041	)		—			—		(10,783,041	)
Options purchased		—		—		4,795,437			(6,303,865	)		(5,008,870	)		—		(6,517,298	)
Options written		—		—		(1,025,742	)		2,668,248			404,082			—		2,046,588
Swaps		—		559,557		1,066,274			—			(2,404,220	)		4,925,049		4,146,660
	$	—	$	559,557	$	4,521,680		$	(14,418,658	)	$	(7,761,316	)	$	4,925,049	$	(12,173,688	)

^(a)  Options purchased are included in net realized gain (loss) from investments — unaffiliated.

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Futures contracts
Average notional value of contracts — long	$	4,756,116,393
Average notional value of contracts — short	$	1,292,212,179
Forward foreign currency exchange contracts
Average amounts purchased — in USD	$	1,273,662,682
Average amounts sold — in USD	$	801,042,281
Options
Average value of option contracts purchased	$	19,351,235
Average value of option contracts written	$	11,624,128
Average notional value of swaption contracts purchased	$	223,865,000
Average notional value of swaption contracts written	$	244,727,250
Credit default swaps
Average notional value — buy protection	$	451,523,821
Average notional value — sell protection	$	76,329,822
Total return swaps
Average notional amount	$	39,986,473
Interest rate swaps
Average notional value — pays fixed rate	$	5,320,739,721
Average notional value — received fixed rate	$	4,596,465,473

122 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 Master Total Return Portfolio

Average Quarterly Balances of Outstanding Derivative Financial Instruments (continued)

Inflation swaps
Average notional amount — pays	$	438,337,388
Average notional amount — receives	$	438,337,723

For more information about the Master Portfolio’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments – Offsetting as of Period End

The Portfolio’s derivative assets and liabilities (by type) were as follows:

	Assets			Liabilities
Derivative Financial Instruments
Futures contracts	$	3,741,666		$	9,564,980
Forward foreign currency exchange contracts		19,677,120			17,190,119
Options		26,767,883(a	)		12,962,851
Swaps — centrally cleared		—			2,620,865
Swaps — OTC(b)		41,574,761			21,368,617
Total derivative assets and liabilities in the Statement of Assets and Liabilities	$	91,761,430		$	63,707,432
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		(23,449,484	)		(21,745,319	)
Total derivative assets and liabilities subject to an MNA	$	68,311,946		$	41,962,113

^(a)  Includes interest rate caps purchased at value and options purchased at value which are included in Investments at value — unaffiliated in the Statement of Assets and Liabilities and reported in the Schedule of Investments.

^(b)  Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/received in the Statement of Assets and Liabilities.

The following tables present the Master Portfolio’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 Master Portfolio:

Counterparty	Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset(a)			Non- Cash Collateral Received(b)			Cash Collateral Received(b)			Net Amount of Derivative Assets(c)(d)
Bank of America N.A	$	2,690,686	$	(2,434,157	)	$	(256,529	)	$	—		$	—
Barclays Bank PLC		8,044,358		(1,919,197	)		—			(6,125,161	)		—
BNP Paribas S.A		4,771,680		(2,974,892	)		—			—			1,796,788
Citibank N.A		28,750,285		(21,595,663	)		—			(7,154,622	)		—
Credit Suisse International		234,647		(234,647	)		—			—			—
Deutsche Bank AG		1,650,835		(1,650,835	)		—			—			—
Goldman Sachs Bank USA		1,076,999		(473,409	)		—			(600,000	)		3,590
Goldman Sachs International		3,580,644		(790,473	)		—			(2,790,171	)		—
HSBC Bank PLC		878,822		(288,113	)		—			—			590,709
J.P. Morgan Securities LLC		283,433		(14,687	)		—			—			268,746
JPMorgan Chase Bank N.A		2,576,181		(2,206,384	)		—			(369,797	)		—
Morgan Stanley & Co. International PLC		8,873,290		(1,851,947	)		—			(7,021,343	)		—
State Street Bank and Trust Co.		32,257		(5,321	)		—			—			26,936
UBS AG		4,867,829		(2,053,054	)		—			—			2,814,775
	$	68,311,946	$	(38,492,779	)	$	(256,529	)	$	(24,061,094	)	$	5,501,544
Counterparty	Derivative Liabilities Subject to an MNA by Counterparty		Derivatives Available for Offset(a)			Non- Cash Collateral Pledged			Cash Collateral Pledged(e)			Net Amount of Derivative Liabilities(d)(f)
Bank of America N.A	$	2,434,157	$	(2,434,157	)	$	—		$	—		$	—
Barclays Bank PLC		1,919,197		(1,919,197	)		—			—			—
BNP Paribas S.A		2,974,892		(2,974,892	)		—			—			—
Citibank N.A		21,595,663		(21,595,663	)		—			—			—
Credit Suisse International		626,654		(234,647	)		—			(392,007	)		—
Deutsche Bank AG		1,881,455		(1,650,835	)		—			(230,620	)		—
Goldman Sachs Bank USA		473,409		(473,409	)		—			—			—
Goldman Sachs International		790,473		(790,473	)		—			—			—

S C H E D U L E  O F  I N V E S T M E N  T S 123

Schedule of Investments  (continued) September 30, 2020 Master Total Return Portfolio

Counterparty	Derivative Liabilities Subject to an MNA by Counterparty		Derivatives Available for Offset(a)			Non- Cash Collateral Pledged			Cash Collateral Pledged(e)			Net Amount of Derivative Liabilities(d)(f)
HSBC Bank PLC	$	288,113	$	(288,113	)		$	—	$	—		$	—
J.P. Morgan Securities LLC		14,687		(14,687	)			—		—			—
JPMorgan Chase Bank N.A		2,206,384		(2,206,384	)			—		—			—
Morgan Stanley & Co. International PLC		1,851,947		(1,851,947	)			—		—			—
Standard Chartered Bank		2,846,707		—				—		(20,000	)		2,826,707
State Street Bank and Trust Co.		5,321		(5,321	)			—		—			—
UBS AG		2,053,054		(2,053,054	)			—		—			—
	$	41,962,113	$	(38,492,779	)		$	—	$	(642,627	)	$	2,826,707

^(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)  Excess of collateral received from the individual counterparty is not shown for financial reporting purposes.

^(c)  Net amount represents the net amount receivable from the counterparty in the event of default.

^(d)  Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized.

^(e)  Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

^(f)  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 Statement of Assets and Liabilities.

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For description of the input levels and information about the Master Portfolio’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy. The breakdown of the Master Portfolio’s investments into major categories is disclosed in the Schedule of Investments above.

	Level 1		Level 2		Level 3		Total
Assets
Investments
Long-Term Investments
Asset-Backed Securities	$	—	$	2,024,875,666	$	185,886,590	$	2,210,762,256
Common Stocks
Diversified Financial Services		7,662,743		—		—		7,662,743
Energy Equipment & Services		1,088		—		282,627		283,715
Entertainment		1,046,120		—		—		1,046,120
Equity Real Estate Investment Trusts (REITs)		3,092,908		—		—		3,092,908
Health Care Providers & Services		1,795,641		—		—		1,795,641
Hotels, Restaurants & Leisure		6,071,059		—		—		6,071,059
Household Durables		11,159,137		—		—		11,159,137
Independent Power and Renewable Electricity Producers		2,640,174		—		—		2,640,174
Media		2,003,404		—		—		2,003,404
Metals & Mining		20,198		—		—		20,198
Oil, Gas & Consumable Fuels		—		1,771,458		—		1,771,458
Real Estate Management & Development		2,893,746		—		—		2,893,746
Corporate Bonds(a)		—		7,545,740,968		38,948,734		7,584,689,702
Floating Rate Loan Interests(a)		—		181,518,282		133,453,277		314,971,559
Foreign Agency Obligations		—		132,732,430		—		132,732,430
Foreign Government Obligations		—		1,216,052,131		—		1,216,052,131
Investment Companies		271,734,246		—		—		271,734,246
Municipal Bonds		—		447,436,471		—		447,436,471
Non-Agency Mortgage-Backed Securities		—		1,056,809,166		21,820,080		1,078,629,246
Preferred Securities(a)		—		88,755,607		—		88,755,607
U.S. Government Sponsored Agency Securities		—		10,723,792,874		—		10,723,792,874
U.S. Treasury Obligations		—		2,622,872,604		—		2,622,872,604
Warrants
Diversified Financial Services		—		—		—		—
Oil, Gas & Consumable Fuels		—		80,741		—		80,741
Real Estate Management & Development		638		—		—		638
Short-Term Securities
Money Market Funds		178,500,805		—		—		178,500,805

124 2 0 2 0  B L A C K R O C K  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  (continued) September 30, 2020 Master Total Return Portfolio

	Level 1			Level 2			Level 3			Total
Short-Term Securities
Options Purchased
Equity Contracts	$	12,712,018		$	343,154		$	—		$	13,055,172
Foreign Currency Exchange Contracts		—			4,174,369			—			4,174,369
Interest Rate Contracts		6,995,800			2,542,542			—			9,538,342
Unfunded Floating Rate Loan Interests(b)		—			38,565			—			38,565
Liabilities
TBA Sale Commitments		—			(4,866,864,962	)		—			(4,866,864,962	)
Unfunded Floating Rate Loan Interests (b)		—			(54,719	)		(14,194	)		(68,913	)
	$	508,329,725		$	21,182,617,347		$	380,377,114			22,071,324,186
Investments Valued at NAV(c)											56,783,936
										$	22,128,108,122
Derivative Financial Instruments(d)
Assets
Credit Contracts	$	—		$	4,565,221		$	960,974		$	5,526,195
Equity Contracts		46,169			1,371,107			—			1,417,276
Foreign Currency Exchange Contracts		—			19,677,120			—			19,677,120
Interest Rate Contracts		1,491,109			3,953,375			—			5,444,484
Other Contracts		—			20,600,413			—			20,600,413
Liabilities
Credit Contracts		—			(4,302,510	)		—			(4,302,510	)
Equity Contracts		(8,633,310	)		(260,078	)		—			(8,893,388	)
Foreign Currency Exchange Contracts		—			(20,013,089	)		(2	)		(20,013,091	)
Interest Rate Contracts		(7,247,724	)		(5,633,743	)		—			(12,881,467	)
Other Contracts		—			(15,507,359	)		—			(15,507,359	)
	$	(14,343,756	)	$	4,450,457		$	960,972		$	(8,932,327	)

^(a)  See above Schedule of Investments for values in each industry.

^(b)  Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.

^(c)  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.

^(d)  Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options written. Swaps, 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.

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 Mortgage- Backed Securities
Assets
Opening Balance, as of September 30, 2019	$	119,808,152		$	—	$	24,565,099		$	143,255,372		$	36,178,812
Transfers into Level 3		7,344,485			—		4,262,210			41,006,741			3,105,944
Transfers out of Level 3		(16,689,482	)		—		—			(12,785,807	)		(12,631,615	)
Accrued discounts/premiums		188,138			—		97,917			149,585			15,662
Net realized gain (loss)		480,124			—		(1,410,242	)		(182,650	)		89,348
Net change in unrealized appreciation (depreciation)(a)(b)		(1,081,233	)		185,611		(6,685,283	)		(7,806,206	)		(507,677	)
Purchases		98,923,147			97,016		19,258,160			68,549,365			3,502,500
Sales		(23,086,741	)		—		(1,139,127	)		(98,733,123	)		(7,932,894	)
Closing Balance, as of September 30, 2020	$	185,886,590		$	282,627	$	38,948,734		$	133,453,277		$	21,820,080
Net change in unrealized appreciation (depreciation) on investments still held at September 30, 2020(b)	$	(1,018,209	)	$	185,611	$	(6,685,283	)	$	(7,897,672	)	$	(507,677	)

S C H E D U L E  O F  I N V E S T M E N  T S 125

Schedule of Investments  (continued) September 30, 2020 Master Total Return Portfolio

	Options Purchased				Unfunded Floating Rate Loan Interests				Total
Assets
Opening Balance, as of September 30, 2019		$	1			$	—		$	323,807,436
Transfers into Level 3			—				(4,404	)		55,714,976
Transfers out of Level 3			—				—			(42,106,904	)
Accrued discounts/premiums			—				—			451,302
Net realized gain (loss)			(8,551	)			—			(1,031,971	)
Net change in unrealized appreciation (depreciation)(a)(b)			8,550				(9,790	)		(15,896,028	)
Purchases			—				—			190,330,188
Sales			—				—			(130,891,885	)
Closing Balance, as of September 30, 2020		$	—			$	(14,194	)	$	380,377,114
Net change in unrealized appreciation (depreciation) on investments still held at September 30, 2020(b)		$	—			$	(9,790	)	$	(15,933,020	)

^(a)  Included in the related net change in unrealized appreciation (depreciation) in the 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 September 30, 2020 is generally due to investments no longer held or categorized as Level 3 at period end.

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
	Credit Contracts					Exchange Contracts
	Assets		Liabilities			Assets			Liabilities
Opening Balance, as of September 30, 2019	$	—		$	—		$	—	$	(1	)
Transfers into Level 3		246,546			—			—		—
Transfers out of Level 3		—			—			—		—
Accrued discounts/premiums		229,281			—			—		1
Net realized gain (loss)		—			—			—		(14,132	)
Net change in unrealized appreciation (depreciation)(a)(b)		332,934			—			—		97,958
Purchases		—			—			—		(195,921	)
Issues		—			—			—		—
Sales		—			—			—		112,093
Settlements		152,213			—			—		—
Closing Balance, as of September 30, 2020	$	960,974		$	—		$	—	$	(2	)
Net change in unrealized appreciation (depreciation) on investments still held at September 30, 2020(b)	$	332,934		$	—		$	—	$	97,958

^(a)  Included in the related net change in unrealized appreciation (depreciation) in the 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 September 30, 2020 is generally due to investments no longer held or categorized as Level 3 at period end.

See notes to financial statements.

126 2 0 2 0  B L A C K R O C K  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

September 30, 2020

	Master Total Return Portfolio
ASSETS
Investments at value — unaffiliated(a)(b)	$	26,631,874,556
Investments at value — affiliated(c)		363,128,876
Cash		27,129,498
Cash pledged:
Collateral — OTC derivatives		2,000,000
Collateral — TBA commitments		910,000
Futures contracts		60,591,010
Centrally cleared swaps		32,442,630
Foreign currency at value(d)		63,664,091
Receivables:
Investments sold		182,686,152
Options written		1,559,928
Securities lending income — affiliated		3,567
Swaps		3,089,540
TBA sale commitments		4,871,004,784
Contributions from investors		658,662
Dividends — affiliated		13,991
Interest — unaffiliated		128,817,858
Principal paydowns		1,093,771
Variation margin on futures contracts		3,741,666
Swap premiums paid		16,191,757
Unrealized appreciation on:
Forward foreign currency exchange contracts		19,677,120
OTC swaps		25,383,004
Unfunded floating rate loan interests		38,565
Prepaid expenses		94,912
Total assets		32,435,795,938
LIABILITIES
Cash received as collateral for OTC derivatives		28,850,520
Cash received as collateral for TBA commitments		5,845,571
Cash collateral on securities loaned at value		56,784,289
Options written at value(e)		12,962,851
TBA sale commitments at value(f)		4,866,864,962
Payables:
Investments purchased		7,383,488,176
Swaps		13,478
Investment advisory fees		836,763
Directors’ fees		1,478
Options written		1,281,462
Other accrued expenses		1,014,785
Other affiliate fees		107,996
Variation margin on futures contracts		9,564,980
Variation margin on centrally cleared swaps		2,620,865
Withdrawals to investors		22,480,488
Swap premiums received		2,316,960
Unrealized depreciation on:
Forward foreign currency exchange contracts		17,190,119
OTC swaps		19,051,657
Unfunded floating rate loan interests		68,913
Total liabilities		12,431,346,313
NET ASSETS	$	20,004,449,625
NET ASSETS CONSIST OF
Investors’ capital	$	19,573,873,094
Net unrealized appreciation (depreciation)		430,576,531
NET ASSETS	$	20,004,449,625

F I N A N C I A L  S T A T E M E N T  S 127

Statement of Assets and Liabilities (continued)

September 30, 2020

	Master Total Return Portfolio
(a) Investments at cost — unaffiliated	$	26,211,969,769
(b) Securities loaned at value	$	55,735,013
(c) Investments at cost — affiliated	$	363,754,768
(d) Foreign currency at cost	$	64,018,683
(e) Premiums received	$	16,215,223
(f) Proceeds from TBA sale commitments	$	4,871,004,784

See notes to financial statements.

128 2 0 2 0  B L A C K R O C K  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 Operations

Year Ended September 30, 2020

	Master Total Return Portfolio
INVESTMENT INCOME
Dividends — unaffiliated	$	1,050,285
Dividends — affiliated		10,397,468
Interest — unaffiliated		480,402,552
Securities lending income — affiliated — net		8,557
Foreign taxes withheld		(616,864	)
Total investment income		491,241,998
EXPENSES
Investment advisory		9,403,300
Accounting services		729,413
Custodian		636,014
Professional		287,870
Directors		178,638
Printing and postage		9,738
Miscellaneous		644,405
Total expenses		11,889,378
Less:
Fees waived and/or reimbursed by the Manager		(933,305	)
Total expenses after fees waived and/or reimbursed		10,956,073
Net investment income		480,285,925
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investments — unaffiliated (net of $741,485 foreign capital gain tax)		386,726,593
Investments — affiliated		14,390,680
Capital gain distributions from investment companies — affiliated		2,436
Options written		44,738,469
Futures contracts		337,106,193
Forward foreign currency exchange contracts		(13,457,019	)
Foreign currency transactions		12,548,895
Swaps		42,369,729
		824,425,976
Net change in unrealized appreciation (depreciation) on:
Investments — unaffiliated		41,163,394
Investments — affiliated		(497,110	)
Options written		2,046,588
Futures contracts		(1,066,597	)
Forward foreign currency exchange contracts		(10,783,041	)
Foreign currency translations		799,673
Swaps		4,146,660
Unfunded floating rate loan interests		(16,106	)
		35,793,461
Net realized and unrealized gain		860,219,437
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	1,340,505,362

See notes to financial statements.

F I N A N C I A L  S T A T E M E N T  S 129

Statements of Changes in Net Assets

	Master Total Return Portfolio
	Year Ended September 30,
	2020			2019(a)
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	480,285,925		$	509,537,884
Net realized gain		824,425,976			232,728,084
Net change in unrealized appreciation (depreciation)		35,793,461			657,550,089
Net increase in net assets resulting from operations		1,340,505,362			1,399,816,057
CAPITAL TRANSACTIONS
Proceeds from contributions		8,975,170,481			5,976,173,038
Value of withdrawals		(6,024,057,622	)		(4,727,004,752	)
Net increase in net assets derived from capital transactions		2,951,112,859			1,249,168,286
NET ASSETS
Total increase in net assets		4,291,618,221			2,648,984,343
Beginning of year		15,712,831,404			13,063,847,061
End of year	$	20,004,449,625		$	15,712,831,404

^(a) Consolidated Statement of Changes in Net Assets.

See notes to financial statements.

130 2 0 2 0  B L A C K R O C K  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  

(For a share outstanding throughout each period)

	Master Total Return Portfolio
	Year Ended September 30,
	2020			2019(a)			2018(a)			2017(a)			2016(a)
Total Return
Total return		7.90	%		10.60	%		(1.19	)%(b)		1.90	%		5.75	%
Ratios to Average Net Assets(c)
Total expenses		0.07	%		0.07	%		0.34	%		0.32	%		0.21	%
Total expenses after fees waived and/or reimbursed		0.06	%		0.07	%		0.34	%		0.32	%		0.21	%
Total expenses after fees waived and/or reimbursed and excluding interest expense		0.06	%		0.07	%		0.07	%		0.08	%		0.08	%
Net investment income		2.70	%		3.70	%		3.67	%		3.30	%		3.03	%
Supplemental Data
Net assets, end of year (000)	$	20,004,450		$	15,712,831		$	13,063,847		$	11,601,109		$	9,309,960
Portfolio turnover rate(d)		556	%		574	%		734	%		806	%		841	%

^(a)  Consolidated Financial Highlights.

^(b)  Includes a 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:

	Year Ended September 30,
	2020			2019			2018			2017			2016
Investments in underlying funds		0.01	%		0.01	%		0.01	%		0.01	%		0.01	%

^(d) Includes mortgage dollar roll transactions (“MDRs”).Additional information regarding portfolio turnover rate is as follows:

	Year Ended September 30,
	2020			2019			2018			2017			2016
Portfolio turnover rate (excluding MDRs)		274	%		241	%		350	%		540	%		598	%

See notes to financial statements.

F I N A N C I A L  H I G H L I G H T  S 131

Notes to Financial Statements  

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 Bond LLC is organized as a Delaware limited liability company. The Master Portfolio is classified as diversified. 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, is 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 of the Master Portfolio include the accounts of BlackRock Cayman Master Total Return Portfolio I, Ltd. (the “Subsidiary”) which was wholly-owned by the Master Portfolio. Effective November 30, 2018, the Master Portfolio no longer invested in the Subsidiary and on December 26, 2019 the Subsidiary was dissolved. The Subsidiary enabled Master Portfolio to hold commodity-related instruments and other derivatives and satisfy Regulated Investment Company (“RIC”) tax requirements.

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 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 capital gain distributions, if any, are recorded on the ex-dividend date. Non-cash dividends, if any, are recorded on the ex-dividend date at fair value. 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. For convertible securities, premiums attributable to the debt instrument are amortized, but premiums attributable to the conversion feature are not amortized.

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 effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of investments 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 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.

Foreign Taxes: The Master Portfolio may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Master Portfolio invests. These foreign taxes, if any, are paid by the Master Portfolio and are reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as “Foreign taxes withheld”, and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of September 30, 2020, if any, are disclosed in the Statement of Assets and Liabilities.

Segregation and Collateralization: In cases where the Master Portfolio enters into certain investments (e.g., to-be-announced (“TBA”) sale commitments, futures contracts, forward foreign currency exchange contracts, options written, swaps 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 borrowings 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, 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.

132 2 0 2 0  B L A C K R O C K  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  (continued)

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, if any, are included in the Directors’ and Officer’s fees payable in the 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: The Master Portfolio has adopted Financial Accounting Standards Board Accounting Standards Update 2017-08 to amend the amortization period for certain purchased callable debt securities held at a premium. Under the new standard, the Master Portfolio has changed the amortization period for the premium on certain purchased callable debt securities with non-contingent call features to the earliest call date. In accordance with the transition provisions of the standard, the Master Portfolio applied the amendments on a modified retrospective basis beginning with the fiscal period ended September 30, 2020. The adjusted cost basis of securities at September 30, 2019 is $18,319,844,109.

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 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) each day that the Master Portfolio is open for business and, for financial reporting purposes, as of the report date. 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. If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. 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 that day’s official closing price, as applicable, on the exchange where the stock is primarily traded. 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 Master Portfolio’s listing exchange. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of trading on the Master Portfolio’s listing exchange 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.

• Fixed-income investments 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 a fund 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), market data, 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.

• Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published net asset value (“NAV”).

• 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.

• Futures contracts are valued based on that day’s last reported settlement price on the exchange where the contract is traded.

• 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 based on that day’s prevailing forward exchange rate for the underlying currencies.

• Exchange-traded equity options for which market quotations are readily available will be valued at the National Best Bid and Offer quotes (“NBBO”). NBBO represents the mean of the bid and ask prices as quoted on the exchange on which such options are traded. In the event that there is no mean price available, the last bid (long

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 133

Notes to Financial Statements  (continued)

positions) or ask (short positions) price will be used. If no bid or ask price is available, the prior day’s price may be used. 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.

• Swap agreements are valued utilizing quotes received daily by independent pricing services 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.

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such investment, 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 pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

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 the Global Valuation Committee and 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 applicable to 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 financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

• Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the 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 Global Valuation Committee’s assumptions used in determining the fair value of financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies that may not have a secondary market, and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

134 2 0 2 0  B L A C K R O C K  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  (continued)

As of September 30, 2020, 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.

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. ACDO 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 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 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.

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 135

Notes to Financial Statements  (continued)

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 a fund 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 a fund 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 a fund’s investment policies.

When a fund 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, a fund 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 a fund upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. A fund 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. A fund 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 a fund having a contractual relationship only with the lender, not with the borrower. A fund 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, a fund 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. A fund may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, a fund assumes the credit risk of both the borrower and the lender that is selling the Participation. A fund’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, a fund 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 a fund having a direct contractual relationship with the borrower, and a fund 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 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 Statement of Assets and Liabilities and Statement of Operations. As of period end, the Master Portfolio had the following unfunded floating rate loan interests:

Borrower	Par		Commitment Amount		Value		Unrealized Appreciation (Depreciation)
BRE Park Avenue Tower Owner LLC, Mezzanine A Loan		$   528,064		$   528,064		$   525,899		$   (2,165	)
BSREP II Houston Office 1HC Owner LLC, Mezzanine Loan		2,427,176		2,427,176		2,416,739		(10,437	)
Burlingame Point LLC, Construction Loan		3,643,982		3,645,574		3,643,982		(1,592	)
Intelsat Jackson Holdings SA, DIP Facility		1,289,490		1,271,338		1,309,903		38,565
Spectacle Gary Holdings LLC, Delayed Draw Term Loan.		1,006,419		1,006,419		951,700		(54,719	)

Forward Commitments, When-Issued and 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 counterparty, the Master Portfolio’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.

136 2 0 2 0  B L A C K R O C K  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  (continued)

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 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 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, a fund is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and realizes gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that a fund 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 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 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 on loan by counterparty which are subject to offset under an MSLA:

Counterparty	Securities Loaned at Value		Cash    Collateral Received(a)		Net Amount
Citigroup Global Markets, Inc.		$41,950,000		$(41,950,000)		$—
Credit Suisse Securities (USA) LLC		813,306		(813,306)		—
J.P. Morgan Securities LLC		604,847		(604,847)		—
Jefferies LLC.		12,366,860		(12,366,860)		—
		$55,735,013		$(55,735,013)		$—

^(a) Collateral received in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by the Master Portfolio is disclosed in the Master Portfolio’s Statement of Assets and Liabilities.

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 137

Notes to Financial Statements  (continued)

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 to the extent 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. Such losses are borne entirely by the Master Portfolio.

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 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 Statement of Assets and Liabilities.

Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the 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 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 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 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, and such value may exceed the amounts reflected in the Statement of Assets and Liabilities. 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.

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 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 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 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, cash is segregated 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 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.

• 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.

138 2 0 2 0  B L A C K R O C K  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  (continued)

• 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 purchases and writes 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 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 Statement of Assets and Liabilities. Payments received or paid are recorded in the Statement of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the 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 Schedule of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statement of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Statement of Assets and Liabilities. Pursuant to the contract, the Master Portfolio agrees to receive from or pay to the broker variation margin. Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statement of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gains (losses) in the 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 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

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 139

Notes to Financial Statements  (continued)

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 security or market (e.g., fixed-income) with another security or 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 of underlying instruments, in exchange for fixed or floating rate interest payments. If the total return of the instrument(s) 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 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.

• 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 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 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. When the Master Portfolio enters into an ISDA Master Agreement and an MRA and/or MSLA with the same counterparty, the agreements may contain a set-off provision allowing the Master Portfolio to offset a net amount payable with amounts due to the Master Portfolio upon default 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. For example, notwithstanding what contractual rights may be included in an ISDA Master Agreement, such laws may prohibit the Master Portfolio from setting off amounts owed to a defaulting counterparty under an ISDA Master Agreement against amounts owed to the Master Portfolio by affiliates of the defaulting counterparty. The insolvency regimes of many jurisdictions do, however, generally permit set-off of simultaneous payables and receivables under certain types of financial contracts between the same legal entity upon a default of the entity, regardless of the existence of a contractual set-off right in those contracts.

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.

140 2 0 2 0  B L A C K R O C K  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  (continued)

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 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 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 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 Fees
First $250 million		0.16	%
$250 million — $500 million		0.12
$500 million — $750 million		0.08
Greater than $750 million		0.05

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 contractually 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”) through January 31, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of the directors who are not “interested persons” of the Corporation, as defined in the 1940 Act (“Independent Directors”), or by a vote of a majority of the outstanding voting securities of the Master Portfolio. The amount of waivers and/or reimbursements of fees and expenses made pursuant to the expense limitation described below will be reduced by the amount of the affiliated money market fund waiver. Prior to January 28, 2020, this waiver was voluntary. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the year ended September 30, 2020 the amount waived was $907,693.

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, 2021. 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 Statement of Operations. For the year ended September 30, 2020, the Manager waived $25,612 in investment advisory fees pursuant to this arrangement.

For the year ended September 30, 2020, the Master Bond LLC reimbursed the Manager $219,313 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 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, SL Liquidity Series, LLC (“Money Market Series”), managed by the Manager or its affiliates. However, BIM has agreed to cap the collateral investment expenses of the Money Market Series to an annual rate of 0.04%. The investment adviser to the Money Market Series will not charge any advisory fees with respect to shares purchased by the Master Portfolio. The Money Market Series 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. 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.

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 141

Notes to Financial Statements  (continued)

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 75% 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 BlackRock Multi-Asset 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 80% 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, 2020, the Master Portfolio retained 82% of securities lending income (which excluded collateral investment expenses) and the amount retained could 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 BlackRock Fixed-Income Complex in a calendar year exceeded a specified threshold, the Master Portfolio would retain for the remainder of that calendar year 85% of securities lending income (which excluded collateral investment expenses), and the amount retained could never be less than 70% of the total of securities lending income plus the collateral investment expenses.

The share of securities lending income earned by the Master Portfolio is shown as securities lending income — affiliated — net in the Statement of Operations. For the year ended September 30, 2020, the Master Portfolio paid BIM $1,991 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 year ended September 30, 2020, 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 year ended September 30, 2020, the purchase and sale transactions and any net realized gains (losses) with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:

Purchases		Sales	Net Realized Gain
$	47,942,088	$ 35,458,096		$219,493

7. PURCHASES AND SALES

For the year ended September 30, 2020, purchases and sales of investments, including paydowns and mortgage dollar rolls and excluding short-term investments, were as follows:

	Purchases		Sales
Non-U.S. Government Securities	$	105,695,574,360	$	103,849,745,368
U.S. Government Securities		6,396,339,029		5,151,924,194

For the year ended September 30, 2020, purchases and sales related to mortgage dollar rolls were as follows:

	Purchases		Sales
Mortgage Dollar Rolls.	$	55,266,526,855	$	55,268,062,914

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.

142 2 0 2 0  B L A C K R O C K  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  (continued)

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 a period of three fiscal years after they are filed. 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 September 30, 2020, 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 financial statements.

As of September 30, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

	Amounts
Tax cost	$	26,589,504,152
Gross unrealized appreciation	$	701,016,073
Gross unrealized depreciation		(280,834,721	)
Net unrealized appreciation (depreciation)	$	420,181,352

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 2021 unless extended or renewed. 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 year ended September 30, 2020, the Master Portfolio did not borrow under the credit agreement.

10. PRINCIPAL RISKS

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. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Master Portfolio and its investments. The Master Portfolio’s prospectus provides details of the risks to which the Master Portfolio is subject.

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.

Market Risk: 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’s current earnings rate.

Municipal securities are subject to the risk that litigation, legislation or other political events, local business or economic the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity conditions, credit rating downgrades, or the bankruptcy of the issuer could have a significant effect on an issuer’s ability to make payments of principal and/or interest or otherwise affect the value of such securities. Municipal securities can be significantly affected by political or economic changes, including changes made in the law after issuance of the securities, as well as uncertainties in the municipal market related to, taxation, legislative changes or the rights of municipal security holders, including in connection with an issuer insolvency. Municipal securities backed by current or anticipated revenues from a specific project or specific assets can be negatively affected by the discontinuance of the tax benefits supporting the project or assets or the inability to collect revenues for the project or from the assets. Municipal securities may be less liquid than taxable bonds, and there may be less publicly available information on the financial condition of municipal security issuers than for issuers of other securities.

An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at of a fund’s investments. The duration of this pandemic and its effects cannot be determined with certainty.

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

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 143

Notes to Financial Statements  (continued)

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, including making timely interest and/or principal payments or otherwise honoring its obligations. 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 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 Statement of Assets and Liabilities, less any collateral held by the Master Portfolio.

A derivative contract may suffer a mark-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.

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: A diversified portfolio, where this is appropriate and consistent with the Master Portfolio’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of the Master Portfolio. The investment concentrations within the Master Portfolio’s portfolio are disclosed in its Schedule of Investments.

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 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. When the Master Portfolio concentrates its investments in this manner, it assumes a greater risk of prepayment or payment extension by securities issuer. 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. Investment percentages in these securities are presented in the Schedule of Investments.

LIBOR Transition Risk: The United Kingdom’s Financial Conduct Authority announced a phase out of the London Interbank Offered Rate (“LIBOR”) by the end of 2021, and it is expected that LIBOR will cease to be published after that time. The Master Portfolio may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against, instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Master Portfolio is uncertain.

11. SUBSEQUENT EVENTS

Management has evaluated the impact of all subsequent events on the Master Portfolio through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.

144 2 0 2 0  B L A C K R O C K  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

Report of Independent Registered Public Accounting Firm

To the Investors of Master Total Return Portfolio and the Board of Directors of Master Bond LLC:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statement of assets and liabilities of Master Total Return Portfolio of Master Bond LLC (the “Fund”), including the schedule of investments, as of September 30, 2020, the related statement of operations for the year then ended, the statement of changes in net assets for the year then ended, the consolidated statement of changes in net assets for the year ended September 30, 2019, the financial highlights for the year then ended, the consolidated financial highlights for each of the four years in the period ended September 30, 2019, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of September 30, 2020, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of September 30, 2020, by correspondence with the custodian, brokers and agent banks; when replies were not received from brokers or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

Deloitte & Touche LLP

Boston, Massachusetts

November 20, 2020

We have served as the auditor of one or more BlackRock investment companies since 1992.

R E P O R T  O F  I N D E P E N D E N T   R E G I S T E R E D  P U B L I C  A C C O U N T I N G  F I R M 145

Disclosure of Investment Advisory Agreement

The Board of Directors (the “Board,” the members of which are referred to as “Board Members”) of BlackRock Balanced Capital Fund, Inc. (the “Fund”) met on April 7, 2020 (the “April Meeting”) and May 11-13, 2020 (the “May Meeting”) to consider the approval of the investment advisory agreement (the “Agreement”) between the Fund and BlackRock Advisors, LLC (the “Manager” or “BlackRock”), the Fund’s investment advisor.

Activities and Composition of the Board

On the date of the May Meeting, the Board consisted of fourteen individuals, twelve of whom were not “interested persons” of the Fund as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of the Fund and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Board Member. The Board has established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee and an Ad Hoc Topics Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Ad Hoc Topics Committee, which also has one interested Board Member).

The Agreement

Consistent with the requirements of the 1940 Act, the Board considers the continuation of the Agreement on an annual basis. The Board has four quarterly meetings per year, each typically extending for two days, and additional in-person and telephonic meetings throughout the year, as needed. While the Board also has a fifth one-day meeting to consider specific information surrounding the renewal of the Agreement, the Board’s consideration entails a year-long deliberative process whereby the Board and its committees assess BlackRock’s services to the Fund. In particular, the Board assessed, among other things, the nature, extent and quality of the services provided to the Fund by BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management services; accounting oversight; administrative and shareholder services; oversight of the Fund’s service providers; risk management and oversight; and legal, regulatory and compliance services. Throughout the year, including during the contract renewal process, the Independent Board Members were advised by independent legal counsel, and met with independent legal counsel in various executive sessions outside of the presence of BlackRock’s management.

During the year, the Board, acting directly and through its committees, considers information that is relevant to its annual consideration of the renewal of the Agreement, including the services and support provided by BlackRock to the Fund and its shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. This additional information is discussed further in the section titled “Board Considerations in Approving the Agreement.” Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, and/or since inception periods, as applicable, against peer funds, an applicable benchmark, and other performance metrics, as applicable, as well as BlackRock senior management’s and portfolio managers’ analyses of the reasons for any outperformance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Fund for services; (c) Fund operating expenses and how BlackRock allocates expenses to the Fund; (d) the resources devoted to risk oversight of, and compliance reports relating to, implementation of the Fund’s investment objective, policies and restrictions, and meeting regulatory requirements; (e) BlackRock’s and the Fund’s adherence to applicable compliance policies and procedures; (f) the nature, character and scope of non-investment management services provided by BlackRock and its affiliates and the estimated cost of such services; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) the use of brokerage commissions and execution quality of portfolio transactions; (j) BlackRock’s implementation of the Fund’s valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment mandates across the open-end fund, exchange-traded fund (“ETF”), closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to the Fund; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.

Board Considerations in Approving the Agreement

The Approval Process: Prior to the April Meeting, the Board requested and received materials specifically relating to the Agreement. The Independent Board Members are continuously engaged in a process with their independent legal counsel and BlackRock to review the nature and scope of the information provided to the Board to better assist its deliberations. The materials provided in connection with the April Meeting included, among other things: (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), based on either a Lipper classification or Morningstar category, regarding the Fund’s fees and expenses as compared with a peer group of funds as determined by Broadridge (“Expense Peers”) and the investment performance of the Fund as compared with a peer group of funds (“Performance Peers”); (b) information on the composition of the Expense Peers and Performance Peers and a description of Broadridge’s methodology; (c) information on the estimated profits realized by BlackRock and its affiliates pursuant to the Agreement and a discussion of fall-out benefits to BlackRock and its affiliates; (d) a general analysis provided by BlackRock concerning investment management fees received in connection with other types of investment products, such as institutional accounts, sub-advised mutual funds, ETFs, closed-end funds, open-end funds, and separately managed accounts under similar investment mandates, as well as the performance of such other products, as applicable; (e) a review of non-management fees; (f) the existence, impact and sharing of potential economies of scale, if any, with the Fund; (g) a summary of aggregate amounts paid by the Fund to BlackRock; (h) sales and redemption data regarding the Fund’s shares; and (i) various additional information requested by the Board as appropriate regarding BlackRock’s and the Fund’s operations.

At the April Meeting, the Board reviewed materials relating to its consideration of the Agreement. As a result of the discussions that occurred during the April Meeting, and as a culmination of the Board’s year-long deliberative process, the Board presented BlackRock with questions and requests for additional information. BlackRock responded to these questions and requests with additional written information in advance of the May Meeting.

At the May Meeting, the Board concluded its assessment of, among other things: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Fund as compared to its Performance Peers and to other metrics, as applicable; (c) the advisory fee and the estimated cost of the services and estimated

146 2 0 2 0  B L A C K R O C K  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

Disclosure of Investment Advisory Agreement  (continued)

profits realized by BlackRock and its affiliates from their relationship with the Fund; (d) the Fund’s fees and expenses compared to its Expense Peers; (e) the existence and sharing of potential economies of scale; (f) any fall-out benefits to BlackRock and its affiliates as a result of BlackRock’s relationship with the Fund; and (g) other factors deemed relevant by the Board Members.

The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, and BlackRock’s services related to the valuation and pricing of Fund portfolio holdings. The Board noted the willingness of BlackRock’s personnel to engage in open, candid discussions with the Board. The Board did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock: The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services, and the resulting performance of the Fund. Throughout the year, the Board compared Fund performance to the performance of a comparable group of mutual funds, relevant benchmark, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by the Fund’s portfolio management team discussing the Fund’s performance, investment strategies and outlook.

The Board considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and the Fund’s portfolio management team; research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board also considered BlackRock’s overall risk management program, including the continued efforts of BlackRock and its affiliates to address cybersecurity risks and the role of BlackRock’s Risk & Quantitative Analysis Group. The Board engaged in a review of BlackRock’s compensation structure with respect to the Fund’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.

In addition to investment advisory services, the Board considered the nature and quality of the administrative and other non-investment advisory services provided to the Fund. BlackRock and its affiliates provide the Fund with certain administrative, shareholder and other services (in addition to any such services provided to the Fund by third parties) and officers and other personnel as are necessary for the operations of the Fund. In particular, BlackRock and its affiliates provide the Fund with administrative services including, among others: (i) responsibility for disclosure documents, such as the prospectus, the summary prospectus (as applicable), the statement of additional information and periodic shareholder reports; (ii) oversight of daily accounting and pricing; (iii) responsibility for periodic filings with regulators; (iv) overseeing and coordinating the activities of third-party service providers including, among others, the Fund’s custodian, fund accountant, transfer agent, and auditor; (v) organizing Board meetings and preparing the materials for such Board meetings; (vi) providing legal and compliance support; (vii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain open-end funds; and (viii) performing or managing administrative functions necessary for the operation of the Fund, such as tax reporting, expense management, fulfilling regulatory filing requirements, overseeing the Fund’s distribution partners, and shareholder call center and other services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

B. The Investment Performance of the Fund and BlackRock: The Board, including the Independent Board Members, also reviewed and considered the performance history of the Fund. In preparation for the April Meeting, the Board was provided with reports independently prepared by Broadridge, which included an analysis of the Fund’s performance as of December 31, 2019, as compared to its Performance Peers. Broadridge ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. In connection with its review, the Board received and reviewed information regarding the investment performance of the Fund as compared to its Performance Peers. The Board and its Performance Oversight Committee regularly review and meet with Fund management to discuss the performance of the Fund throughout the year.

In evaluating performance, the Board focused particular attention on funds with less favorable performance records. The Board also noted that while it found the data provided by Broadridge generally useful, it recognized the limitations of such data, including in particular, that notable differences may exist between a fund and its Performance Peers (for example, the investment objectives and strategies). Further, the Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. The Board also acknowledged that long-term performance could be impacted by even one period of significant outperformance or underperformance, and that a single investment theme could have the ability to disproportionately affect long-term performance.

The Board noted that for each of the one-, three- and five-year periods reported, the Fund ranked in the first quartile, against its Performance Peers.

C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services and Estimated Profits Realized by BlackRock and its Affiliates from their Relationship with the Fund: The Board, including the Independent Board Members, reviewed the Fund’s contractual management fee rate compared with those of its Expense Peers. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared the Fund’s total expense ratio, as well as its actual management fee rate, to those of its Expense Peers. The total expense ratio represents a fund’s total net operating expenses, including any 12b-1 or non-12b-1 service fees. The total expense ratio gives effect to any expense reimbursements or fee waivers, and the actual management fee rate gives effect to any management fee reimbursements or waivers. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).

The Board received and reviewed statements relating to BlackRock’s financial condition. The Board reviewed BlackRock’s profitability methodology and was also provided with an estimated profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Fund. The Board reviewed BlackRock’s estimated profitability with respect to the Fund and other funds the Board currently oversees for the year ended December 31, 2019 compared to available aggregate estimated profitability data provided for the prior two years. The Board reviewed BlackRock’s estimated profitability with respect to certain other U.S. fund complexes managed by BlackRock and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the estimated profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by BlackRock, the types of funds managed, precision of expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at the individual fund level is difficult.

D I S C L O S U R E  O F  I N V E S T M  E N T  A D V I S O R Y  A G R E E M E N T 147

Disclosure of Investment Advisory Agreement  (continued)

The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly traded asset management firms. The Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.

The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreement and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk, and liability profile in servicing the Fund, including in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable.

The Board noted that the Fund’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile relative to the Fund’s Expense Peers. The Board also noted that the Fund has an advisory fee arrangement that includes breakpoints that adjust the fee rate downward as the size of the Fund increases above certain contractually specified levels. The Board noted that if the size of the Fund were to decrease, the Fund could lose the benefit of one or more breakpoints. Additionally, the Board noted that BlackRock and the Board have contractually agreed to waive a portion of the advisory fee for the Fund by the amount of any management fees paid by the Fund to the manager of each Master Portfolio in which it invests.

D. Economies of Scale: The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of the Fund increase, including the existence of fee waivers and/or expense caps, as applicable, noting that any contractual fee waivers and contractual expense caps had been approved by the Board. In its consideration, the Board further considered the continuation and/or implementation of fee waivers and/or expense caps, as applicable. The Board also considered the extent to which the Fund benefits from such economies of scale in a variety of ways and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Fund to more fully participate in these economies of scale. The Board considered the Fund’s asset levels and whether the current fee schedule was appropriate.

E. Other Factors Deemed Relevant by the Board Members: The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from BlackRock’s respective relationships with the Fund, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and its risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Fund, including for administrative, distribution, securities lending and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that, subject to applicable law, BlackRock may use and benefit from third-party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.

In connection with its consideration of the Agreement, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.

The Board noted the competitive nature of the open-end fund marketplace, and that shareholders are able to redeem their Fund shares if they believe that the Fund’s fees and expenses are too high or if they are dissatisfied with the performance of the Fund.

Conclusion

The Board, including the Independent Board Members, unanimously approved the continuation of the Agreement between the Manager and the Fund for a one-year term ending June 30, 2021. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board, including the Independent Board Members, was satisfied that the terms of the Agreement were fair and reasonable and in the best interest of the Fund and its shareholders. In arriving at its decision to approve the Agreement, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination.

148 2 0 2 0  B L A C K R O C K  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

Director and Officer Information of Master Bond LLC

Independent Directors(a)
Name Year of Birth(b)	Position(s) Held (Length of Service)(c)	Principal Occupation(s) During Past Five Years	Number of BlackRock-Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Company and Other Investment Company Directorships Held During Past Five Years
Richard E. Cavanagh 1946	Co-Chair of the Board and Director (Since 2019)	Director, The Guardian Life Insurance Company of America since 1998; Board Chair, Volunteers of America (a not-for-profit organization) from 2015 to 2018 (board member since 2009); Director, Arch Chemicals (chemical and allied products) from 1999 to 2011; Trustee, Educational Testing Service from 1997 to 2009 and Chairman thereof from 2005 to 2009; Senior Advisor, The Fremont Group since 2008 and Director thereof since 1996; Faculty Member/Adjunct Lecturer, Harvard University since 2007 and Executive Dean from 1987 to 1995; President and Chief Executive Officer, The Conference Board, Inc. (global business research organization) from 1995 to 2007.	87 RICs consisting of 111 Portfolios	None
Karen P. Robards 1950	Co-Chair of the Board and Director (Since 2019)	Principal of Robards & Company, LLC (consulting and private investing) since 1987; Co-founder and Director of the Cooke Center for Learning and Development (a not-for-profit organization) since 1987; Director of Enable Injections, LLC (medical devices) since 2019; Investment Banker at Morgan Stanley from 1976 to 1987.	87 RICs consisting of 111 Portfolios	Greenhill & Co., Inc.; AtriCure, Inc. (medical devices) from 2000 until 2017
Michael J. Castellano 1946	Director (Since 2019)	Chief Financial Officer of Lazard Group LLC from 2001 to 2011; Chief Financial Officer of Lazard Ltd from 2004 to 2011; Director, Support Our Aging Religious (non-profit) from 2009 to June 2015 and 2017 to September 2020; Director, National Advisory Board of Church Management at Villanova University since 2010; Trustee, Domestic Church Media Foundation since 2012; Director, CircleBlack Inc. (financial technology company) from 2015 to June 2020.	87 RICs consisting of 111 Portfolios	None
Cynthia L. Egan 1955	Director (Since 2019)	Advisor, U.S. Department of the Treasury from 2014 to 2015; President, Retirement Plan Services, for T. Rowe Price Group, Inc. from 2007 to 2012; executive positions within Fidelity Investments from 1989 to 2007.	87 RICs consisting of 111 Portfolios	Unum (insurance); The Hanover Insurance Group (insurance); Envestnet (investment platform) from 2013 until 2016
Frank J. Fabozzi(d) 1948	Director (Since 2019)	Editor of The Journal of Portfolio Management since 1986; Professor of Finance, EDHEC Business School (France) since 2011; Visiting Professor, Princeton University for the 2013 to 2014 academic year and Spring 2017 semester; Professor in the Practice of Finance, Yale University School of Management from 1994 to 2011 and currently a Teaching Fellow in Yale’s Executive Programs; Board Member, BlackRock Equity-Liquidity Funds from 2014 to 2016; affiliated professor Karlsruhe Institute of Technology from 2008 to 2011; Visiting Professor, Rutgers University for the Spring 2019 semester; Visiting Professor, New York University for the 2019 academic year.	88 RICs consisting of 112 Portfolios	None
R. Glenn Hubbard 1958	Director (Since 2019)	Dean, Columbia Business School from 2004 to 2019; Faculty member, Columbia Business School since 1988.	87 RICs consisting of 111 Portfolios	ADP (data and information services); Metropolitan Life Insurance Company (insurance); KKR Financial Corporation (finance) from 2004 until 2014
W. Carl Kester(d) 1951	Director (Since 2019)	George Fisher Baker Jr. Professor of Business Administration, Harvard Business School since 2008; Deputy Dean for Academic Affairs from 2006 to 2010; Chairman of the Finance Unit, from 2005 to 2006; Senior Associate Dean and Chairman of the MBA Program from 1999 to 2005; Member of the faculty of Harvard Business School since 1981.	88 RICs consisting of 112 Portfolios	None

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 149

Director and Officer Information of Master Bond LLC  (continued)

Independent Directors(a)
Name Year of Birth(b)	Position(s) Held (Length of Service)(c)	Principal Occupation(s) During Past Five Years	Number of BlackRock-Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Company and Other Investment Company Directorships Held During Past Five Years
Catherine A. Lynch(d) 1961	Director (Since 2019)	Chief Executive Officer, Chief Investment Officer and various other positions, National Railroad Retirement Investment Trust from 2003 to 2016; Associate Vice President for Treasury Management, The George Washington University from 1999 to 2003; Assistant Treasurer, Episcopal Church of America from 1995 to 1999.	88 RICs consisting of 112 Portfolios	None

150 2 0 2 0  B L A C K R O C K  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

Director and Officer Information of Master Bond LLC  (continued)

Interested Directors(a)(e)
Name Year of Birth(b)	Position(s) Held (Length of Service)(c)	Principal Occupation(s) During Past Five Years	Number of BlackRock-Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Company and Other Investment Company Directorships Held During Past Five Years
Robert Fairbairn 1965	Director (Since 2015)	Vice Chairman of BlackRock, Inc. since 2019; Member of BlackRock’s Global Executive and Global Operating Committees; Co-Chair of BlackRock’s Human Capital Committee; Senior Managing Director of BlackRock, Inc. from 2010 to 2019; oversaw BlackRock’s Strategic Partner Program and Strategic Product Management Group from 2012 to 2019; Member of the Board of Managers of BlackRock Investments, LLC from 2011 to 2018; Global Head of BlackRock’s Retail and iShares® businesses from 2012 to 2016.	122 RICs consisting of 269 Portfolios	None
John M. Perlowski(d) 1964	Director (Since 2015), President and Chief Executive Officer (Since 2010)	Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Accounting and Product Services since 2009; Advisory Director of Family Resource Network (charitable foundation) since 2009.	123 RICs consisting of 270 Portfolios	None

^(a)  The address of each Director is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.

^(b)  Each Independent Director holds office until his or her successor is duly elected and qualifies or until his or her earlier death, resignation, retirement or removal as provided by the Master Bond LLC’s by-laws or charter or statute, or until December 31 of the year in which he or she turns 75. Directors who are “interested persons,” as defined in the Investment Company Act serve until their successor is duly elected and qualifies or until their earlier death, resignation, retirement or removal as provided by the Master Bond LLC’s by-laws or statute, or until December 31 of the year in which they turn 72. The Board may determine to extend the terms of Independent Directors on a case-by-case basis, as appropriate.

^(c)  Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. Certain Independent Directors first became members of the boards of other legacy MLIM or legacy BlackRock funds as follows: Richard E. Cavanagh, 1994; Frank J. Fabozzi, 1988; R. Glenn Hubbard, 2004; W. Carl Kester, 1995; and Karen P. Robards, 1998. Certain other Independent Directors became members of the boards of the closed-end funds in the Fixed-Income Complex as follows: Michael J. Castellano, 2011; Cynthia L. Egan, 2016; and Catherine A. Lynch, 2016.

^(d)  Dr. Fabozzi, Dr. Kester, Ms. Lynch and Mr. Perlowski are also trustees of the BlackRock Credit Strategies Fund.

^(e)  Mr. Fairbairn and Mr. Perlowski are both “interested persons,” as defined in the 1940 Act, of the Master Bond LLC based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Multi-Asset Complex.

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 151

Director and Officer Information of Master Bond LLC  (continued)

Officers Who Are Not Directors(a)
Name Year of Birth(b)	Position(s) Held (Length of Service)	Principal Occupation(s) During Past Five Years
Jennifer McGovern 1977	Vice President (Since 2014)	Managing Director of BlackRock, Inc. since 2016; Director of BlackRock, Inc. from 2011 to 2015; Head of Americas Product Development and Governance for BlackRock’s Global Product Group since 2019; Head of Product Structure and Oversight for BlackRock’s U.S. Wealth Advisory Group from 2013 to 2019.
Neal J. Andrews 1966	Chief Financial Officer (Since 2007)	Chief Financial Officer of the iShares® exchange traded funds from 2019 to 2020; Managing Director of BlackRock, Inc. since 2006.
Jay M. Fife 1970	Treasurer (Since 2007)	Managing Director of BlackRock, Inc. since 2007.
Charles Park 1967	Chief Compliance Officer (Since 2014)	Anti-Money Laundering Compliance Officer for certain BlackRock-advised Funds from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the BlackRock Multi AssetComplex and the BlackRock Fixed-Income Complex since 2014; Principal of and Chief Compliance Officer for iShares® Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors (“BFA”) since 2006;Chief Compliance Officer for the BFA-advised iShares® exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012.
Lisa Belle 1968	Anti-Money Laundering Compliance Officer (Since 2019)	Managing Director of BlackRock, Inc. since 2019; Global Financial Crime Head for Asset and Wealth Management of JP Morgan from 2013 to 2019; Managing Director of RBS Securities from 2012 to 2013; Head of Financial Crimes for Barclays Wealth Americas from 2010 to 2012.
Janey Ahn 1975	Secretary (Since 2019)	Managing Director of BlackRock, Inc. since 2018; Director of BlackRock, Inc. from 2009 to 2017.

^(a) The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.

^(b) Officers of the Master LLC serve at the pleasure of the Board.

Further information about the Corporation/Master Bond LLC’s Directors and Officers is available in the Corporation/Master Bond LLC’s Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762.

152 2 0 2 0  B L A C K R O C K  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

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 files their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Fund’s/Master LLC/Master Bond LLC’s Forms N-PORT are available on the SEC’s website at sec.gov.

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) at blackrock.com; and (3) on the SEC’s website at 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/Master Bond LLC’s portfolio during the most recent 12-month period ended June 30 is available upon request and without charge (1) at blackrock.com; or by calling (800) 441-7762 and (2) on the SEC’s website at sec.gov.

BlackRock’s Mutual Fund Family

BlackRock offers a diverse lineup of open-end mutual funds crossing all investment styles and managed by experts in equity, fixed-income and tax-exempt investing. Visit blackrock.com for 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 visit blackrock.com for more information.

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.

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.

A D D I T I O N A L  I N F O R M A T I O  N 153

Additional Information  (continued)

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 their non-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 personal non-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 to non-affiliated third parties any non-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. These non-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 to non-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 the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

Fund and Service Providers

Investment Adviser and Administrator

BlackRock Advisors, LLC

Wilmington, DE 19809

Accounting Agent and Transfer Agent

BNY Mellon Investment Servicing (US) Inc.

Wilmington, DE 19809

Sub-Advisors of Master Bond LLC

BlackRock International Limited

Edinburgh, EH3 8BL

United Kingdom

BlackRock (Singapore) Limited

079912 Singapore

Custodian of the Fund/Master Bond LLC

The Bank of New York Mellon

New York, NY 10286

Custodian of the Master LLC

Brown Brothers Harriman & Co.

Boston, MA 02109

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 19103

Distributor

BlackRock Investments, LLC

New York, NY 10022

Legal Counsel of Master Bond LLC

Willkie Farr & Gallagher LLP

New York, NY 10019

Legal Counsel of the Fund/Master LLC

Sidley Austin LLP

New York, NY 10019

Address of the Fund/Master LLC/Master Bond LLC

100 Bellevue Parkway

Wilmington, DE 19809

154 2 0 2 0  B L A C K R O C K  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 Abbreviation
AUD	Australian Dollar
BRL	Brazilian Real
CAD	Canadian Dollar
CLP	Chilean Peso
CNH	Chinese Yuan Offshore
CNY	Chinese Yuan
COP	Colombian Peso
EUR	Euro
GBP	British Pound
HKD	Hong Kong Dollar
HUF	Hungarian Forint
IDR	Indonesian Rupiah
JPY	Japanese Yen
KRW	South Korean Won
KZT	Kazakhstani Tenge
MXN	Mexican Peso
PLN	Polish Zloty
RUB	Russian Ruble
TRY	Turkish Lira
TWD	Taiwan New Dollar
USD	United States Dollar
ZAR	South African Rand

Portfolio Abbreviation
ABS	Asset-Backed Security
ADR	American Depositary Receipt
AKA	Also Known As
AMBAC	AMBAC Assurance Corp.
AMT	Alternative Minimum Tax
BZDIOVER	Overnight Brazil CETIP - Interbank Rate
CD	Certificate of Deposit
CDO	Collateralized Debt Obligation
CLO	Collateralized Loan Obligation
CORRA	Canadian OvernightRepo Rate Average
CVR	Contingent Value Rights
DAC	Designated Activity Co.
ETF	Exchange-Traded Fund
EURIBOR	Euro Interbank Offered Rate
FKA	Formally Known As
GMTN	Global Medium-Term Note
GNMA	Government National Mortgage Association
GO	General Obligation Bonds
HDA	Housing Development Authority
HFA	Housing Finance Agency
IO	Interest Only
LIBOR	London Interbank Offered Rate
LP	Limited Partnership
MTN	Medium-Term Note
MXIBTIIE	Mexico Interbank TIIE 28-Day
NPFGC	National Public Finance Guarantee Corp.
OTC	Over-the-Counter
PIK	Payment-in-Kind
RB	Revenue Bonds
REMIC	Real Estate Mortgage Investment Conduit
S&P	Standard & Poor’s
SCSDE	South Carolina State Department of Education
SONIA	Sterling Overnight Index Average
SPDR	Standard & Poor’s Depository Receipt
TA	Tax Allocation
TBA	To-be-Announced

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 155

Want to know more?

blackrock.com | 800-441-7762

This report is intended for current holders. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the 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-9/20-AR

Item 2 – Code of Ethics – Each registrant (or each, a “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrants’ principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. During the period covered by this report, the code of ethics was amended to update certain information and to make other non-material changes. During the period covered by this report, there have been no waivers granted under the code of ethics. The registrants undertake to provide a copy of the code of ethics to any person upon request, without charge, who calls 1-800-441-7762.

Item 3 – Audit Committee Financial Expert – Each registrant’s board of directors (the “board of directors”), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent:

Neil A. Cotty

Henry R. Keizer

Kenneth L. Urish

Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors.

Item 4 – Principal Accountant Fees and Services

The following table presents fees billed by Deloitte & Touche LLP (“D&T”) in each of the last two fiscal years for the services rendered to the Funds:

	(a) Audit Fees		(b) Audit-Related Fees1		(c) Tax Fees2		(d) All Other Fees
Entity Name	Current   Fiscal Year   End	Previous   Fiscal Year   End	Current   Fiscal Year   End	Previous   Fiscal Year   End	Current   Fiscal Year   End	Previous   Fiscal Year   End	Current   Fiscal Year   End	Previous   Fiscal Year   End
BlackRock Balanced Capital Fund, Inc.	$23,460	$23,460	$0	$0	$16,400	$16,300	$0	$0
Master Advantage Large Cap Core Portfolio of Master Large Cap Series LLC	$30,600	$36,210	$0	$0	$13,100	$13,500	$0	$0
Master Total Return Portfolio of Master Bond LLC	$85,068	$85,068	$0	$0	$30,000	$20,000	$0	$0

The following table presents fees billed by D&T that were required to be approved by each registrant’s audit committee (the “Committee”) for services that relate directly to the operations or financial reporting of the Funds and that are rendered on behalf of BlackRock Advisors, LLC (the “Investment Adviser” or “BlackRock”) and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Funds (“Affiliated Service Providers”):

	Current Fiscal Year End	Previous Fiscal Year End
(b) Audit-Related Fees1	$0	$0
(c) Tax Fees2	$0	$0
(d) All Other Fees3	$1,984,000	$2,050,500

¹ The nature of the services includes assurance and related services reasonably related to the performance of the audit or review of financial statements not included in Audit Fees, including accounting consultations, agreed-upon procedure reports, attestation reports, comfort letters, out-of-pocket expenses and internal control reviews not required by regulators.

² The nature of the services includes tax compliance and/or tax preparation, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews, taxable income and tax distribution calculations.

³ Non-audit fees of $1,984,000 and $2,050,500 for the current fiscal year and previous fiscal year, respectively, were paid to each Fund’s principal accountant in their entirety by BlackRock, in connection with services provided to the Affiliated Service Providers of each Fund and of certain other funds sponsored and advised by BlackRock or its affiliates for a service organization review and an accounting research tool subscription. These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.

(e)(1) Audit Committee Pre-Approval Policies and Procedures:

Each Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrants on an annual basis require specific pre-approval by each Committee. Each Committee also must approve other non-audit services provided to the registrants and those non-audit services provided to the Investment Adviser and Affiliated Service Providers that relate directly to the operations and the financial reporting of the registrants. Certain of these non-audit services that each Committee believes are (a) consistent with the SEC’s auditor independence rules and (b) routine and recurring services that will not impair the independence of the independent accountants may be approved by each Committee without consideration on a specific case-by-case basis (“general pre-approval”). The term of any general pre-approval is 12 months from the date of the pre-approval, unless each Committee provides for a different period. Tax or other non-audit services provided to the registrants, which have a direct impact on the operations or financial reporting of the registrants will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrants or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.

Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by each Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). Each Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to each Committee for ratification. Each Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.

(e)(2) None of the services described in each of Items 4(b) through (d) were approved by either Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not Applicable

(g) The aggregate non-audit fees, defined as the sum of the fees shown under “Audit-Related Fees,” “Tax Fees” and “All Other Fees,” paid to the accountant for services rendered by the accountant to the registrants, the Investment Adviser and the Affiliated Service Providers were:

Entity Name	Current Fiscal Year     End	Previous Fiscal Year     End
BlackRock Balanced Capital Fund, Inc.	$16,400	$16,300
Master Advantage Large Cap Core Portfolio of Master Large Cap Series LLC	$13,100	$13,500
Master Total Return Portfolio of Master Bond LLC	$30,000	$20,000

Additionally, the amounts billed by D&T in connection with services provided to the Affiliated Service Providers of the Funds and of other funds sponsored and advised by BlackRock or its affiliates during the current and previous fiscal years for a service organization review and an accounting research tool subscription were:

Current Fiscal Year         End	Previous Fiscal Year     End
$1,984,000	$2,050,500

These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.

(h) Each Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser and the Affiliated Service Providers that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

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 previous Form N-CSR filing.

Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable

Item 8 – Portfolio Managers of Closed-End Management Investment Companies – Not Applicable

Item 9 – Purchases of Equity Securities by Closed-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 by Rule 30a-3(b) under the 1940 Act and Rule 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 in Rule 30a-3(d) under the 1940 Act) that occurred during 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)(2) Section 302 Certifications are attached

(a)(3) Not Applicable

(a)(4) Not Applicable

(b) Section 906 Certifications are attached

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: December 3, 2020

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: December 3, 2020

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: December 3, 2020