Master Investment Portfolio 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: 811-07332 and 811-08162

Name of Fund:  BlackRock Funds III

BlackRock Cash Funds: Institutional

BlackRock Cash Funds: Prime

BlackRock Cash Funds: Treasury

BlackRock CoreAlpha Bond Fund

BlackRock Disciplined International Fund

BlackRock Large Cap Index Fund

BlackRock LifePath® Retirement Fund

BlackRock LifePath® 2020 Fund

BlackRock LifePath® 2025 Fund

BlackRock LifePath® 2030 Fund

BlackRock LifePath® 2035 Fund

BlackRock LifePath® 2040 Fund

BlackRock LifePath® 2045 Fund

BlackRock LifePath® 2050 Fund

BlackRock LifePath® 2055 Fund

BlackRock LifePath® Index Retirement Fund

BlackRock LifePath® Index 2020 Fund

BlackRock LifePath® Index 2025 Fund

BlackRock LifePath® Index 2030 Fund

BlackRock LifePath® Index 2035 Fund

BlackRock LifePath® Index 2040 Fund

BlackRock LifePath® Index 2045 Fund

BlackRock LifePath® Index 2050 Fund

BlackRock LifePath® Index 2055 Fund

BlackRock S&P 500 Index Fund

BlackRock Total International ex U.S. Index Fund

BlackRock U.S. Total Bond Index Fund

        Master Investment Portfolio

Active Stock Master Portfolio

CoreAlpha Bond Master Portfolio

International Tilts Master Portfolio

Large Cap Index Master Portfolio

LifePath® Retirement Master Portfolio

LifePath® 2020 Master Portfolio

LifePath® 2025 Master Portfolio

LifePath® 2030 Master Portfolio

LifePath® 2035 Master Portfolio

LifePath® 2040 Master Portfolio

LifePath® 2045 Master Portfolio

LifePath® 2050 Master Portfolio

LifePath® 2055 Master Portfolio

LifePath® Index Retirement Master Portfolio

LifePath® Index 2020 Master Portfolio

LifePath® Index 2025 Master Portfolio

LifePath® Index 2030 Master Portfolio

LifePath® Index 2035 Master Portfolio

LifePath® Index 2040 Master Portfolio

LifePath® Index 2045 Master Portfolio

LifePath® Index 2050 Master Portfolio

LifePath® Index 2055 Master Portfolio

Money Market Master Portfolio

Prime Money Market Master Portfolio

S&P 500 Index Master Portfolio

Total International ex U.S. Index Master Portfolio

Treasury Money Market Master Portfolio

U.S. Total Bond Index Master Portfolio

Fund Address:  100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service:  John M. Perlowski, Chief Executive Officer, BlackRock Funds III and

             Master Investment Portfolio, 55 East 52^nd Street, New York, NY 10055

Registrants’ telephone number, including area code:  (800) 537-4942

Date of fiscal year end: 12/31/2015

Date of reporting period: 12/31/2015

Item 1 – Report to Stockholders

2

DECEMBER 31, 2015

  ANNUAL REPORT  

BlackRock Funds III

^Ø   BlackRock Cash Funds: Institutional

^Ø   BlackRock Cash Funds: Prime

^Ø   BlackRock Cash Funds: Treasury

Not FDIC Insured • May Lose Value • No Bank Guarantee

Table of Contents ��

	Page
The Markets in Review		3
Annual Report:
Money Market Overview		4
Fund Information		5
Disclosure of Expenses		6
Fund Financial Statements:
Statements of Assets and Liabilities		7
Statements of Operations		8
Statements of Changes in Net Assets		9
Fund Financial Highlights		12
Fund Notes to Financial Statements		29
Fund Report of Independent Registered Public Accounting Firm		34
Important Tax Information		34
Master Portfolio Information		35
Master Portfolio Financial Statements:
Schedules of Investments		36
Statements of Assets and Liabilities		47
Statements of Operations		48
Statements of Changes in Net Assets		49
Master Portfolio Financial Highlights		52
Master Portfolio Notes to Financial Statements		55
Master Portfolio Report of Independent Registered Public Accounting Firm		58
Officers and Trustees		59
Additional Information		62

2 BLACKROCK FUNDS III DECEMBER 31, 2015

The Markets in Review

Dear Shareholder,

Diverging monetary policies and shifting economic outlooks across regions have been the overarching themes driving financial markets over the past couple of years. With U.S. growth outpacing the global economic recovery in 2015 while inflationary pressures remained low, investors spent most of the year anticipating a short-term rate hike from the Federal Reserve (the “Fed”), which ultimately came to fruition in December. In contrast, the European Central Bank (“ECB”) and the Bank of Japan moved to a more accommodative stance during the year. In this environment, the U.S. dollar strengthened considerably, causing profit challenges for U.S. exporters and high levels of volatility in emerging market currencies and commodities. Oil prices were particularly volatile and below the historical norm due to an ongoing imbalance in global supply and demand.

Market volatility broadly increased in the middle of 2015, beginning with a sharp, but temporary, selloff in June as Greece’s long-brewing debt troubles came to an impasse. Just as these concerns abated, Chinese equities tumbled amid weakness in the country’s economy. This, combined with a depreciation of the yuan and declining confidence in China’s policymakers, stoked worries about the potential impact to the broader world economy, causing heightened volatility to spread throughout markets globally. Given a dearth of meaningful growth across most of the world, financial markets became more reliant on central bank policies to drive performance. In that vein, risk assets (such as equities and high yield bonds) rallied in October when China’s central bank provided more stimulus, the ECB hinted at further easing, and soft U.S. data pushed back expectations for a Fed rate hike. As the period came to a close, however, the ECB disappointed investors with its subdued policy changes. The Fed’s December rate hike had a positive impact on the markets as it removed a source of uncertainty, but this was counteracted by the dampening effect of a stronger U.S. dollar, falling oil prices and tighter credit conditions.

At BlackRock, we believe investors need to think globally, extend their scope across a broad array of asset classes and be prepared to move freely as market conditions change over time. 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 December 31, 2015
	6-month			12-month
U.S. large cap equities (S&P 500® Index)		0.15	%		1.38	%
U.S. small cap equities (Russell 2000® Index)		(8.75	)		(4.41	)
International equities (MSCI Europe, Australasia, Far East Index)		(6.01	)		(0.81	)
Emerging market equities (MSCI Emerging Markets Index)		(17.35	)		(14.92	)
3-month Treasury bills (BofA Merrill Lynch 3-Month U.S. Treasury Bill Index)		0.04			0.05
U.S. Treasury securities (BofA Merrill Lynch 10-Year U.S. Treasury Index)		1.43			0.91
U.S. investment-grade bonds (Barclays U.S. Aggregate Bond Index)		0.65			0.55
Tax-exempt municipal bonds (S&P Municipal Bond Index)		3.31			3.32
U.S. high yield bonds (Barclays U.S. Corporate High Yield 2% Issuer Capped Index)		(6.79	)		(4.43	)
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

THIS PAGE NOT PART OF YOUR FUND REPORT 3

Money Market Overview

For the 12-Month Period Ended December 31, 2015

While the U.S. labor market continued to improve, U.S. economic growth slowed in the fourth quarter due to a strong dollar and global headwinds. Lower oil prices continued to undermine investments by energy firms while unseasonably mild weather cut into consumer spending on utilities and apparel. For the first time since 2006, on December 16, 2015, the Federal Open Market Committee (“FOMC”) voted unanimously to raise its target range for the Federal Funds Rate by 25 basis points to 0.25% to 0.50%. The move was widely expected as in the 2 months leading up to the meeting several Fed speakers commented on economic growth, specifically the gradual improvement and sustainability experienced throughout 2015. Over the same time period, Fed Fund Futures projected a 55% to 76% probability of a 25 basis point rate hike at the December meeting. As a result of the well telegraphed move, the market experienced minimal volatility throughout the remainder of the year. To note, effective December 17, the overnight level of the N.Y. Federal Reserve Reverse Repo Program (“RRP”) moved up to 0.25% from 0.05% and Interest on Reserves (“IOR”) up to 0.50% from 0.25%.

Also at the December meeting, the Federal Reserve released an updated forecast of the Summary of Economic Projection (“SEP”); the data projected 4 additional rate increases by the end of 2016 (ending the year with a 1.25% Fed Funds rate). While Chairwoman Yellen did not comment on the “dots,” she and several Fed officials did state that the future path of policy would remain dependent on the data and if the positive momentum continues, the pace of additional increases would be gradual as to not disrupt or shock the market.

The short-term tax-exempt market was relatively stable for the duration of the twelve months ended December 31, 2015. While municipal money fund industry assets have been stable, holdings of highly liquid variable rate demand note (“VRDN”) securities generally increased over the period. Rates on VRDN securities as measured by the benchmark Securities Industry and Financial Markets Association (“SIFMA”) Index, which represents the average rate on seven-day terms, ranged between a high of 0.03% to a historical low of 0.01%, and ended the period at 0.01%. With the exception of seasonal weakness resulting from tax-related redemptions in April and May, when inventory of VRDN securities reached a high not seen in over three years of near $13 billion, inventory remained at or near historical lows around and sometimes below $1 billion for the majority of the period.

Posturing around the FOMC meetings and the need to replace maturing municipal notes combined to keep demand for VRDN securities elevated over the majority of the period. In addition, improvement in the fiscal health of state and local municipal issuers contributed to a reduced need to borrow in the short-term municipal market to meet fiscal year 2016 operational budget needs. The reduced borrowing need has resulted in a reduction in one-year fixed-rate note issuance by roughly 25% from the previous year’s levels. While a federal funds rate hike was widely expected before year end, a reduction in note issuance had contributed to only a moderate amount of upward pressure on one-year rates. As the year came to a close, rates on one-year notes continued to rise as investors prepared for the anticipated Fed rate hike and reached an all-time high for the period when the Fed ultimately commenced its rate hiking cycle in mid-December. The Municipal Market Advisors AAA General Obligation One-Year Index yield increased from 0.18% on December 31, 2014 to 0.50% on December 31, 2015. In addition, the reduced supply of fixed-rate notes and defensive positioning have combined to elevate demand for VRDN securities as an investment alternative, which resulted in the SIFMA Index dropping to the historical low of 0.01% by December 31, 2015.

Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

4 BLACKROCK FUNDS III DECEMBER 31, 2015

Fund Information as of December 31, 2015

BlackRock Cash Funds: Institutional

BlackRock Cash Funds: Institutional’s (the “Fund”) investment objective is to seek a high level of income consistent with liquidity and the preservation of capital.

	7-Day SEC Yield			7-Day Yield
Aon Captives		0.25	%		0.26	%
Institutional		0.35	%		0.36	%
Select		0.27	%		0.27	%
SL Agency		0.38	%		0.39	%

BlackRock Cash Funds: Prime

BlackRock Cash Funds: Prime’s (the “Fund”) investment objective is to seek a high level of income consistent with liquidity and the preservation of capital.

	7-Day SEC Yield			7-Day Yield
Capital		0.31	%		0.31	%
Institutional		0.33	%		0.33	%
Premium		0.28	%		0.28	%
SL Agency		0.36	%		0.36	%

BlackRock Cash Funds: Treasury

BlackRock Cash Funds: Treasury’s (the “Fund”) investment objective is to seek current income consistent with liquidity and stability of principal.

	7-Day SEC Yield			7-Day Yield
SL Agency		0.18	%		0.19	%

The 7-Day SEC Yields may differ from the 7-Day Yields shown due to the fact that the 7-Day SEC Yields exclude distributed capital gains.

Past performance is not indicative of future results.

BLACKROCK FUNDS III DECEMBER 31, 2015 5

Disclosure of Expenses

Shareholders of these Funds 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 examples shown below (which are based on a hypothetical investment of $1,000 invested on July 1, 2015 and held through December 31, 2015) are intended to assist shareholders both in calculating expenses based on an investment in each Fund and in comparing these expenses with similar costs of investing in other mutual funds.

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

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

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

Expense Examples

	Actual						Hypothetical2
BlackRock Cash Funds: Institutional	Beginning Account Value July 1, 2015		Ending Account Value December 31, 2015		Expenses Paid During the Period1		Beginning Account Value July 1, 2015		Ending Account Value December 31, 2015		Expenses Paid During the Period1		Annualized Expense Ratio
Aon Captives	$	1,000.00	$	1,000.40	$	1.11	$	1,000.00	$	1,024.10	$	1.12		0.22	%
Institutional	$	1,000.00	$	1,000.30	$	0.61	$	1,000.00	$	1,024.60	$	0.61		0.12	%
Select	$	1,000.00	$	1,000.50	$	0.96	$	1,000.00	$	1,024.25	$	0.97		0.19	%
SL Agency	$	1,000.00	$	1,001.10	$	0.45	$	1,000.00	$	1,024.75	$	0.46		0.09	%
BlackRock Cash Funds: Prime
Capital	$	1,000.00	$	1,000.80	$	0.71	$	1,000.00	$	1,024.50	$	0.71		0.14	%
Institutional	$	1,000.00	$	1,000.90	$	0.61	$	1,000.00	$	1,024.60	$	0.61		0.12	%
Premium	$	1,000.00	$	1,000.60	$	0.86	$	1,000.00	$	1,024.35	$	0.87		0.17	%
SL Agency	$	1,000.00	$	1,001.00	$	0.45	$	1,000.00	$	1,024.75	$	0.46		0.09	%
BlackRock Cash Funds: Treasury
SL Agency	$	1,000.00	$	1,000.30	$	0.45	$	1,000.00	$	1,024.75	$	0.46		0.09	%

¹  For each class of a Fund, expenses are equal to the annualized net expense ratio for the class, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). Because each Fund invests significantly in its corresponding Master Portfolio, the expense examples reflect the net expenses of both the Fund and the Master Portfolio in which it invests.

²  Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365.

6 BLACKROCK FUNDS III DECEMBER 31, 2015

Statements of Assets and Liabilities

December 31, 2015	BlackRock Cash Funds: Institutional		BlackRock Cash Funds: Prime		BlackRock Cash Funds: Treasury
Assets
Investments at value — from the applicable Master Portfolio1,2	$	42,518,321,189	$	25,455,493,138	$	2,154,951,136
Capital shares sold receivable		1,030		—		—
Total assets		42,518,322,219		25,455,493,138		2,154,951,136
Liabilities
Payables:
Income dividends		8,771,009		3,752,886		324,302
Administration fees		786,404		848,238		41,178
Distribution fees		726		—		—
Professional fees		12,105		12,128		12,121
Total liabilities		9,570,244		4,613,252		377,601
Net Assets	$	42,508,751,975	$	25,450,879,886	$	2,154,573,535
Net Assets Consist of
Paid-in capital	$	42,507,513,041	$	25,450,294,314	$	2,154,557,914
Undistributed net investment income		—		15,057		—
Accumulated net realized gain		1,238,934		570,515		15,621
Net Assets	$	42,508,751,975	$	25,450,879,886	$	2,154,573,535
Net Asset Value
Aon Captives:
Net assets	$	8,558,218		—		—
Shares outstanding3		8,558,237		—		—
Net asset value	$	1.00		—		—
Capital:
Net assets		—	$	2,125,858,370		—
Shares outstanding3		—		2,125,818,522		—
Net asset value		—	$	1.00		—
Institutional:
Net assets	$	2,056,593,835	$	13,516,544,543		—
Shares outstanding3		2,056,598,279		13,516,291,088		—
Net asset value	$	1.00	$	1.00		—
Premium:
Net assets		—	$	1,132,613,946		—
Shares outstanding3		—		1,132,592,713		—
Net asset value		—	$	1.00		—
Select:
Net assets	$	5,392		—		—
Shares outstanding3		5,392		—		—
Net asset value	$	1.00		—		—
SL Agency:
Net assets	$	40,443,594,530	$	8,675,863,027	$	2,154,573,535
Shares outstanding3		40,443,681,919		8,675,700,368		2,154,557,916
Net asset value	$	1.00	$	1.00	$	1.00
1    Investments at cost — affiliated
2    Money Market Master Portfolio, Prime Money Market Master Portfolio, and Treasury Money Market Master Portfolio (each, a “Master Portfolio”), respectively.
3    Unlimited number of shares authorized, no par value.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	7

Statements of Operations

Year Ended December 31, 2015	BlackRock Cash Funds: Institutional			BlackRock Cash Funds: Prime			BlackRock Cash Funds: Treasury
Investment Income
Net investment income allocated from the applicable Master Portfolio:
Interest	$	117,133,081		$	61,995,030		$	2,361,947
Expenses		(42,795,786	)		(23,286,798	)		(2,181,133	)
Fees waived		13,208,966			7,221,193			700,916
Total income		87,546,261			45,929,425			881,730
Fund Expenses
Administration — class specific		9,414,494			9,471,702			426,247
Professional		20,650			17,432			14,210
Distribution — Aon Captives		8,195			—			—
Miscellaneous		325			325			325
Total expenses		9,443,664			9,489,459			440,782
Less:
Administration fees waived — class specific		(4	)		(265	)		(91,775	)
Fees reimbursed by the administrator		(20,650	)		(17,432	)		(14,210	)
Total expenses after fees waived and/or reimbursed		9,423,010			9,471,762			334,797
Net investment income		78,123,251			36,457,663			546,933
Realized Gain Allocated from the Master Portfolios
Net realized gain from investments		1,366,640			570,515			98,963
Net Increase in Net Assets Resulting from Operations	$	79,489,891		$	37,028,178		$	645,896

See Notes to Financial Statements.
8	BLACKROCK FUNDS III	DECEMBER 31, 2015

Statements of Changes in Net Assets

	BlackRock Cash Funds: Institutional
	Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014
Operations
Net investment income	$	78,123,251		$	56,132,730
Net realized gain		1,366,640			3,084,717
Net increase in net assets resulting from operations		79,489,891			59,217,447
Distributions to Shareholders1
From net investment income:
Aon Captives		(4,715	)		(479	)
Institutional		(4,942,131	)		(2,429,848	)
Select		(13	)		(62	)
SL Agency		(73,176,392	)		(53,702,341	)
Net realized gain:
Aon Captives		(270	)		(667	)
Institutional		(72,604	)		(179,314	)
Select		—			(9	)
SL Agency		(1,333,902	)		(3,240,008	)
Decrease in net assets resulting from distributions to shareholders		(79,530,027	)		(59,552,728	)
Capital Share Transactions
Net increase (decrease) in net assets derived from capital share transactions		2,500,790,392			(675,694,893	)
Net Assets
Total increase (decrease) in net assets		2,500,750,256			(676,030,174	)
Beginning of year		40,008,001,719			40,684,031,893
End of year	$	42,508,751,975		$	40,008,001,719
1    Distributions for annual periods determined in accordance with federal income tax regulations.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	9

Statements of Changes in Net Assets

	BlackRock Cash Funds: Prime
	Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014
Operations
Net investment income	$	36,457,663		$	15,551,904
Net realized gain		570,515			728,334
Net increase in net assets resulting from operations		37,028,178			16,280,238
Distributions to Shareholders1
From net investment income:
Capital		(2,423,327	)		(875,180	)
Institutional		(15,039,119	)		(5,326,684	)
Premium		(1,252,061	)		(588,278	)
Select		(1,082	)		(74	)
SL Agency		(17,730,967	)		(8,761,688	)
From net realized gain:
Capital		(28,402	)		(66,763	)
Institutional		(170,670	)		(221,109	)
Premium		(17,796	)		(49,476	)
Select		(19	)		(42	)
SL Agency		(131,220	)		(312,573	)
Trust		—			(37	)
Decrease in net assets resulting from distributions to shareholders		(36,794,663	)		(16,201,904	)
Capital Share Transactions
Net increase in net assets derived from capital share transactions		2,758,323,754			5,582,620,700
Net Assets
Total increase in net assets		2,758,557,269			5,582,699,034
Beginning of year		22,692,322,617			17,109,623,583
End of year	$	25,450,879,886		$	22,692,322,617
Undistributed net investment income, end of year	$	3,950		$	3,950
1    Distributions for annual periods determined in accordance with federal income tax regulations.

See Notes to Financial Statements.
10	BLACKROCK FUNDS III	DECEMBER 31, 2015

Statements of Changes in Net Assets

	BlackRock Cash Funds: Treasury
	Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014
Operations
Net investment income	$	546,933		$	—
Net realized gain		98,963			59,659
Net increase in net assets resulting from operations		645,896			59,659
Distributions to Shareholders1
From net investment income:
Institutional		(279	)		—
Select		(1	)		—
SL Agency		(546,653	)		—
From net realized gain:
Capital		—			(12	)
Institutional		(51	)		—
Select		—			(97	)
SL Agency		(90,949	)		(58,648	)
Trust		—			(257	)
Decrease in net assets resulting from distributions to shareholders		(637,933	)		(59,014	)
Capital Share Transactions
Net increase (decrease) in net assets derived from capital share transactions		(231,225,048	)		800,572,506
Net Assets
Total increase (decrease) in net assets		(231,217,085	)		800,573,151
Beginning of year		2,385,790,620			1,585,217,469
End of year	$	2,154,573,535		$	2,385,790,620
1    Distributions for annual periods determined in accordance with federal income tax regulations.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	11

Financial Highlights BlackRock Cash Funds: Institutional

	Aon Captives
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Net investment income		0.0006			0.0000	1		0.0005			0.0012			0.0008
Net realized and unrealized gain		0.0000	1		0.0001			0.0000	1		—			—
Net increase from investment operations		0.0006			0.0001			0.0005			0.0012			0.0008
Distributions from:2
Net investment income		(0.0006	)		(0.0000	)3		(0.0005	)		(0.0012	)		(0.0008	)
Net realized gain		(0.0000	)3		(0.0001	)		(0.0000	)3		—			—
Total distributions		(0.0006	)		(0.0001	)		(0.0005	)		(0.0012	)		(0.0008	)
Net asset value, end of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Return4
Based on net asset value		0.06%			0.01%			0.05%			0.12%			0.08%
Ratios to Average Net Assets5,6
Total expenses		0.22%			0.22%			0.22%			0.22%			0.22%
Total expenses after fees waived and/or reimbursed		0.22%			0.22%			0.22%			0.22%			0.22%
Net investment income		0.06%			0.01%			0.04%			0.12%			0.07%
Supplemental Data
Net assets, end of year (000)	$	8,558		$	7,999		$	9,166		$	11,003		$	9,167

¹  Amount is less than $0.00005 per share.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Amount is greater than $(0.00005) per share.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income.

⁶  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.03%.

See Notes to Financial Statements.
12	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights (continued) BlackRock Cash Funds: Institutional

	Institutional
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Net investment income		0.0016			0.0010			0.0015			0.0022			0.0018
Net realized and unrealized gain		0.0000	1		0.0001			0.0000	1		—			—
Net increase from investment operations		0.0016			0.0011			0.0015			0.0022			0.0018
Distributions from:2
Net investment income		(0.0016	)		(0.0010	)		(0.0015	)		(0.0022	)		(0.0018	)
Net realized gain		(0.0000	)3		(0.0001	)		(0.0000	)3		—			—
Total distributions		(0.0016	)		(0.0011	)		(0.0015	)		(0.0022	)		(0.0018	)
Net asset value, end of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Return4
Based on net asset value		0.16%			0.11%			0.15%			0.22%			0.18%
Ratios to Average Net Assets5,6
Total expenses		0.12%			0.12%			0.12%			0.12%			0.12%
Total expenses after fees waived and/or reimbursed		0.12%			0.12%			0.12%			0.12%			0.12%
Net investment income		0.15%			0.11%			0.14%			0.22%			0.17%
Supplemental Data
Net assets, end of year (000)	$	2,056,594		$	2,251,121		$	2,802,911		$	1,211,912		$	1,089,872

¹  Amount is less than $0.00005 per share.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Amount is greater than $(0.00005) per share.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income.

⁶  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.03%.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	13

Financial Highlights (continued) BlackRock Cash Funds: Institutional

	Select
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Net investment income		0.0008			0.0002			0.0007			0.0014			0.0010
Net realized and unrealized gain		0.0000	1		0.0001			0.0000	1		—			—
Net increase from investment operations		0.0008			0.0003			0.0007			0.0014			0.0010
Distributions from:2
Net investment income		(0.0008	)		(0.0002	)		(0.0007	)		(0.0014	)		(0.0010	)
Net realized gain		(0.0000	)3		(0.0001	)		(0.0000	)3		—			—
Total distributions		(0.0008	)		(0.0003	)		(0.0007	)		(0.0014	)		(0.0010	)
Net asset value, end of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Return4
Based on net asset value		0.08%			0.03%			0.07%			0.14%			0.10%
Ratios to Average Net Assets5,6
Total expenses		0.22%			0.22%			0.22%			0.22%			0.22%
Total expenses after fees waived and/or reimbursed		0.20%			0.20%			0.20%			0.20%			0.20%
Net investment income		0.07%			0.03%			0.06%			0.14%			0.09%
Supplemental Data
Net assets, end of year (000)	$	5		$	109		$	4,324		$	11,459		$	44,788

¹  Amount is less than $0.00005 per share.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Amount is greater than $(0.00005) per share.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income.

⁶  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.03%.

See Notes to Financial Statements.
14	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights (continued) BlackRock Cash Funds: Institutional

	SL Agency
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Net investment income		0.0019			0.0013			0.0018			0.0025			0.0021
Net realized and unrealized gain		0.0000	1		0.0001			0.0000	1		—			—
Net increase from investment operations		0.0019			0.0014			0.0018			0.0025			0.0021
Distributions from:2
Net investment income		(0.0019	)		(0.0013	)		(0.0018	)		(0.0025	)		(0.0021	)
Net realized gain		(0.0000	)3		(0.0001	)		(0.0000	)3		—			—
Total distributions		(0.0019	)		(0.0014	)		(0.0018	)		(0.0025	)		(0.0021	)
Net asset value, end of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Return4
Based on net asset value		0.19%			0.14%			0.18%			0.25%			0.21%
Ratios to Average Net Assets5,6
Total expenses		0.09%			0.09%			0.09%			0.09%			0.09%
Total expenses after fees waived and/or reimbursed		0.09%			0.09%			0.09%			0.09%			0.09%
Net investment income		0.19%			0.14%			0.17%			0.25%			0.20%
Supplemental Data
Net assets, end of year (000)	$	40,443,595		$	37,748,773		$	37,867,084		$	33,350,562		$	26,815,279

¹  Amount is less than $0.00005 per share.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Amount is greater than $(0.00005) per share.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income.

⁶  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.03%.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	15

Financial Highlights (concluded) BlackRock Cash Funds: Institutional

	Trust
	Period January 1, 2014 to November  10, 20141			Year Ended December 31
				2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00
Net investment income		0.0000	2		0.0001			0.0000	2		0.0001
Net realized gain		0.0000	2		0.0000	2		—			—
Net increase from investment operations		0.0000			0.0001			0.0000			0.0001
Distributions from:3
Net investment income		(0.0000	)4		(0.0001	)		(0.0000	)4		(0.0001	)
Net realized gain		(0.0000	)4		(0.0000	)4		—			—
Total distributions		(0.0000	)		(0.0001	)		(0.0000	)		(0.0001	)
Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00
Total Return5
Based on net asset value		0.00%	6		0.01%			—%			0.01%
Ratios to Average Net Assets7
Total expenses		0.45%	8.9		0.45%	9		0.45%	9		0.45%	9
Total expenses after fees waived and/or reimbursed		0.22%	8,9		0.28%	9		0.34%	9		0.29%	9
Net investment income		0.00%	8,9		0.00%	9		0.00%	9		0.00%	9
Supplemental Data
Net assets, end of period (000)		—	1	$	547		$	8,215		$	10,640

¹  There were no Trust Shares outstanding from November 11, 2014 through December 31, 2014 and the year ended December 31, 2015.

²  Amount is less than $0.00005 per share.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Amount is greater than $(0.00005) per share.

⁵  Where applicable, assumes the reinvestment of distributions.

⁶  Aggregate total return.

⁷  Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income.

⁸  Annualized.

⁹  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.03%.

See Notes to Financial Statements.
16	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights BlackRock Cash Funds: Prime

	Capital
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Net investment income		0.0013			0.0007			0.0011			0.0018			0.0014
Net realized gain		0.0000	1		0.0000	1		0.0000	1		—			—
Net increase from investment operations		0.0013			0.0007			0.0011			0.0018			0.0014
Distributions from:2
Net investment income		(0.0013	)		(0.0007	)		(0.0011	)		(0.0018	)		(0.0014	)
Net realized gain		(0.0000	)3		(0.0000	)3		(0.0000	)3		—			—
Total distributions		(0.0013	)		(0.0007	)		(0.0011	)		(0.0018	)		(0.0014	)
Net asset value, end of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Return4
Based on net asset value		0.13%			0.07%			0.11%			0.18%			0.14%
Ratios to Average Net Assets5
Total expenses		0.14%	6		0.14%	6		0.14%	6		0.14%	6		0.14%	6
Total expenses after fees waived and/or reimbursed		0.14%	6		0.14%	6		0.14%	6		0.14%	6		0.14%	6
Net investment income		0.13%	6		0.07%	6		0.10%	6		0.18%	6		0.15%	6
Supplemental Data
Net assets, end of year (000)	$	2,125,858		$	1,747,725		$	1,472,926		$	1,394,794		$	456,657

¹  Amount is less than $0.00005 per share.

² Distributions for annual periods determined in accordance with federal income tax regulations.

³ Amount is greater than $(0.00005) per share.

⁴ Where applicable, assumes the reinvestment of distributions.

⁵  Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income.

⁶  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.03%.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	17

Financial Highlights (continued) BlackRock Cash Funds: Prime

	Institutional
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Net investment income		0.0015			0.0009			0.0013			0.0020			0.0016
Net realized gain		0.0000	1		0.0000	1		0.0000	1		—			—
Net increase from investment operations		0.0015			0.0009			0.0013			0.0020			0.0016
Distributions from:2
Net investment income		(0.0015	)		(0.0009	)		(0.0013	)		(0.0020	)		(0.0016	)
Net realized gain		(0.0000	)3		(0.0000	)3		(0.0000	)3		—			—
Total distributions		(0.0015	)		(0.0009	)		(0.0013	)		(0.0020	)		(0.0016	)
Net asset value, end of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Return4
Based on net asset value		0.15%			0.09%			0.13%			0.20%			0.16%
Ratios to Average Net Assets5
Total expenses		0.12%	6		0.12%	6		0.12%	6		0.12%	6		0.12%	6
Total expenses after fees waived and/or reimbursed		0.12%	6		0.12%	6		0.12%	6		0.12%	6		0.12%	6
Net investment income		0.15%	6		0.09%	6		0.12%	6		0.20%	6		0.16%	6
Supplemental Data
Net assets, end of year (000)	$	13,516,545		$	9,074,064		$	5,269,961		$	3,236,082		$	2,282,923

¹ Amount is less than $0.00005 per share.

² Distributions for annual periods determined in accordance with federal income tax regulations.

³ Amount is greater than $(0.00005) per share.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income.

⁶  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.03%.

See Notes to Financial Statements.
18	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights (continued) BlackRock Cash Funds: Prime

	Premium
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Net investment income		0.0010			0.0004			0.0008			0.0015			0.0011
Net realized gain		0.0000	1		0.0000	1		0.0000	1		—			—
Net increase from investment operations		0.0010			0.0004			0.0008			0.0015			0.0011
Distributions from:2
Net investment income		(0.0010	)		(0.0004	)		(0.0008	)		(0.0015	)		(0.0011	)
Net realized gain		(0.0000	)3		(0.0000	)3		(0.0000	)3		—			—
Total distributions		(0.0010	)		(0.0004	)		(0.0008	)		(0.0015	)		(0.0011	)
Net asset value, end of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Return4
Based on net asset value		0.10%			0.04%			0.08%			0.15%			0.11%
Ratios to Average Net Assets5
Total expenses		0.17%	6		0.17%	6		0.17%	6		0.17%	6		0.17%	6
Total expenses after fees waived and/or reimbursed		0.17%	6		0.17%	6		0.17%	6		0.17%	6		0.17%	6
Net investment income		0.10%	6		0.04%	6		0.07%	6		0.16%	6		0.11%	6
Supplemental Data
Net assets, end of year (000)	$	1,132,614		$	1,254,768		$	4,669,369		$	3,481,506		$	1,460,178

¹  Amount is less than $0.00005 per share.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Amount is greater than $(0.00005) per share.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income.

⁶  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.03%.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	19

Financial Highlights (continued) BlackRock Cash Funds: Prime

	Select
	Period January 1, 2015 to December 31, 20151			Period January 1, 2014 to December 21, 20142			Year Ended December 31,
							2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Net investment income		0.0000	3		0.0000	3		0.0005			0.0012			0.0008
Net realized gain		0.0000	3		0.0000	3		0.0000	3		—			—
Net increase from investment operations		0.0000			0.0000			0.0005			0.0012			0.0008
Distributions from:4
Net investment income		(0.0000	)5		(0.0000	)5		(0.0005	)		(0.0012	)		(0.0008	)
Net realized gain		—			(0.0000	)5		(0.0000	)5		—			—
Total distributions		(0.0000	)		(0.0000	)		(0.0005	)		(0.0012	)		(0.0008	)
Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Return6
Based on net asset value		0.00%7			0.00%	7		0.05%			0.12%			0.09%
Ratios to Average Net Assets8
Total expenses		0.22%	9,10		0.22%	9,10		0.22%	9		0.22%	9		0.22%	9
Total expenses after fees waived and/or reimbursed		0.20%	9,10		0.20%	9,10		0.20%	9		0.20%	9		0.20%	9
Net investment income		0.08%	9,10		0.00%	9,10		0.04%	9		0.12%	9		0.08%	9
Supplemental Data
Net assets, end of period (000)		—	1		—	2	$	90		$	10,454		$	69,779

¹  There were no Select Shares outstanding from January 1, 2015 through January 19, 2015, January 21, 2015 through February 17, 2015, February 20, 2015 through March 17, 2015, March 20, 2015 through April 19, 2015, April 22, 2015 through May 17, 2015, May 20, 2015 through June 18, 2015 and June 22, 2015 through December 31, 2015.

²  There were no Select Shares outstanding from November 11, 2014 through November 17, 2014, November 18, 2014 through December 18, 2014, December 22, 2014 through December 31, 2014

³  Amount is less than $0.00005 per share.

⁴  Distributions for annual periods determined in accordance with federal income tax regulations.

⁵  Amount is greater than $(0.00005) per share.

⁶  Where applicable, assumes the reinvestment of distributions.

⁷  Aggregate total return.

⁸  Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income.

⁹  Includes the Fund’s share of the Master Portfolio’s annualized allocated fees waived of 0.03%.

¹⁰  Annualized.

See Notes to Financial Statements.
20	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights (continued) BlackRock Cash Funds: Prime

	SL Agency
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Net investment income		0.0018			0.0012			0.0016			0.0023			0.0019
Net realized gain		0.0000	1		0.0000	1		0.0000	1		—			—
Net increase from investment operations		0.0018			0.0012			0.0016			0.0023			0.0019
Distributions from:2
Net investment income		(0.0018	)		(0.0012	)		(0.0016	)		(0.0023	)		(0.0019	)
Net realized gain		(0.0000	)3		(0.0000	)3		(0.0000	)3		—			—
Total distributions		(0.0018	)		(0.0012	)		(0.0016	)		(0.0023	)		(0.0019	)
Net asset value, end of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Return4
Based on net asset value		0.18%			0.12%			0.16%			0.23%			0.19%
Ratios to Average Net Assets5
Total expenses		0.09%	6		0.09%	6		0.09%	6		0.09%	6		0.09%	6
Total expenses after fees waived		0.09%	6		0.09%	6		0.09%	6		0.09%	6		0.09%	6
Net investment income		0.18%	6		0.12%	6		0.15%	6		0.23%	6		0.19%	6
Supplemental Data
Net assets, end of year (000)	$	8,675,863		$	10,615,765		$	5,689,192		$	5,877,464		$	4,830,517

¹  Amount is less than $0.00005 per share.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Amount is greater than $(0.00005) per share.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income.

⁶  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.03%.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	21

Financial Highlights (concluded) BlackRock Cash Funds: Prime

	Trust
	Period January 1, 2014 to November 10, 20141			Year Ended December 31,
				2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00
Net investment income		0.0000	2		0.0001			0.0000	2		0.0000	2
Net realized gain		0.0000	2		0.0000	2		—			—
Net increase from investment operations		0.0000			0.0001			0.0000			0.0000
Distributions from:3
Net investment income		(0.0000	)4		(0.0001	)		(0.0000	)4		(0.0000	)4
Net realized gain		(0.0000	)4		(0.0000	)4		—			—
Total distributions		(0.0000	)		(0.0001	)		(0.0000	)		(0.0000	)
Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00
Total Return5
Based on net asset value		0.00%	6		0.01%			0.00%			0.00%
Ratios to Average Net Assets7
Total expenses		0.45%	8,9		0.45%	9		0.45%	9		0.45%	9
Total expenses after fees waived and/or reimbursed		0.20%	8,9		0.24%	9		0.32%	9		0.28%	9
Net investment income		0.00%	8,9		0.00%	9		0.00%	9		0.01%	9
Supplemental Data
Net assets, end of period (000)		—	1	$	8,086		$	21,702		$	29,657

¹  There were no Trust Shares outstanding from November 11, 2014 through December 31, 2014 and the year ended December 31, 2015.

²  Amount is less than $0.00005 per share.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Amount is greater than $(0.00005) per share.

⁵  Where applicable, assumes the reinvestment of distributions.

⁶  Aggregate total return.

⁷  Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income.

⁸  Annualized.

⁹  Includes the Fund’s share of the Master Portfolio’s annualized allocated fees waived of 0.03%.

See Notes to Financial Statements.
22	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights BlackRock Cash Funds: Treasury

	Capital
	Period January 1, 2014 to November 10, 20141			Year Ended December 31,
				2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00
Net investment income		—			0.0001			0.0002			0.0004
Net realized gain		0.0000	2		0.0000	2		—			—
Net increase from investment operations		0.0000			0.0001			0.0002			0.0004
Distributions from:3
Net investment income		—			(0.0001	)		(0.0002	)		(0.0004	)
Net realized gain		(0.0000	)4		(0.0000	)4		—			—
Total distributions		(0.0000	)		(0.0001	)		(0.0002	)		(0.0004	)
Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00
Total Return5
Based on net asset value		0.00%	6		0.01%			0.02%			0.04%
Ratios to Average Net Assets7
Total expenses		0.13%	8,9		0.14%	10		0.14%	10		0.14%	9
Total expenses after fees waived and/or reimbursed		0.06%	8,9		0.12%	10		0.13%	10		0.10%	9
Net investment income		0.00%	8,9		0.00%	10		0.02%	10		0.01%	9
Supplemental Data
Net assets, end of period (000)		—	1	$	715		$	273,121		$	18,370

¹  There were no Capital shares outstanding from November 11, 2014 through December 31, 2014 and the year ended December 31, 2015.

²  Amount is less than $0.00005 per share.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Amount is greater than $(0.00005) per share.

⁵  Where applicable, assumes the reinvestment of distributions.

⁶  Aggregate total return.

⁷  Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income.

⁸  Annualized.

⁹  Includes the Fund’s share of the Master’s Portfolio allocated fees waived of 0.04%.

¹⁰  Includes the Fund’s share of the Master’s Portfolio allocated fees waived of 0.03%.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	23

Financial Highlights (continued) BlackRock Cash Funds: Treasury

	Institutional
	Period January 1, 2015 to December 31 20151			Year Ended December 31,
				2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Net investment income		0.0000	2		—			0.0001			0.0002			0.0004
Net realized gain		0.0000	2		0.0000	1		0.0000	1		—			—
Net increase from investment operations		0.0000			0.0000			0.0000	1		0.0002			0.0004
Distributions from:3
Net investment income		(0.0000	)4		—			(0.0001	)		(0.0002	)		(0.0004	)
Net realized gain.		(0.0000	)4		(0.0000	)3		(0.0000	)3		—			—
Total distributions		(0.0000	)		(0.0000	)		(0.0001	)		(0.0002	)		(0.0004	)
Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Return5
Based on net asset value		0.00%			0.00%			0.01%			0.02%			0.04%
Ratios to Average Net Assets6
Total expenses		0.12%	7		0.17%	8		0.12%	7		0.12%	7		0.12%	8
Total expenses after fees waived and/or reimbursed		0.11%	7		0.06%	8		0.10%	7		0.11%	7		0.11%	8
Net investment income		0.01%	7		0.00%	8		0.01%	7		0.02%	7		0.03%	8
Supplemental Data
Net assets, end of period (000)		—	1	$	4		$	4		$	4		$	8,941

¹  There were no Institutional shares outstanding as of the year ended December 31, 2015.

²  Amount is less than $0.00005 per share.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Amount is greater than $(0.00005) per share.

⁵  Where applicable, assumes the reinvestment of distributions

⁶  Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income.

⁷  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.03%.

⁸  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.04%.

See Notes to Financial Statements.
24	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights (continued) BlackRock Cash Funds: Treasury

	Premium
	Period December 20, 20121			Period January 1, 2010 to July 26, 20102
Per Share Operating Performance
Net asset value, beginning of period	$	1.00		$	1.00
Net investment income		0.0000	3		0.0003
Net realized gain		0.0000	3		—
Net increase from investment operations		0.0000			0.0003
Distributions from:4
Net investment income		(0.0000	)5		(0.0003	)
Net realized gain		(0.0000	)5		—
Total distributions		(0.0000	)		(0.0003	)
Net asset value, end of period	$	1.00		$	1.00
Total Return6
Based on net asset value		0.00%	7		0.03%	7
Ratios to Average Net Assets8
Total expenses		0.00%	9,10		0.20%	9,10
Total expenses after fees waived		0.00%	9,10		0.11%	9,10
Net investment income		0.00%	9,10		0.05%	9,10
Supplemental Data
Net assets, end of period (000)		—	1		—	2

¹  There were no Premium Shares outstanding during the fiscal years ended December 31, 2012, December 31, 2013, December 31, 2014, and December 31, 2015, except for December 20, 2012.

²  There were no Premium Shares outstanding from July 27, 2010 through December 31, 2010 and during the fiscal year ended December 31, 2011.

³  Amount is less than $0.00005 per share.

⁴  Distributions for annual periods determined in accordance with federal income tax regulations.

⁵  Amount is greater than $(0.00005) per share.

⁶ Where applicable, assumes the reinvestment of distributions.

⁷ Aggregate total return.

⁸ Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income, except the total expenses for the period ended July 26, 2010, which includes gross expenses.

⁹ Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.03%.

¹⁰ Annualized.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	25

Financial Highlights (continued) BlackRock Cash Funds: Treasury

	Select
	Period January 1, 2014 to December  22, 20141			Year Ended December 31,
				2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00
Net investment income		—			0.0001			0.0000	2		0.0003
Net realized gain		0.0000	2		0.0000	2		—			—
Net increase from investment operations		0.0000			0.0001			0.0000			0.0003
Distributions from:3
Net investment income		—			(0.0001	)1		(0.0000	)4		(0.0003	)
Net realized gain		(0.0000	)4		(0.0000	)4		—			—
Total Distributions		(0.0000	)		(0.0001	)		(0.0000	)		(0.0003	)
Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00
Total Return5
Based on net asset value		0.00%	6		0.01%			0.00%			0.03%
Ratios to Average Net Assets7
Total expenses		0.21%	8,9		0.21%	9		0.22%	10		0.21%	9
Total expenses after fees waived and/or reimbursed		0.06%	8,9		0.09%	9		0.15%	10		0.08%	9
Net investment income		0.00%	8,9		0.00%	9		0.00%	10		0.00%	9
Supplemental Data
Net assets, end of period (000)		—	1	$	10,398		$	10,543		$	13,119

¹  There were no Select shares outstanding from December 22, 2014 through December 31, 2014, and the year ended December 31, 2015.

²  Amount is less than $0.00005 per share.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Amount is greater than $(0.00005) per share.

⁵  Where applicable, assumes the reinvestment of distributions.

⁶  Aggregate total return.

⁷  Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income.

⁸  Annualized.

⁹  Includes the Fund’s share of the Master’s Portfolio allocated fees waived of 0.04%.

¹⁰  Includes the Fund’s share of the Master’s Portfolio allocated fees waived of 0.03%.

See Notes to Financial Statements.
26	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights (continued) BlackRock Cash Funds: Treasury

	SL Agency
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Net investment income		0.0003			—			0.0002			0.0006			0.0005
Net realized gain		0.0000	1		0.0000	1		0.0000	1		—			—
Net increase from investment operations		0.0003			0.0000			0.0002			0.0006			0.0005
Distributions from:2
Net investment income		(0.0003	)		—			(0.0002	)		(0.0006	)		(0.0005	)
Net realized gain		(0.0000	)3		(0.0000	)3		(0.0000	)3		—			—
Total distributions		(0.0003	)		(0.0000	)		(0.0002	)		(0.0006	)		(0.0005	)
Net asset value, end of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Return4
Based on net asset value		0.03%			0.00%			0.02%			0.06%			0.05%
Ratios to Average Net Assets5
Total expenses		0.09%	6		0.08%	7		0.08%	7		0.09%	6		0.09%	7
Total expenses after fees waived and/or reimbursed		0.09%	6		0.06%	7		0.07%	7		0.09%	6		0.08%	7
Net investment income		0.03%	6		0.00%	7		0.01%	7		0.06%	6		0.03%	7
Supplemental Data
Net assets, end of year (000)	$	2,154,574		$	2,385,787		$	1,548,187		$	1,525,904		$	682,865

¹  Amount is less than $0.00005 per share.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Amount is greater than $(0.00005) per share.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income.

⁶  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.03%.

⁷  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.04%.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	27

Financial Highlights (concluded) BlackRock Cash Funds: Treasury

	Trust
	Period January 1, 2014 to November 10, 20141			Year Ended December 31,
				2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00
Net investment income		—			0.0001			0.0000	2		0.0003
Net realized gain		0.0000	2		0.0000	2		—			—
Net increase from investment operations		0.0000			0.0001			0.0000			0.0003
Distributions from:3
Net investment income		—			(0.0001	)		(0.0000	)4		(0.0003	)
Net realized gain		(0.0000	)4		(0.0000	)4		—			—
Total Distributions		(0.0000	)		(0.0001	)		(0.0000	)		(0.0003	)
Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00
Total Return5
Based on net asset value		0.00%	6		0.01%			0.00%			0.03%
Ratios to Average Net Assets7
Total expenses		0.44%	8,9		0.44%	9		0.45%	10		0.45%	9
Total expenses after fees waived and/or reimbursed		0.06%	8,9		0.09%	9		0.15%	10		0.10%	9
Net investment income		0.00%	8,9		0.00%	9		0.00%	10		0.00%	9
Supplemental Data
Net assets, end of period (000)		—	1	$	25,914		$	15,407		$	23,597

¹  There were no Trust shares outstanding from November 11, 2014 through December 31, 2014, and the year ended December 31, 2015.

²  Amount is less than $0.00005 per share.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Amount is greater than $(0.00005) per share.

⁵  Where applicable, assumes the reinvestment of distributions.

⁶  Aggregate total return.

⁷  Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income.

⁸  Annualized.

⁹  Includes the Fund’s share of the Master’s Portfolio allocated fees waived of 0.04%.

¹⁰  Includes the Fund’s share of the Master’s Portfolio allocated fees waived of 0.03%.

See Notes to Financial Statements.
28	BLACKROCK FUNDS III	DECEMBER 31, 2015

Notes to Financial Statements BlackRock Funds III

1. Organization:

BlackRock Funds III (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust is organized as a Delaware statutory trust. The following are referred to herein collectively as the “Funds” or individually, a “Fund”:

Fund Name	Herein Referred To As	Diversification Classification
BlackRock Cash Funds: Institutional	Institutional	Diversified
BlackRock Cash Funds: Prime	Prime	Diversified
BlackRock Cash Funds: Treasury	Treasury	Diversified

Each Fund seeks to achieve its investment objective by investing all of its assets in a corresponding series of the Master Investment Portfolio (“MIP”): Money Market Master Portfolio, Prime Money Market Master Portfolio and Treasury Money Market Master Portfolio (each, a “Master Portfolio”) and together (the “Master Portfolios”). MIP is an affiliate of the Trust. Each Master Portfolio has the same investment objective and strategies as its corresponding Fund. The value of each Fund’s investment in the its corresponding Master Portfolio reflects the Fund’s proportionate interest in the net assets of the Master Portfolio. The performance of the Funds is directly affected by the performance of the Master Portfolios. At December 31, 2015, the percentage of the Master Portfolio owned by the corresponding Fund was 98.2% for Institutional, 95.3% for Prime and 62.5% for Treasury. 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 Funds’ financial statements.

Each 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. The Aon Captives Shares also bear certain expenses related to the distribution of such shares. The Aon Captives Shares have exclusive voting rights with respect to matters relating to their distribution expenditures. The Boards of Trustees of the Funds and Boards of Directors of the Master Portfolios are referred to throughout this report as the “Board of Directors” or the “Board” and the members are referred to as “Directors.”

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. Each 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 Investment Income: For financial reporting purposes, contributions to and withdrawals from the Master Portfolio are accounted on a trade date basis. The Funds record daily their proportionate share of the Master Portfolio’s income, expenses and realized and unrealized gains and losses. In addition, the Funds accrue their own expenses. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.

Distributions: Distributions from net investment income are declared daily and paid monthly. Distributions of capital gains are recorded on the ex-dividend date. The character and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.

Indemnifications: In the normal course of business, the Funds enter into contracts that contain a variety of representations that provide general indemnification. The Funds’ maximum exposure under these arrangements is unknown because it involves future potential claims against the Funds, which cannot be predicted with any certainty.

Other: Expenses directly related to a Fund or its classes are charged to that Fund or the applicable class. Other operating expenses shared by several funds, including other funds managed by BlackRock Fund Advisors (the “Manager” or “BFA”), the investment advisor to the Master Portfolios, are prorated among those funds on the basis of relative net assets or other appropriate methods. Expenses directly related to the Funds and other shared expenses prorated to the Funds are allocated daily to each class based on its relative net assets or other appropriate methods.

The Funds have an arrangement with their custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statements of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges. Effective September 2015, the arrangement with their custodian for earning credits on uninvested cash balances has ceased and the custodian will be imposing fees on certain uninvested cash balances.

3. Investment Valuation and Fair Value Measurements:

The Funds’ policy is to fair value its financial instruments at market value. Each Fund records its investment in the corresponding Master Portfolio at fair value based on the Fund’s proportionate interest in the net assets of the Master Portfolio. Valuation of securities held by the Master Portfolio is discussed in Note 3 of the Master Portfolios’ Notes to Financial Statements, which are included elsewhere in this report.

BLACKROCK FUNDS III DECEMBER 31, 2015 29

Notes to Financial Statements (continued) BlackRock Funds III

4. Administration Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

The Trust, on behalf of the Funds entered into an Administration Agreement with BlackRock Advisors, LLC (“BAL”), which has agreed to provide general administration services (other than investment advice and related portfolio activities). BAL, in consideration thereof, has agreed to bear all of the Funds’ ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by the Funds. BAL is entitled to receive for these administration services an annual fee based on the average daily net assets of each Fund as follows:

	Institutional			Prime			Treasury
Aon Captives		0.05%			N/A			N/A
Capital		0.07%	1		0.07%			0.07%	1
Institutional		0.05%			0.05%			0.05%	1
Premium		0.10%	1		0.10%			0.10%	1
Select		0.15%			0.15%	1		0.15%	1
SL Agency		0.02%			0.02%			0.02%
Trust		0.38%	1		0.38%	1		0.38%	1

¹  With no shares outstanding as of December 31, 2015

For the year ended December 31, 2015, the administration fees, which are included in administration — class specific in the Statements of Operations, for each class of each Fund are as follows:

	Institutional			Prime			Treasury
Aon Captives	$	4,098			N/A			N/A
Capital		—	1	$	1,304,195			—	1
Institutional	$	1,602,721		$	4,893,500		$	1,684	1
Premium		—	1	$	1,265,661			—	1
Select	$	37		$	1,985	1		—	1
SL Agency	$	7,807,638		$	2,006,361		$	424,559
Trust		—	1		—	1	$	4	1

¹  With no shares outstanding as of December 31, 2015

From time to time, BAL may waive such fees in whole or in part. Any such waiver will reduce the expenses of the Fund and, accordingly, have a favorable impact on its performance. BAL may delegate certain of its administration duties to sub-administrators.

BAL contractually agreed to waive a portion of its administration fees for the Select Shares through April 30, 2016. After giving effect to such contractual expense limitation, the administration fees for the Select Shares will be 0.13%. These amounts are included in administration fees waived — class specific in the Statements of Operations.

The fees and expenses of the Funds’ trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and the Trust’s independent registered public accounting firm (together, the “independent expenses”) are paid directly by the Funds. BAL has contractually agreed to provide an offsetting credit against the administration fees paid by the Funds in an amount equal to the independent expenses through April 30, 2016. These amounts are included in fees reimbursed by the administrator in the Statements of Operations.

BAL voluntarily agreed to waive administration fees and/or reimburse operating expenses to enable the Funds to maintain minimum levels of daily net investment income. These amounts are reported in the Statements of Operations as administration fees waived — class specific. BAL may discontinue the waiver or reimbursement at any time.

For the year ended December 31, 2015, BAL waived the administration fees, for the funds as follows:

	Institutional		Prime		Treasury
Aon Captives		N/A		N/A		N/A
Capital		—		—		N/A
Institutional		—		—	$	319
Premium		—		—		—
Select	$	4	$	265		N/A
SL Agency		—		—	$	91,453
Trust		N/A		N/A	$	3

As of December 31, 2015, the only investors for the SL Agency Shares of the Funds are investment companies for which (i) BFA, BAL, or an affiliate provides investment advisory or administration services, or (ii) BlackRock Institutional Trust Company, N.A. (“BTC”) acts as securities lending agent and which have directed BTC on their behalf to invest securities lending cash collateral in the Funds. Affiliated shareholders in the SL Agency Shares of the Funds represent a significant portion of the outstanding shares and net assets of Institutional, Prime and Treasury.

30 BLACKROCK FUNDS III DECEMBER 31, 2015

Notes to Financial Statements (continued) BlackRock Funds III

The Trust, on behalf of the Funds, entered into a Distribution Agreement with BlackRock Investments, LLC (“BRIL”), an affiliate of the Administrator, and has adopted a Distribution Plan in accordance with Rule 12b-1 with respect to the Aon Captives Shares. Pursuant to the Distribution Plan and in accordance with Rule 12b-1 under the 1940 Act, Institutional pays BRIL ongoing distribution fees with respect to Aon Captives Shares. The fees are accrued daily and paid monthly at an annual rate of 0.10% based upon the average daily net assets of the Aon Captives Shares. The Capital Shares, Institutional Shares, Premium Shares, Select Shares, SL Agency Shares and Trust Shares of Institutional do not pay any fees for distribution services. The fees paid to BRIL by Institutional are shown as Distribution – Aon Captives in the Statements of Operations.

Certain officers and/or directors of the Trust are officers and/or directors of BlackRock or its affiliates.

5. Income Tax Information:

It is the Funds’ 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 their taxable income to their shareholders. Therefore, no federal income tax provision is required.

Each 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 each Fund’s U.S. federal tax returns remains open for each of the four years ended December 31, 2015. The statutes of limitations on each 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 Funds as of December 31, 2015, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.

The tax character of distributions paid was as follows:

		Institutional		Prime		Treasury
Ordinary income	12/31/15	$	79,488,252	$	36,794,663	$	637,933
	12/31/14	$	59,552,727	$	16,201,904	$	59,014
Long-term capital gains	12/31/15	$	41,775		—		—
	12/31/14	$	1		—		—
Total	12/31/15	$	79,530,027	$	36,794,663	$	637,933
	12/31/14	$	59,552,728	$	16,201,904	$	59,014

As of December 31, 2015, the tax components of accumulated net earnings (losses) were as follows:

	Institutional		Prime		Treasury
Undistributed ordinary income	$	1,238,934	$	585,572	$	11,194
Undistributed long-term capital gains		—		—		4,427
Total	$	1,238,934	$	585,572	$	15,621

6. Principal Risks:

On July 23, 2014, the U.S. Securities and Exchange Commission adopted amendments to money market fund regulations, which structurally change the way that certain money market funds will be required to operate. The compliance period for amendments range between July 2015 and October 2016. When implemented, the changes may affect the Funds’ investment strategies, fees and expenses, portfolio and share liquidity and return potential. The Funds continue to evaluate their strategy to implement the new regulations.

7. Capital Share Transactions:

The number of shares sold, reinvested, and redeemed corresponds to the net proceeds from the sale of shares, reinvestment of all distributions and cost of shares redeemed, respectively, since shares are sold and redeemed at $1.00 per share.

Transactions in capital shares for each class were as follows:

	Year Ended December 31,
Institutional	2015		2014
Aon Captives
Shares sold		559,341		863
Shares issued in reinvestment of distributions		7		9
Shares redeemed		—		(1,168,184	)
Net increase (decrease)		559,348		(1,167,312	)

BLACKROCK FUNDS III DECEMBER 31, 2015 31

Notes to Financial Statements (continued) BlackRock Funds III

	Year Ended December 31,
Institutional (concluded)	2015			2014
Institutional
Shares sold		26,330,768,077			24,174,318,747
Shares issued in reinvestment of distributions		2,755,963			1,530,102
Shares redeemed		(26,528,049,293	)		(24,727,616,848	)
Net decrease		(194,525,253	)		(551,767,999	)
Select
Shares sold		—			59,051
Shares issued in reinvestment of distributions		13			69
Shares redeemed		(103,187	)		(4,274,228	)
Net decrease		(103,174	)		(4,215,108	)
SL Agency
Shares sold		98,921,406,773			75,649,211,014
Shares issued in reinvestment of distributions		20,513			5,745
Shares redeemed and automatic conversion of shares		(96,226,567,815	)		(75,767,214,636	)
Net increase (decrease)		2,694,859,471			(117,997,877	)
Trust
Shares sold		—			491,932
Shares issued in reinvestment of distributions		—			—
Shares redeemed and automatic conversion of shares		—			(1,038,529	)
Net decrease		—			(546,597	)
Total Net Increase (Decrease)		2,500,790,392			(675,694,893	)
Prime
Capital
Shares sold		30,021,242,764			19,558,369,648
Shares issued in reinvestment of distributions		1,851,980			747,799
Shares redeemed		(29,644,982,520	)		(19,284,321,993	)
Net increase		378,112,224			274,795,454
Institutional
Shares sold		146,093,605,195			90,953,147,912
Shares issued in reinvestment of distributions		6,541,052			2,041,048
Shares redeemed		(141,657,821,784	)		(87,151,135,023	)
Net increase		4,442,324,463			3,804,053,937
Premium
Shares sold		168,198,834,483			91,004,079,422
Shares issued in reinvestment of distributions		82,926			289,235
Shares redeemed		(168,321,079,404	)		(94,418,933,588	)
Net decrease		(122,161,995	)		(3,414,564,931	)
Select
Shares sold		221,615,435			185,549,826
Shares issued in reinvestment of distributions		1,100			117
Shares redeemed		(221,616,535	)		(185,639,776	)
Net decrease		—			(89,833	)

32 BLACKROCK FUNDS III DECEMBER 31, 2015

Notes to Financial Statements (concluded) BlackRock Funds III

	Year Ended December 31,
Prime (concluded)	2015			2014
SL Agency
Shares sold		10,735,695,202			9,947,000,412
Shares issued in reinvestment of distributions		87			79
Shares redeemed and automatic conversion of shares		(12,675,646,227	)		(5,020,488,361	)
Net increase (decrease)		(1,939,950,938	)		4,926,512,130
Trust
Shares sold		—			1,137,434
Shares issued in reinvestment of distributions		—			37
Shares redeemed and automatic conversion of shares		—			(9,223,528	)
Net decrease		—			(8,086,057	)
Total Net Increase		2,758,323,754			5,582,620,700
Treasury
Capital
Shares sold		—			20,717,143
Shares issued in reinvestment of distributions		—			12
Shares redeemed		—			(21,432,458	)
Net decrease		—			(715,303	)
Institutional
Shares sold		211,800,000			—
Shares issued in reinvestment of distributions		330			—
Shares redeemed		(211,804,234	)		—
Net decrease		(3,904	)		—
Select
Shares sold		—			143,550,647
Shares issued in reinvestment of distributions		—			97
Shares redeemed		—			(153,948,584	)
Net decrease		—			(10,397,840	)
SL Agency
Shares sold		61,854,753,309			52,795,170,781
Shares issued in reinvestment of distributions		23,792			2,784
Shares redeemed and automatic conversion of shares		(62,085,998,245	)		(51,957,574,256	)
Net increase (decrease)		(231,221,144	)		837,599,309
Trust
Shares sold		—			25,872,237
Shares issued in reinvestment of distributions		—			256
Shares redeemed and automatic conversion of shares		—			(51,786,153	)
Net decrease		—			(25,913,660	)
Total Net Increase (Decrease)		(231,225,048	)		800,572,506

8. Subsequent Events:

Management has evaluated the impact of all subsequent events on the Funds 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.

BLACKROCK FUNDS III DECEMBER 31, 2015 33

Report of Independent Registered Public Accounting Firm BlackRock Funds III

To the Board of Trustees of BlackRock Funds III and the Shareholders of BlackRock Cash Funds: Institutional, BlackRock Cash Funds: Prime and BlackRock Cash Funds: Treasury:

In our opinion, the accompanying statements of assets and liabilities and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of BlackRock Cash Funds: Institutional, BlackRock Cash Funds: Prime and BlackRock Cash Funds: Treasury (the “Funds”), each a series of BlackRock Funds III, at December 31, 2015, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 18, 2016

Important Tax Information (Unaudited)

The following information is provided with respect to the ordinary income distributions paid by Institutional, Prime and Treasury for the taxable year ended December 31, 2015.

Interest Related Dividends and Qualified Short-Term Capital Gains for Non-US Residents1
	Months Paid
	January — December 2015
Institutional	83.89%
Prime	78.79%
Treasury	100.00%
Federal Obligation Interest2
Institutional	2.85%
Prime	0.59%
Treasury	54.76%

¹  Represents the portion of the taxable ordinary dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations.

²  The law varies in each state as to whether and what percentage of dividend income attributable to Federal obligations is exempt from state income tax. We recommend that you consult your tax advisor to determine if any of the dividends you received is exempt from state income taxes.

Additionally, Institutional distributed long-term capital gains of $0.0000010020 per share to shareholders of record on December 15, 2015.

34 BLACKROCK FUNDS III DECEMBER 31, 2015

Master Portfolio Information as of December 31, 2015 Master Investment Portfolio

Money Market Master Portfolio

Portfolio Composition	Percent of Net Assets
Repurchase Agreements		40	%
Commercial Paper		29
Certificates of Deposit		26
U.S. Government Sponsored Agency Obligations		4
Time Deposits		1
Corporate Notes		—
U.S. Treasury Obligations		—
Liabilities in Excess of Other Assets		(—	)
Total		100	%

Prime Money Market Master Portfolio

Portfolio Composition	Percent of Net Assets
Repurchase Agreements		45	%
Commercial Paper		30
Certificates of Deposit		21
Time Deposits		2
Corporate Notes		1
U.S. Government Sponsored Agency Obligation		1
U.S. Treasury Obligations		—
Other Assets Less Liabilities		—
Total		100	%

Treasury Money Market Master Portfolio

Portfolio Composition	Percent of Net Assets
Repurchase Agreements		58	%
U.S. Treasury Obligations		42
Other Assets Less Liabilities		—
Total		100	%

BLACKROCK FUNDS III DECEMBER 31, 2015 35

Schedule of Investments December 31, 2015 Money Market Master Portfolio (Percentages shown are based on Net Assets)

Certificates of Deposit	Par   (000)		Value
Domestic
Bank of America N.A.:
0.37%, 1/04/16	$	183,000	$	183,000,000
0.42%, 1/07/16 (a)		200,000		200,000,000
0.44%, 4/05/16 (a)		497,400		497,400,000
0.48%, 4/18/16		100,000		100,000,000
0.57%, 4/20/16 (a)		150,000		150,000,000
State Street Bank & Trust, 0.59%, 3/29/16 (a)		149,000		149,000,000
Wells Fargo Bank NA (a):
0.55%, 1/06/16		135,000		135,000,000
0.55%, 1/21/16		150,000		150,000,000
0.54%, 2/12/16		100,000		100,000,000
0.57%, 2/12/16		35,000		35,000,000
0.54%, 2/18/16		150,000		150,000,000
0.32%, 4/01/16		177,500		177,500,000
				2,026,900,000
Yankee (b)
Bank of Montreal, Chicago (a):
0.39%, 1/07/16		140,000		140,000,000
0.59%, 1/25/16		200,000		200,000,000
0.60%, 4/21/16		400,000		400,000,000
0.56%, 6/01/16		130,000		130,000,000
0.65%, 7/21/16		125,000		125,000,000
Bank of Nova Scotia, Houston (a):
0.56%, 3/18/16		75,000		75,000,000
0.58%, 4/08/16		185,000		185,000,000
0.55%, 4/15/16		92,000		92,000,000
0.59%, 5/09/16		150,000		150,000,000
0.56%, 6/06/16		100,000		100,000,000
Bank of Tokyo-Mitsubishi UFJ Ltd., New York:
0.28%, 1/05/16		100,000		100,000,000
0.28%, 1/06/16		75,000		75,000,000
0.48%, 1/07/16 (a)		246,000		246,000,000
Canadian Imperial Bank of Commerce, New York (a):
0.53%, 1/26/16		97,100		97,100,000
0.57%, 4/18/16		200,000		200,000,000
0.59%, 5/19/16		400,000		400,000,000
0.55%, 5/23/16		400,000		400,000,000
0.55%, 6/01/16		250,000		250,000,000
0.62%, 6/01/16		200,000		200,000,000
0.65%, 6/30/16		150,000		150,000,000
Credit Industriel et Commercial, New York, 0.53%, 2/11/16 (a)		225,000		225,000,000
Mitsubishi UFJ Trust & Banking Corp., New York, 0.45%, 2/04/16 (a)		100,000		100,000,000
Mizuho Bank Ltd., New York:
0.37%, 1/19/16		150,000		150,000,000
0.30%, 1/26/16		298,550		298,550,000
0.51%, 4/01/16		50,000		50,000,000
Nordea Bank AB, 0.49%, 5/13/16 (a)		180,000		180,000,000
Norinchukin Bank, New York:
0.33%, 1/06/16		122,500		122,500,000
0.33%, 1/07/16		300,000		300,000,000
0.31%, 1/08/16		125,000		125,000,000
0.30%, 1/27/16		88,500		88,500,000
Rabobank Nederland, New York (a):
0.41%, 1/11/16		280,000		280,000,000
0.46%, 4/11/16		200,000		200,000,000
Royal Bank of Canada, New York (a):
0.45%, 3/16/16		200,000		200,000,000
0.46%, 5/03/16		310,000		310,000,000
0.57%, 10/14/16		180,000		180,000,000
Skandinaviska Enskilda Banken AB, New York:
0.50%, 3/01/16		10,000		10,002,491
0.50%, 3/14/16 (a)		150,000		150,000,000
0.39%, 4/05/16 (a)		200,000		200,000,000

Certificates of Deposit	Par   (000)		Value
Yankee (b) (continued)
Standard Chartered Bank, New York, 0.37%, 1/04/16 (a)	$	200,000	$	200,000,000
Sumitomo Mitsui Banking Corp., New York (a):
0.48%, 1/08/16 (a)		100,000		100,000,000
0.64%, 2/25/16		175,000		175,000,000
0.55%, 3/15/16		250,000		250,000,000
0.49%, 4/07/16		130,000		130,000,000
Sumitomo Mitsui Trust Bank Ltd.:
0.38%, 1/08/16		220,000		220,000,000
0.77%, 6/21/16 (a)		100,000		100,000,000
Toronto-Dominion Bank, New York:
0.52%, 1/26/16 (a)		150,000		150,000,000
0.53%, 2/25/16 (a)		100,000		100,000,000
0.57%, 5/19/16 (a)		75,000		75,000,000
0.75%, 6/06/16		130,000		130,000,000
0.57%, 10/17/16 (a)		137,000		137,000,000
UBS AG, Stamford (a):
0.56%, 2/17/16		300,000		300,000,000
0.67%, 4/29/16		295,000		295,000,000
Westpac Banking Corp., New York, 0.57%, 10/21/16 (a)		25,000		25,000,000
				9,271,652,491
Total Certificates of Deposit — 26.1%				11,298,552,491
Commercial Paper
ABN Amro Funding USA LLC (c):
0.32%, 1/19/16		100,000		99,984,000
0.43%, 3/02/16		170,000		169,876,136
0.63%, 3/28/16		296,500		296,048,579
ANZ New Zealand International Ltd. (a):
0.45%, 5/03/16		100,000		100,000,000
0.39%, 6/03/16 (d)		50,000		50,000,000
ASB Finance Ltd. (a):
0.50%, 5/09/16		100,000		100,000,000
0.49%, 7/01/16		150,000		150,000,000
Atlantic Asset Securitization LLC (c):
0.30%, 1/06/16		200,000		199,991,667
0.30%, 1/07/16		100,000		99,995,000
Australia & New Zealand Banking Group Ltd. (a):
0.63%, 5/23/16		250,000		250,000,000
0.64%, 5/26/16		250,000		250,000,000
0.60%, 6/03/16		180,000		180,000,000
Bank of Nova Scotia:
0.55%, 4/21/16 (a)		75,000		74,990,576
0.50%, 5/04/16 (c)(d)		190,000		189,672,778
Bennington Stark Capital Co. (c):
0.30%, 1/05/16		45,000		44,998,500
0.60%, 2/02/16		130,000		129,930,667
0.55%, 2/16/16		100,000		99,929,722
Bedford Row Funding Corp. (a):
0.41%, 2/05/16		100,000		100,000,000
0.56%, 2/26/16		65,000		65,000,000
0.41%, 3/07/16 (d)		50,000		50,000,000
0.47%, 4/07/16		75,000		75,000,000
0.60%, 4/20/16		100,000		100,000,000
0.44%, 5/10/16		100,000		100,000,000
0.70%, 6/13/16		100,000		100,000,000
BPCE SA, 0.65%, 3/31/16 (c)		600,000		599,025,000
Cafco LLC, 0.50%, 3/07/16 (c)		25,000		24,977,083
Cancara Asset Securitisation LLC (c):
0.33%, 1/07/16		300,000		299,983,500
0.31%, 1/14/16		41,000		40,995,410
Chariot Funding LLC, 0.52%, 5/04/16 (c)		48,000		47,914,027

See Notes to Financial Statements.

36 BLACKROCK FUNDS III DECEMBER 31, 2015

Schedule of Investments (continued) Money Market Master Portfolio

Commercial Paper	Par   (000)		Value
Collateralized Commercial Paper Co. LLC (a):
0.45%, 1/07/16	$	200,000	$	200,000,000
0.60%, 2/22/16		125,000		125,000,000
0.61%, 4/19/16		110,000		110,000,000
Collateralized Commercial Paper II Co.:
0.53%, 5/13/16 (c)		100,000		99,804,194
0.67%, 6/08/16 (a)		100,000		100,000,000
Commonwealth Bank of Australia (a):
0.37%, 2/19/16		100,000		100,000,000
0.52%, 2/26/16		150,000		150,000,000
0.53%, 3/29/16 (d)		100,000		100,000,000
0.53%, 3/30/16		100,000		100,000,000
0.40%, 4/29/16		48,000		48,000,000
0.55%, 5/20/16		100,000		99,992,153
0.42%, 6/02/16		100,000		100,000,000
0.50%, 6/14/16		150,000		150,000,000
0.63%, 6/24/16		340,000		340,000,000
0.65%, 6/28/16		200,000		200,000,000
0.49%, 7/05/16		49,000		49,000,000
0.62%, 7/15/16		75,000		75,000,000
Crown Point Capital LLC, 0.23%, 1/04/16 (c)		30,000		29,999,425
DBS Bank Ltd.,
0.65%, 3/30/16 (c)(d)		50,000		49,922,361
Deutsche Telekom AG (c):
0.67%, 1/08/16		36,500		36,495,245
0.66%, 1/11/16		46,000		45,991,567
Duke Energy Corp. (c):
0.63%, 1/04/16		49,750		49,747,388
0.80%, 1/15/16		47,500		47,485,222
HSBC Bank PLC (a):
0.40%, 2/05/16		200,000		200,000,000
0.50%, 7/06/16		160,000		160,000,000
Hyundai Capital America (c):
0.55%, 1/08/16		50,000		49,994,653
0.55%, 1/14/16		25,000		24,995,035
Kellogg Co. (c):
0.40%, 1/07/16 (d)		35,000		34,997,667
0.72%, 1/13/16		13,000		12,996,880
Kells Funding LLC (c):
0.34%, 2/03/16		150,000		149,953,250
0.34%, 2/08/16		150,000		149,946,167
0.37%, 3/02/16		115,000		114,927,901
LMA Americas LLC (c):
0.33%, 2/04/16		44,400		44,386,162
0.40%, 2/12/16		30,000		29,986,000
Lyondellbasell Investment LLC, 0.78%, 1/19/16 (c)		98,000		97,961,780
Matchpoint Finance PLC, 0.52%, 3/24/16 (c)		4,625		4,619,455
Medtronic, Inc., 0.70%, 1/21/16 (c)(d)		23,000		22,991,056
Mitsubishi UFJ Trust & Banking Corp., New York, 0.70%, 4/04/16 (c)		40,000		39,926,889
Mizuho Bank Ltd., 0.49%, 4/18/16 (c)(d)		262,000		261,614,860
Motiva Enterprises LLC, 0.69%, 1/14/16 (c)		46,000		45,988,538
National Australia Bank Ltd. (a):
0.59%, 2/26/16		374,000		374,000,000
0.62%, 6/08/16		140,000		140,000,000
National Bank of Canada, 0.62%, 3/23/16 (a)		400,000		400,000,000
Natixis, New York, 0.40%, 2/11/16 (c)		40,000		39,981,778
Nissan Motor Acceptance Corp. (c):
0.45%, 1/04/16		50,000		49,998,125
0.45%, 1/05/16		25,000		24,998,750
0.45%, 1/06/16 (d)		15,000		14,999,062
0.73%, 1/19/16		60,000		59,978,100
Nordea Bank AB (c):
0.48%, 2/26/16		150,000		149,889,167
0.40%, 4/01/16		150,000		149,848,333
0.50%, 4/18/16		9,500		9,485,892

Commercial Paper	Par   (000)		Value
Old Line Funding LLC (c):
0.51%, 5/16/16	$	80,000	$	79,845,867
0.63%, 5/23/16		50,000		49,874,875
Oversea Chinese Banking Corp. Ltd., 0.55%, 5/19/16 (a)		40,000		40,000,000
Sheffield Receivable Corp. (c):
0.27%, 1/04/16		500		499,989
0.37%, 1/19/16		200,000		199,963,000
0.40%, 1/27/16		300,000		299,913,333
0.80%, 3/18/16		250,000		249,572,222
Societe Generale SA, 0.50%, 2/01/16 (c)		23,850		23,839,731
Standard Chartered Bank, 0.37%, 3/03/16 (c)		5,000		4,996,814
Sumitomo Mitsui Banking Corp. (c):
0.70%, 3/22/16 (d)		150,000		149,763,750
0.50%, 4/01/16		75,000		74,905,208
Sumitomo Mitsui Trust Bank Ltd., 0.38%, 2/05/16 (c)(d)		200,000		199,926,111
Thunder Bay Funding LLC (c):
0.50%, 3/11/16 (d)		50,000		49,951,389
0.83%, 6/15/16		86,000		85,670,859
Versailles Commercial Paper LLC (c):
0.33%, 1/04/16		150,000		149,995,875
0.30%, 1/15/16		99,120		99,108,436
0.50%, 3/03/16		75,000		74,935,417
0.66%, 4/01/16		200,000		199,666,333
Virginia Electric & Power Co., 0.55%, 1/08/16 (c)		50,000		49,994,653
Westpac Banking Corp. (a):
0.40%, 3/02/16		40,000		40,000,000
0.47%, 3/18/16		25,000		25,000,000
0.50%, 3/18/16		112,000		112,000,000
0.22%, 4/01/16		150,000		150,000,000
0.63%, 6/23/16		485,000		485,000,000
Westpac Securities NZ Ltd., London (a):
0.41%, 5/06/16 (d)		50,000		50,000,000
0.63%, 5/23/16		198,500		198,500,000
Total Commercial Paper — 28.9%				12,496,139,562
Corporate Notes
Commonwealth Bank of Australia, 3.25%, 3/17/16 (d)		50,000		50,279,626
GE Capital International Funding Co., 0.96%, 4/15/16 (d)		177,476		177,696,486
Total Corporate Notes — 0.5%				227,976,112
Time Deposits — 0.7%
Credit Agricole SA, 0.25%, 1/04/16		326,000		326,000,000
U.S. Government Sponsored Agency Obligations
Fannie Mae, 0.35%, 8/16/17 (a)		80,000		79,986,860
Federal Farm Credit Bank (a):
0.47%, 2/24/16		79,750		79,754,838
0.24%, 3/29/16		100,000		99,997,562
0.43%, 8/01/16		75,000		74,995,576
0.22%, 10/03/16		74,500		74,489,004
0.50%, 11/21/16		32,000		32,024,573
0.43%, 1/30/17		150,000		149,967,076
0.46%, 3/24/17		50,000		50,003,296
0.44%, 3/29/17		100,000		99,988,168
0.35%, 7/13/17		100,000		99,968,892
0.22%, 7/20/17		50,000		49,986,753
0.37%, 9/13/17		115,000		115,000,000
0.26%, 10/27/17		145,000		144,944,845
0.38%, 12/04/17		125,000		125,000,000

See Notes to Financial Statements.

BLACKROCK FUNDS III DECEMBER 31, 2015 37

Schedule of Investments (continued) Money Market Master Portfolio

U.S. Government Sponsored Agency Obligations	Par   (000)		Value
Federal Farm Credit Bank (a) (continued):
0.29%, 1/26/18	$	90,000	$	89,980,934
0.39%, 3/02/18		68,000		67,999,196
Federal Home Loan Bank (a):
0.31%, 5/27/16		35,000		34,997,861
0.18%, 2/07/17		68,000		67,967,495
Total U.S. Government Sponsored Agency Obligations — 3.5%				1,537,052,929
U.S. Treasury Obligations — 0.1%
U.S. Treasury Note, 0.43%, 10/31/17 (a)		62,500		62,312,973
Repurchase Agreements
BNP Paribas Securities Corp., 0.22%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $166,004,058, collateralized by various Corporate Debt/Obligations, 0.83% to 3.62%, due 10/20/23 to 8/23/36, original par and fair values of $181,765,820 and $177,620,001, respectively)		166,000		166,000,000
Total Value of BNP Paribas Securities Corp. (collateral value of $177,620,001)				166,000,000
Citigroup Global Markets, Inc., 0.17%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $100,001,889, collateralized by a U.S. Government Sponsored Agency Obligation, 2.00%, due 8/15/25, original par and fair value of $104,098,300 and $102,000,095, respectively)		100,000		100,000,000
Citigroup Global Markets, Inc., 0.32%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $1,210,043, collateralized by various U.S. Treasury Obligations, 1.88% to 2.50%, due 8/31/22 to 8/15/23, original par and fair values of $1,241,443 and $1,234,201, respectively) (e)		1,210		1,210,000
Citigroup Global Markets, Inc., 0.96%, 3/05/16 (Purchased on 12/31/15 to be repurchased at $150,261,354, collateralized by various Corporate Debt/Obligations, 0.53% to 5.19%, due 2/25/37 to 11/23/46, original par and fair values of $381,135,477 and $160,500,000, respectively) (f)		150,000		150,000,000
Total Value of Citigroup Global Markets, Inc. (collateral value of $263,734,296)				251,210,000
Credit Suisse Securities (USA) LLC, 0.47%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $324,016,920, collateralized by various Corporate Debt/Obligations, 0.00%, due 11/27/45 to 4/25/55, original par and fair values of $432,265,000 and $388,803,435, respectively)		324,000		324,000,000
Credit Suisse Securities (USA) LLC, 0.47%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $163,508,538, collateralized by various Corporate Debt/Obligations, 5.00% to 9.89%, due 5/15/21 to 5/25/55, original par and fair values of $200,724,242 and $196,200,571, respectively)		163,500		163,500,000

Repurchase Agreements	Par   (000)		Value
Credit Suisse Securities (USA) LLC, 0.70%, 1/05/16 (Purchased on 12/29/15 to be repurchased at $244,023,722, collateralized by various U.S. Government Sponsored Agency Obligations, 0.00% to 7.50%, due 11/15/17 to 4/25/54, original par and fair values of $459,420,606 and $292,804,539, respectively)	$	244,000	$	244,000,000
Credit Suisse Securities (USA) LLC, 0.88%, 2/04/16 (Purchased on 12/31/15 to be repurchased at $400,342,222, collateralized by a Corporate Debt/Obligation, 5.00%, due 11/27/45, original par and fair value of $545,120,000 and $480,000,232, respectively) (f)		400,000		400,000,000
Total Value of Credit Suisse Securities (USA) LLC (collateral value of $1,357,808,777)				1,131,500,000
Federal Reserve Bank of New York, 0.25%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $12,550,348,611, collateralized by various U.S. Treasury Obligations, 2.38% to 6.13%, due 5/31/18 to 11/15/27, original par and fair values of $11,928,523,600 and $12,550,348,671, respectively)		12,550,000		12,550,000,000
Total Value of Federal Reserve Bank of New York (collateral value of $12,550,348,671)				12,550,000,000
Goldman Sachs & Co., 0.34%, 1/05/16 (Purchased on 12/29/15 to be repurchased at $563,026,586, collateralized by various U.S. Government Sponsored Agency Obligations, 0.00% to 8.89%, due 6/25/19 to 10/15/49, original par and fair values of $13,632,455,938 and $606,302,169, respectively)		563,000		563,000,000
Goldman Sachs & Co., 0.38%, 1/07/16 (Purchased on 12/31/15 to be repurchased at $24,001,773, collateralized by various U.S. Government Sponsored Agency Obligations, 3.50% to 5.17%, due 3/25/33 to 11/20/45, original par and fair values of $23,013,915 and $24,483,982, respectively)		24,000		24,000,000
Total Value of Goldman Sachs & Co. (collateral value of $630,786,151)				587,000,000
HSBC Securities (USA), Inc., 0.24%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $50,001,333, collateralized by various Corporate Debt/Obligations, 2.46% to 10.00%, due 4/15/16 to 11/01/35, original par and fair values of $53,121,000 and $52,427,893, respectively)		50,000		50,000,000
HSBC Securities (USA), Inc., 0.32%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $185,006,578, collateralized by various Corporate Debt/Obligations, 2.46% to 11.00%, due 7/08/16 to 1/15/26, original par and fair values of $212,096,000 and $194,250,533, respectively)		185,000		185,000,000
Total Value of HSBC Securities (USA), Inc. (collateral value of $246,678,426)				235,000,000

See Notes to Financial Statements.

38 BLACKROCK FUNDS III DECEMBER 31, 2015

Schedule of Investments (continued) Money Market Master Portfolio

Repurchase Agreements		Par   (000)		Value
J.P. Morgan Securities LLC, 0.47%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $60,003,133, collateralized by various Corporate Debt/Obligations, 0.70% to 7.21%, due 1/15/29 to 6/25/36, original par and fair values of $116,509,938 and $75,003,783, respectively)		$	60,000	$	60,000,000
J.P. Morgan Securities LLC, 0.71%, 2/04/16 (Purchased on 12/31/15 to be repurchased at $150,103,542, collateralized by various Corporate Debt/Obligations, 0.03% to 1.75%, due 11/05/30 to 7/15/56, original par and fair values of $23,130,633,154 and $160,500,171, respectively) (f)			150,000		150,000,000
J.P. Morgan Securities LLC, 0.79%, 2/04/16 (Purchased on 12/31/15 to be repurchased at $150,115,208, collateralized by various Corporate Debt/Obligations, 0.00% to 5.08%, due 4/15/26 to 2/25/37, original par and fair values of $219,123,453 and $187,500,416, respectively) (f)			150,000		150,000,000
J.P. Morgan Securities LLC, 0.99%, 3/31/16 (Purchased on 12/31/15 to be repurchased at $150,376,513, collateralized by various Corporate Debt/Obligations, 0.00% to 6.90%, due 3/20/16 to 4/17/52, original par and fair values of $230,201,571 and $187,500,489, respectively) (f)			150,000		150,000,000
J.P. Morgan Securities LLC, 1.11%, 3/31/16 (Purchased on 12/31/15 to be repurchased at $200,562,683, collateralized by various Corporate Debt/Obligations, 0.47% to 7.08%, due 6/25/21 to 3/25/54, original par and fair values of $2,016,825,155 and $243,199,697, respectively) (f)			200,000		200,000,000
J.P. Morgan Securities LLC, 0.67%, 2/16/16 (Purchased on 11/17/15 to be repurchased at $142,124,211, collateralized by various Corporate Debt/Obligations, 0.00% to 7.92%, due 3/20/16 to 5/25/47, original par and fair values of $614,633,034 and $177,500,608, respectively)			142,000		142,000,000
Total Value of J.P. Morgan Securities LLC (collateral value of $1,031,205,164)					852,000,000
Merrill Lynch, Pierce, Fenner & Smith, Inc., 0.29%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $25,000,806, collateralized by a U.S. Treasury Obligation, 1.38%, due 2/29/20, original par and fair value of $25,705,000 and $25,500,093, respectively)			25,000		25,000,000
Merrill Lynch, Pierce, Fenner & Smith, Inc., 0.35%, 1/07/16 (Purchased on 12/31/15 to be repurchased at $262,017,831, collateralized by various U.S. Government Sponsored Agency Obligations, 0.00% to 8.42%, due 4/15/20 to 10/20/65, original par and fair values of $16,928,845,510 and $284,391,929, respectively)			262,000		262,000,000
Merrill Lynch, Pierce, Fenner & Smith, Inc., 0.72%, 2/14/16, (Purchased on 12/31/15 to be repurchased at $42,037,800, collateralized by various Corporate Debt/Obligations, 0.00% to 1.01%, due 8/26/23 to 6/26/47, original par and fair values of $86,875,618 and $52,500,001, respectively) (f)	��		42,000		42,000,000
Total Value of Merrill Lynch, Pierce, Fenner & Smith, Inc. (collateral value of $362,392,023)					329,000,000

Repurchase Agreements	Par   (000)		Value
Mizuho Securities USA, Inc., 0.35%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $75,002,917, collateralized by various U.S. Government Sponsored Agency Obligations, 3.00% to 6.33%, due 4/15/32 to 2/25/45, original par and fair values of $786,690,823 and $81,250,559, respectively)	$	75,000	$	75,000,000
Mizuho Securities USA, Inc., 1.44%, 2/01/16 (Purchased on 12/31/15 to be repurchased at $44,807,439, collateralized by various U.S. Government Sponsored Agency Obligations, 3.00% to 6.32%, due 9/25/32 to 4/15/44, original par and fair values of $415,776,602 and $48,462,004, respectively) (f)		44,750		44,750,000
Total Value of Mizuho Security USA, Inc. (collateral value of $129,712,563)				119,750,000
RBC Capital Markets LLC, 0.19%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $209,004,412, collateralized by various Corporate Debt/Obligations, 0.00% to 9.38%, due 3/22/16 to 12/31/99, original par and fair values of $251,654,767 and $219,493,233, respectively)		209,000		209,000,000
RBC Capital Markets LLC, 0.20%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $51,001,133, collateralized by various Corporate Debt/Obligations, 0.00% to 10.20%, due 3/22/16 to 11/15/67, original par and fair values of $56,479,011 and $53,551,007, respectively)		51,000		51,000,000
RBC Capital Markets LLC, 0.20%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $90,002,000, collateralized by various U.S. Government Sponsored Agency Obligations, 0.00% to 0.32%, due 1/7/16 to 6/14/16, original par and fair values of $94,668,389 and $94,500,001, respectively)		90,000		90,000,000
Total Value of RBC Capital Markets LLC (collateral value of $367,544,241)				350,000,000
Wells Fargo Securities LLC, 0.27%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $320,009,600, collateralized by various Corporate Debt/Obligations, 0.71% to 4.95%, due 5/20/17 to 10/15/48, original par and fair values of $345,035,080 and $342,400,001, respectively)		320,000		320,000,000
Wells Fargo Securities LLC, 0.55%, 1/11/16 (Purchased on 10/13/15 to be repurchased at $93,030,632, collateralized by various Corporate Debt/Obligations, 1.05% to 6.88%, due 5/27/16 to 4/01/45, original par and fair values of $100,348,000 and $97,666,622, respectively)		93,015		93,015,000
Wells Fargo Securities LLC, 0.49%, 2/01/16 (Purchased on 11/02/15 to be repurchased at $150,065,333, collateralized by various Corporate/Debt Obligations, 1.90% to 6.55%, due 1/25/16 to 10/15/44, par and fair value of $154,473,000 and $157,500,345, respectively)		150,000		150,000,000
Wells Fargo Securities LLC, 0.49%, 2/02/16 (Purchased on 11/03/15 to be repurchased at $140,062,883, collateralized by various Corporate Debt/Obligations, 0.49% to 6.35%, due 1/25/16 to 5/01/46, original par and fair values of $146,882,000 and $147,000,757, respectively)		140,000		140,000,000

See Notes to Financial Statements.

BLACKROCK FUNDS III DECEMBER 31, 2015 39

Schedule of Investments (concluded) Money Market Master Portfolio

Repurchase Agreements	Par   (000)		Value
Wells Fargo Securities, LLC, 0.97%, 3/17/16 (Purchased on 12/17/15 to be repurchased at $110,228,219, collateralized by various Corporate Debt/Obligations, 0.00% to 5.64%, due 6/17/31 to 5/25/55, original par and fair values of $142,111,559 and $137,500,000, respectively)	$	110,000	$	110,000,000
Total Value of Wells Fargo Securities, LLC (collateral value of $882,067,725)				813,015,000
Total Repurchase Agreements — 40.2%				17,384,475,000
Total Investments (Cost — $43,332,509,067*) — 100.1%				43,332,509,067
Liabilities in Excess of Other Assets — (0.1)%				(43,355,075	)
Net Assets — 100.0%			$	43,289,153,992

Notes to Schedule of Investments

* Cost for federal income tax purposes.

(a) Variable rate security. Rate as of period end.

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

(c) Rates are discount rates or a range of discount rates at the time of purchase.

(d) 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.

(e) Traded in a joint account.

(f) Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand.

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments. For information about the Master Portfolio’s policy regarding valuation of investments, refer to the Notes to Financial Statements.

The following tables summarize the Master Portfolio’s investments categorized in the disclosure hierarchy:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Short-Term Securities 1		—	$	43,332,509,067		—	$	43,332,509,067
1    See above Schedule of Investments for values in each security type.

The Master Portfolio may hold assets in which the fair value approximates the carrying amount for financial statement purposes. As of period end, cash of $807,820 is categorized as Level 1 within the disclosure hierarchy.

During the year ended December 31, 2015, there were no transfers between levels.

See Notes to Financial Statements.

40 BLACKROCK FUNDS III DECEMBER 31, 2015

Schedule of Investments December 31, 2015 Prime Money Market Master Portfolio (Percentages shown are based on Net Assets)

Certificates of Deposit	Par   (000)		Value
Domestic — 1.8%
State Street Bank & Trust, 0.59%, 3/29/16 (a)	$	64,500	$	64,500,000
Wells Fargo Bank NA (a):
0.55%, 1/06/16		100,000		100,000,000
0.55%, 1/21/16		100,000		100,000,000
0.54%, 2/12/16		100,000		100,000,000
0.57%, 2/12/16		25,000		25,000,000
0.32%, 4/01/16		80,000		80,000,000
				469,500,000
Yankee (b) — 19.4%
Bank of Montreal, Chicago (a):
0.39%, 1/07/16		75,000		75,000,000
0.59%, 1/25/16		100,000		100,000,000
0.60%, 4/21/16		100,000		100,000,000
0.56%, 6/01/16		150,000		150,000,000
0.65%, 7/21/16		75,000		75,000,000
Bank of Nova Scotia, Houston (a):
0.55%, 2/05/16		25,000		25,005,187
0.64%, 2/29/16		75,000		75,009,860
Bank of Tokyo-Mitsubishi UFJ, Ltd., New York:
0.28%, 1/05/16		200,000		200,000,000
0.62%, 3/24/16 (a)		100,000		100,000,000
BNP Paribas SA, New York, 0.65%, 2/29/16 (a)		95,000		95,000,000
Canadian Imperial Bank of Commerce, New York (a):
0.53%, 1/26/16		125,000		125,000,000
0.40%, 2/10/16		150,000		150,000,000
0.57%, 4/18/16		100,000		100,000,000
0.59%, 5/19/16		99,200		99,200,000
0.55%, 6/01/16		200,000		200,000,000
0.62%, 6/01/16		100,000		100,000,000
0.65%, 6/30/16		150,000		150,000,000
Mitsubishi UFJ Trust & Banking Corp., New York (a):
0.45%, 1/05/16		150,000		150,000,000
0.45%, 2/04/16		199,250		199,250,000
Mizuho Bank Ltd., New York:
0.29%, 1/06/16		25,000		25,000,000
0.37%, 1/19/16		100,000		100,000,000
0.45%, 2/04/16 (a)		149,200		149,200,000
0.51%, 4/01/16		50,000		50,000,000
National Bank of Canada, New York (a):
0.46%, 5/03/16		88,300		88,300,000
0.49%, 5/05/16		250,000		250,000,000
Nordea Bank AB, New York 0.49%, 5/13/16 (a)		95,000		95,000,000
Norinchukin Bank, New York:
0.33%, 1/07/16		200,000		200,000,000
0.31%, 1/08/16		115,000		115,000,000
Rabobank Nederland, New York:
0.39%, 1/11/16 (a)		100,000		100,000,000
0.41%, 1/11/16 (a)		110,000		110,000,000
0.52%, 2/22/16 (a)		75,000		75,000,000
0.46%, 4/11/16 (a)		100,000		100,000,000
0.53%, 5/10/16		86,000		86,000,000
Royal Bank of Canada, New York, 0.45%, 3/16/16 (a)		50,000		50,000,000
Skandinaviska Enskilda Banken AB, New York, 0.50%, 3/14/16 (a)		150,000		150,000,000
Sumitomo Mitsui Banking Corp., New York (a):
0.64%, 2/25/16		125,000		125,000,000
0.49%, 4/07/16		100,000		100,000,000
Sumitomo Mitsui Trust Bank Ltd., New York:
0.48%, 1/08/16 (a)		100,000		100,000,000
0.38%, 2/05/16		150,000		150,000,000

Certificates of Deposit	Par   (000)		Value
Yankee (b) — (continued)
Toronto-Dominion Bank, New York:
0.53%, 2/25/16 (a)	$	50,000	$	50,000,000
0.50%, 5/06/16		75,000		75,000,000
0.57%, 5/19/16 (a)		25,000		25,000,000
0.49%, 6/06/16 (a)		100,000		100,000,000
0.75%, 6/06/16		70,000		70,000,000
0.57%, 10/17/16 (a)		42,500		42,500,000
UBS AG, Stamford, 0.67%, 4/29/16 (a)		185,000		185,000,000
Westpac Banking Corp., New York, 0.49%, 6/03/16 (a)		150,000		150,000,000
				5,184,465,047
Total Certificates of Deposit — 21.2%				5,653,965,047
Commercial Paper
ANZ New Zealand International Ltd., London (a):
0.45%, 5/03/16		50,000		50,000,000
0.42%, 5/04/16		45,000		45,000,095
0.39%, 5/05/16		150,000		150,000,000
0.39%, 6/03/16 (c)		100,000		100,000,000
ASB Finance Ltd., 0.55%, 5/16/16 (a)(c)		150,000		150,000,000
Australia & New Zealand Banking International Group Ltd., 0.64%, 5/26/16 (a)		250,000		250,000,000
Bank of Nova Scotia, 0.50%, 5/04/16 (c)(d)		98,000		97,831,222
Barton Capital Corp., 0.65%, 3/30/16 (d)		50,000		49,919,653
Bedford Row Funding Corp. (a):
0.50%, 2/18/16		100,000		100,000,000
0.56%, 2/26/16		35,000		35,000,000
0.38%, 3/02/16		80,000		80,000,000
0.41%, 3/07/16 (c)		50,000		50,000,000
0.62%, 3/24/16		100,000		100,000,000
0.47%, 4/07/16		75,000		75,000,000
0.60%, 4/20/16		25,750		25,750,000
0.70%, 6/13/16		100,000		100,000,000
Bennington Stark Capital Co., 0.45%, 1/05/16 (d)		200,000		199,990,000
Caisse des Depots et Consignations:
0.39%, 2/08/16 (d)		4,325		4,323,220
0.58%, 4/22/16 (a)		250,000		250,000,000
Cancara Asset Securitisation LLC, 0.30%, 1/20/16 (d)		100,000		99,984,167
Chariot Funding LLC (d):
0.42%, 1/05/16		100,000		99,995,333
0.42%, 1/06/16		50,000		49,997,083
0.43%, 1/11/16		50,000		49,994,028
0.52%, 5/04/16		25,500		25,454,327
Collateralized Commercial Paper Co. (a):
0.45%, 1/07/16		100,000		100,000,000
0.60%, 2/22/16		75,000		75,000,000
Collateralized Commercial Paper II Co.:
0.53%, 5/13/16 (d)		99,650		99,454,880
0.67%, 6/08/16 (a)		100,000		100,000,000
Commonwealth Bank of Australia (a):
0.37%, 2/19/16		50,000		50,000,000
0.52%, 2/26/16		50,000		50,000,000
0.40%, 4/29/16		27,000		27,000,000
0.42%, 6/02/16		100,000		100,000,000
0.50%, 6/14/16		50,000		50,000,000
0.49%, 7/05/16		185,000		185,000,000
0.62%, 7/15/16		25,000		25,000,000
CRC Funding LLC (d):
0.50%, 2/08/16		199,500		199,394,708
0.50%, 3/07/16		50,000		49,954,167
DBS Bank, Ltd., 0.65%, 4/01/16 (d)		100,000		99,841,111
Fairway Finance Co. LLC (a):
0.39%, 1/06/16		50,000		49,999,874
0.51%, 4/18/16		50,000		50,000,000

See Notes to Financial Statements.

BLACKROCK FUNDS III DECEMBER 31, 2015 41

Schedule of Investments (continued) Prime Money Market Master Portfolio

Commercial Paper	Par   (000)		Value
Gotham Funding Corp., 0.42%, 1/20/16 (d)	$	100,000	$	99,977,833
HSBC Bank PLC (a):
0.38%, 1/13/16		100,000		100,000,000
0.40%, 2/05/16		116,500		116,500,000
0.65%, 6/20/16		127,000		127,000,000
0.50%, 7/06/16		70,000		70,000,000
Jupiter Securitization Co. LLC (d):
0.42%, 1/04/16		100,000		99,996,500
0.43%, 1/12/16		50,000		49,993,431
Kells Funding LLC:
0.34%, 1/13/16 (a)		100,000		100,000,000
0.41%, 1/20/16 (d)		200,000		199,956,722
0.34%, 2/10/16 (d)		100,000		99,962,222
Mitsubishi UFJ Trust & Banking Corp., New York, 0.70%, 4/04/16 (d)		35,000		34,936,028
Mizuho Bank Ltd., New York, 0.35%, 2/16/16 (d)		175,000		174,921,736
National Australia Bank Ltd. (a):
0.43%, 1/09/16 (c)		200,000		200,000,000
0.59%, 2/26/16		100,000		100,000,000
0.62%, 6/08/16		94,000		94,000,000
Nieuw Amsterdam Receivables Corp., 0.38%, 2/01/16 (d)		2,000		1,999,346
Nordea Bank AB (d):
0.48%, 2/26/16		100,000		99,926,111
0.40%, 4/01/16		100,000		99,898,889
Old Line Funding LLC:
0.44%, 1/06/16 (a)		92,000		92,000,000
0.45%, 2/09/16 (a)(c)		100,000		100,002,155
0.51%, 3/03/16 (d)		46,311		46,270,323
0.50%, 3/07/16 (d)		80,000		79,926,667
0.50%, 3/11/16 (d)		50,000		49,951,389
0.75%, 4/26/16 (d)		50,000		49,879,167
0.51%, 5/16/16 (d)		45,000		44,913,300
0.63%, 5/23/16 (d)		50,000		49,874,875
Oversea-Chinese Banking Corp. Ltd., New York, 0.55%, 5/19/16 (a)		10,000		10,000,000
Province of Quebec, 0.40%, 1/28/16 (d)		3,775		3,773,882
PSP Capital, Inc. (d):
0.24%, 1/28/16		100,000		99,982,000
0.47%, 2/09/16		25,000		24,987,271
Sumitomo Mitsui Banking Corp., 0.70%, 3/22/16 (c)(d)		150,000		149,763,750
Sumitomo Trust & Banking Co., 0.38%, 2/05/16 (c)(d)		200,000		199,926,111
Thunder Bay Funding LLC:
0.44%, 1/06/16 (a)		50,000		50,000,000
0.75%, 4/26/16 (d)		98,700		98,461,475
0.83%, 6/06/16 (d)		80,000		79,710,422
0.83%, 6/15/16 (d)		30,000		29,885,183
Toyota Credit Canada, Inc. (d):
0.33%, 2/16/16		50,000		49,978,917
0.38%, 3/14/16		50,000		49,961,472
0.38%, 3/15/16		50,000		49,960,944
Toyota Motor Credit Corp., 0.39%, 1/08/16 (a)		200,000		200,000,000
United Overseas Bank Ltd. (d):
0.30%, 1/06/16		89,200		89,196,283
0.39%, 1/11/16		200,000		199,978,333
0.39%, 1/14/16		100,000		99,985,917
Victory Receivables Corp. (d):
0.30%, 1/11/16		50,000		49,995,833
0.63%, 3/28/16		80,000		79,878,200
Westpac Banking Corp. (a):
0.40%, 3/02/16		250,000		250,000,000
0.28%, 3/18/16		75,000		75,000,000
0.44%, 4/14/16		90,000		90,000,000
0.46%, 5/09/16		100,000		100,000,000

Commercial Paper	Par   (000)		Value
Westpac Securities NZ Ltd., 0.41%, 5/06/16 (a)(c)	$	25,000	$	25,000,000
Total Commercial Paper — 30.3%				8,086,196,555
Corporate Notes
Commonwealth Bank of Australia (c):
3.25%, 3/17/16		65,000		65,363,514
1.07%, 9/20/16 (a)		20,000		20,042,210
GE Capital International Funding Co., 0.96%, 4/15/16 (c)		183,409		183,644,601
Total Corporate Notes — 1.0%				269,050,325
Time Deposits
BNP Paribas SA, New York, 0.20%, 1/04/16		100,000		100,000,000
Credit Agricole Corporate & Investment Bank, 0.25%, 1/04/16		503,000		503,000,000
Total Time Deposits — 2.2%				603,000,000
U.S. Government Sponsored Agency Obligations
Federal Farm Credit Banks, 0.38%, 12/04/17 (a)		125,000		125,000,000
Federal Home Loan Bank:
0.22%, 1/25/16 (d)		1,710		1,709,749
0.23%, 2/14/17 (a)		50,000		49,975,958
Total U.S. Government Sponsored Agency Obligations — 0.7%				176,685,707
U.S. Treasury Obligations — 0.1%
U.S. Treasury Notes, 0.43%, 10/31/17 (a)		34,415		34,311,717
Repurchase Agreements
BNP Paribas Securities Corp., 0.22%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $84,002,054, collateralized by various Corporate Debt Obligations, 1.47% to 3.90%, due 10/19/24 to 11/25/44, original par and fair values of $100,647,248 and $89,880,001, respectively)		84,000		84,000,000
Total Value of BNP Paribas Securities Corp. (collateral value of $89,880,001)				84,000,000
Citigroup Global Markets, Inc., 0.32%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $123,510,391, collateralized by various U.S. Treasury Obligations, 1.88% to 2.50%, due 8/31/22 to 8/15/23, original par and fair values of $126,715,392 and $125,976,161, respectively) (e)		123,506		123,506,000
Total Value of Citigroup Global Markets, Inc. (collateral value of $125,976,161)				123,506,000
Credit Suisse Securities (USA) LLC, 0.70%, 1/05/16 (Purchased on 12/29/15 to be repurchased at $136,013,222, collateralized by various Corporate Debt Obligations, 0.00% to 9.89%, due 7/01/20 to 9/25/55, original par and fair values of $168,334,390 and $163,201,709, respectively)		136,000		136,000,000

See Notes to Financial Statements.

42 BLACKROCK FUNDS III DECEMBER 31, 2015

Schedule of Investments (continued) Prime Money Market Master Portfolio

Repurchase Agreements	Par   (000)		Value
Credit Suisse Securities (USA) LLC, 0.47%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $185,125,667, collateralized by various Corporate Debt Obligations, 0.00% to 5.75%, due 7/25/45 to 6/25/55, original par and fair values of $283,742,406 and $222,142,907, respectively)	$	185,116	$	185,116,000
Credit Suisse Securities (USA) LLC, 0.47%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $86,504,517, collateralized by various Corporate Debt Obligations, 0.00% to 5.00%, due 10/25/29 to 4/25/55, original par and fair values of $514,498,210 and $103,804,220, respectively)		86,500		86,500,000
Credit Suisse Securities (USA) LLC, 0.88%, 2/04/16 (Purchased on 12/31/15 to be repurchased at $133,113,724, collateralized by various Corporate Debt Obligations, 0.00% to 5.00%, due 7/25/54 to 9/25/55, original par and fair values of $171,597,875 and $159,601,970, respectively) (f)		133,000		133,000,000
Total Value of Credit Suisse Securities (USA) LLC (collateral value of $648,750,806)				540,616,000
Federal Reserve Bank of New York, 0.25%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $9,775,271,528, collateralized by various U.S. Treasury Obligations, 2.50% to 3.63%, due 2/15/21 to 8/15/23, original par and fair values of $9,437,634,800 and $9,775,271,605, respectively)		9,775,000		9,775,000,000
Total Value of Federal Reserve Bank of New York (collateral value of $9,775,271,605)				9,775,000,000
HSBC Securities (USA), Inc., 0.29%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $15,000,483, collateralized by a U.S. Treasury Obligation, 2.38%, due 8/15/24, original par and fair value of $15,045,000 and $15,301,311, respectively)		15,000		15,000,000
Total Value of HSBC Securities (USA), Inc. (collateral value of $15,301,311)				15,000,000
J.P. Morgan Securities LLC, 0.27%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $50,001,500, collateralized by various Corporate Debt Obligations, 0.38% to 5.70%, due 8/25/16 to 9/12/49, original par and fair values of $3,600,176,069 and $53,502,352, respectively)		50,000		50,000,000
J.P. Morgan Securities LLC, 0.47%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $30,001,567, collateralized by various Corporate Debt Obligations, 0.48% to 4.79%, due 5/25/36 to 5/15/37, original par and fair values of $83,228,000 and $37,501,185, respectively)		30,000		30,000,000
J.P. Morgan Securities LLC, 0.62%, 1/05/16 (Purchased on 10/05/15 to be repurchased at $100,008,611, collateralized by various Corporate Debt Obligations, 0.38% to 7.54%, due 6/15/28 to 4/25/46, original par and fair values of $329,536,158 and $125,001,996, respectively)		100,000		100,000,000

Repurchase Agreements	Par   (000)		Value
J.P. Morgan Securities LLC, 0.71%, 2/04/16 (Purchased on 12/31/15 to be repurchased at $125,086,224, collateralized by various Corporate Debt Obligations, 0.00% to 1.53%, due 12/15/39 to 8/10/55, original par and fair values of $7,257,902,286 and $133,750,006, respectively) (f)	$	125,000	$	125,000,000
J.P. Morgan Securities LLC, 0.79%, 2/04/16 (Purchased on 12/31/15 to be repurchased at $45,034,541, collateralized by a Corporate Debt Obligation, 0.39%, due 2/25/37, original par and fair values of $99,635,000 and $56,250,493, respectively) (f)		45,000		45,000,000
J.P. Morgan Securities LLC, 0.67%, 2/16/16 (Purchased on 11/17/15 to be repurchased at $75,065,604, collateralized by various Corporate Debt Obligations, 0.36% to 7.86%, due 3/01/30 to 1/25/46, original par and fair values of $198,336,592 and $93,751,158, respectively)		75,000		75,000,000
J.P. Morgan Securities LLC, 0.99%, 3/31/16 (Purchased on 12/31/15 to be repurchased at $45,112,920, collateralized by various Corporate Debt Obligations, 0.00% to 7.24%, due 7/11/20 to 4/22/46, original par and fair values of $91,007,000 and $56,254,819, respectively) (f)		45,000		45,000,000
J.P. Morgan Securities LLC, 1.11%, 3/31/16 (Purchased on 12/31/15 to be repurchased at $80,225,013, collateralized by various Corporate Debt Obligations, 0.13% to 7.50%, due 1/25/19 to 3/12/51, original par and fair values of $2,904,489,168 and $93,236,768, respectively) (f)		80,000		80,000,000
Total Value of J.P. Morgan Securities LLC (collateral value of $649,248,777)				550,000,000
Merrill Lynch, Pierce, Fenner & Smith, Inc., 0.72%, 2/16/16 (Purchased on 12/31/15 to be repurchased at $140,126,000, collateralized by various Corporate Debt Obligations, 0.31% to 5.07%, due 1/28/30 to 3/04/39, original par and fair values of $208,583,860 and $175,000,001, respectively) (f)		140,000		140,000,000
Total Value of Merrill Lynch, Pierce, Fenner & Smith, Inc. (collateral value of $175,000,001)				140,000,000
RBC Capital Markets LLC, 0.19%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $63,001,330, collateralized by various Corporate Debt Obligations, 0.00% to 10.20%, due 3/22/16 to 11/15/67, original par and fair values of $77,461,272 and $66,150,952, respectively)		63,000		63,000,000
RBC Capital Markets LLC, 0.20%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $25,000,556, collateralized by various Corporate Debt Obligations, 0.00% to 0.45%, due 1/07/16 to 6/14/16, original par and fair values of $26,304,828 and $26,250,001, respectively)		25,000		25,000,000
RBC Capital Markets LLC, 0.20%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $16,000,356, collateralized by various Corporate Debt Obligations, 0.00% to 8.10%, due 3/22/16 to 11/01/64, original par and fair values of $19,002,091 and $16,800,373, respectively)		16,000		16,000,000

See Notes to Financial Statements.

BLACKROCK FUNDS III DECEMBER 31, 2015 43

Schedule of Investments (concluded) Prime Money Market Master Portfolio

Repurchase Agreements	Par   (000)		Value
RBC Capital Markets LLC, 0.44%, 1/05/16 (Purchased on 12/29/15 to be repurchased at $100,006,111, collateralized by various Corporate Debt Obligations, 0.00% to 10.20%, due 5/18/16 to 11/15/67, original par and fair values of $104,394,486 and $105,000,069, respectively)	$	100,000	$	100,000,000
Total Value of RBC Capital Markets LLC (collateral value of $214,201,395)				204,000,000
Wells Fargo Securities LLC, 0.27%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $180,005,400, collateralized by various Corporate Debt Obligations, 0.78% to 7.15%, due 10/16/17 to 11/15/46, original par and fair values of $192,074,840 and $192,600,001, respectively)		180,000		180,000,000
Wells Fargo Securities LLC, 0.55%, 1/08/16 (Purchased on 10/08/15 to be repurchased at $50,006,111, collateralized by various Corporate Debt Obligations, 0.00%, due 2/01/16 to 2/02/16, original par and fair values of $51,023,140 and $51,000,000, respectively)		50,000		50,000,000
Wells Fargo Securities LLC, 0.55%, 1/11/16 (Purchased on 10/13/15 to be repurchased at $36,711,168, collateralized by various Corporate Debt Obligations, 0.00%, due 2/02/16 to 2/08/16, original par and fair values of $37,458,567 and $37,439,100, respectively)		36,705		36,705,000

Repurchase Agreements	Par   (000)		Value
Wells Fargo Securities LLC, 0.49%, 2/01/16 (Purchased on 11/02/15 to be repurchased at $100,043,556, collateralized by various Corporate Debt Obligations, 0.00%, due 1/06/16 to 7/25/16, original par and fair values of $102,234,077 and $102,000,000, respectively)	$	100,000	$	100,000,000
Wells Fargo Securities LLC, 0.49%, 2/02/16 (Purchased on 11/03/15 to be repurchased at $59,026,501, collateralized by various Corporate Debt Obligations, 0.00%, due 2/08/16 to 3/01/16, original par and fair values of $60,222,076 and $60,180,001, respectively)		59,000		59,000,000
Wells Fargo Securities LLC, 0.97%, 3/17/16 (Purchased on 12/17/15 to be repurchased at $55,114,110, collateralized by various Corporate Debt Obligations, 0.00% to 4.84%, due 1/17/20 to 5/25/55, original par and fair values of $74,083,857 and $68,750,001, respectively)		55,000		55,000,000
Total Value of Wells Fargo Securities LLC (collateral value of $511,969,103)				480,705,000
Total Repurchase Agreements — 44.6%				11,912,827,000
Total Investments (Cost — $26,736,036,351*) — 100.1%				26,736,036,351
Liabilities in Excess of Other Assets — (0.1)%				(34,365,599	)
Net Assets — 100.0%			$	26,701,670,752

Notes to Schedule of Investments

* Cost for federal income tax purposes.

(a) Variable rate security. Rate as of period end.

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

(c) 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.

(d) Rates are discount rates or a range of discount rates at the time of purchase.

(e) Traded in a joint account.

(f) Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand.

Fair Value Hierarchy as of Period End

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

The following table summarizes the Master Portfolio’s investments categorized in the disclosure hierarchy:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Short-Term Securities1		—	$	26,736,036,351		—	$	26,736,036,351
1    See above Schedule of Investments for values in each security type.

The Master Portfolio may hold assets in which the fair value approximates the carrying amount for financial statement purposes. As of period end, cash of $62,070,850 is categorized as Level 1 within the disclosure hierarchy.

During the year ended December 31, 2015, there were no transfers between levels.

See Notes to Financial Statements.

44 BLACKROCK FUNDS III DECEMBER 31, 2015

Schedule of Investments December 31, 2015 Treasury Money Market Master Portfolio (Percentages shown are based on Net Assets)

U.S. Treasury Obligations	Par   (000)			Value
U.S. Treasury Bills (a):
0.20%, 1/21/16	$	145,000		$	144,984,292
0.20%, 2/25/16		54,190			54,173,576
0.11%, 3/31/16		25,000			24,993,438
0.34%, 5/19/16		100,000			99,870,653
0.36%, 5/26/16		50,000			49,929,028
0.54%, 6/09/16		90,000			89,787,778
0.58%, 6/16/16		75,000			74,796,469
0.52%, 6/23/16		50,000			49,875,542
U.S. Treasury Notes:
0.38%, 1/15/16		32,150			32,152,615
0.38% — 4.50%, 2/15/16		171,000			171,759,502
0.25% — 2.63%, 2/29/16		62,540			62,695,917
2.38%, 3/31/16		34,175			34,355,580
0.25%, 4/15/16		115,000			114,967,638
3.25%, 5/31/16		19,500			19,741,490
0.63%, 7/15/16		18,940			18,938,653
0.50%, 7/31/16		31,265			31,238,766
0.34%, 1/31/17 (b)		97,504			97,504,698
0.33%, 4/30/17 (b)		108,291			108,287,918
0.34%, 7/31/17 (b)		84,160	��		84,127,328
0.43%, 10/31/17 (b)		73,036			73,001,437
Total U.S. Treasury Obligations — 41.7%					1,437,182,318
Repurchase Agreements — 58.1 %
BNP Paribas Securities Corp., 0.29%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $74,002,384, collateralized by various U.S. Treasury Obligations, 0.00% to 3.75%, due 11/15/16 to 11/15/43, original par and fair values of $71,236,905 and $75,480,000, respectively)		74,000			74,000,000
Total Value of BNP Paribas Securities Corp. (collateral value of $75,480,000)					74,000,000
Citigroup Global Markets, Inc., 0.32%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $50,285,788, collateralized by various U.S. Treasury Obligations, 1.88% to 2.50%, due 8/31/22 to 8/15/23, original par and fair values of $51,590,665 and $51,289,696, respectively) (c)		50,284			50,284,000
Total Value of Citigroup Global Markets, Inc. (collateral value of $51,289,696)					50,284,000
HSBC Securities (USA), Inc., 0.27%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $522,015,660, collateralized by various U.S. Treasury Obligations, 0.25% to 9.25%, due 1/15/16 to 11/15/45, original par and fair values of $515,129,331 and $532,443,445, respectively)		522,000			522,000,000
HSBC Securities (USA), Inc., 0.27%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $200,006,000, collateralized by various U.S. Treasury Obligations, 0.50% to 8.13%, due 7/31/16 to 5/15/41, original par and fair values of $194,518,973 and $204,001,440, respectively) (d)		200,000			200,000,000
Total Value of HSBC Securities (USA), Inc. (collateral value of $736,444,885)					722,000,000

Repurchase Agreements	Par   (000)		Value
Merrill Lynch, Pierce, Fenner & Smith, Inc., 0.29%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $513,578,548, collateralized by various U.S. Government Sponsored Agency Obligations, 1.63% to 3.00%, due 6/30/20 to 5/15/45, original par and fair values of $526,777,000 and $523,833,335, respectively)	$	513,562	$	513,562,000
Total Value of Merrill Lynch, Pierce, Fenner & Smith, Inc. (collateral value of $523,833,335)				513,562,000
Morgan Stanley & Co. LLC, 0.27%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $146,579,397, collateralized by various U.S. Treasury Obligations, 0.88% to 1.38%, due 11/30/16 to 11/30/18, original par and fair values of $149,408,200 and $149,506,514, respectively)		146,575		146,575,000
Morgan Stanley & Co. LLC, 0.27%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $24,000,720, collateralized by various U.S. Treasury Obligations, 1.63% to 2.75%, due 04/30/19 to 02/15/45, original par and fair values of $23,941,500 and $24,480,005, respectively)		24,000		24,000,000
Total Value of Morgan Stanley & Co. LLC (collateral value of $173,986,519)				170,575,000
RBC Capital Markets LLC, 0.26%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $24,000,693, collateralized by a U.S. Treasury Obligation, 2.63%, due 8/15/20, original par and fair value of $23,371,700 and $24,480,074, respectively)		24,000		24,000,000
Total Value of RBC Capital Markets LLC (collateral value of $24,480,074)				24,000,000
TD Securities (USA) LLC, 0.32%, 1/04/16 (Purchased on 12/31/15 to be repurchased at $451,016,036 collateralized by various U.S. Treasury Obligations, 0.00% to 4.50%, due 1/07/16 to 2/15/45, original par and fair values of $445,274,693 and $460,020,001, respectively)		451,000		451,000,000
Total Value of TD Securities (USA) LLC (collateral value of $460,020,001)				451,000,000
Total Repurchase Agreements — 58.1%				2,005,421,000
Total Investments (Cost — $3,442,603,318*) — 99.8%				3,442,603,318
Other Assets Less Liabilities — 0.2%				7,577,961
Net Assets — 100.0%			$	3,450,181,279

See Notes to Financial Statements.

BLACKROCK FUNDS III DECEMBER 31, 2015 45

Schedule of Investments (concluded) Treasury Money Market Master Portfolio

Notes to Schedule of Investments

* Cost for federal income tax purposes.

(a) Rates are discount rates or a range of discount rates at the time of purchase.

(b) Variable rate security. Rate as of period end.

(c) Traded in a joint account.

(d) Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand.

Fair Value Hierarchy as of Period End

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

The following table summarizes the Master Portfolio’s investments categorized in the disclosure hierarchy:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Short-Term Securities1		—	$	3,442,603,318		—	$	3,442,603,318
1    See above Schedule of Investments for values in each security type.

The Master Portfolio may hold assets in which the fair value approximates the carrying amount for financial statement purposes. As of period end, cash of $4,309,710 is categorized as Level 1 within the disclosure hierarchy.

During the year ended December 31, 2015, there were no transfers between levels.

See Notes to Financial Statements.

46 BLACKROCK FUNDS III DECEMBER 31, 2015

Statements of Assets and Liabilities

December 31, 2015	Money Market Master Portfolio		Prime Money Market Master Portfolio		Treasury Money Market Master Portfolio
Assets
Investments at value — unaffiliated1	$	25,948,034,067	$	14,823,209,351	$	1,437,182,318
Repurchase agreements, at value2		17,384,475,000		11,912,827,000		2,005,421,000
Cash		807,820		62,070,850		4,309,710
Interest receivable		8,523,001		4,914,803		3,517,666
Total assets		43,341,839,888		26,803,022,004		3,450,430,694
Liabilities
Payables:
Investments purchased		49,922,361		99,841,111		—
Investment advisory fees		2,614,406		1,431,471		218,276
Trustees’ fees		118,296		68,672		15,697
Professional fees		30,833		9,998		15,442
Total liabilities		52,685,896		101,351,252		249,415
Net Assets	$	43,289,153,992	$	26,701,670,752	$	3,450,181,279
Net Assets Consist of
Investors’ capital	$	43,289,153,992	$	26,701,670,752	$	3,450,181,279
1    Investments at cost — unaffiliated	$	25,948,034,067	$	14,823,209,351	$	1,437,182,318
2    Repurchase agreements at cost — unaffiliated	$	17,384,475,000	$	11,912,827,000	$	2,005,421,000

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	47

Statements of Operations

Year Ended December 31, 2015	Money Market Master Portfolio			Prime Money Market Master Portfolio			Treasury Money Market Master Portfolio
Investment Income
Interest	$	119,502,024		$	65,009,673		$	3,614,908
Expenses
Investment advisory		43,123,047			24,069,560			3,267,656
Independent Trustees		471,506			296,412			62,680
Professional		68,211			55,784			22,330
Total expenses		43,662,764			24,421,756			3,352,666
Less fees waived by the Manager		(13,476,631	)		(7,573,064	)		(1,078,789	)
Total expenses after fees waived		30,186,133			16,848,692			2,273,877
Net investment income		89,315,891			48,160,981			1,341,031
Realized Gain
Net realized gain from investments		1,394,458			597,937			169,786
Net Increase in Net Assets Resulting from Operations	$	90,710,349		$	48,758,918		$	1,510,817

See Notes to Financial Statements.
48	BLACKROCK FUNDS III	DECEMBER 31, 2015

Statements of Changes in Net Assets Master Investment Portfolio

	Money Market Master Portfolio
	Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014
Operations
Net investment income	$	89,315,891		$	66,517,792
Net realized gain		1,394,458			3,145,559
Net increase in net assets resulting from operations		90,710,349			69,663,351
Capital Share Transactions
Proceeds from contributions		125,579,520,075			53,841,747,303
Value of withdrawals		(123,227,762,969	)		(54,589,158,809	)
Net increase (decrease) in net assets derived from capital transactions		2,351,757,106			(747,411,506	)
Net Assets
Total increase (decrease) in net assets		2,442,467,455			(677,748,155	)
Beginning of year		40,846,686,537			41,524,434,692
End of year	$	43,289,153,992		$	40,846,686,537

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	49

Statements of Changes in Net Assets Master Investment Portfolio

	Prime Money Market Master Portfolio
	Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014
Operations
Net investment income	$	48,160,981		$	24,529,317
Net realized gain		597,937			794,518
Net increase in net assets resulting from operations		48,758,918			25,323,835
Capital Transactions
Proceeds from contributions		367,806,236,981			128,913,398,407
Value of withdrawals		(364,947,666,929	)		(124,057,023,599	)
Net increase in net assets derived from capital transactions		2,858,570,052			4,856,374,808
Net Assets
Total increase in net assets		2,907,328,970			4,881,698,643
Beginning of year		23,794,341,782			18,912,643,139
End of year	$	26,701,670,752		$	23,794,341,782

See Notes to Financial Statements.
50	BLACKROCK FUNDS III	DECEMBER 31, 2015

Statements of Changes in Net Assets Master Investment Portfolio

	Treasury Money Market Master Portfolio,
	Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014
Operations
Net investment income	$	1,341,031		$	40,546
Net realized gain		169,786			110,422
Net increase in net assets resulting from operations		1,510,817			150,968
Capital Transactions
Proceeds from contributions		63,745,962,994			27,585,996,303
Value of withdrawals		(64,154,846,234	)		(26,466,792,303	)
Net increase in net assets derived from capital transactions		(408,883,240	)		1,119,204,000
Net Assets
Total increase (decrease) in net assets		(407,372,423	)		1,119,354,968
Beginning of year		3,857,553,702			2,738,198,734
End of year	$	3,450,181,279		$	3,857,553,702

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	51

Financial Highlights Master Investment Portfolio

	Money Market Master Portfolio
	Year Ended December 31,
	2015		2014		2013		2012		2011
Total Return
Based on net asset value		0.21%		0.16%		0.20%		0.27%		0.23%
Ratio to Average Net Assets
Total expenses		0.10%		0.10%		0.10%		0.10%		0.10%
Total expenses after fees waived		0.07%		0.07%		0.07%		0.07%		0.07%
Net investment income		0.21%		0.16%		0.19%		0.27%		0.22%
Supplemental Data
Net assets, end of year (000)	$	43,289,154	$	40,846,687	$	41,524,435	$	35,289,099	$	28,528,047

See Notes to Financial Statements.
52	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights Master Investment Portfolio

	Prime Money Market Master Portfolio
	Year Ended December 31,
	2015		2014		2013		2012		2011
Total Return
Total Return		0.19%		0.13%		0.17%		0.25%		0.21%
Ratios to Average Net Assets
Total expenses		0.10%		0.10%		0.10%		0.10%		0.10%
Total expenses after fees waived		0.07%		0.07%		0.07%		0.07%		0.07%
Net investment income		0.20%		0.14%		0.17%		0.25%		0.21%
Supplemental Data
Net assets, end of year (000)	$	26,701,671	$	23,794,342	$	18,912,643	$	15,934,441	$	10,732,297

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	53

Financial Highlights Master Investment Portfolio

	Treasury Money Market Master Portfolio
	Year Ended December 31,
	2015		2014		2013		2012		2011
Total Return
Total Return		0.03%		0.00%		0.02%		0.06%		0.09%
Ratio to Average Net Assets
Total expenses		0.10%		0.10%		0.10%		0.10%		0.10%
Total expenses after fees waived		0.07%		0.06%		0.06%		0.07%		0.06%
Net investment income		0.04%		0.00%		0.02%		0.08%		0.03%
Supplemental Data
Net assets, end of year (000)	$	3,450,181	$	3,857,554	$	2,738,199	$	2,613,824	$	1,602,468

See Notes to Financial Statements.
54	BLACKROCK FUNDS III	DECEMBER 31, 2015

Notes to Financial Statements Master Investment Portfolio

1. Organization:

Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a diversified, open-end management investment company. MIP is organized as a Delaware statutory trust. The financial statements and these accompanying notes relate to three series of MIP: Money Market Master Portfolio, Prime Money Market Master Portfolio and Treasury Money Market Master Portfolio (each, a “Master Portfolio” and together, the “Master Portfolios”).

The Master Portfolios, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of open-end funds referred to as the Equity-Liquidity 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. Each 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 Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.

Indemnifications: In the normal course of business, a Master Portfolio enters into contracts that contain a variety of representations that provide general indemnification. A Master Portfolio’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Master Portfolio, which cannot be predicted with any certainty.

Other: Expenses directly related to a Master Portfolio are charged to that 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 Portfolios have an arrangement with their custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statements of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges. Effective September 2015, the arrangement with their custodian for earning credits on uninvested cash balances has ceased and the custodian will be imposing fees on certain uninvested cash balances.

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: U.S. GAAP defines fair value as the price the Master Portfolios 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 Portfolios’ investments are valued under the amortized cost method which approximates current market value in accordance with Rule 2a-7 under the 1940 Act. Under this method, investments are valued at cost when purchased and, thereafter, a constant proportionate accretion of discounts and amortization of premiums are recorded until the maturity of the security. Each Master Portfolio seeks to maintain its net asset value per share at $1.00, although there is no assurance that it will be able to do so on a continuing basis.

Fair Value Hierarchy: Various inputs are used in determining the fair value of investments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:

• Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each 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 each Master Portfolio’s own assumptions used in determining the fair value of investments)

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. The fair value hierarchy for each Master Portfolio’s investments has been included in the Schedules of Investments.

BLACKROCK FUNDS III DECEMBER 31, 2015 55

Notes to Financial Statements (continued) Master Investment Portfolio

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with each Master Portfolio’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments is based on the pricing transparency of the investments and is not necessarily an indication of the risks associated with investing in those securities.

4. Securities and Other Investments:

Repurchase Agreements: Repurchase agreements are commitments to purchase a security from a counterparty who agrees to repurchase the same security at a mutually agreed upon date and price. On a daily basis, the counterparty is required to maintain eligible collateral subject to the agreement and in value no less than the agreed repurchase amount. Pursuant to the custodial undertaking associated with a tri-party repo arrangement, an unaffiliated third party custodian maintains accounts to hold collateral for a Master Portfolio and its counterparties. Typically, a Master Portfolio and counterparty are not permitted to sell, re-pledge or use the collateral absent a default by the counterparty or a Master Portfolio, respectively. A Master Portfolio, along with other registered investment companies advised by the Manager, may transfer uninvested cash into a single joint trading account which is then invested in one or more repurchase agreements.

In the event the counterparty defaults and the fair value of the collateral declines, a Master Portfolio could experience losses, delays and costs in liquidating the collateral.

Repurchase agreements are entered into by a Master Portfolio under Master Repurchase Agreements (each, an “MRA”). The MRA permits a Master Portfolio, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables with collateral held by and/or posted to the counterparty. As a result, one single net payment is created. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Based on the terms of the MRA, a Master Portfolio receives securities as collateral with a market value in excess of the repurchase price at maturity. Upon a bankruptcy or insolvency of the MRA counterparty, a Master Portfolio would recognize a liability with respect to such excess collateral. The liability reflects a Master Portfolio’s obligation under bankruptcy law to return the excess to the counterparty.

5. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

MIP, on behalf of each Master Portfolio, entered into an Investment Advisory Agreement with the Manager, the Master Portfolios’ investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of each Master Portfolio’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Master Portfolio. For such services, each Master Portfolio pays the Manager a monthly fee based on a percentage of each Master Portfolio’s average daily net assets at the following annual rates:

Money Market Master Portfolio	0.10%
Prime Money Market Master Portfolio	0.10%
Treasury Money Market Master Portfolio	0.10%

The Manager has contractually agreed to waive 0.03% its investment advisory fees through April 30, 2016. The Manager has also voluntarily agreed to waive investment advisory fees to enable the feeders that invest in the Master Portfolios to maintain minimum levels of daily net investment income. The Manager may discontinue the voluntary waiver at any time. For the year ended December 31, 2015, the amounts included in fees waived by the Manager in the Statements of Operations are as follows:

Money Market Master Portfolio	$	12,936,914
Prime Money Market Master Portfolio	$	7,220,868
Treasury Money Market Master Portfolio	$	993,779

The fees and expenses of MIP’s trustees who are not “interested persons” of MIP, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and the Master Portfolios’ independent registered public accounting firm (together, the “independent expenses”) are paid directly by the Master Portfolios. The Manager has contractually agreed to provide an offsetting credit against the Management fees paid by the Master Portfolios in an amount equal to these independent expenses through April 30, 2016. The amounts waived are included in fees waived by the Manager in the Statements of Operations. For the year ended December 31, 2015, such waiver amounts are as follows:

Money Market Master Portfolio	$	539,717
Prime Money Market Master Portfolio	$	352,196
Treasury Money Market Master Portfolio	$	85,010

56 BLACKROCK FUNDS III DECEMBER 31, 2015

Notes to Financial Statements (concluded) Master Investment Portfolio

MIP entered into an Administration Agreement with BlackRock Advisors, LLC (“BAL”), which has agreed to provide general administration services (other than investment advice and related portfolio activities). BAL, in consideration thereof, has agreed to bear all of the Master Portfolios’ ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by the Master Portfolios. BAL is not entitled to compensation for providing administration service to the Master Portfolios, for so long as BAL is entitled to compensation for providing administration service to corresponding feeder funds that invest substantially all of their assets in the Master Portfolios, or BAL (or an affiliate) receives investment advisory fees from the Master Portfolios.

Certain officers and/or trustees of the MIP are officers and/or directors of BlackRock or its affiliates.

6. Income Tax Information:

The Master Portfolios are classified as a partnership for federal income tax purposes. As such, each investor in the Master Portfolios is treated as the owner of its proportionate share of net assets, income, expenses and realized and unrealized gains and losses of the Master Portfolios. Therefore, no federal income tax provision is required. It is intended that the Master Portfolios’ assets will be managed so an investor in the Master Portfolios can satisfy the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended.

The Master Portfolios file U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Master Portfolio’s U.S. federal tax returns remains open for each of the four years ended December 31, 2015. The statutes of limitations on the Master Portfolios 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 Portfolios as of December 31, 2015, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the Master Portfolios’ financial statements.

7. Principal Risks:

In the normal course of business, certain Master Portfolios invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities held by the Master Portfolios may decline in response to certain events, including those directly involving the issuers of securities owned by the Master Portfolios. Changes arising from the general economy, the overall market and local, regional or global political or/and social instability, as well as currency, interest rate and price fluctuations, may also affect the securities’ value.

Counterparty Credit Risk: Similar to issuer credit risk, the Master Portfolios may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Master Portfolios manage 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 Portfolios to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Master Portfolios’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Master Portfolios.

On July 23, 2014, the U.S. Securities and Exchange Commission adopted amendments to money market fund regulations, which structurally change the way that certain money market funds will be required to operate. The compliance period for amendments range between July 2015 and October 2016. When implemented, the changes may affect the Master Portfolios’ investment strategies, fees and expenses, portfolio and share liquidity and return potential. The Master Portfolios continue to evaluate their strategy to implement the new regulations.

8. Subsequent Events:

Management has evaluated the impact of all subsequent events on the Master Portfolios 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.

BLACKROCK FUNDS III DECEMBER 31, 2015 57

Report of Independent Registered Public Accounting Firm Master Investment Portfolio

To the Board of Trustees of Master Investment Portfolio and the Interestholders of Money Market Master Portfolio, Prime Money Market Master Portfolio and Treasury Money Market Master Portfolio:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Money Market Master Portfolio, Prime Money Market Master Portfolio and Treasury Money Market Master Portfolio (the “Master Portfolios”), each a series of Master Investment Portfolio, at December 31, 2015, the results of each of their operations for the year then ended, the changes in each of their 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. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Master Portfolios’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2015 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 18, 2016

58 BLACKROCK FUNDS III DECEMBER 31, 2015

Officers and Trustees

Name, Address1 and Year of Birth	Position(s) Held with the Trust/MIP	Length of Time Served as a Trustee3	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Independent Trustees2
Rodney D. Johnson 1941	Chair of the Board and Trustee	Since 2009	President, Fairmount Capital Advisors, Inc. from 1987 to 2013; Member of the Archdiocesan Investment Committee of the Archdiocese of Philadelphia from 2004 to 2012; Director, The Committee of Seventy (civic) from 2006 to 2012; Director, Fox Chase Cancer Center from 2004 to 2011.	33 RICs consisting of 155 Portfolios	None
David O. Beim 1940	Trustee	Since 2009	Professor of Professional Practice at the Columbia University Graduate School of Business since 1991; Trustee, Phillips Exeter Academy from 2002 to 2012; Chairman, Wave Hill, Inc. (public garden and cultural center) from 1990 to 2006.	33 RICs consisting of 155 Portfolios	None
Collette Chilton 1958	Trustee	Since 2015	Chief Investment Officer, Williams College since 2006; Chief Investment Officer, Lucent Asset Management Corporation from 1998 to 2006.	33 RICs consisting of 155 Portfolios	None
Frank J. Fabozzi 1948	Trustee	Since 2014	Editor of and Consultant for The Journal of Portfolio Management since 2006; Professor of Finance, EDHEC Business School since 2011; Visiting Professor, Princeton University from 2013 to 2014; Professor in the Practice of Finance and Becton Fellow, Yale University School of Management from 2006 to 2011.	108 RICs consisting of 230 Portfolios	None
Dr. Matina S. Horner 1939	Trustee	Since 2009	Executive Vice President, Teachers Insurance and Annuity Association and College Retirement Equities Fund from 1989 to 2003.	33 RICs consisting of 155 Portfolios	NSTAR (electric and gas utility)
Herbert I. London 1939	Trustee	Since 2009	Professor Emeritus, New York University since 2005; President, London Center for Policy Research since 2012; John M. Olin Professor of Humanities, New York University from 1993 to 2005 and Professor thereof from 1980 to 2005; President Emeritus, Hudson Institute (policy research organization) from 2011 to 2012, President thereof from 1997 to 2011 and Trustee from 1980 to 2012; Chairman of the Board of Trustees for Grantham University since 2006; Director, InnoCentive, Inc. (global internet service) since 2005; Director, Cerego, LLC (educational software) since 2005; Director, Cybersettle (online adjudication) since 2009; Director, AIMS Worldwide, Inc. (marketing) from 2007 to 2012.	33 RICs consisting of 155 Portfolios	None
Cynthia A. Montgomery 1952	Trustee	Since 2009	Professor, Harvard Business School since 1989; Director, McLean Hospital from 2005 to 2012; Director, Harvard Business School Publishing from 2005 to 2010.	33 RICs consisting of 155 Portfolios	Newell Rubbermaid, Inc. (manufacturing)
Joseph P. Platt 1947	Trustee	Since 2009	Director, Jones and Brown (Canadian insurance broker) since 1998; General Partner, Thorn Partners, LP (private investments) since 1998; Director, WQED Multi-Media (public broadcasting not-for-profit) since 2001; Director, The West Penn Allegheny Health System (a not-for-profit health system) from 2008 to 2013; Partner, Amarna Corporation, LLC (private investment company) from 2002 to 2008.	33 RICs consisting of 155 Portfolios	Greenlight Capital Re, Ltd. (reinsurance company)
Robert C. Robb, Jr. 1945	Trustee	Since 2009	Partner, Lewis, Eckert, Robb and Company (management and financial consulting firm) since 1981.	33 RICs consisting of 155 Portfolios	None
Toby Rosenblatt 1938	Trustee	Since 2009	President, Founders Investments Ltd. (private investments) since 1999; Director, Forward Management, LLC since 2007; Director, College Futures Foundation (philanthropic foundation) since 2009; Director, The James Irvine Foundation (philanthropic foundation) from 1998 to 2008.	33 RICs consisting of 155 Portfolios	None

BLACKROCK FUNDS III DECEMBER 31, 2015 59

Officers and Trustees (continued)

Name, Address1 and Year of Birth	Position(s) Held with the Trust/MIP	Length of Time Served as a Trustee3	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Independent Trustees2 (concluded)
Mark Stalnecker 1951	Trustee	Since 2015	Chief Investment Officer, University of Delaware from 1999 to 2013; Trustee, Winterthur Museum and Country Estate since 2001; Member of the Investment Committee, Delaware Public Employees’ Retirement System since 2002; Member of the Investment Committee, Christiana Care Health System since 2009; Member of the Investment Committee, Delaware Community Foundation from 2013 to 2014.	33 RICs consisting of 155 Portfolios	None
Kenneth L. Urish 1951	Trustee	Since 2009	Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Immediate 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 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.	33 RICs consisting of 155 Portfolios	None
Frederick W. Winter 1945	Trustee	Since 2009	Director, Alkon Corporation (pneumatics) since 1992; Professor and Dean Emeritus of the Joseph M. Katz School of Business, University of Pittsburgh from 2005 to 2013 and Dean thereof from 1997 to 2005; Director, Tippman Sports (recreation) from 2005 to 2013; Director, Indotronix International (IT services) from 2004 to 2008.	33 RICs consisting of 155 Portfolios	None
	1    The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.
	2    Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board has determined to extend the terms of Independent Trustees on a case-by-case basis, as appropriate. The Board has unanimously approved extending the mandatory retirement age for David O. Beim and Dr. Matina S. Horner until December 31, 2016, which the Board believes is in the best interests of shareholders of the Fund.
	3    Date shown is the earliest date a person has served for the Trust/MIP. In connection with the acquisition of Barclays Global Investors by BlackRock, Inc. in December 2009, certain Independent Trustees were elected to the Trust’s/MIP’s Board. As a result, although the chart shows certain Independent Trustees as joining the Trust’s/MIP’s board in 2009, those Independent Trustees first became members of the boards of other funds advised by BlackRock Advisors, LLC or its affiliates as follows: David O. Beim, 1998; Dr. Matina S. Horner, 2004; Rodney D. Johnson, 1995; Herbert I. London, 1987; Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Robert C. Robb, Jr., 1999; Toby Rosenblatt, 2005; Kenneth L. Urish, 1999; and Frederick W. Winter, 1999. Frank J. Fabozzi first became a member of the board of other funds advised by BlackRock Advisors, LLC or its affiliates in 1988.
Interested Trustees4
Barbara G. Novick 1960	Trustee	Since 2015	Vice Chairman of BlackRock since 2006; Chair of BlackRock’s Government Relations Steering Committee since 2009; Head of the Global Client Group of BlackRock from 1988 to 2008.	108 RICs consisting of 230 Portfolios	None
John M. Perlowski 1964	Trustee, President, and Chief Executive Officer	Since 2015 (Trustee); Since 2010 (President and Chief Executive Officer)	Managing Director of BlackRock since 2009; Head of BlackRock Global Fund Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.	136 RICs consisting of 328 Portfolios	None
	4    Mr. Perlowski and Ms. Novick are both “interested persons,” as defined in the 1940 Act, of the Funds based on their positions with BlackRock and its affiliates. Mr. Perlowski and Ms. Novick are also board members of a complex of BlackRock registered open-end funds. Mr. Perlowski is also a board member of the BlackRock Equity-Bond Complex and the BlackRock Equity-Liquidity Complex, and Ms. Novick is also a board member of the BlackRock Equity-Liquidity Complex. Interested Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The maximum age limitation may be waived as to any Trustee by action of a majority of the Trustees upon a finding of good cause therefor.

60 BLACKROCK FUNDS III DECEMBER 31, 2015

Officers and Trustees (concluded)

Name, Address1 and Year of Birth	Position(s) Held with the Trust/MIP	Length of Time Served as an Officer	Principal Occupation(s) During Past Five Years
Officers2
John M. Perlowski 1964	Trustee, President and Chief Executive Officer	Since 2015 (Trustee); Since 2010 (President and Chief Executive Officer)	Managing Director of BlackRock since 2009; Head of BlackRock Global Fund Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.
Jennifer McGovern 1977	Vice President	Since 2014	Director of BlackRock since 2011; Head of Product Structure and Oversight for BlackRock’s U.S. Wealth Advisory Group since 2013; Vice President of BlackRock from 2008 to 2010.
Neal Andrews 1966	Chief Financial Officer	Since 2007	Managing Director of BlackRock since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.
Jay Fife 1970	Treasurer	Since 2007	Managing Director of BlackRock since 2007; Director of BlackRock in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.
Charles Park 1967	Chief Compliance Officer	Since 2014	Anti-Money Laundering Compliance Officer for the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End Complex from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End 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.
Fernanda Piedra 1969	Anti-Money Laundering Compliance Officer	Since 2015	Director of BlackRock since 2014; Anti-Money Laundering Compliance Officer and Regional Head of Financial Crime for the Americas at BlackRock since 2014; Head of Regulatory Changes and Remediation for the Asset Wealth Management Division of Deutsche Bank from 2010 to 2014; Vice President of Goldman Sachs (Anti-Money Laundering/Suspicious Activities Group) from 2004 to 2010.
Benjamin Archibald 1975	Secretary	Since 2012	Managing Director of BlackRock since 2014; Director of BlackRock from 2010 to 2013; Secretary of the iShares exchange traded funds since 2015; Secretary of the BlackRock-advised mutual funds since 2012.
	1    The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.
	2    Officers of the Trust serve at the pleasure of the Board.
	Further information about the Officers and Trustees is available in the Trust’s Statement of Additional Information, which can be obtained without charge by calling (800) 626-1960

Effective September 25, 2015, John M. Perlowski was appointed to serve as a Trustee of the Trusts.

Effective December 31, 2015, Herbert I. London and Toby Rosenblatt retired as Trustee of the Trust.

Investment Advisor BlackRock Fund Advisors San Francisco, CA 94105	Custodian, Transfer Agent and Accounting Agent State Street Bank and Trust Company Boston, MA 02110	Distributor BlackRock Investments, LLC New York, NY 10022	Address of the Trust 100 Bellevue Parkway Wilmington, DE 19809
Administrator BlackRock Advisors LLC Wilmington, DE 19809	Independent Registered Public Accounting Firm PricewaterhouseCoopers LLP Philadelphia, PA 19103	Legal Counsel Sidley Austin LLP New York, NY 10019

BLACKROCK FUNDS III DECEMBER 31, 2015 61

Additional Information

General Information

Householding

The Funds 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 Transfer Agent at (888) 204-3956.

Availability of Quarterly Schedule of Investments

The Funds/Master Portfolios file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Each Fund’s/Master Portfolio’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. Each Fund’s/Master Portfolio’s Forms N-Q may also be obtained upon request and without charge by calling (800) 626-1960.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Funds/Master Portfolios use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 626-1960; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Funds/Master Portfolios voted proxies relating to securities held in the Funds’/Master Portfolios’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 626-1960 and (2) on the SEC’s website at http://www.sec.gov.

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.

62 BLACKROCK FUNDS III DECEMBER 31, 2015

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 Funds unless preceded or accompanied by the Funds’ current prospectus. An investment in a Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Funds seek to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in a Fund. Performance data quoted represents past performance and does not guarantee future results. Total return information assumes reinvestment of all distributions. Current performance may be higher or lower than the performance data quoted. For current month-end performance information, call 800-626-1960. Each Fund’s current 7-day yield more closely reflects the current earnings of a Fund than the total returns quoted. Statements and other information herein are as dated and are subject to change.

MMF12/15-AR

DECEMBER 31, 2015

  ANNUAL REPORT  

BlackRock CoreAlpha Bond Fund  |  of BlackRock Funds III

Not FDIC Insured • May Lose Value • No Bank Guarantee

Table of Contents

	Page
The Markets in Review		3
Annual Report:
Fund Summary		4
About Fund Performance		6
Disclosure of Expenses		6
Derivative Financial Instruments		7
Fund Financial Statements:
Statement of Assets and Liabilities		8
Statement of Operations		9
Statements of Changes in Net Assets		10
Fund Financial Highlights		11
Fund Notes to Financial Statements		14
Fund Report of Independent Registered Public Accounting Firm		17
Important Tax Information		17
Master Portfolio Information		18
Master Portfolio Financial Statements:
Schedule of Investments		19
Statement of Assets and Liabilities		56
Statement of Operations		57
Statements of Changes in Net Assets		58
Master Portfolio Financial Highlights		59
Master Portfolio Notes to Financial Statements		60
Master Portfolio Report of Independent Registered Public Accounting Firm		71
Officers and Trustees		72
Additional Information		75

2 BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015

The Markets in Review

Dear Shareholder,

Diverging monetary policies and shifting economic outlooks across regions have been the overarching themes driving financial markets over the past couple of years. With U.S. growth outpacing the global economic recovery in 2015 while inflationary pressures remained low, investors spent most of the year anticipating a short-term rate hike from the Federal Reserve (the “Fed”), which ultimately came to fruition in December. In contrast, the European Central Bank (“ECB”) and the Bank of Japan moved to a more accommodative stance during the year. In this environment, the U.S. dollar strengthened considerably, causing profit challenges for U.S. exporters and high levels of volatility in emerging market currencies and commodities. Oil prices were particularly volatile and below the historical norm due to an ongoing imbalance in global supply and demand.

Market volatility broadly increased in the middle of 2015, beginning with a sharp, but temporary, selloff in June as Greece’s long-brewing debt troubles came to an impasse. Just as these concerns abated, Chinese equities tumbled amid weakness in the country’s economy. This, combined with a depreciation of the yuan and declining confidence in China’s policymakers, stoked worries about the potential impact to the broader world economy, causing heightened volatility to spread throughout markets globally. Given a dearth of meaningful growth across most of the world, financial markets became more reliant on central bank policies to drive performance. In that vein, risk assets (such as equities and high yield bonds) rallied in October when China’s central bank provided more stimulus, the ECB hinted at further easing, and soft U.S. data pushed back expectations for a Fed rate hike. As the period came to a close, however, the ECB disappointed investors with its subdued policy changes. The Fed’s December rate hike had a positive impact on the markets as it removed a source of uncertainty, but this was counteracted by the dampening effect of a stronger U.S. dollar, falling oil prices and tighter credit conditions.

At BlackRock, we believe investors need to think globally, extend their scope across a broad array of asset classes and be prepared to move freely as market conditions change over time. 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 December 31, 2015
	6-month			12-month
U.S. large cap equities (S&P 500® Index)		0.15	%		1.38	%
U.S. small cap equities (Russell 2000® Index)		(8.75	)		(4.41	)
International equities (MSCI Europe, Australasia, Far East Index)		(6.01	)		(0.81	)
Emerging market equities (MSCI Emerging Markets Index)		(17.35	)		(14.92	)
3-month Treasury bills (BofA Merrill Lynch 3-Month U.S. Treasury Bill Index)		0.04			0.05
U.S. Treasury securities (BofA Merrill Lynch 10-Year U.S. Treasury Index)		1.43			0.91
U.S. investment-grade bonds (Barclays U.S. Aggregate Bond Index)		0.65			0.55
Tax-exempt municipal bonds (S&P Municipal Bond Index)		3.31			3.32
U.S. high yield bonds (Barclays U.S. Corporate High Yield 2% Issuer Capped Index)		(6.79	)		(4.43	)
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

THIS PAGE NOT PART OF YOUR FUND REPORT 3

Fund Summary as of December 31, 2015

Investment Objective

BlackRock CoreAlpha Bond Fund’s (the “Fund”) investment objective is to seek to provide a combination of income and capital growth.

Portfolio Management Commentary

How did the Fund perform?

• For the 12-month period ended December 31, 2015, the Fund’s Institutional Shares returned 0.48%, Investor A Shares returned 0.04% and Investor C Shares returned (0.61)%. The Fund’s Institutional, Investor A and Investor C Shares underperformed the benchmark, the Barclays U.S. Aggregate Bond Index (the “Index”), which returned 0.55% for the same period.

• The Fund invests all of its assets in the CoreAlpha Bond Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio.

What factors influenced performance?

• Security selection within corporate credits was strong for the full year 2015. In particular, an underweight position to energy was beneficial as low oil prices and global growth concerns put pressure on credit spreads for the sector. An underweight position to metals & mining issuers was also positive due to weakness in commodities. With respect to asset allocation, an overweighting of risk-based assets contributed positively for the full year, despite a drastic widening of credit spreads during the third quarter on macro uncertainties surrounding China, commodities weakness and the timing of the initial rate hike by the U.S. Federal Reserve (the “Fed”). The Master Portfolio’s global interest rate strategies contributed as well, in particular being overweight duration (and corresponding interest rate sensivity) in Australia and Canada.

• Currency strategies were the primary detractor during the period, driven by the Master Portfolio’s long U.S. dollar position during the second quarter in an environment of weak economic data and a Fed hesitant to raise rates prematurely. In addition, the Master Portfolio’s move from a short to

a long Canadian dollar position in the fourth quarter detracted from performance. Lastly, the Master Portfolio’s U.S. interest rate strategies hindered returns, in particular positioning along the nominal Treasury yield curve in the first quarter of 2015 and exposure to Treasury Inflation Protected Securities in the third quarter as commodity price declines and China growth concerns undermined the inflation outlook.

• The Master Portfolio held derivatives (i.e. financial future contracts, swaps, options and forward foreign currency exchange contracts) during the period, which had a modest negative impact on performance, on a net basis.

Describe recent portfolio activity.

• During the 12-month period, the Master Portfolio increased its energy and basic materials underweights. Within basic materials, the underweight was focused primarily on metals & mining names. The Master Portfolio also moved to an underweight in media, as that segment is experiencing increased competition and facing longer-term industry challenges surrounding the consumer shift to mobile devices.

Describe portfolio positioning at period end.

• At period end, the Master Portfolio remained overweight relative to the Index in non-government spread sectors and generally underweight U.S. Treasury securities. Within spread sectors, the Master Portfolio was overweight in investment grade corporate credit, agency mortgage-backed securities and asset-backed securities, and underweight in select non-corporate sectors including emerging markets. The Master Portfolio also held a non-benchmark allocation to high yield debt.

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 BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015

Total Return Based on a $10,000 Investment

¹  Assuming maximum sales charges, transaction costs and other operating expenses, including administration fees, if any. Institutional Shares do not have a sales charge.

²  The Fund invests all of its assets in the Master Portfolio. The Master Portfolio invests, under normal circumstances, at least 80% of its assets in bonds, including obligations issued or guaranteed by the U.S. Government, its agencies or instrumentalities; mortgage-backed securities issued or guaranteed by the U.S. Government or its agencies or instrumentalities, including U.S. agency mortgage pass-through securities; commercial mortgage-backed securities; debt obligations of U.S. issuers; municipal securities; asset-backed securities; and U.S.-registered dollar-denominated debt obligations of foreign issuers. The Master Portfolio may invest in bonds of any maturity or duration.

³  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.

Performance Summary for the Period Ended December 31, 2015

										Average Annual Total Returns4
										1 Year						5 Years						10 Years
	Standardized 30-Day Yields			Unsubsidized 30-Day Yields			6-Month Total Returns			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge
Institutional		2.29	%		2.27	%		0.50	%		0.48	%		N/A			3.45	%		N/A			4.82	%		N/A
Investor A		1.94			1.93			0.32			0.04			(3.96	)%		3.13			2.29	%		4.48			4.06	%
Investor C		1.19			1.18			(0.06	)		(0.61	)		(1.59	)		2.35			2.35			3.70			3.70
Barclays U.S. Aggregate Bond Index		—			—			0.65			0.55			N/A			3.25			N/A			4.51			N/A

⁴  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 6 for a detailed description of share classes, including any related sales charges and fees.

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

Past performance is not indicative of future results.

Expense Example

	Actual						Hypothetical6
	Beginning Account Value July 1, 2015		Ending Account Value December 31, 2015		Expenses Paid During the Period5		Beginning Account Value July 1, 2015		Ending Account Value December 31, 2015		Expenses Paid During the Period5		Annualized Expense Ratio
Institutional	$	1,000.00	$	1,005.00	$	1.77	$	1,000.00	$	1,023.44	$	1.79		0.35	%
Investor A	$	1,000.00	$	1,003.20	$	3.53	$	1,000.00	$	1,021.68	$	3.57		0.70	%
Investor C	$	1,000.00	$	999.40	$	7.31	$	1,000.00	$	1,017.90	$	7.37		1.45	%

⁵  For each class of the Fund, expenses are equal to the annualized net expense ratio for the class, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). Because the Fund invests all of its assets in the Master Portfolio, the expense example reflects the net expenses of both the Fund and the Master Portfolio in which it invests.

⁶  Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365.

See “Disclosure of Expenses” on page 6 for further information on how expenses are calculated.

BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015 5

About Fund Performance

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

• Investor A Shares are subject to a maximum initial sales charge (front-end load) of 4.00% 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.

Prior to February 28, 2011 for Institutional Shares and prior to April 30, 2012 for Investor A and Investor C Shares, the performance of the classes is based on the returns of the Master Portfolio in which the Fund invests all of its assets adjusted to reflect the estimated annual fund fees and operating expenses of each respective share class of the Fund.

Performance information reflects past performance and does not guarantee future results. Current performance may be lower or higher than the performance data quoted. Refer to www.blackrock.com/funds 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 payable date. 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 (“BAL” or the “Administrator”), the Fund’s administrator, voluntarily waived a portion of the Fund’s expenses. Without such waiver, the Fund’s performance would have been lower. The Administrator is under no obligation to waive or to continue waiving its fees and such voluntary waiver may be reduced or discontinued at any time. See Note 4 of the Notes to Financial Statements for additional information on waivers. The standardized 30-day yield includes the effects of any waivers and/or reimbursements. The unsubsidized 30-day yield excludes the effects of any waivers and/or reimbursements.

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 on the previous page (which is based on a hypothetical investment of $1,000 invested on July 1, 2015 and held through December 31, 2015) 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 any 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.

6 BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015

Derivative Financial Instruments

The Master Portfolio may invest in various derivative financial instruments. Derivative financial instruments are used to obtain exposure to a security, index and/or market without owning or taking physical custody of securities 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. Derivative financial instruments also 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 derivative financial instrument. The Master Portfolio’s ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Master Portfolio can realize on an investment and/or may result in lower distributions paid to shareholders. The Master Portfolio’s investments in these instruments, if any, are discussed in detail in the Master Portfolio’s Notes to Financial Statements.

BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015 7

Statement of Assets and Liabilities BlackRock CoreAlpha Bond Fund

December 31, 2015
Assets
Investments at value — Master Portfolio (cost — $242,421,759)	$	239,068,861
Receivables:
Capital shares sold		2,621,440
Withdrawals from the Master Portfolio		70,069
Total assets		241,760,370
Liabilities
Payables:
Capital shares redeemed		2,691,509
Income dividends		36,341
Administration fees		18,407
Professional fees		12,008
Service and distribution fees		762
Total liabilities		2,759,027
Net Assets	$	239,001,343
Net Assets Consist of
Paid-in capital	$	241,224,677
Distributions in excess of net investment income		(6,006	)
Accumulated net realized gain allocated from the Master Portfolio		1,135,570
Net unrealized appreciation (depreciation) allocated from the Master Portfolio		(3,352,898	)
Net Assets	$	239,001,343
Net Asset Value
Institutional — Based on net assets of $236,267,184 and 22,899,792 shares outstanding, unlimited number of shares authorized, no par value	$	10.32
Investor A — Based on net assets of $2,462,561 and 238,563 shares outstanding, unlimited number of shares authorized, no par value	$	10.32
Investor C — Based on net assets of $271,598 and 26,321 shares outstanding, unlimited number of shares authorized, no par value	$	10.32

See Notes to Financial Statements.
8	BLACKROCK COREALPHA BOND FUND	DECEMBER 31, 2015

Statement of Operations BlackRock CoreAlpha Bond Fund

Year Ended December 31, 2015
Investment Income
Net investment income allocated from the Master Portfolio:
Interest — unaffiliated	$	6,319,128
Dividends — unaffiliated		29,805
Dividends — affiliated		53,557
Securities lending — affiliated — net		1,347
Expenses		(571,852	)
Fees waived		16,261
Total income		5,848,246
Fund Expenses
Administration — Institutional		224,307
Administration — Investor A		3,509
Administration — Investor C		529
Service and distribution — Investor A		4,391
Service and distribution — Investor C		2,646
Professional		19,442
Miscellaneous		325
Total expenses		255,149
Less administration fees waived		(19,442	)
Total expenses after fees waived		235,707
Net investment income		5,612,539
Realized and Unrealized Gain (Loss) Allocated from the Master Portfolio
Net realized gain from investments, in-kind redemptions1, financial futures contracts, options written, swaps and foreign currency transactions		464,898
Net change in unrealized appreciation (depreciation) on investments, financial futures contracts, option written, swaps and foreign currency translations		(5,654,572	)
Net realized and unrealized loss		(5,189,674	)
Net Increase in Net Assets Resulting from Operations	$	422,865
1    See Note 2 of the Notes to Financial Statements.

See Notes to Financial Statements.
	BLACKROCK COREALPHA BOND FUND	DECEMBER 31, 2015	9

Statements of Changes in Net Assets BlackRock CoreAlpha Bond Fund

	Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014
Operations
Net investment income	$	5,612,539		$	3,562,127
Net realized gain		464,898			1,664,284
Net change in unrealized appreciation (depreciation)		(5,654,572	)		3,593,170
Net increase in net assets resulting from operations		422,865			8,819,581
Distributions to Shareholders1
From net investment income:
Institutional		(5,292,050	)		(3,475,349	)
Investor A		(34,988	)		(16,428	)
Investor C		(3,325	)		(4,036	)
From net realized gain:
Institutional		(1,185,065	)		(151,873	)
Investor A		(8,426	)		(718	)
Investor C		(1,358	)		(176	)
Decrease in net assets resulting from distributions to shareholders		(6,525,212	)		(3,648,580	)
Capital Share Transactions
Net increase in net assets derived from capital share transactions		59,195,073			80,653,276
Net Assets
Total increase in net assets		53,092,726			85,824,277
Beginning of year		185,908,617			100,084,340
End of year	$	239,001,343		$	185,908,617
Distributions in excess of net investment income, end of year	$	(6,006	)	$	(288,182	)
1   Distributions for annual periods determined in accordance with federal income tax regulations.

See Notes to Financial Statements.
10	BLACKROCK COREALPHA BOND FUND	DECEMBER 31, 2015

Financial Highlights

	Institutional
	Year Ended December 31,												Period February 28, 20111 to December 31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	10.57		$	10.19		$	10.72		$	10.50		$	10.00
Net investment income2		0.26			0.26			0.22			0.24			0.25
Net realized and unrealized gain (loss)		(0.20	)		0.39			(0.48	)		0.26			0.52
Net increase (decrease) from investment operations		0.06			0.65			(0.26	)		0.50			0.77
Distributions from:3
Net investment income		(0.25	)		(0.26	)		(0.25	)		(0.25	)		(0.26	)
Net realized gain		(0.06	)		(0.01	)		(0.00	)4		—			—
Return of capital		—			—			(0.02	)		(0.03	)		(0.01	)
Total distributions		(0.31	)		(0.27	)		(0.27	)		(0.28	)		(0.27	)
Net asset value, end of period	$	10.32		$	10.57		$	10.19		$	10.72		$	10.50
Total Return5
Based on net asset value		0.48%			6.45%			(2.44)%			4.82%			7.80%	6
Ratios to Average Net Assets7
Total expenses		0.35%	8		0.35%	8		0.36%	8		0.37%	9		0.44%	8,10
Total expenses after fees waived		0.35%	8		0.34%	8		0.34%	8		0.34%	9		0.35%	8,10
Net investment income		2.48%	8		2.53%	8		2.16%	8		2.22%	9		2.93%	8,10
Supplemental Data
Net assets, end of period (000)	$	236,267		$	183,880		$	99,630		$	110,020		$	59,250
Portfolio turnover of the Master Portfolio11		612%			686%			986%			2,128%			1,646%

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Amount is greater than $(0.005) per share.

⁵  Where applicable, assumes the reinvestment of distributions.

⁶  Aggregate total return.

⁷  Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁸  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.01%.

⁹  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of less than 0.01%.

¹⁰  Annualized.

¹¹  Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows:

	Year Ended December 31,								Period February 28, 20111 to December 31, 2011
	2015		2014		2013		2012
Portfolio turnover rate (excluding MDRs)		540%		470%		736%		1,774%		1,510%

See Notes to Financial Statements.
	BLACKROCK COREALPHA BOND FUND	DECEMBER 31, 2015	11

Financial Highlights (continued)

	Investor A
	Year Ended December 31,									Period April 30, 20121 to December 31, 2012
	2015			2014			2013
Per Share Operating Performance
Net asset value, beginning of period	$	10.58		$	10.19		$	10.72		$	10.55
Net investment income2		0.22			0.23			0.18			0.12
Net realized and unrealized gain (loss)		(0.21	)		0.39			(0.48	)		0.22
Net increase (decrease) from investment operations		0.01			0.62			(0.30	)		0.34
Distributions from:3
Net investment income		(0.21	)		(0.22	)		(0.21	)		(0.15	)
Net realized gain		(0.06	)		(0.01	)		(0.00	)4		—
Return of capital		—			—			(0.02	)		(0.02	)
Total distributions		(0.27	)		(0.23	)		(0.23	)		(0.17	)
Net asset value, end of period	$	10.32		$	10.58		$	10.19		$	10.72
Total Return5
Based on net asset value		0.04%			6.18%			(2.78)%			3.25%	6
Ratios to Average Net Assets7
Total expenses		0.70%	8		0.71%	8		0.71%	8		0.72%	8,9
Total expenses after fees waived		0.70%	8		0.69%	8		0.69%	8		0.70%	8,9
Net investment income		2.13%	8		2.19%	8		1.78%	8		1.80%	8,9
Supplemental Data
Net assets, end of period (000)	$	2,463		$	1,776		$	166		$	168
Portfolio turnover of the Master Portfolio10		612%			686%			986%			2,128%

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Amount is greater than $(0.005) per share.

⁵  Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁶  Aggregate total return.

⁷  Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁸  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.01%.

⁹  Annualized.

¹⁰  Includes MDRs. Additional information regarding portfolio turnover rate is as follows:

	Year Ended December 31,						Period April 30, 20121 to December  31, 2012
	2015		2014		2013
Portfolio turnover rate (excluding MDRs)		540%		470%		736%		1,774%

See Notes to Financial Statements.
12	BLACKROCK COREALPHA BOND FUND	DECEMBER 31, 2015

Financial Highlights (concluded)

	Investor C
	Year Ended December 31,									Period April 30, 20121 to December  31, 2012
	2015			2014			2013
Per Share Operating Performance
Net asset value, beginning of period	$	10.57		$	10.18		$	10.71		$	10.55
Net investment income2		0.15			0.15			0.11			0.06
Net realized and unrealized gain (loss)		(0.21	)		0.40			(0.48	)		0.21
Net increase (decrease) from investment operations		(0.06	)		0.55			(0.37	)		0.27
Distributions from:3
Net investment income		(0.13	)		(0.15	)		(0.14	)		(0.10	)
Net realized gain		(0.06	)		(0.01	)		(0.00	)4		—
Return of capital		—			—			(0.02	)		(0.01	)
Total distributions		(0.19	)		(0.16	)		(0.16	)		(0.11	)
Net asset value, end of period	$	10.32		$	10.57		$	10.18		$	10.71
Total Return5
Based on net asset value		(0.61)%			5.40%			(3.51)%			2.61%	6
Ratios to Average Net Assets7
Total expenses		1.46%	8		1.45%	8		1.46%	8		1.46%	8,9
Total expenses after fees waived		1.45%	8		1.44%	8		1.44%	8		1.44%	8,9
Net investment income		1.39%	8		1.44%	8		1.04%	8		1.04%	8,9
Supplemental Data
Net assets, end of period (000)	$	272		$	253		$	288		$	273
Portfolio turnover of the Master Portfolio10		612%			686%			986%			2,128%

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Amount is greater than $(0.005) per share.

⁵  Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁶  Aggregate total return.

⁷  Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁸  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.01%.

⁹  Annualized.

¹⁰  Includes MDRs. Additional information regarding portfolio turnover rate is as follows:

	Year Ended December 31,						Period April 30, 20121 to December 31, 2012
	2015		2014		2013
Portfolio turnover rate (excluding MDRs)		540%		470%		736%		1,774%

See Notes to Financial Statements.
	BLACKROCK COREALPHA BOND FUND	DECEMBER 31, 2015	13

Notes to Financial Statements BlackRock CoreAlpha Bond Fund

1. Organization:

BlackRock CoreAlpha Bond Fund (the “Fund”), a series of BlackRock Funds III (the “Trust”), is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a diversified, open-end management investment company. The Trust is organized as a Delaware statutory trust. The Fund seeks to achieve its investment objective by investing all of its assets in CoreAlpha Bond Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio (“MIP”), an affiliate of the Fund, which has the same investment objective and strategies as the Fund. The value of the Fund’s investment in the Master Portfolio reflects the Fund’s proportionate interest in the net assets of the Master Portfolio. The performance of the Fund is directly affected by the performance of the Master Portfolio. At December 31, 2015, the percentage of the Master Portfolio owned by the Fund was 29.3%. The financial statements of the Master Portfolio, including the Schedule 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 Investor A and Investor C Shares bear certain expenses related to shareholder servicing of such shares, and Investor C Shares also bears certain expenses related to distribution of such shares. Institutional Shares are sold only to certain eligible investors. Investor A and Investor C Shares are generally available through financial intermediaries. Each class has exclusive voting rights with respect to matters relating to its shareholder servicing and distribution expenditures. The Board of Trustees of the Trust and Boards of Trustees of MIP are referred to throughout this report as the “Board of Trustees” or the “Board” and the members are referred to as “Trustees.”

Share Class	Initial Sales Charge		CDSC			Conversion
Institutional Shares		No		No			None
Investor A Shares		Yes		No	1		None
Investor C Shares		No		Yes			None

¹  Investor A Shares may be subject to a CDSC for certain redemptions where no initial sales charge was paid at the time of purchase.

The Fund, together with certain other registered investment companies advised by BAL or its affiliates, is included in a complex of open-end funds referred to as the Equity-Liquidity 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 Investment Income: For financial reporting purposes, contributions to and withdrawals from the Master Portfolio are accounted on a trade date basis. The Fund records daily its proportionate share of the Master Portfolio’s income, expenses and realized and unrealized gains and losses. Realized and unrealized gains and losses are adjusted utilizing partnership tax allocation rules. In addition, the Fund accrues its own expenses. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.

Distributions: Distributions from net investment income are declared daily and paid monthly. Distributions of capital gains are recorded on the ex-dividend date. The character and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.

In-Kind Redemptions: The Master Portfolio satisfied certain redemptions of investors’ capital through an in-kind redemption of securities and cash. For financial reporting purposes, these transactions were treated as a sale of securities and the resulting gains and losses were recognized at the Master Portfolio based on the market value of the securities on the date of the redemption. For the year ended December 31, 2015, the Fund was allocated realized gain from the in-kind redemption of $915,865. For tax purposes, no gains or losses were recognized.

Indemnifications: In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against the Fund, which cannot be predicted with any certainty.

Other: Expenses directly related to the Fund or its classes are charged to the Fund or the applicable class. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods. Expenses directly related to the Fund and other shared expenses prorated to the Fund are allocated daily to each class based on its relative net assets or other appropriate methods.

14 BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015

Notes to Financial Statements (continued) BlackRock CoreAlpha Bond Fund

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: The Fund’s policy is to value its financial instruments at fair value. The Fund records its investment in the Master Portfolio at fair value based on the Fund’s proportionate interest in the net assets of the Master Portfolio. Valuation of securities held by the Master Portfolio is discussed in Note 3 of the Master Portfolio’s Notes to Financial Statements, which are included elsewhere in this report.

4. Administration Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

The Trust, on behalf of the Fund, entered into an Administration Agreement with BAL, an indirect, wholly owned subsidiary of BlackRock, to provide administrative services (other than investment advice and related portfolio activities). For such services, the Fund pays BAL a monthly fee at an annual rate of 0.10% of the average daily value of the Institutional Share’s net assets and 0.20% of the Investor A and Investor C Shares’ net assets. The Fund does not pay an investment advisory fee or investment management fee.

From time to time, BAL may waive such fees in whole or in part. Any such waiver will reduce the expenses of the Fund and, accordingly, have a favorable impact on its performance. BAL may delegate certain of its administration duties to sub-administrators.

The fees and expenses of the Fund’s trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and the Trust’s independent registered public accounting firm (together, the “independent expenses”) are paid directly by the Fund. BAL has contractually agreed to reimburse the Fund or provide an offsetting credit against the administration fees paid by the Fund in an amount equal to the independent expenses through April 30, 2016.

The Trust, on behalf of the Fund, entered into a Distribution Agreement and a Distribution and Service Plan with BlackRock Investments, LLC (“BRIL”), an affiliate of BAL. Pursuant to the Distribution and Service Plan 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:

	Service Fees		Distribution Fees
Investor A		0.25%		—
Investor C		0.25%		0.75%

Pursuant to sub-agreements with BRIL, broker-dealers and 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 the shareholders.

For the year ended December 31, 2015, affiliates earned underwriting discounts, direct commissions and dealer concessions on sales of the Fund’s Investor A which totaled $930.

For the year ended December 31, 2015, affiliates received CDSCs of $445 and $248 for Investor A and Investor C Shares, respectively.

Certain officers and/or trustees of the Trust are officers and/or directors of BlackRock or its affiliates.

5. 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 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 remains open for each of the four years ended December 31, 2015. 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 December 31, 2015, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the Fund’s financial statements.

The tax character of distributions paid was as follows:

	12/31/15		12/31/14
Ordinary income	$	6,146,395	$	3,648,580
Long-term capital gains		378,817		—
Total	$	6,525,212	$	3,648,580

BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015 15

Notes to Financial Statements (concluded) BlackRock CoreAlpha Bond Fund

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

Undistributed ordinary income	$	794,586
Capital loss carryforwards		(1,587,249	)
Net unrealized losses1		(1,430,671	)
Total	$	(2,223,334	)

¹  The difference between book-basis and tax-basis net unrealized gains (losses) was attributable primarily to the timing and recognition of partnership income.

As of period end, the Fund had a capital loss carryforward, with no expiration dates, available to offset future realized capital gains of $1,587,249.

6. Capital Share Transactions:

Transactions in capital shares for each class were as follows:

	Year Ended December 31, 2015						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount
Institutional
Shares sold		9,352,784		$	98,811,293			13,880,886		$	144,664,033
Shares issued to shareholders in reinvestment of distributions		568,522			5,968,027			305,732			3,201,545
Shares redeemed		(4,416,226	)		(46,330,882	)		(6,572,695	)		(68,757,052	)
Net increase		5,505,080		$	58,448,438			7,613,923		$	79,108,526
Investor A
Shares sold		206,461		$	2,163,091			171,264		$	1,793,894
Shares issued to shareholders in reinvestment of distributions		4,095			43,073			1,582			16,615
Shares redeemed		(139,923	)		(1,485,387	)		(21,204	)		(219,796	)
Net increase		70,633		$	720,777			151,642		$	1,590,713
Investor C
Shares sold		8,280		$	86,812			2		$	22
Shares issued to shareholders in reinvestment of distributions		407			4,273			374			3,904
Shares redeemed		(6,261	)		(65,227	)		(4,777	)		(49,889	)
Net increase (decrease)		2,426		$	25,858			(4,401	)	$	(45,963	)
Total Net Increase		5,578,139		$	59,195,073			7,761,164		$	80,653,276

At period end, shares owned by BlackRock HoldCo 2, Inc., an affiliate of the Fund, were as follows:

Investor C 1,924

7. 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.

16 BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of BlackRock Funds III and the Shareholders of BlackRock CoreAlpha Bond Fund:

In our opinion, the accompanying statement of assets and liabilities and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of BlackRock CoreAlpha Bond Fund (the “Fund”), a series of BlackRock Funds III, at December 31, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 24, 2016

Important Tax Information (Unaudited)

For the fiscal year ended December 31, 2015, the following information is provided with respect to the ordinary income distributions paid by the Fund.

Interest-Related Dividends and Qualified Short Term Capital Gains for Non-U.S. Residents1	77.89%
Federal Obligation Interest2	4.97%

¹  Represents the portion of the taxable ordinary income dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations.

²  The law varies in each state as to whether and what percentage of dividend income attributable to federal obligations is exempt from state income tax. We recommend that you consult your tax advisor to determine if any portion of the dividends you received is exempt from state income taxes.

Additionally, the Fund distributed long-term capital gains of $0.016915 per share to shareholders on record June 29, 2015.

BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015 17

Master Portfolio Information CoreAlpha Bond Master Portfolio

As of December 31, 2015

Portfolio Composition Percent of Total  Investments⁴

U.S. Government Sponsored Agency Securities	45	%
Corporate Bonds	35
Non-Agency Mortgage-Backed Securities	12
Asset-Backed Securities	9
Foreign Agency Obligations	1
U.S. Treasury Obligations	1
Investment Companies	1
Municipal Bonds	1
Short-Term Securities	2
TBA Sole Commitments	(7	)

Credit Quality Allocation¹ Percent of
Total  Investments⁴

AAA/Aaa2	57	%
AA/Aa	7
A	15
BBB/Baa	18
BB/Ba	2
B	—	3
CCC	—	3
N/R	1

¹  For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”) or Moody’s Investors Service (“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.

²  The investment advisor evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuer. Using this approach, the investment advisor has deemed U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa.

³  Represents less than 1%.

⁴  Excludes short-term securities.

18 BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015

Schedule of Investments December 31, 2015 CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets)

Asset-Backed Securities	Par   (000)		Value
Access Group, Inc., Series 2004-A, Class A2, 0.58%, 4/25/29 (a)	$	946	$	933,547
ACE Securities Corp. Home Equity Loan Trust (a):
Series 2005-AG1, Class A2D, 0.78%, 8/25/35		126		124,666
Series 2005-HE2, Class M3, 1.14%, 4/25/35		325		324,565
Series 2005-HE4, Class M2, 1.20%, 7/25/35		524		515,335
American Credit Acceptance Receivables Trust, Series 2014-3, Class A, 0.99%, 8/10/18 (b)		103		102,417
AmeriCredit Automobile Receivables Trust:
Series 2012-3, Class D, 3.03%, 7/09/18		641		647,072
Series 2012-4, Class D, 2.68%, 10/09/18		1,140		1,148,645
Series 2012-5, Class B, 1.12%, 11/08/17		252		251,589
Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE1, Class 1A3, 0.75%, 12/25/35 (a)		195		194,653
Carfinance Capital Auto Trust, Class A (b):
Series 2013-2A, 1.75%, 11/15/17		19		19,160
Series 2014-1A, 1.46%, 12/17/18		323		322,237
Centex Home Equity Loan Trust, Series 2006-A, Class AV3, 0.58%, 6/25/36 (a)		250		249,689
Chase Issuance Trust, Series 2012-A7, Class A7, 2.16%, 9/16/24		1,190		1,155,856
Citibank Credit Card Issuance Trust, Series 2014-A6, Class A6, 2.15%, 7/15/21		2,940		2,954,067
College Loan Corp. Trust I, Series 2004-1, Class A4, 0.51%, 4/25/24 (a)		3,000		2,986,451
Countrywide Asset-Backed Certificates, Series 2005-8, Class M1, 0.89%, 12/25/35 (a)		223		223,138
CPS Auto Receivables Trust, Series 2011-B, Class B, 5.68%, 9/17/18 (b)		109		109,028
Credit Suisse Mortgage Capital Certificates, Series 2006-CF3, Class A1, 0.96%, 10/25/36 (a)(b)		351		346,278
Discover Card Execution Note Trust, Series 2015-A2, Class A, 1.90%, 10/17/22		1,160		1,144,088
DT Auto Owner Trust, Series 2012-2A, Class D, 4.35%, 3/15/19 (b)		804		803,962
Exeter Automobile Receivables Trust (b):
Series 2012-2A, Class B, 2.22%, 12/15/17		159		159,144
Series 2013-1A, Class B, 2.41%, 5/15/18		521		521,381
Series 2014-1A, Class A, 1.29%, 5/15/18		495		494,910
Series 2014-2A, Class A, 1.06%, 8/15/18		137		136,583
First Franklin Mortgage Loan Trust (a):
Series 2005-FF04, Class M1, 1.07%, 5/25/35		324		322,784
Series 2005-FF10, Class A4, 0.74%, 11/25/35		177		172,414

Asset-Backed Securities	Par   (000)		Value
First Investors Auto Owner Trust, Class A2 (b):
Series 2013-1A, 0.90%, 10/15/18	$	66	$	66,034
Series 2014-1A, 0.80%, 2/15/18		12		11,850
Flagship Credit Auto Trust, Series 2014-1, Class A, 1.21%, 4/15/19 (b)		504		501,714
HSI Asset Securitization Corp. Trust, Series 2006-OPT4, Class 2A5, 0.00%, 3/25/36 (c)		1,308		1,268,435
JPMorgan Mortgage Acquisition Corp. (a):
Series 2005-OPT2, Class A1B, 0.71%, 12/25/35		202		200,354
Series 2007-CH1, Class AV4, 0.55%, 11/25/36		49		48,542
KeyCorp Student Loan Trust, Series 2006-A, Class 2A4, 0.91%, 9/27/35 (a)		1,079		1,040,899
Morgan Stanley ABS Capital I, Inc. Trust (a):
Series 2005-HE3, Class M2, 1.20%, 7/25/35		56		55,735
Series 2005-WMC4, Class M4, 1.37%, 4/25/35		893		894,455
National Collegiate Student Loan Trust (a):
Series 2004-1, Class A2, 0.86%, 6/25/27		176		174,691
Series 2004-2, Class A4, 0.73%, 11/27/28		1,773		1,740,816
Series 2005-1, Class A4, 0.66%, 11/27/28		105		102,683
Series 2005-3, Class A4, 0.70%, 4/25/29		1,630		1,605,218
Series 2006-1, Class A4, 0.67%, 3/27/28		718		691,677
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates (a):
Series 2004-WHQ2, Class M2, 1.37%, 2/25/35		1,135		1,131,699
Series 2004-WWF1, Class M2, 1.44%, 12/25/34		51		50,714
Series 2005-WCW3, Class A2C, 0.80%, 8/25/35		320		317,388
RAMP Trust (a):
Series 2004-RS11, Class M1, 1.35%, 11/25/34		226		223,453
Series 2005-EFC1, Class M2, 0.87%, 5/25/35		293		292,507
Series 2005-RS6, Class M1, 0.92%, 6/25/35		203		202,772
Series 2006-NC2, Class A2, 0.61%, 2/25/36		892		870,776
Series 2006-RZ3, Class A2, 0.58%, 8/25/36		928		919,634
RASC Trust, Series 2005-AHL3, Class A2, 0.66%, 11/25/35 (a)		436		429,162
Santander Drive Auto Receivables Trust:
Series 2011-3, Class D, 4.23%, 5/15/17		785		785,180

Portfolio Abbreviations

ABS	Asset-Backed Security
AUD	Australian Dollar
BRL	Brazilian Real
CAD	Canadian Dollar
CLP	Chilean Peso
COP	Certificates of Participation
ETF	Exchange-Traded Fund
EUR	Euro
EURIBOR	Euro Interbank Offered Rate
GBP	British Pound
GO	General Obligation Bonds
HSI	Hong Kong Stock Exchange
HUF	Hungarian Forint

IDR	Indonesian Rupiah
ILS	Israeli New Shekel
INR	Indian Rupee
JPY	Japanese Yen
KRW	South Korean Won
LIBOR	London Interbank Offered Rate
MXN	Mexican Peso
MYR	Malaysian Ringgit
NOK	Norwegian Krone
NYSE	New York Stock Exchange
NZD	New Zealand Dollar
OTC	Over-the-Counter
PHP	Philippine Peso

PLN	Polish Zloty
RB	Revenue Bonds
RON	Romanian New Leu
RUB	Russian Ruble
SEK	Swedish Krona
SGD	Singapore Dollar
STRIPS	Separate Trading of Registered Interest and Principal Securities
THB	Thai Baht
TRY	Turkish Lira
TWD	Taiwan Dollar
USD	U.S. Dollar

See Notes to Financial Statements.

BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015 19

Schedule of Investments (continued) CoreAlpha Bond Master Portfolio

Asset-Backed Securities	Par   (000)		Value
Santander Drive Auto Receivables Trust (continued):
Series 2011-4, Class D, 4.74%, 9/15/17	$	349	$	351,519
Series 2012-1, Class C, 3.78%, 11/15/17		2		2,250
Series 2012-2, Class C, 3.20%, 2/15/18		143		143,311
Series 2012-2, Class D, 3.87%, 2/15/18		600		606,506
Series 2012-3, Class D, 3.64%, 5/15/18		1,610		1,635,044
Series 2012-4, Class D, 3.50%, 6/15/18		2,560		2,595,835
Series 2012-AA, Class C, 1.78%, 11/15/18 (b)		3,108		3,108,140
Series 2012-AA, Class D, 2.46%, 12/17/18 (b)		820		824,402
Series 2013-1, Class C, 1.76%, 1/15/19		1,325		1,326,477
Series 2013-2, Class B, 1.33%, 3/15/18		428		427,613
Series 2013-2, Class C, 1.95%, 3/15/19		2,720		2,725,261
Series 2013-3, Class C, 1.81%, 4/15/19		1,420		1,418,486
Series 2013-3, Class D, 2.42%, 4/15/19		960		957,724
Series 2013-4, Class C, 3.25%, 1/15/20		310		313,877
Series 2013-A, Class B, 1.89%, 10/15/19 (b)		678		678,576
Series 2013-A, Class C, 3.12%, 10/15/19 (b)		2,165		2,188,507
Series 2014-1, Class B, 1.59%, 10/15/18		1,270		1,269,477
Series 2014-1, Class C, 2.36%, 4/15/20		910		911,422
Series 2014-2, Class C, 2.33%, 11/15/19		3,445		3,450,169
Series 2014-4, Class B, 1.82%, 5/15/19		570		570,511
Series 2014-4, Class C, 2.60%, 11/16/20		540		540,908
Series 2014-5, Class C, 2.46%, 6/15/20		600		601,688
Series 2015-1, Class C, 2.57%, 4/15/21		760		755,498
Series 2015-2, Class C, 2.44%, 4/15/21		700		692,319
Series 2015-3, Class C, 2.74%, 1/15/21		630		626,878
SLC Private Student Loan Trust, Series 2006-A, Class A5, 0.49%, 7/15/36 (a)		2,952		2,925,574
SLM Private Credit Student Loan Trust (a):
Series 2003-A, Class A2, 0.95%, 9/15/20		1,403		1,388,284
Series 2003-B, Class A2, 0.91%, 3/15/22		450		442,009
Series 2003-C, Class A2, 0.90%, 9/15/20		396		388,081
Series 2004-B, Class A2, 0.71%, 6/15/21		1,102		1,092,277
Series 2005-B, Class A2, 0.69%, 3/15/23		962		951,318
Series 2006-A, Class A4, 0.70%, 12/15/23		3,192		3,140,699
Series 2006-B, Class A4, 0.69%, 3/15/24		798		787,147
Series 2006-C, Class A4, 0.68%, 3/15/23		769		755,323
SLM Private Education Loan Trust (a)(b):
Series 2010-A, Class 1A, 3.20%, 5/16/44		891		912,148
Series 2011-A, Class A1, 1.33%, 10/15/24		773		773,484
Series 2011-B, Class A1, 1.18%, 12/16/24		111		110,482
Series 2011-C, Class A1, 1.73%, 12/15/23		11		11,401
Series 2012-A, Class A1, 1.73%, 8/15/25		321		322,092
Series 2012-C, Class A1, 1.43%, 8/15/23		229		228,746
Series 2012-D, Class A1, 1.38%, 6/15/23		148		147,812
Series 2012-E, Class A1, 1.08%, 10/16/23		710		708,945
Series 2013-A, Class A1, 0.93%, 8/15/22		1,000		996,761
Series 2013-B, Class A1, 0.98%, 7/15/22		1,595		1,591,619
Series 2013-C, Class A1, 1.18%, 2/15/22		696		695,725
SoFi Professional Loan Program LLC, Series 2015-B, Class A2, 2.51%, 9/27/32 (b)		288		282,358
Soundview Home Loan Trust, Series 2005-OPT4, Class 2A3, 0.68%, 12/25/35 (a)		786		773,091
Terwin Mortgage Trust, Series 2006-5, Class 2A2, 0.63%, 6/25/37 (a)(b)		785		741,607

Asset-Backed Securities	Par   (000)		Value
Trade MAPS 1 Ltd., Series 2013-1A (a)(b):
Class A, 0.99%, 12/10/18	$	2,850	$	2,831,894
Class B, 1.54%, 12/10/18		1,030		1,015,260
Total Asset-Backed Securities — 10.1%				82,726,582
Corporate Bonds
Aerospace & Defense — 0.7%
Harris Corp., 2.00%, 4/27/18		395		390,562
L-3 Communications Corp.:
3.95%, 11/15/16		380		385,716
1.50%, 5/28/17		170		167,894
4.75%, 7/15/20		720		749,032
4.95%, 2/15/21		1,618		1,667,255
Lockheed Martin Corp.:
1.85%, 11/23/18		370		369,346
2.50%, 11/23/20		650		646,145
3.55%, 1/15/26		235		235,827
4.85%, 9/15/41		600		617,777
3.80%, 3/01/45		655		580,573
				5,810,127
Auto Components — 0.6%
Delphi Corp.:
5.00%, 2/15/23		270		285,660
4.15%, 3/15/24		945		952,227
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:
4.88%, 3/15/19		465		460,815
6.00%, 8/01/20		525		529,410
Johnson Controls, Inc., 1.40%, 11/02/17		1,000		989,607
Lear Corp.:
4.75%, 1/15/23		310		311,550
5.38%, 3/15/24		1,115		1,145,663
ZF North America Capital, Inc., 4.50%, 4/29/22 (b)		350		342,125
				5,017,057
Automobiles — 0.1%
General Motors Co., 5.00%, 4/01/35		500		466,611
Banks — 4.1%
ANZ New Zealand International Ltd., 1.13%, 3/24/16 (b)		840		840,513
Bank of Nova Scotia, 1.70%, 6/11/18		1,055		1,050,998
Barclays Bank PLC:
2.00%, 3/16/18		1,520		1,510,929
2.75%, 11/08/19		1,275		1,270,342
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA:
2.25%, 1/14/19		1,160		1,163,737
3.38%, 5/21/25		930		920,800
Credit Suisse, 3.63%, 9/09/24		1,760		1,773,841
Credit Suisse Group Funding Guernsey Ltd. (b)
3.75%, 3/26/25		1,000		967,284
3.80%, 9/15/22		1,210		1,209,045
Discover Bank/Greenwood Delaware, 2.00%, 2/21/18		870		864,118
Fifth Third Bancorp, 0.90%, 2/26/16		960		959,998
HSBC Bank USA NA, 5.88%, 11/01/34		590		683,665
HSBC Holdings PLC:
4.25%, 8/18/25		700		694,685
6.50%, 9/15/37		400		479,887
HSBC USA, Inc., 1.50%, 11/13/17		1,875		1,866,561
Lloyds Bank PLC, 1.75%, 5/14/18		1,660		1,656,416
Rabobank Nederland, 3.88%, 2/08/22		1,140		1,203,138

See Notes to Financial Statements.

20 BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015

Schedule of Investments (continued) CoreAlpha Bond Master Portfolio

Corporate Bonds	Par   (000)		Value
Banks (continued)
Royal Bank of Canada:
0.85%, 3/08/16	$	1,360	$	1,360,101
1.20%, 9/19/17		2,960		2,946,008
Toronto-Dominion Bank, 1.50%, 3/13/17 (b)		1,558		1,560,508
Wachovia Bank NA, 6.00%, 11/15/17		1,790		1,930,562
Wells Fargo & Co.:
1.15%, 6/02/17		1,000		996,232
2.13%, 4/22/19		2,370		2,372,868
3.00%, 1/22/21		1,390		1,405,232
3.30%, 9/09/24		190		189,016
4.10%, 6/03/26		580		585,449
4.65%, 11/04/44		580		564,269
4.90%, 11/17/45		355		358,166
				33,384,368
Beverages — 0.6%
Anheuser-Busch InBev Worldwide, Inc., 3.75%, 7/15/42		460		395,236
Ball Corp., 4.38%, 12/15/20		195		198,047
Bottling Group LLC, 5.13%, 1/15/19		340		372,390
Diageo Capital PLC, 0.63%, 4/29/16		830		829,527
Dr Pepper Snapple Group, Inc., 2.90%, 1/15/16		380		380,140
PepsiCo, Inc.:
7.90%, 11/01/18		600		703,055
2.75%, 3/01/23		1,000		995,993
4.88%, 11/01/40		310		331,232
3.60%, 8/13/42		600		543,225
				4,748,845
Biotechnology — 0.5%
Biogen, Inc., 2.90%, 9/15/20		265		264,303
Celgene Corp., 2.30%, 8/15/18		600		604,178
Gilead Sciences, Inc.:
2.05%, 4/01/19		1,480		1,482,734
2.55%, 9/01/20		1,290		1,289,510
4.50%, 2/01/45		680		665,151
4.75%, 3/01/46		140		141,684
				4,447,560
Capital Markets — 3.0%
Bank of New York Mellon Corp., 0.70%, 3/04/16		1,360		1,359,759
Bear Stearns Cos. LLC, 6.40%, 10/02/17		760		818,465
FMS Wertmanagement AoeR, 1.13%, 9/05/17		3,664		3,656,811
Goldman Sachs Group, Inc.:
6.15%, 4/01/18		460		499,521
2.90%, 7/19/18		820		836,028
2.63%, 1/31/19		820		825,863
7.50%, 2/15/19		360		411,934
2.55%, 10/23/19		460		459,820
6.00%, 6/15/20		1,040		1,175,314
5.75%, 1/24/22		430		489,005
3.63%, 1/22/23		240		242,725
3.75%, 5/22/25		1,245		1,253,302
6.75%, 10/01/37		1,300		1,519,617
6.25%, 2/01/41		990		1,180,874
Invesco Finance PLC, 5.38%, 11/30/43		720		788,735
Legg Mason, Inc., 2.70%, 7/15/19		1,285		1,281,405
Morgan Stanley:
4.75%, 3/22/17		980		1,015,103
6.25%, 8/28/17		510		546,069
2.50%, 1/24/19		1,140		1,146,223
5.63%, 9/23/19		2,940		3,244,581
3.95%, 4/23/27		760		737,640
6.38%, 7/24/42		660		816,122
				24,304,916

Corporate Bonds	Par   (000)		Value
Chemicals — 0.7%
LYB International Finance BV, 4.88%, 3/15/44	$	280	$	255,694
LyondellBasell Industries NV:
5.00%, 4/15/19		1,760		1,872,286
5.75%, 4/15/24		670		738,129
Monsanto Co.:
2.13%, 7/15/19		775		773,993
2.75%, 7/15/21		360		352,554
4.40%, 7/15/44		505		418,106
3.95%, 4/15/45		680		527,618
RPM International, Inc., 6.13%, 10/15/19		743		812,721
				5,751,101
Communications Equipment — 0.5%
Cisco Systems, Inc.:
2.13%, 3/01/19		1,480		1,492,703
2.45%, 6/15/20		1,770		1,786,802
Juniper Networks, Inc., 4.35%, 6/15/25		720		706,812
				3,986,317
Consumer Finance — 1.5%
Capital One Bank USA NA, 2.15%, 11/21/18		730		723,710
Capital One NA, 1.50%, 9/05/17		1,650		1,636,851
Caterpillar Financial Services Corp., 0.70%, 2/26/16		1,070		1,069,941
MasterCard, Inc.:
2.00%, 4/01/19		585		587,290
3.38%, 4/01/24		900		919,747
Navient Solutions, Inc., 0.00%, 10/03/22 (c)		1,680		1,406,928
Synchrony Financial:
3.00%, 8/15/19		1,540		1,537,862
3.75%, 8/15/21		615		614,327
Visa, Inc.:
2.20%, 12/14/20		990		988,158
2.80%, 12/14/22		895		898,699
3.15%, 12/14/25		1,550		1,551,916
4.30%, 12/14/45		435		441,333
				12,376,762
Diversified Financial Services — 3.9%
American Express Credit Corp.:
2.38%, 3/24/17		900		909,774
1.55%, 9/22/17		855		854,656
Bank of America Corp.:
6.88%, 4/25/18		1,060		1,169,452
5.49%, 3/15/19		600		646,978
5.63%, 7/01/20		760		844,184
5.70%, 1/24/22		2,350		2,650,081
6.11%, 1/29/37		280		317,716
Bank of America NA, 1.65%, 3/26/18		1,035		1,027,215
BNP Paribas SA:
1.38%, 3/17/17		1,480		1,478,567
2.40%, 12/12/18		600		604,718
Citigroup, Inc.:
1.80%, 2/05/18		1,710		1,703,454
2.50%, 9/26/18		900		907,817
2.50%, 7/29/19		1,620		1,617,559
5.88%, 1/30/42		310		355,699
5.30%, 5/06/44		340		353,660
Ford Motor Credit Co. LLC:
1.70%, 5/09/16		930		930,911
3.00%, 6/12/17		1,790		1,807,402
1.72%, 12/06/17		1,690		1,663,969
GE Capital International Funding Co., 4.42%, 11/15/35 (b)		492		502,077
General Electric Capital Corp., 6.75%, 3/15/32		54		70,557

See Notes to Financial Statements.

BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015 21

Schedule of Investments (continued) CoreAlpha Bond Master Portfolio

Corporate Bonds	Par   (000)		Value
Diversified Financial Services (continued)
General Motors Financial Co., Inc.:
3.45%, 4/10/22	$	780	$	748,222
4.00%, 1/15/25		680		645,155
4.30%, 7/13/25		280		271,513
Intercontinental Exchange, Inc.:
2.50%, 10/15/18		900		907,883
3.75%, 12/01/25		415		416,141
JPMorgan Chase & Co.:
1.13%, 2/26/16		1,330		1,330,607
2.00%, 8/15/17		1,220		1,224,136
4.25%, 10/15/20		1,770		1,877,694
3.25%, 9/23/22		780		784,502
3.20%, 1/25/23		580		578,106
3.38%, 5/01/23		540		530,721
5.60%, 7/15/41		310		357,824
4.95%, 6/01/45		340		339,935
JPMorgan Chase Bank NA, 6.00%, 10/01/17		800		855,328
Morgan Stanley, 2.20%, 12/07/18		450		450,233
				31,734,446
Diversified Telecommunication Services — 1.8%
AT&T, Inc.:
2.40%, 8/15/16		380		382,511
2.38%, 11/27/18		1,645		1,656,207
2.45%, 6/30/20		350		344,688
3.40%, 5/15/25		1,140		1,095,643
5.55%, 8/15/41		980		984,774
4.80%, 6/15/44		540		494,714
British Telecommunications PLC, 1.25%, 2/14/17		520		517,545
CC Holdings GS V LLC/Crown Castle GS III Corp., 3.85%, 4/15/23		1,270		1,246,397
Frontier Communications Corp., 8.88%, 9/15/20 (b)		260		263,250
Verizon Communications, Inc.:
2.00%, 11/01/16		1,620		1,630,089
1.35%, 6/09/17		1,540		1,535,554
3.65%, 9/14/18		1,330		1,390,769
5.05%, 3/15/34		960		956,465
6.90%, 4/15/38		280		334,717
7.35%, 4/01/39		510		632,140
4.75%, 11/01/41		630		581,019
6.55%, 9/15/43		445		528,309
5.01%, 8/21/54		260		238,054
				14,812,845
Electric Utilities — 1.8%
Berkshire Hathaway Energy Co., 6.50%, 9/15/37		460		559,832
Commonwealth Edison Co.:
5.88%, 2/01/33		600		714,878
4.70%, 1/15/44		191		200,904
Duke Energy Corp.:
2.15%, 11/15/16		630		633,778
5.05%, 9/15/19		600		652,678
Duke Energy Florida, Inc., 3.85%, 11/15/42		460		430,383
Exelon Corp., 5.10%, 6/15/45 (b)		720		725,252
MidAmerican Energy Holdings Co., 5.75%, 4/01/18		1,920		2,074,237
Mississippi Power Co., 4.25%, 3/15/42		510		389,862
NextEra Energy Capital Holdings, Inc., 2.70%, 9/15/19		1,040		1,035,388
Northern States Power Co., 5.25%, 7/15/35		760		867,777
Pacific Gas & Electric Co.:
5.63%, 11/30/17		460		491,704
3.25%, 9/15/21		430		439,975
3.75%, 8/15/42		460		409,763

Corporate Bonds	Par   (000)		Value
Electric Utilities (continued)
PacifiCorp:
5.50%, 1/15/19	$	400	$	438,992
6.25%, 10/15/37		310		383,459
Progress Energy, Inc.:
4.88%, 12/01/19		920		986,396
4.40%, 1/15/21		1,110		1,174,067
Southern Power Co., 5.15%, 9/15/41		310		286,821
Tampa Electric Co., 2.60%, 9/15/22		600		577,349
Xcel Energy, Inc., 0.75%, 5/09/16		960		959,147
				14,432,642
Electrical Equipment — 0.4%
Amphenol Corp.:
1.55%, 9/15/17		995		989,924
2.55%, 1/30/19		600		600,104
Roper Industries, Inc., 2.05%, 10/01/18		1,040		1,033,260
Roper Technologies, Inc., 3.85%, 12/15/25		410		408,163
				3,031,451
Electronic Equipment, Instruments & Components — 0.2%
Flextronics International Ltd., 4.75%, 6/15/25 (b)		540		525,825
Tyco Electronics Group SA, 6.55%, 10/01/17		860		926,808
				1,452,633
Energy Equipment & Services — 0.2%
Ensco PLC, 5.20%, 3/15/25		400		284,668
Halliburton Co.:
3.38%, 11/15/22		335		329,685
3.80%, 11/15/25		255		248,299
5.00%, 11/15/45		900		889,689
				1,752,341
Food & Staples Retailing — 0.5%
CVS Caremark Corp.:
6.13%, 8/15/16		680		699,424
2.25%, 12/05/18		925		929,463
Walgreens Boots Alliance, Inc.:
1.75%, 11/17/17		1,520		1,517,035
2.70%, 11/18/19		720		718,646
4.80%, 11/18/44		460		416,109
				4,280,677
Food Products — 1.0%
ConAgra Foods, Inc., 3.20%, 1/25/23		900		865,826
JM Smucker Co., 2.50%, 3/15/20		475		471,617
Kellogg Co.:
4.45%, 5/30/16		50		50,657
3.25%, 5/21/18		470		481,772
Kraft Heinz Food Co. (b):
3.95%, 7/15/25		980		989,124
5.20%, 7/15/45		1,190		1,243,440
Mondelez International, Inc.:
4.13%, 2/09/16		600		601,547
2.25%, 2/01/19		600		599,779
Pilgrim’s Pride Corp., 5.75%, 3/15/25 (b)		860		836,350
Sysco Corp., 3.75%, 10/01/25		1,605		1,627,014
				7,767,126
Gas Utilities — 0.1%
Southern California Gas Co., 3.75%, 9/15/42		540		503,487
Health Care Equipment & Supplies — 1.4%
Baxter International, Inc., 1.85%, 6/15/18		500		497,012
Becton Dickinson & Co.:
1.45%, 5/15/17		210		209,113
2.68%, 12/15/19		335		336,824

See Notes to Financial Statements.

22 BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015

Schedule of Investments (continued) CoreAlpha Bond��Master Portfolio

Corporate Bonds	Par   (000)		Value
Health Care Equipment & Supplies (continued)
Boston Scientific Corp.:
2.65%, 10/01/18	$	600	$	603,154
2.85%, 5/15/20		225		223,828
3.85%, 5/15/25		1,300		1,279,132
Covidien International Finance SA:
4.20%, 6/15/20		1,485		1,589,943
6.55%, 10/15/37		575		720,821
Mallinckrodt International Finance SA/Mallinckrodt CB LLC, 4.88%, 4/15/20 (b)		235		226,188
Medtronic, Inc.:
2.50%, 3/15/20		755		760,357
3.15%, 3/15/22		895		904,771
St Jude Medical, Inc., 2.00%, 9/15/18		575		573,933
Stryker Corp.:
3.38%, 11/01/25		400		394,807
4.38%, 5/15/44		900		890,180
Thermo Fisher Scientific, Inc., 2.15%, 12/14/18		340		339,744
Zimmer Holdings, Inc.:
2.00%, 4/01/18		530		526,735
2.70%, 4/01/20		1,340		1,323,159
				11,399,701
Health Care Providers & Services — 1.2%
AmerisourceBergen Corp.:
1.15%, 5/15/17		1,770		1,757,336
3.25%, 3/01/25		900		871,373
Cardinal Health, Inc., 1.70%, 3/15/18		660		658,208
Express Scripts Holding Co., 3.13%, 5/15/16		900		906,006
HCA, Inc., 3.75%, 3/15/19		935		942,013
Humana, Inc.:
2.63%, 10/01/19		665		666,682
4.95%, 10/01/44		540		536,441
McKesson Corp., 1.40%, 3/15/18		1,330		1,312,909
Quest Diagnostics, Inc., 2.50%, 3/30/20		705		695,412
UnitedHealth Group, Inc.:
2.70%, 7/15/20		270		272,829
4.70%, 2/15/21		920		1,006,798
				9,626,007
Hotels, Restaurants & Leisure — 0.3%
McDonald’s Corp.:
2.10%, 12/07/18		275		275,177
2.75%, 12/09/20		150		149,897
3.70%, 1/30/26		690		689,433
6.30%, 10/15/37		310		363,646
Wyndham Worldwide Corp.:
3.90%, 3/01/23		470		457,301
5.10%, 10/01/25		635		641,380
				2,576,834
Household Products — 0.1%
Whirlpool Corp., 1.35%, 3/01/17		755		750,578
Independent Power and Renewable Electricity Producers — 0.1%
Constellation Energy Group, Inc., 5.15%, 12/01/20		360		390,868
Exelon Generation Co. LLC, 5.75%, 10/01/41		170		164,348
PSEG Power LLC:
2.45%, 11/15/18		140		140,842
4.15%, 9/15/21		350		356,054
				1,052,112
Insurance — 1.1%
ACE INA Holdings, Inc., 3.35%, 5/15/24		935		943,845
Aflac, Inc.:
3.63%, 11/15/24		1,480		1,506,223
3.25%, 3/17/25		900		888,172

Corporate Bonds	Par   (000)		Value
Insurance (continued)
Aon PLC, 2.80%, 3/15/21	$	1,640	$	1,633,806
Chubb Corp., 6.00%, 5/11/37		260		318,725
Fidelity National Financial, Inc., 5.50%, 9/01/22		385		408,608
Markel Corp.:
5.35%, 6/01/21		400		439,274
3.63%, 3/30/23		400		394,445
Marsh & McLennan Cos., Inc., 2.35%, 9/10/19		880		877,944
Protective Life Corp., 8.45%, 10/15/39		122		160,913
Willis Group Holdings PLC:
4.13%, 3/15/16		780		784,228
5.75%, 3/15/21		350		386,790
XLIT Ltd., 5.75%, 10/01/21		430		479,168
				9,222,141
Internet Software & Services — 0.9%
Baidu, Inc.:
3.25%, 8/06/18		2,060		2,086,386
2.75%, 6/09/19		532		527,371
eBay, Inc.:
2.20%, 8/01/19		1,600		1,581,821
3.45%, 8/01/24		660		630,939
Equinix, Inc.:
5.38%, 1/01/22		555		568,875
5.75%, 1/01/25		430		439,675
Expedia, Inc., 5.00%, 2/15/26 (b)		800		780,750
VeriSign, Inc., 4.63%, 5/01/23		415		401,824
				7,017,641
IT Services — 0.9%
Alibaba Group Holding Ltd.:
2.50%, 11/28/19		1,795		1,753,640
3.60%, 11/28/24		445		425,083
Fidelity National Information Services, Inc.:
3.63%, 10/15/20		1,280		1,296,674
4.50%, 10/15/22		1,280		1,302,890
5.00%, 10/15/25		800		821,992
International Business Machines Corp., 7.63%, 10/15/18		690		795,364
Verisk Analytics, Inc., 4.00%, 6/15/25		1,380		1,340,397
				7,736,040
Leisure Products — 0.1%
Royal Caribbean Cruises Ltd., 5.25%, 11/15/22		1,084		1,111,100
Machinery — 0.2%
Illinois Tool Works, Inc., 1.95%, 3/01/19		1,190		1,191,251
Ingersoll-Rand Global Holding Co. Ltd., 2.88%, 1/15/19		140		141,403
Trinity Acquisition PLC, 6.13%, 8/15/43		210		224,418
				1,557,072
Media — 1.2%
Altice Financing SA, 6.63%, 2/15/23 (b)		480		474,000
CCO Safari II LLC (b):
3.58%, 7/23/20		395		392,634
6.48%, 10/23/45		550		550,901
Comcast Corp., 5.70%, 5/15/18		740		808,879
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.15%, 3/15/42		1,120		1,044,217
DISH DBS Corp.:
7.88%, 9/01/19		780		848,250
6.75%, 6/01/21		360		362,700
NBCUniversal Enterprise, Inc., 1.66%, 4/15/18 (b)		340		340,091
Outfront Media Capital LLC/Outfront Media Capital Corp., 5.25%, 2/15/22		260		265,850

See Notes to Financial Statements.

BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015 23

Schedule of Investments (continued) CoreAlpha Bond Master Portfolio

Corporate Bonds	Par   (000)		Value
Media (continued)
Scripps Networks Interactive, Inc., 2.70%, 12/15/16	$	680	$	684,830
Thomson Reuters Corp., 0.88%, 5/23/16		500		499,610
Time Warner Cable, Inc.:
5.00%, 2/01/20		680		719,822
4.50%, 9/15/42		510		400,239
Time Warner, Inc., 2.10%, 6/01/19		1,220		1,213,284
Viacom, Inc., 2.50%, 9/01/18		1,280		1,276,803
				9,882,110
Metals & Mining — 0.1%
Southern Copper Corp., 5.88%, 4/23/45		450		344,755
Vale Overseas Ltd., 4.38%, 1/11/22 (d)		148		112,011
				456,766
Multi-Utilities — 0.3%
Consolidated Edison Co. of New York, Inc., 4.20%, 3/15/42		720		690,493
Dominion Resources, Inc.:
6.40%, 6/15/18		330		361,314
4.45%, 3/15/21		630		666,661
4.05%, 9/15/42		510		449,993
SCANA Corp., 4.13%, 2/01/22		170		166,547
				2,335,008
Oil, Gas & Consumable Fuels — 3.4%
BP Capital Markets PLC:
3.20%, 3/11/16		460		462,225
2.24%, 5/10/19		900		901,194
Buckeye Partners LP:
2.65%, 11/15/18		1,460		1,404,583
4.35%, 10/15/24		580		487,777
CNOOC Finance 2013 Ltd., 1.75%, 5/09/18		625		614,986
CNOOC Finance 2015 Australia Pty Ltd., 2.63%, 5/05/20		1,160		1,133,964
CNOOC Nexen Finance 2014 ULC, 1.63%, 4/30/17		2,000		1,988,430
ConocoPhillips Canada Funding Co. I, 5.63%, 10/15/16		170		175,587
ConocoPhillips Co., 6.50%, 2/01/39		600		632,284
Ecopetrol SA, 5.88%, 5/28/45		270		191,700
Energy Transfer Equity LP, 7.50%, 10/15/20		1,778		1,644,650
Energy Transfer Partners LP:
9.70%, 3/15/19		262		288,548
9.00%, 4/15/19		123		135,331
4.15%, 10/01/20		1,160		1,070,092
Enterprise Products Operating LLC, 3.20%, 2/01/16		900		900,287
Hess Corp., 1.30%, 6/15/17		350		342,474
Kinder Morgan Energy Partners LP, 5.63%, 9/01/41		275		208,385
Kinder Morgan, Inc., 3.05%, 12/01/19		265		245,261
Magellan Midstream Partners LP, 5.15%, 10/15/43		420		360,142
Marathon Petroleum Corp.:
2.70%, 12/14/18		1,600		1,582,149
3.40%, 12/15/20		1,465		1,438,753
4.75%, 9/15/44		425		347,393
Occidental Petroleum Corp., 3.50%, 6/15/25		305		297,893
ONEOK Partners LP, 6.13%, 2/01/41		500		382,079
Petroleos Mexicanos:
4.88%, 1/24/22		400		385,000
4.50%, 1/23/26 (b)		600		527,100
6.50%, 6/02/41		170		146,965
6.38%, 1/23/45		1,860		1,574,269
Pioneer Natural Resources Co., 3.45%, 1/15/21		340		313,940

Corporate Bonds	Par   (000)		Value
Oil, Gas & Consumable Fuels (continued)
Shell International Finance BV:
2.13%, 5/11/20	$	525	$	516,476
4.38%, 5/11/45		820		774,135
Statoil ASA:
1.95%, 11/08/18		850		849,386
2.75%, 11/10/21		1,680		1,669,366
Total Capital International SA, 2.10%, 6/19/19		980		972,663
Valero Energy Corp.:
3.65%, 3/15/25		360		339,560
6.63%, 6/15/37		900		904,877
Williams Partners LP:
3.35%, 8/15/22		1,600		1,214,493
4.30%, 3/04/24		460		364,523
				27,788,920
Pharmaceuticals — 1.4%
AbbVie, Inc., 2.50%, 5/14/20		490		485,074
Actavis Funding SCS:
2.35%, 3/12/18		1,320		1,321,375
3.45%, 3/15/22		1,075		1,076,173
AstraZeneca PLC, 6.45%, 9/15/37		720		910,511
Baxalta, Inc., 2.88%, 6/23/20 (b)		775		765,382
Bayer US Finance LLC, 1.50%, 10/06/17 (b)		1,000		999,588
Eli Lilly & Co., 3.70%, 3/01/45		155		144,990
GlaxoSmithKline Capital, Inc., 5.65%, 5/15/18		360		392,355
Laboratory Corp. of America Holdings, 4.70%, 2/01/45		507		463,224
Novartis Capital Corp.:
3.40%, 5/06/24		630		650,404
4.40%, 5/06/44		1,280		1,334,995
Pfizer, Inc.:
6.20%, 3/15/19		460		517,498
4.30%, 6/15/43		760		760,582
Zoetis, Inc.:
1.15%, 2/01/16		900		899,840
3.45%, 11/13/20		355		355,414
4.50%, 11/13/25		605		613,139
				11,690,544
Real Estate Investment Trusts (REITs) — 1.2%
Alexandria Real Estate Equities, Inc., 2.75%, 1/15/20		1,190		1,169,881
American Tower Corp.:
4.50%, 1/15/18		630		657,023
3.40%, 2/15/19		538		551,874
2.80%, 6/01/20		1,190		1,176,304
5.05%, 9/01/20		400		431,827
3.45%, 9/15/21		740		743,628
4.70%, 3/15/22		860		903,882
5.00%, 2/15/24		600		635,111
Corrections Corp. of America:
4.13%, 4/01/20		760		752,400
4.63%, 5/01/23		735		709,275
HCP, Inc., 6.70%, 1/30/18		1,190		1,293,969
WEA Finance LLC/Westfield UK & Europe Finance PLC, 2.70%, 9/17/19 (b)		655		649,604
				9,674,778
Road & Rail — 0.3%
Burlington Northern Santa Fe LLC:
5.40%, 6/01/41		820		891,478
4.55%, 9/01/44		630		608,175
Norfolk Southern Corp., 5.75%, 1/15/16		735		735,889
				2,235,542
Semiconductors & Semiconductor Equipment — 0.7%
Applied Materials, Inc., 2.63%, 10/01/20		480		479,448

See Notes to Financial Statements.

24 BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015

Schedule of Investments (continued) CoreAlpha Bond Master Portfolio

Corporate Bonds	Par   (000)		Value
Semiconductors & Semiconductor Equipment (continued)
Intel Corp.:
2.45%, 7/29/20	$	780	$	788,922
3.30%, 10/01/21		630		652,566
4.80%, 10/01/41		120		125,097
4.25%, 12/15/42		340		327,753
4.90%, 7/29/45		200		211,392
KLA-Tencor Corp., 3.38%, 11/01/19		280		282,878
QUALCOMM, Inc., 1.40%, 5/18/18		935		927,004
Seagate HDD Cayman:
3.75%, 11/15/18		2,210		2,193,425
4.75%, 1/01/25		170		141,559
				6,130,044
Software — 0.2%
Microsoft Corp., 4.45%, 11/03/45		1,100		1,134,345
Oracle Corp.:
5.25%, 1/15/16		460		460,675
5.75%, 4/15/18		180		196,404
				1,791,424
Specialty Retail — 0.9%
Advance Auto Parts, Inc., 4.50%, 1/15/22		920		946,934
AutoZone, Inc., 1.30%, 1/13/17		1,140		1,138,487
Home Depot, Inc.:
5.88%, 12/16/36		600		731,304
5.40%, 9/15/40		600		699,175
5.95%, 4/01/41		260		323,548
L Brands, Inc.:
6.90%, 7/15/17		647		692,290
8.50%, 6/15/19		1,190		1,383,375
Lowe’s Cos, Inc., 4.38%, 9/15/45		95		97,639
O’Reilly Automotive, Inc., 4.63%, 9/15/21		1,580		1,683,245
				7,695,997
Technology Hardware, Storage & Peripherals — 0.3%
Apple, Inc.:
2.85%, 5/06/21		1,620		1,659,042
3.85%, 5/04/43		980		902,887
				2,561,929
Tobacco — 1.4%
Altria Group, Inc., 5.38%, 1/31/44		2,110		2,269,601
Philip Morris International, Inc.:
5.65%, 5/16/18		1,280		1,396,513
1.88%, 1/15/19		1,060		1,057,012
2.90%, 11/15/21		430		435,140
6.38%, 5/16/38		760		958,587
4.13%, 3/04/43		600		567,153
4.25%, 11/10/44		190		183,489
Reynolds American, Inc.:
3.50%, 8/04/16		210		212,242
2.30%, 6/12/18		520		523,266
3.25%, 6/12/20		235		238,831
4.00%, 6/12/22		305		317,073
3.25%, 11/01/22		680		672,364
4.85%, 9/15/23		280		299,318
4.45%, 6/12/25		400		418,332
4.75%, 11/01/42		510		486,785
6.15%, 9/15/43		240		272,257
5.85%, 8/15/45		665		739,307
				11,047,270
Wireless Telecommunication Services — 0.2%
Crown Castle International Corp., 4.88%, 4/15/22		830		861,125

Corporate Bonds	Par   (000)		Value
Wireless Telecommunication Services (continued)
Vodafone Group PLC:
5.63%, 2/27/17	$	300	$	313,212
4.38%, 2/19/43		435		358,576
				1,532,913
Total Corporate Bonds — 40.1%				326,933,783
Foreign Agency Obligations
Canada Government International Bond, 1.13%, 3/19/18		1,880		1,874,180
Colombia Government International Bond:
4.00%, 2/26/24		740		704,850
4.50%, 1/28/26		1,330		1,270,150
Export-Import Bank of Korea:
2.38%, 8/12/19		1,650		1,650,254
4.00%, 1/29/21		486		517,609
Mexico Government International Bond:
3.50%, 1/21/21		865		877,975
6.75%, 9/27/34		720		864,000
4.75%, 3/08/44		420		382,620
4.60%, 1/23/46		613		542,505
Peruvian Government International Bond, 4.13%, 8/25/27		745		730,100
Tunisia Government AID Bonds, 2.45%, 7/24/21		327		327,200
Total Foreign Agency Obligations — 1.2%				9,741,443
Municipal Bonds
Bay Area Toll Authority, RB, Build America Bonds, San Francisco Toll Bridge, Series S-1, 7.04%, 4/01/50		260		357,807
Chicago Transit Authority, RB, Series B, 6.90%, 12/01/40		150		173,108
City & County of San Francisco California Public Utilities Commission Water Revenue, RB, Build America Bonds, Sub-Series G, 6.95%, 11/01/50		140		195,870
City of Los Angeles California Department of Water & Power, RB, Build America Bonds, Series D, 6.57%, 7/01/45		110		149,307
City of New York New York Transitional Finance Authority, RB, Build America Bonds, Future Tax Secured, Sub-Series B-1, 5.57%, 11/01/38		150		180,834
City of New York New York Water & Sewer System, Refunding RB, 2nd General Resolution, Build America Bonds, Fiscal 2010, Series EE, 6.01%, 6/15/42		310		402,907
County of Orange California Local Transportation Authority, Refunding RB, Build America Bonds, Series A, 6.91%, 2/15/41		150		202,116
County of San Diego California Regional Transportation Commission, RB, Build America Bonds, Series A, 5.91%, 4/01/48		190		239,240
Metropolitan Water District of Southern California, RB, Build America Bonds, Series A, 6.95%, 7/01/40		360		418,975
New Jersey State Turnpike Authority, RB, Build America Bonds, Series A, 7.10%, 1/01/41		220		303,013
Port Authority of New York & New Jersey, RB, 164th Series, 5.65%, 11/01/40		260		307,655
Port Authority of New York & New Jersey, Refunding RB, 174th Series, 4.46%, 10/01/62		220		209,475

See Notes to Financial Statements.

BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015 25

Schedule of Investments (continued) CoreAlpha Bond Master Portfolio

Municipal Bonds	Par   (000)			Value
State of California, GO, Build America Bonds, Various Purpose:
7.55%, 4/01/39	$	350		$	508,785
7.63%, 3/01/40		350			508,995
7.60%, 11/01/40		90			133,776
State of Illinois, GO:
Build America Bonds, 7.35%, 7/01/35		210			227,816
Pension, 5.10%, 6/01/33		310			293,276
State of Mississippi, GO, Refunding, Build America Bonds, Series F, 5.25%, 11/01/34		190			215,798
State of New York Dormitory Authority, RB, Build America Bonds, General Purpose, Series H, 5.39%, 3/15/40		225			267,406
State of Oregon Department of Transportation, RB, Sub-Lien, Series A, 5.83%, 11/15/34		140			175,893
University of California, Refunding RB, Series AJ, 4.60%, 5/15/31		310			330,376
University of Missouri, RB, Build America Bonds, Series A, 5.79%, 11/01/41		110			140,029
Total Municipal Bonds — 0.7%					5,942,457
Non-Agency Mortgage-Backed Securities
Collateralized Mortgage Obligations — 2.2%
Citicorp Mortgage Securities Trust, Series 2006-1, Class 2A1, 5.00%, 2/25/21		34			35,313
Citigroup Mortgage Loan Trust, Series 2014-A, Class A, 4.00%, 1/25/35 (a)(b)		294			303,759
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-7, Class 1A6, 5.25%, 8/25/35		59			60,210
CSMC Trust (a)(b):
Series 2009-13R, Class 5A1, 1.00%, 1/26/35		140			139,701
Series 2011-4R, Class 4A6, 4.00%, 8/27/37		74			73,935
Series 2013-8R, Class 7A1, 0.38%, 4/27/37		228			224,306
Series 2013-8R, Class 8A1, 0.46%, 5/27/37		793			785,549
Fannie Mae Connecticut Avenue Securities (a):
Series 2014-C01, Class M1, 2.02%, 1/25/24		923			924,801
Series 2014-C02, Class 2M1, 1.37%, 5/25/24		2,415			2,400,570
Series 2014-C04, Class 1M1, 2.37%, 11/25/24		495			497,105
Series 2014-C04, Class 2M1, 2.52%, 11/25/24		784			789,117
Series 2015-C01, Class 1M1, 1.92%, 2/25/25		2,115			2,118,390
Series 2015-C03, Class 2M1, 1.92%, 7/25/25		489			488,596
Freddie Mac, Class M1 (a):
Series 2014-HQ2, 1.87%, 9/25/24		506			508,164
Series 2015-DNA3, 1.77%, 4/25/28		2,950			2,951,804
GreenPoint Mortgage Funding Trust, Series 2006-AR4, Class A1A, 0.52%, 9/25/46 (a)		—	(e)		5
Nomura Resecuritization Trust, Series 2014-1R, Class 5A1, 0.37%, 10/26/36 (a)(b)		973			940,241
RALI Trust:
Series 2004-QS4, Class A7, 4.00%, 3/25/34		—	(e)		104
Series 2004-QS5, Class A5, 4.75%, 4/25/34		98			100,131

Non-Agency Mortgage-Backed Securities	Par   (000)		Value
Collateralized Mortgage Obligations (continued)
RALI Trust (continued):
Series 2004-QS9, Class A1, 5.00%, 6/25/19	$	47	$	47,144
RBSSP Resecuritization Trust, Series 2009-6, Class 13A4, 2.54%, 8/26/35 (a)(b)		355		355,609
Structured Agency Credit Risk Debt Notes, Class M1 (a):
Series 2013-DN1, 3.82%, 7/25/23		772		791,846
Series 2013-DN2, 1.87%, 11/25/23		3,146		3,145,925
				17,682,325
Commercial Mortgage-Backed Securities — 11.2%
Banc of America Commercial Mortgage Trust:
Series 2006-1, Class AM, 5.42%, 9/10/45 (a)		265		265,099
Series 2006-4, Class A4, 5.63%, 7/10/46		1,408		1,419,534
Series 2006-6, Class A4, 5.36%, 10/10/45		1,060		1,073,199
Series 2007-3, Class A4, 5.56%, 6/10/49 (a)		1,355		1,392,168
Series 2007-3, Class AMF, 5.32%, 6/10/49		660		682,859
Series 2007-4, Class A4, 5.74%, 2/10/51 (a)		776		807,809
Series 2007-5, Class A4, 5.49%, 2/10/51		1,373		1,422,402
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PW10, Class AM, 5.45%, 12/11/40 (a)		55		55,266
CD Commercial Mortgage Trust, Series 2007-CD4, Class AMFX, 5.37%, 12/11/49 (a)		170		173,513
Citigroup Commercial Mortgage Trust (a):
Series 2007-C6, Class A4, 5.71%, 12/10/49		3,260		3,368,776
Series 2008-C7, Class A4, 6.14%, 12/10/49		1,566		1,646,139
Series 2010-RR2, Class CA3A, 5.31%, 12/19/39 (b)		211		212,889
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.32%, 12/11/49		2,906		2,955,339
Commercial Mortgage Trust:
Series 2006-C7, Class AM, 5.79%, 6/10/46 (a)		1,025		1,035,759
Series 2007-C9, Class A4, 5.80%, 12/10/49 (a)		973		1,009,598
Series 2007-C9, Class AJ, 5.65%, 12/10/49 (a)		920		931,937
Series 2007-GG9, Class A1A, 5.43%, 3/10/39		2,648		2,718,157
Series 2007-GG9, Class AM, 5.48%, 3/10/39		590		603,592
Series 2013-CR13, Class A4, 4.19%, 11/10/23 (a)		990		1,054,050
Series 2013-LC6, Class AM, 3.28%, 1/10/46		400		399,245
Series 2014-CR17, Class A5, 3.98%, 5/10/47		670		699,725
Series 2014-CR21, Class A3, 3.53%, 12/10/47		950		957,588
Credit Suisse Commercial Mortgage Trust:
Series 2006-C2, Class A3, 5.66%, 3/15/39 (a)		113		112,486
Series 2006-C3, Class A3, 5.82%, 6/15/38 (a)		2,497		2,501,619

See Notes to Financial Statements.

26 BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015

Schedule of Investments (continued) CoreAlpha Bond Master Portfolio

Non-Agency Mortgage-Backed Securities	Par   (000)		Value
Commercial Mortgage-Backed Securities (continued)
Credit Suisse Commercial Mortgage Trust (continued):
Series 2006-C3, Class AM, 5.82%, 6/15/38 (a)	$	998	$	1,009,119
Series 2006-C5, Class A3, 5.31%, 12/15/39		1,256		1,269,008
Series 2007-C1, Class A3, 5.38%, 2/15/40		2,001		2,039,579
Series 2007-C2, Class A3, 5.54%, 1/15/49 (a)		670		685,035
Series 2007-C2, Class AM, 5.60%, 1/15/49 (a)		300		309,624
Csail Commercial Mortgage Trust, Series 2015-C2, Class A4, 3.50%, 6/15/57		750		756,737
GS Mortgage Securities Corp. II, Series 2015-GC30:
Class A4, 3.38%, 5/10/50		645		641,640
Class B, 4.02%, 5/10/50 (a)		300		291,709
GS Mortgage Securities Trust:
Series 2006-GG6, Class AM, 5.62%, 4/10/38 (a)		14		14,259
Series 2007-GG10, Class A4, 5.79%, 8/10/45 (a)		2,464		2,531,564
Series 2009-RR1, Class GGA, 5.80%, 7/12/38 (a)(b)		340		339,601
Series 2012-GCJ7, Class AS, 4.09%, 5/10/45		280		291,898
Series 2013-GC13, Class A5, 4.04%, 7/10/46 (a)		170		181,180
Series 2013-GC14, Class A5, 4.24%, 8/10/46		490		524,047
Series 2013-GC16, Class A3, 4.24%, 11/10/46		480		516,945
Series 2014-GC18, Class A4, 4.07%, 1/10/47		540		568,552
Series 2015-GC28, Class A5, 3.40%, 2/10/48		510		507,492
JPMBB Commercial Mortgage Securities Trust:
Series 2013-C14, Class A4, 4.13%, 8/15/46 (a)		430		454,727
Series 2013-C14, Class AS, 4.41%, 8/15/46 (a)		240		253,971
Series 2013-C15, Class B, 4.93%, 11/15/45		520		560,212
Series 2013-C17, Class A4, 4.20%, 1/15/47		510		541,083
Series 2014-C22, Class A4, 3.80%, 9/15/47		1,200		1,228,566
JPMorgan Chase Commercial Mortgage Securities Trust:
Series 2005-LDP5, Class AJ, 5.48%, 12/15/44 (a)		161		160,429
Series 2006-CB14, Class AM, 5.49%, 12/12/44 (a)		1,118		1,116,903
Series 2006-CB16, Class A4, 5.55%, 5/12/45		195		197,194
Series 2006-CB17, Class A4, 5.43%, 12/12/43		2,849		2,896,923
Series 2006-LDP8, Class A1A, 5.40%, 5/15/45		89		89,930
Series 2006-LDP8, Class AM, 5.44%, 5/15/45		1,811		1,842,575
Series 2007-CB20, Class A4, 5.79%, 2/12/51 (a)		2,563		2,663,772
Series 2011-C5, Class A3, 4.17%, 8/15/46		340		362,064

Non-Agency Mortgage-Backed Securities	Par   (000)		Value
Commercial Mortgage-Backed Securities (continued)
JPMorgan Chase Commercial Mortgage Securities Trust (continued):
Series 2012-CBX, Class AS, 4.27%, 6/15/45	$	350	$	369,262
LB Commercial Mortgage Trust, Series 2007-C3, Class A4, 5.90%, 7/15/44 (a)		604		626,909
LB-UBS Commercial Mortgage Trust:
Series 2006-C1, Class AM, 5.22%, 2/15/31 (a)		138		137,989
Series 2006-C3, Class A1A, 5.64%, 3/15/39 (a)		694		693,815
Series 2006-C4, Class AM, 5.84%, 6/15/38 (a)		1,006		1,023,493
Series 2006-C7, Class A2, 5.30%, 11/15/38		282		284,740
Series 2006-C7, Class AM, 5.38%, 11/15/38		310		316,930
Series 2007-C1, Class A4, 5.42%, 2/15/40		1,204		1,231,125
Series 2007-C2, Class A3, 5.43%, 2/15/40		2,129		2,185,192
Series 2007-C2, Class AM, 5.49%, 2/15/40 (a)		540		552,735
Series 2007-C7, Class A3, 5.87%, 9/15/45 (a)		865		908,206
Merrill Lynch Mortgage Trust, Series 2006-C2 (a):
Class A4, 5.74%, 8/12/43		631		637,817
Class AM, 5.78%, 8/12/43		460		468,040
ML-CFC Commercial Mortgage Trust (a):
Series 2006-2, Class A4, 5.88%, 6/12/46		423		423,459
Series 2006-3, Class AM, 5.46%, 7/12/46		600		609,843
Series 2007-7, Class A4, 5.74%, 6/12/50		1,438		1,492,276
Series 2007-8, Class A3, 5.88%, 8/12/49		3,142		3,274,649
Monty Parent Issuer 1 LLC, Series 2013-LTR1, Class B, 4.25%, 11/20/28 (b)		104		104,440
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2013-C10, Class A4, 4.08%, 7/15/46 (a)		470		499,622
Series 2014-C15, Class C, 4.90%, 4/15/47 (a)		510		512,764
Series 2015-C21, Class A4, 3.34%, 3/15/48		300		297,206
Morgan Stanley Capital I Trust:
Series 2006-HQ8, Class AM, 5.48%, 3/12/44 (a)		223		222,638
Series 2006-T23, Class AJ, 5.85%, 8/12/41 (a)		120		121,542
Series 2007-HQ11, Class A1A, 5.42%, 2/12/44 (a)		905		928,868
Series 2007-HQ11, Class A4, 5.45%, 2/12/44 (a)		881		901,009
Series 2007-IQ13, Class AM, 5.41%, 3/15/44		812		833,076
Series 2007-IQ15, Class A4, 5.92%, 6/11/49 (a)		63		65,070
Series 2007-IQ16, Class A4, 5.81%, 12/12/49		1,573		1,642,638
Series 2007-T25, Class A3, 5.51%, 11/12/49 (a)		861		879,528
Series 2007-T27, Class A4, 5.64%, 6/11/42 (a)		1,593		1,664,854
Series 2007-T27, Class AM, 5.64%, 6/11/42 (a)		630		659,039

See Notes to Financial Statements.

BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015 27

Schedule of Investments (continued) CoreAlpha Bond Master Portfolio

Non-Agency Mortgage-Backed Securities	Par   (000)		Value
Commercial Mortgage-Backed Securities (continued)
Morgan Stanley Capital I Trust (continued):
Series 2012-C4, Class A4, 3.24%, 3/15/45	$	680	$	693,865
Series 2015-MS1, Class A4, 3.78%, 5/15/48		550		564,526
ORES NPL LLC, Series 2014-LV3, Class A, 3.00%, 3/27/24 (b)		333		332,382
UBS-Barclays Commercial Mortgage Trust:
Series 2012-C4, Class A5, 2.85%, 12/10/45		505		495,613
Series 2013-C6, Class A4, 3.24%, 4/10/46		1,181		1,183,723
VFC LLC, Series 2014-2, Class A, 2.75%, 7/20/30 (b)		275		275,111
Wachovia Bank Commercial Mortgage Trust:
Series 2006-C27, Class A3, 5.77%, 7/15/45 (a)		1,222		1,220,740
Series 2006-C28, Class AM, 5.60%, 10/15/48 (a)		1,080		1,103,402
Series 2007-C34, Class A3, 5.68%, 5/15/46		1,142		1,182,665
Wells Fargo Commercial Mortgage Trust:
Series 2014-LC18, Class A5, 3.41%, 12/15/47		1,000		996,486
Series 2014-LC18, Class AS, 3.81%, 12/15/47		510		514,609
Series 2015-C27, Class A5, 3.45%, 2/15/48		820		819,300
Series 2015-C28, Class A4, 3.54%, 5/15/48		310		311,392
Series 2015-C28, Class AS, 3.87%, 5/15/48		195		196,844
WF-RBS Commercial Mortgage Trust:
Series 2012-C08, Class AS, 3.66%, 8/15/45		640		658,172
Series 2012-C10, Class A3, 2.88%, 12/15/45		1,240		1,224,633
Series 2012-C10, Class AS, 3.24%, 12/15/45		460		457,597
Series 2013-C18, Class A5, 4.16%, 12/15/46 (a)		570		604,928
Series 2014-C20, Class B, 4.38%, 5/15/47		470		481,714
Series 2014-C23, Class A4, 3.65%, 10/15/57		330		336,530
Series 2014-C24, Class A5, 3.61%, 11/15/47		910		923,092
				91,491,184
Total Non-Agency Mortgage-Backed Securities — 13.4%				109,173,509
U.S. Government Sponsored Agency Securities
Agency Obligations — 3.8%
Fannie Mae:
0.00%, 10/09/19 - 5/15/30 (c)		11,680		9,822,197
1.63%, 1/21/20		900		896,606
6.00%, 4/18/36		1,500		1,522,984
6.32%, 12/20/27		290		382,393
Fannie Mae STRIPS, 0.00%, 3/23/28 - 5/15/29 (c)		1,855		1,181,716
Federal Farm Credit Banks:
1.69%, 4/09/20		2,350		2,316,364
2.00%, 4/04/22		897		892,953
Federal Home Loan Bank:
4.00%, 9/01/28 - 9/01/45		4,109		4,360,169

U.S. Government Sponsored Agency Securities	Par   (000)		Value
Agency Obligations (continued)
Federal Home Loan Bank (continued):
5.38%, 8/15/24	$	1,330	$	1,615,516
Federal Home Loan Mortgage Corp., 0.85%, 5/18/17		900		898,005
Financing Corp. (c):
0.00%, 12/06/16		900		891,711
0.00%, 11/02/18		2,930		2,805,739
Freddie Mac, 6.75%, 3/15/31		900		1,290,203
Resolution Funding Corp., 8.13%, 10/15/19		1,040		1,281,545
Tennessee Valley Authority:
3.50%, 12/15/42		90		83,112
4.25%, 9/15/65		460		449,405
5.88%, 4/01/36		345		443,272
				31,133,890
Collateralized Mortgage Obligations — 3.0%
Fannie Mae (a):
Series 2013-C01, Class M1, 2.42%, 10/25/23		3,008		3,030,154
Series 2014-92, Class FB, 0.51%, 1/25/45		2,377		2,370,534
Series 2014-C02, Class 1M1, 1.37%, 5/25/24		2,244		2,219,632
Series 2015-C02, Class 2M1, 1.62%, 7/25/24 - 5/25/25		5,498		5,479,397
Fannie Mae REMICS (a):
Series 2007-54, Class PF, 0.64%, 6/25/37		602		598,498
Series 2010-89, Class CF, 0.87%, 2/25/38		385		385,618
Series 2010-35, Class EF, 0.97%, 4/25/40		342		343,293
Freddie Mac, 2.82%, 8/25/24 - 1/25/25 (a)		4,830		4,885,953
Freddie Mac REMICS (a):
Series 3807, Class FN, 0.83%, 2/15/41		222		222,257
Series 3667, Class FW, 0.88%, 2/15/38		215		216,159
Ginnie Mae (a):
Series 2014-90, Class FA, 0.64%, 10/20/38		3,525		3,522,275
Series 2012-H23, Class WA, 0.71%, 10/20/62		773		768,469
				24,042,239
Commercial Mortgage-Backed Securities — 0.8%
Freddie Mac, Class A2:
Series K025, 2.68%, 10/25/22		2,590		2,598,449
Series K040, 3.24%, 9/25/24		2,590		2,649,210
Series K031, 3.30%, 4/25/23 (a)		281		291,311
Series K038, 3.39%, 3/25/24		1,040		1,077,372
				6,616,342
Mortgage-Backed Securities — 44.6%
Fannie Mae Mortgage-Backed Securities:
1.89%, 4/01/43 (a)		168		171,571
1.93%, 5/01/43 (a)		234		239,873
2.06%, 6/01/43 (a)		326		330,370
2.15%, 1/01/36 (a)		225		236,911
2.34%, 4/01/40 (a)		46		48,766
2.39%, 1/01/35 (a)		260		273,018
2.42%, 2/01/42 (a)		21		21,885
2.45%, 8/01/33 (a)		372		392,952
2.46%, 5/01/33 (a)		500		528,937
2.50%, 9/01/28 - 4/01/45 (f)		9,152		9,186,607
2.75%, 1/01/42 (a)		164		171,067
2.84%, 8/01/41 (a)		304		321,599
3.00%, 1/01/27 - 1/01/46 (f)		33,580		33,903,984
3.30%, 9/01/41 (a)		204		214,173

See Notes to Financial Statements.

28 BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015

Schedule of Investments (continued) CoreAlpha Bond Master Portfolio

U.S. Government Sponsored Agency Securities	Par   (000)		Value
Mortgage-Backed Securities (continued)
Fannie Mae Mortgage-Backed Securities (continued):
3.50%, 2/01/26 - 1/01/46 (f)	$	65,860	$	68,036,669
4.00%, 8/01/25 - 1/01/46 (f)		68,302		72,310,299
4.50%, 10/01/24 - 1/01/46 (f)		37,994		41,029,697
5.00%, 1/01/18 - 1/01/46 (f)		15,085		16,617,809
5.50%, 9/01/19 - 8/01/37		2,685		2,995,623
6.00%, 11/01/22 - 8/01/38		1,590		1,800,613
6.50%, 12/01/30 - 12/01/32		1,823		2,097,885
Freddie Mac Mortgage-Backed Securities:
1.76%, 6/01/43 (a)		98		99,476
2.37%, 2/01/40 (a)		239		253,704
2.38%, 4/01/38 (a)		328		348,997
2.39%, 10/01/33 (a)		266		280,746
2.47%, 5/01/43 (a)		243		245,335
2.50%, 1/01/31 - 4/01/43 (f)		5,147		5,181,445
2.51%, 8/01/43 (a)		93		94,495
2.55%, 1/01/42 (a)		11		11,708
2.63%, 11/01/36 (a)		275		286,715
2.95%, 8/01/41 (a)		194		203,945
3.00%, 3/01/27 - 6/01/43 (f)		14,281		14,427,482
3.33%, 7/01/41 (a)		159		167,273
3.50%, 12/01/25 - 1/01/46 (f)		15,728		16,250,050
4.00%, 3/01/26 - 1/01/46 (f)		12,251		12,938,382
4.50%, 8/01/20 - 1/01/46 (f)		5,692		6,175,172
5.00%, 10/01/20 - 8/01/40		1,842		2,013,401
5.50%, 5/01/34 - 8/01/38		1,415		1,574,418
6.00%, 9/01/36 - 1/01/38		638		719,467
6.50%, 5/01/21 - 7/01/32		632		746,278
Ginnie Mae Mortgage-Backed Securities:
3.00%, 5/15/43 - 1/01/46 (f)		11,795		11,969,704
3.50%, 1/15/41 - 1/01/46 (f)		17,256		18,027,652
4.00%, 9/15/40 - 1/01/46 (f)		6,294		6,734,845
4.50%, 3/15/39 - 1/01/46 (f)		7,754		8,394,521
5.00%, 10/20/39 - 5/20/41		3,224		3,585,424
5.50%, 6/15/34 - 7/20/40		1,767		1,969,497
6.00%, 9/20/38 - 10/20/38		538		602,410
				364,232,850
Total U.S. Government Sponsored Agency Securities — 52.2%				426,025,321
U.S. Treasury Obligations
U.S. Treasury Bonds:
6.13%, 11/15/27		351		485,902
6.25%, 5/15/30		50		72,498
U.S. Treasury Inflation Indexed Bonds, 0.13%, 4/15/16		6,480		6,455,092
U.S. Treasury Notes:
0.88%, 4/15/17		90		89,979
0.88%, 10/15/17		780		777,654
0.88%, 10/15/18		755		746,683
2.13%, 6/30/22		173		174,194
Total U.S. Treasury Obligations — 1.1%				8,802,002
Investment Companies (g)	Shares
iShares 0-5 Year TIPS Bond ETF		1		99
iShares 1-3 Year Treasury Bond ETF		1		84
iShares 10-20 Year Treasury Bond ETF		1		134
iShares 20+ Year Treasury Bond ETF		52,602		6,344,853
iShares 3-7 Year Treasury Bond ETF		1		123
iShares 7-10 Year Treasury Bond ETF		1		106
iShares Agency Bond ETF		1		113
iShares Core U.S. Treasury Bond ETF		1		25

Investment Companies (g)	Shares		Value
iShares Short Treasury Bond ETF		1	$	110
iShares TIPS Bond ETF		1		110
Total Investment Companies — 0.8%				6,345,757
Preferred Securities
Capital Trusts	Par   (000)
Diversified Financial Services — 0.1%
Bank of New York Mellon Corp., Series D, 4.50% (a)(h)	$	394		360,510
JPMorgan Chase & Co., Series Q, 5.15% (a)(h)		415		392,175
				752,685
Insurance — 0.1%
Chubb Corp., 6.38%, 4/15/37 (a)		760		729,851
Total Capital Trusts — 0.2%				1,482,536
Preferred Stock	Shares
Diversified Telecommunication Services — 0.2%
Qwest Corp., 7.38%, 6/01/51		76,000		1,932,680
Total Preferred Securities — 0.4%				3,415,216
Total Long-Term Investments (Cost — $981,009,663) — 120.0%				979,106,070
Short-Term Securities — 2.4%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.35% (g)(i)(j)		19,480,003		19,480,003
BlackRock Cash Funds: Prime, SL Agency Shares, 0.31% (g)(i)(j)		50,944		50,944
Total Short-Term Securities (Cost — $19,530,947) — 2.4%				19,530,947
Total Investments Before TBA Sale Commitments (Cost — $1,000,540,610) — 122.4%				998,637,017
TBA Sale Commitments	Par   (000)
Fannie Mae Mortgage-Backed Securities (f):
2.50%, 1/20/31	USD	800		(806,375	)
3.00%, 1/20/31 - 1/14/46		16,300		(16,318,094	)
3.50%, 1/20/31 - 1/14/46		12,000		(12,389,907	)
4.00%, 1/14/46		22,600		(23,917,156	)
4.50%, 1/14/46		500		(539,844	)
5.00%, 1/14/46		200		(220,062	)
Freddie Mac Mortgage-Backed Securities (f):
3.00%, 1/14/46		300		(299,578	)
3.50%, 1/20/31		375		(391,992	)
4.00%, 1/20/31 - 1/14/46		2,300		(2,416,172	)
4.50%, 1/14/46		1,000		(1,077,188	)
Ginnie Mae Mortgage-Backed Securities (f):
3.50%, 1/21/46		1,850		(1,928,914	)
4.50%, 1/21/46		500		(539,062	)
Total TBA Sale Commitments (Proceeds — $60,853,202) — (7.5)%				(60,844,344	)
Total Investments, Net of TBA Sale Commitments (Cost — $939,687,408) — 114.9%				937,792,673
Liabilities in Excess of Other Assets — (14.9)%				(121,795,234	)
Net Assets — 100.0%			$	815,997,439

See Notes to Financial Statements.

BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015 29

Schedule of Investments (continued) CoreAlpha Bond Master Portfolio

Notes to Schedule of Investments

(a) Variable rate security. Rate 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) Zero-coupon bond.

(d) Security, or a portion of security, is on loan.

(e) Amount is less than $500.

(f) Represents or includes a TBA transaction. As of period end, unsettled TBA transactions were as follows:

Counterparty	Value			Unrealized Appreciation (Depreciation)
J.P. Morgan Securities LLC	$	16,274,625		$	13,196
Nomura Securities International, Inc.	$	7,580,047		$	4,938
Morgan Stanley & Co. LLC	$	17,014,920		$	19,076
Credit Suisse Securities (USA) LLC	$	36,571,466		$	60,925
Wells Fargo Securities LLC	$	18,669,239		$	68,173
Deutsche Bank Securities, Inc	$	(1,000,000	)	$	859
Goldman Sachs & Co.	$	11,995,070		$	29,567
S.G. America	$	733,031		$	(191	)
RBC Capital Markets, LLC	$	(2,055,703	)	$	3,458
Barclays Capital, Inc.	$	11,606,156		$	25,359
Bank of America N.A.	$	8,288,000		$	11,324
Citigroup Global Markets, Inc.	$	17,560,953		$	27,283

(g) During the year ended December 31, 2015, investments in issuers considered to be affiliates of the Master Portfolio for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares Held at December 31, 2014		Shares Purchased			Shares Sold			Shares Held at December 31, 2015		Value at December 31, 2015		Income			Realized Gain
BlackRock Cash Funds: Institutional, SL Agency Shares		39,979,776		—			(20,499,773	)1		19,480,003	$	19,480,003	$	85,524	3		—
BlackRock Cash Funds: Prime, SL Agency Shares		—		50,944	2		—			50,944	$	50,944	$	4,215	3		—
iShares 0-5 Year TIPS Bond ETF		1		—			—			1	$	99		—			—
iShares 1-3 Year Treasury Bond ETF		1		—			—			1	$	84		—			—
iShares 10-20 Year Treasury Bond ETF		1		—			—			1	$	134	$	3			—
iShares 20+ Year Treasury Bond ETF		181,108		—			(128,506	)		52,602	$	6,344,853	$	470,317		$	225,108	4
iShares 3-7 Year Treasury Bond ETF		1		—			—			1	$	123	$	2			—
iShares 7-10 Year Treasury Bond ETF		1		—			—			1	$	106	$	2			—
iShares Agency Bond ETF		1		—			—			1	$	113	$	1			—
iShares Core U.S. Treasury Bond ETF		1		—			—			1	$	25		—			—
iShares Short Treasury Bond ETF		1		—			—			1	$	110		—			—
iShares TIPS Bond ETF		1		—			—			1	$	110		—			—
1    Represents net shares sold.
2    Represents net shares purchased.
3    Represents all or a portion of 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.
4    Includes $225,108 of gains and losses from in-kind redemptions. See Note 2 of the Notes to Financial Statements.

(h) Perpetual security with no stated maturity date.

(i) Current yield as of period end.

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

Derivative Financial Instruments Outstanding as of Period End

Financial Futures Contracts

Contracts Long (Short)			Issue	Expiration	Notional Value		Unrealized Appreciation (Depreciation)
	41		2-Year U.S. Treasury Note	March 2016	$	8,906,609	$	(5,324	)
	144		5-Year U.S. Treasury Note	March 2016	$	17,038,125		(1,256	)
	128		10-Year Australian T-Bond	March 2016	$	11,835,704		14,024
	(81	)	10-Year Canada Bond Future	March 2016	$	8,253,371		(30,749	)
	222		10-Year U.S. Treasury Note	March 2016	$	27,951,188		(49,282	)
	325		90-Day Euro Dollar Future	March 2016	$	80,652,812		(34,447	)

See Notes to Financial Statements.

30 BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015

Schedule of Investments (continued) CoreAlpha Bond Master Portfolio

Financial Futures Contracts (concluded)

Contracts Long (Short)			Issue	Expiration	Notional Value		Unrealized Appreciation (Depreciation)
	(325	)	90-Day Euro Dollar Future	March 2017	$	80,128,750	$	73,567
	(169	)	Euro-Bund Futures	March 2016	$	29,003,700		428,016
	26		Long U.S. Treasury Bond	March 2016	$	3,997,500		(60,620	)
	223		Ultra Long U.S. Treasury Bond	March 2016	$	35,387,312		20,343
	71		UK Long Gilt Bond	March 2016	$	12,222,106		(23,271	)
	Total						$	331,001

Forward Foreign Currency Exchange Contracts

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
BRL	510,000	USD	131,706	BNP Paribas S.A.		1/05/16	$	(2,796	)
BRL	540,000	USD	142,234	BNP Paribas S.A.		1/05/16		(5,742	)
BRL	490,000	USD	127,739	BNP Paribas S.A.		1/05/16		(3,884	)
BRL	920,000	USD	235,607	BNP Paribas S.A.		1/05/16		(3,064	)
BRL	760,000	USD	194,632	HSBC Bank PLC		1/05/16		(2,531	)
BRL	940,000	USD	249,271	JPMorgan Chase Bank N.A.		1/05/16		(11,672	)
BRL	1,310,000	USD	335,485	JPMorgan Chase Bank N.A.		1/05/16		(4,363	)
BRL	770,000	USD	193,225	Morgan Stanley & Co. International PLC		1/05/16		1,404
BRL	260,000	USD	66,585	Morgan Stanley & Co. International PLC		1/05/16		(866	)
USD	234,456	BRL	920,000	BNP Paribas S.A.		1/05/16		1,913
USD	125,487	BRL	490,000	BNP Paribas S.A.		1/05/16		1,632
USD	130,608	BRL	510,000	BNP Paribas S.A.		1/05/16		1,699
USD	138,291	BRL	540,000	BNP Paribas S.A.		1/05/16		1,798
USD	195,017	BRL	760,000	HSBC Bank PLC		1/05/16		2,916
USD	344,103	BRL	1,310,000	JPMorgan Chase Bank N.A.		1/05/16		12,981
USD	240,729	BRL	940,000	JPMorgan Chase Bank N.A.		1/05/16		3,131
USD	68,511	BRL	260,000	Morgan Stanley & Co. International PLC		1/05/16		2,792
USD	197,193	BRL	770,000	Morgan Stanley & Co. International PLC		1/05/16		2,564
USD	139,044	BRL	560,000	Citibank N.A.		2/02/16		(1,112	)
USD	3,728	BRL	14,551	JPMorgan Chase Bank N.A.		2/02/16		86
USD	185,836	BRL	725,449	Morgan Stanley & Co. International PLC		2/02/16		4,271
USD	191,276	BRL	770,000	Morgan Stanley & Co. International PLC		2/02/16		(1,439	)
AUD	250,000	USD	181,871	Barclays Bank PLC		3/10/16		(568	)
AUD	234,684	USD	168,657	Citibank N.A.		3/10/16		1,539
AUD	700,000	USD	501,367	Citibank N.A.		3/10/16		6,283
AUD	380,000	USD	271,864	Citibank N.A.		3/10/16		3,717
AUD	280,000	USD	200,321	Citibank N.A.		3/10/16		2,739
AUD	220,382	USD	159,007	Citibank N.A.		3/10/16		818
AUD	585,587	USD	422,504	Citibank N.A.		3/10/16		2,173
AUD	241,371	USD	174,150	Citibank N.A.		3/10/16		896
AUD	375,494	USD	269,573	Citibank N.A.		3/10/16		2,741
AUD	330,000	USD	237,590	Citibank N.A.		3/10/16		1,730
AUD	600,000	USD	431,982	Citibank N.A.		3/10/16		3,146
AUD	240,000	USD	174,607	Credit Suisse International		3/10/16		(556	)
AUD	1,323,040	USD	954,033	Credit Suisse International		3/10/16		5,454
AUD	497,918	USD	359,045	Credit Suisse International		3/10/16		2,053
AUD	545,339	USD	393,240	Credit Suisse International		3/10/16		2,248
AUD	150,000	USD	109,373	HSBC Bank PLC		3/10/16		(590	)
AUD	135,000	USD	98,435	HSBC Bank PLC		3/10/16		(531	)
AUD	115,000	USD	83,852	HSBC Bank PLC		3/10/16		(453	)
AUD	270,000	USD	196,821	HSBC Bank PLC		3/10/16		(1,013	)
AUD	370,000	USD	264,446	Morgan Stanley & Co. International PLC		3/10/16		3,883
AUD	710,000	USD	504,668	Morgan Stanley & Co. International PLC		3/10/16		10,234
AUD	400,000	USD	284,320	Morgan Stanley & Co. International PLC		3/10/16		5,766
AUD	220,000	USD	156,979	Morgan Stanley & Co. International PLC		3/10/16		2,568
AUD	420,000	USD	302,830	Morgan Stanley & Co. International PLC		3/10/16		1,760
AUD	360,000	USD	261,363	Morgan Stanley & Co. International PLC		3/10/16		(286	)
AUD	318,937	USD	230,062	Morgan Stanley & Co. International PLC		3/10/16		1,235
AUD	291,203	USD	210,057	Morgan Stanley & Co. International PLC		3/10/16		1,127

See Notes to Financial Statements.

BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015 31

Schedule of Investments (continued) CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
AUD	773,768	USD	558,152	Morgan Stanley & Co. International PLC		3/10/16	$	2,996
AUD	339,822	USD	244,254	Morgan Stanley & Co. International PLC		3/10/16		2,190
AUD	510,000	USD	371,617	Westpac Banking Corp.		3/10/16		(1,758	)
AUD	250,000	USD	182,165	Westpac Banking Corp.		3/10/16		(862	)
AUD	170,000	USD	123,988	Westpac Banking Corp.		3/10/16		(701	)
AUD	155,000	USD	113,048	Westpac Banking Corp.		3/10/16		(639	)
AUD	125,000	USD	91,168	Westpac Banking Corp.		3/10/16		(516	)
AUD	107,605	USD	77,676	Westpac Banking Corp.		3/10/16		361
AUD	44,353	USD	32,017	Westpac Banking Corp.		3/10/16		149
AUD	40,497	USD	29,233	Westpac Banking Corp.		3/10/16		136
CAD	400,160	USD	287,607	Barclays Bank PLC		3/10/16		512
CAD	1,200,481	USD	862,821	Barclays Bank PLC		3/10/16		1,536
CAD	135,700	USD	98,270	BNP Paribas S.A.		3/10/16		(564	)
CAD	400,000	USD	291,490	Citibank N.A.		3/10/16		(3,486	)
CAD	1,390,000	USD	1,024,378	Citibank N.A.		3/10/16		(23,566	)
CAD	1,670,000	USD	1,227,550	Citibank N.A.		3/10/16		(25,137	)
CAD	743,236	USD	547,601	Citibank N.A.		3/10/16		(12,465	)
CAD	1,343,198	USD	989,641	Citibank N.A.		3/10/16		(22,527	)
CAD	304,458	USD	224,319	Citibank N.A.		3/10/16		(5,106	)
CAD	2,077,943	USD	1,492,315	Citibank N.A.		3/10/16		3,821
CAD	1,120,000	USD	836,479	Citibank N.A.		3/10/16		(30,070	)
CAD	310,000	USD	228,458	Citibank N.A.		3/10/16		(5,256	)
CAD	120,000	USD	88,436	Citibank N.A.		3/10/16		(2,035	)
CAD	358,223	USD	257,645	Deutsche Bank AG		3/10/16		278
CAD	2,450,000	USD	1,824,847	Goldman Sachs International		3/10/16		(60,827	)
CAD	2,490,000	USD	1,866,556	Goldman Sachs International		3/10/16		(73,735	)
CAD	409,263	USD	296,323	HSBC Bank PLC		3/10/16		(1,650	)
CAD	760,000	USD	553,740	JPMorgan Chase Bank N.A.		3/10/16		(6,534	)
CAD	240,000	USD	174,865	JPMorgan Chase Bank N.A.		3/10/16		(2,063	)
CAD	35,542	USD	26,188	Morgan Stanley & Co. International PLC		3/10/16		(598	)
CAD	156,802	USD	115,537	Morgan Stanley & Co. International PLC		3/10/16		(2,639	)
CAD	86,764	USD	63,931	Morgan Stanley & Co. International PLC		3/10/16		(1,460	)
CAD	155,036	USD	112,241	Morgan Stanley & Co. International PLC		3/10/16		(614	)
CAD	712,057	USD	511,721	Morgan Stanley & Co. International PLC		3/10/16		966
CAD	740,000	USD	530,904	Morgan Stanley & Co. International PLC		3/10/16		1,903
CAD	1,240,000	USD	889,622	Morgan Stanley & Co. International PLC		3/10/16		3,188
CAD	531,777	USD	382,298	Morgan Stanley & Co. International PLC		3/10/16		586
CAD	509,840	USD	366,348	Morgan Stanley & Co. International PLC		3/10/16		740
CAD	1,529,519	USD	1,099,045	Morgan Stanley & Co. International PLC		3/10/16		2,221
CAD	310,000	USD	226,415	UBS AG		3/10/16		(3,213	)
CAD	1,660,000	USD	1,239,130	UBS AG		3/10/16		(43,916	)
CAD	1,660,000	USD	1,239,685	Westpac Banking Corp.		3/10/16		(44,471	)
CLP	60,500,000	USD	84,829	Bank of America N.A.		3/10/16		(81	)
CLP	46,500,000	USD	65,199	Bank of America N.A.		3/10/16		(62	)
CLP	268,000,000	USD	375,771	Bank of America N.A.		3/10/16		(357	)
CLP	283,000,000	USD	395,472	Bank of America N.A.		3/10/16		954
CLP	169,000,000	USD	236,927	Bank of America N.A.		3/10/16		(192	)
CLP	1,560,000,000	USD	2,193,476	BNP Paribas S.A.		3/10/16		(8,227	)
CLP	1,052,000,000	USD	1,479,190	BNP Paribas S.A.		3/10/16		(5,548	)
CLP	263,000,000	USD	368,554	BNP Paribas S.A.		3/10/16		(143	)
CLP	143,000,000	USD	200,392	BNP Paribas S.A.		3/10/16		(78	)
CLP	268,000,000	USD	375,271	BNP Paribas S.A.		3/10/16		143
CLP	46,500,000	USD	65,112	BNP Paribas S.A.		3/10/16		25
CLP	60,500,000	USD	84,716	BNP Paribas S.A.		3/10/16		32
CLP	413,000,000	USD	583,498	Credit Suisse International		3/10/16		(4,968	)
CLP	203,000,000	USD	286,804	Credit Suisse International		3/10/16		(2,442	)
CLP	122,000,000	USD	172,365	Credit Suisse International		3/10/16		(1,467	)
CLP	311,000,000	USD	445,431	Goldman Sachs International		3/10/16		(9,782	)
CLP	237,000,000	USD	333,615	Standard Chartered Bank		3/10/16		(1,625	)
CLP	107,000,000	USD	150,619	Standard Chartered Bank		3/10/16		(734	)
COP	740,000,000	USD	233,660	Citibank N.A.		3/10/16		(2,171	)
COP	930,000,000	USD	293,190	Citibank N.A.		3/10/16		(2,265	)
COP	450,000,000	USD	134,128	Credit Suisse International		3/10/16		6,642
COP	390,000,000	USD	123,849	Credit Suisse International		3/10/16		(1,848	)

See Notes to Financial Statements.

32 BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015

Schedule of Investments (continued) CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
COP	900,000,000	USD	271,739	Goldman Sachs International		3/10/16	$	9,802
COP	450,000,000	USD	134,610	Goldman Sachs International		3/10/16		6,161
COP	820,000,000	USD	245,289	Goldman Sachs International		3/10/16		11,226
COP	450,000,000	USD	133,333	Goldman Sachs International		3/10/16		7,437
COP	300,000,000	USD	88,889	Goldman Sachs International		3/10/16		4,958
COP	320,000,000	USD	96,232	HSBC Bank PLC		3/10/16		3,871
COP	430,000,000	USD	129,312	HSBC Bank PLC		3/10/16		5,202
COP	330,000,000	USD	100,008	HSBC Bank PLC		3/10/16		3,223
COP	450,000,000	USD	133,452	JPMorgan Chase Bank N.A.		3/10/16		7,318
COP	400,000,000	USD	121,692	Morgan Stanley & Co. International PLC		3/10/16		3,438
COP	840,000,000	USD	256,020	Morgan Stanley & Co. International PLC		3/10/16		6,752
COP	1,580,000,000	USD	498,187	Morgan Stanley & Co. International PLC		3/10/16		(3,926	)
EUR	248,652	HUF	78,000,000	Barclays Bank PLC		3/10/16		2,708
EUR	626,106	HUF	196,000,000	Barclays Bank PLC		3/10/16		8,205
EUR	373,426	HUF	119,000,000	BNP Paribas S.A.		3/10/16		(2,319	)
EUR	208,414	HUF	65,940,000	BNP Paribas S.A.		3/10/16		338
EUR	186,326	HUF	59,000,000	BNP Paribas S.A.		3/10/16		136
EUR	956,758	HUF	300,196,927	Credit Suisse International		3/10/16		10,177
EUR	122,810	HUF	38,749,515	Credit Suisse International		3/10/16		565
EUR	509,462	HUF	159,803,073	Deutsche Bank AG		3/10/16		5,585
EUR	493,548	HUF	155,250,485	Deutsche Bank AG		3/10/16		3,902
EUR	313,176	HUF	98,000,000	Société Générale		3/10/16		4,237
EUR	214,518	HUF	67,510,000	Société Générale		3/10/16		1,589
EUR	313,244	HUF	98,000,000	Société Générale		3/10/16		4,310
EUR	74,331	HUF	23,550,000	UBS AG		3/10/16		9
EUR	125,445	PLN	550,000	Barclays Bank PLC		3/10/16		(2,610	)
EUR	323,464	PLN	1,400,000	Credit Suisse International		3/10/16		(2,127	)
EUR	3,554,820	PLN	15,250,000	Morgan Stanley & Co. International PLC		3/10/16		10,960
EUR	2,325,000	USD	2,468,162	Barclays Bank PLC		3/10/16		61,585
EUR	75,000	USD	82,230	BNP Paribas S.A.		3/10/16		(625	)
EUR	370,000	USD	405,854	BNP Paribas S.A.		3/10/16		(3,270	)
EUR	85,000	USD	93,069	Citibank N.A.		3/10/16		(584	)
EUR	940,000	USD	1,032,087	Citibank N.A.		3/10/16		(9,308	)
EUR	170,000	USD	187,016	Goldman Sachs International		3/10/16		(2,045	)
EUR	490,000	USD	539,046	Goldman Sachs International		3/10/16		(5,895	)
EUR	2,260,000	USD	2,489,955	Goldman Sachs International		3/10/16		(30,932	)
EUR	90,000	USD	98,576	HSBC Bank PLC		3/10/16		(650	)
EUR	250,000	USD	272,880	HSBC Bank PLC		3/10/16		(864	)
EUR	440,000	USD	481,925	HSBC Bank PLC		3/10/16		(3,177	)
EUR	750,000	USD	827,866	HSBC Bank PLC		3/10/16		(11,818	)
EUR	90,000	USD	98,643	JPMorgan Chase Bank N.A.		3/10/16		(717	)
EUR	270,000	USD	294,101	Morgan Stanley & Co. International PLC		3/10/16		(324	)
EUR	3,490,000	USD	3,719,382	Morgan Stanley & Co. International PLC		3/10/16		77,958
EUR	210,000	USD	229,738	Morgan Stanley & Co. International PLC		3/10/16		(1,245	)
EUR	2,329,102	USD	2,473,716	UBS AG		3/10/16		60,494
GBP	66,195	USD	100,360	Barclays Bank PLC		3/10/16		(2,785	)
GBP	63,116	USD	95,692	Barclays Bank PLC		3/10/16		(2,655	)
GBP	73,892	USD	112,029	Barclays Bank PLC		3/10/16		(3,109	)
GBP	76,589	USD	114,239	Barclays Bank PLC		3/10/16		(1,342	)
GBP	619,096	USD	923,432	Barclays Bank PLC		3/10/16		(10,848	)
GBP	217,003	USD	323,677	Barclays Bank PLC		3/10/16		(3,802	)
GBP	500,000	USD	744,580	Barclays Bank PLC		3/10/16		(7,551	)
GBP	110,326	USD	167,144	BNP Paribas S.A.		3/10/16		(4,517	)
GBP	115,708	USD	175,298	BNP Paribas S.A.		3/10/16		(4,737	)
GBP	129,163	USD	195,681	BNP Paribas S.A.		3/10/16		(5,288	)
GBP	43,411	USD	64,698	Citibank N.A.		3/10/16		(708	)
GBP	122,997	USD	183,312	Citibank N.A.		3/10/16		(2,007	)
GBP	350,904	USD	522,978	Citibank N.A.		3/10/16		(5,725	)
GBP	33,097	USD	50,180	Credit Suisse International		3/10/16		(1,392	)
GBP	36,946	USD	56,014	Credit Suisse International		3/10/16		(1,554	)
GBP	31,558	USD	47,846	Credit Suisse International		3/10/16		(1,327	)
GBP	540,000	USD	813,938	Credit Suisse International		3/10/16		(17,946	)
GBP	150,000	USD	226,094	Credit Suisse International		3/10/16		(4,985	)
GBP	300,783	USD	451,395	Credit Suisse International		3/10/16		(8,023	)

See Notes to Financial Statements.

BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015 33

Schedule of Investments (continued) CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
GBP	186,199	USD	279,435	Credit Suisse International		3/10/16	$	(4,967	)
GBP	120,000	USD	178,159	Credit Suisse International		3/10/16		(1,272	)
GBP	145,000	USD	219,534	Credit Suisse International		3/10/16		(5,795	)
GBP	160,000	USD	242,244	Credit Suisse International		3/10/16		(6,395	)
GBP	135,000	USD	204,393	Credit Suisse International		3/10/16		(5,395	)
GBP	190,000	USD	286,372	Deutsche Bank AG		3/10/16		(6,301	)
GBP	89,072	USD	135,006	Goldman Sachs International		3/10/16		(3,709	)
GBP	497,317	USD	753,782	Goldman Sachs International		3/10/16		(20,708	)
GBP	2,580,000	USD	3,877,908	Goldman Sachs International		3/10/16		(74,837	)
GBP	460,000	USD	691,410	Goldman Sachs International		3/10/16		(13,343	)
GBP	330,000	USD	495,616	HSBC Bank PLC		3/10/16		(9,176	)
GBP	790,000	USD	1,185,071	HSBC Bank PLC		3/10/16		(20,565	)
GBP	1,350,000	USD	2,045,732	HSBC Bank PLC		3/10/16		(55,753	)
GBP	172,683	USD	261,915	Morgan Stanley & Co. International PLC		3/10/16		(7,370	)
GBP	30,928	USD	46,910	Morgan Stanley & Co. International PLC		3/10/16		(1,320	)
GBP	73,801	USD	110,766	Morgan Stanley & Co. International PLC		3/10/16		(1,980	)
GBP	119,217	USD	178,930	Morgan Stanley & Co. International PLC		3/10/16		(3,198	)
GBP	410,000	USD	612,431	Morgan Stanley & Co. International PLC		3/10/16		(8,067	)
HUF	39,000,000	EUR	122,507	Barclays Bank PLC		3/10/16		626
HUF	96,000,000	EUR	305,680	Barclays Bank PLC		3/10/16		(2,948	)
HUF	300,000,000	EUR	953,198	Barclays Bank PLC		3/10/16		(6,980	)
HUF	191,000,000	EUR	608,652	Barclays Bank PLC		3/10/16		(6,384	)
HUF	41,000,000	EUR	129,409	Credit Suisse International		3/10/16		(17	)
HUF	81,000,000	EUR	259,541	Credit Suisse International		3/10/16		(4,254	)
HUF	255,000,000	EUR	814,202	JPMorgan Chase Bank N.A.		3/10/16		(10,268	)
HUF	947,000,000	EUR	3,037,807	Morgan Stanley & Co. International PLC		3/10/16		(53,456	)
HUF	38,000,000	EUR	119,780	UBS AG		3/10/16		158
HUF	31,000,000	USD	107,159	Barclays Bank PLC		3/10/16		(709	)
HUF	40,000,000	USD	138,820	Barclays Bank PLC		3/10/16		(1,465	)
HUF	44,500,000	USD	154,437	Barclays Bank PLC		3/10/16		(1,630	)
HUF	85,410,634	USD	296,493	Barclays Bank PLC		3/10/16		(3,204	)
HUF	50,469,920	USD	175,200	Barclays Bank PLC		3/10/16		(1,893	)
HUF	101,910,415	USD	353,770	Barclays Bank PLC		3/10/16		(3,823	)
HUF	43,000,000	USD	150,098	Barclays Bank PLC		3/10/16		(2,442	)
HUF	40,000,000	USD	139,626	Barclays Bank PLC		3/10/16		(2,271	)
HUF	33,769,448	USD	116,846	Barclays Bank PLC		3/10/16		(886	)
HUF	40,000,000	USD	138,509	BNP Paribas S.A.		3/10/16		(1,154	)
HUF	44,500,000	USD	154,091	BNP Paribas S.A.		3/10/16		(1,284	)
HUF	179,000,000	USD	622,555	BNP Paribas S.A.		3/10/16		(7,893	)
HUF	75,180,000	USD	258,995	BNP Paribas S.A.		3/10/16		(837	)
HUF	69,255,878	USD	235,493	Credit Suisse International		3/10/16		2,323
HUF	77,805,986	USD	264,566	Credit Suisse International		3/10/16		2,609
HUF	30,000,000	USD	104,441	Credit Suisse International		3/10/16		(1,425	)
HUF	10,171,838	USD	35,202	Credit Suisse International		3/10/16		(274	)
HUF	7,749,972	USD	26,821	Credit Suisse International		3/10/16		(209	)
HUF	46,170,585	USD	156,995	Credit Suisse International		3/10/16		1,548
HUF	1,530,080	USD	5,312	Credit Suisse International		3/10/16		(58	)
HUF	3,089,585	USD	10,726	Credit Suisse International		3/10/16		(117	)
HUF	2,589,366	USD	8,990	Credit Suisse International		3/10/16		(98	)
HUF	29,682,861	USD	102,469	Credit Suisse International		3/10/16		(542	)
HUF	7,829,415	USD	26,619	Deutsche Bank AG		3/10/16		266
HUF	13,194,014	USD	44,858	Deutsche Bank AG		3/10/16		448
HUF	11,744,122	USD	39,929	Deutsche Bank AG		3/10/16		399
HUF	88,000,000	USD	303,135	JPMorgan Chase Bank N.A.		3/10/16		(955	)
HUF	282,000,000	USD	959,655	JPMorgan Chase Bank N.A.		3/10/16		8,695
HUF	27,000,000	USD	91,882	JPMorgan Chase Bank N.A.		3/10/16		832
HUF	151,000,000	USD	513,858	JPMorgan Chase Bank N.A.		3/10/16		4,656
HUF	72,000,000	USD	250,227	JPMorgan Chase Bank N.A.		3/10/16		(2,988	)
HUF	40,367,691	USD	139,622	JPMorgan Chase Bank N.A.		3/10/16		(1,005	)
HUF	31,828,162	USD	110,006	Morgan Stanley & Co. International PLC		3/10/16		(713	)
HUF	24,250,028	USD	83,814	Morgan Stanley & Co. International PLC		3/10/16		(543	)
IDR	1,300,000,000	USD	92,284	HSBC Bank PLC		3/10/16		535
IDR	2,290,000,000	USD	162,354	HSBC Bank PLC		3/10/16		1,149
IDR	3,990,000,000	USD	285,919	HSBC Bank PLC		3/10/16		(1,038	)

See Notes to Financial Statements.

34 BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015

Schedule of Investments (continued) CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
IDR	5,940,000,000	USD	425,410	Morgan Stanley & Co. International PLC		3/10/16	$	(1,302	)
IDR	7,610,000,000	USD	528,839	Morgan Stanley & Co. International PLC		3/10/16		14,504
IDR	1,890,000,000	USD	133,853	UBS AG		3/10/16		1,091
ILS	365,754	USD	94,467	Barclays Bank PLC		3/10/16		(349	)
ILS	27,006	USD	6,928	Barclays Bank PLC		3/10/16		21
ILS	33,303	USD	8,642	Citibank N.A.		3/10/16		(72	)
ILS	64,525	USD	16,743	Citibank N.A.		3/10/16		(139	)
ILS	8,174	USD	2,122	Citibank N.A.		3/10/16		(18	)
ILS	20,947	USD	5,437	Citibank N.A.		3/10/16		(47	)
ILS	3,550,000	USD	917,253	Citibank N.A.		3/10/16		(3,747	)
ILS	10,100,000	USD	2,609,651	Citibank N.A.		3/10/16		(10,660	)
ILS	766,697	USD	199,043	Credit Suisse International		3/10/16		(1,752	)
ILS	1,485,476	USD	385,646	Credit Suisse International		3/10/16		(3,395	)
ILS	1,200,000	USD	311,013	Credit Suisse International		3/10/16		(2,222	)
ILS	450,000	USD	116,630	Credit Suisse International		3/10/16		(833	)
ILS	3,000,000	USD	781,402	Credit Suisse International		3/10/16		(9,425	)
ILS	1,950,000	USD	502,379	Credit Suisse International		3/10/16		(594	)
ILS	772,994	USD	198,597	Credit Suisse International		3/10/16		315
ILS	3,350,000	USD	863,691	Credit Suisse International		3/10/16		(1,649	)
ILS	791,826	USD	205,498	Credit Suisse International		3/10/16		(1,741	)
ILS	2,029,053	USD	526,588	Credit Suisse International		3/10/16		(4,460	)
ILS	1,184,246	USD	306,062	Credit Suisse International		3/10/16		(1,325	)
ILS	750,000	USD	194,901	Credit Suisse International		3/10/16		(1,907	)
ILS	350,000	USD	89,932	Deutsche Bank AG		3/10/16		132
ILS	1,900,000	USD	493,790	HSBC Bank PLC		3/10/16		(4,871	)
ILS	500,000	USD	129,945	HSBC Bank PLC		3/10/16		(1,282	)
ILS	1,600,000	USD	411,153	UBS AG		3/10/16		569
INR	23,984,083	USD	354,689	Barclays Bank PLC		3/10/16		4,071
INR	4,125,806	USD	61,015	Barclays Bank PLC		3/10/16		700
INR	22,600,000	USD	337,313	Barclays Bank PLC		3/10/16		743
INR	20,450,000	USD	305,224	Barclays Bank PLC		3/10/16		672
INR	13,200,000	USD	194,346	Citibank N.A.		3/10/16		3,103
INR	7,000,000	USD	103,443	Citibank N.A.		3/10/16		1,265
INR	12,800,000	USD	189,153	Citibank N.A.		3/10/16		2,312
INR	21,700,000	USD	320,059	Citibank N.A.		3/10/16		4,535
INR	15,306,271	USD	226,257	Citibank N.A.		3/10/16		2,698
INR	9,110,876	USD	134,677	Citibank N.A.		3/10/16		1,606
INR	3,665,000	USD	54,216	Citibank N.A.		3/10/16		606
INR	6,160,000	USD	91,124	Citibank N.A.		3/10/16		1,019
INR	6,300,000	USD	94,044	Citibank N.A.		3/10/16		193
INR	36,750,000	USD	548,589	Citibank N.A.		3/10/16		1,127
INR	50,000,000	USD	736,160	Citibank N.A.		3/10/16		11,753
INR	31,100,000	USD	459,447	HSBC Bank PLC		3/10/16		5,754
INR	27,100,000	USD	400,355	HSBC Bank PLC		3/10/16		5,014
INR	18,650,000	USD	277,323	HSBC Bank PLC		3/10/16		1,648
INR	34,400,000	USD	512,633	HSBC Bank PLC		3/10/16		1,931
INR	10,000,000	USD	149,021	HSBC Bank PLC		3/10/16		561
INR	41,600,000	USD	619,928	HSBC Bank PLC		3/10/16		2,336
INR	137,500,000	USD	2,033,723	HSBC Bank PLC		3/10/16		23,037
INR	42,500,000	USD	628,605	HSBC Bank PLC		3/10/16		7,121
INR	150,400,000	USD	2,224,523	HSBC Bank PLC		3/10/16		25,199
INR	21,700,000	USD	320,215	HSBC Bank PLC		3/10/16		4,379
INR	24,733,729	USD	365,884	HSBC Bank PLC		3/10/16		4,090
INR	14,724,124	USD	217,812	HSBC Bank PLC		3/10/16		2,435
INR	17,700,000	USD	264,970	HSBC Bank PLC		3/10/16		(209	)
INR	13,300,000	USD	198,371	HSBC Bank PLC		3/10/16		574
INR	10,000,000	USD	147,332	HSBC Bank PLC		3/10/16		2,251
INR	71,700,000	USD	1,056,369	HSBC Bank PLC		3/10/16		16,138
INR	18,700,000	USD	276,219	JPMorgan Chase Bank N.A.		3/10/16		3,501
INR	17,900,000	USD	264,402	JPMorgan Chase Bank N.A.		3/10/16		3,351
INR	26,700,000	USD	393,689	JPMorgan Chase Bank N.A.		3/10/16		5,696
INR	18,200,000	USD	268,357	JPMorgan Chase Bank N.A.		3/10/16		3,883
INR	30,100,000	USD	448,050	Morgan Stanley & Co. International PLC		3/10/16		2,193
INR	41,000,000	USD	610,301	Morgan Stanley & Co. International PLC		3/10/16		2,988

See Notes to Financial Statements.

BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015 35

Schedule of Investments (continued) CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
INR	26,900,000	USD	400,417	Morgan Stanley & Co. International PLC		3/10/16	$	1,960
INR	4,974,194	USD	73,559	UBS AG		3/10/16		846
INR	28,915,917	USD	427,612	UBS AG		3/10/16		4,920
INR	18,650,000	USD	277,076	UBS AG		3/10/16		1,895
INR	22,600,000	USD	337,263	UBS AG		3/10/16		793
INR	20,450,000	USD	305,178	UBS AG		3/10/16		718
INR	29,100,000	USD	434,718	UBS AG		3/10/16		568
INR	17,900,000	USD	267,404	UBS AG		3/10/16		349
INR	36,750,000	USD	548,507	UBS AG		3/10/16		1,208
INR	6,300,000	USD	94,030	UBS AG		3/10/16		207
JPY	50,000,000	USD	409,286	Barclays Bank PLC		3/10/16		6,945
JPY	25,000,000	USD	205,751	BNP Paribas S.A.		3/10/16		2,365
JPY	50,000,000	USD	406,818	Goldman Sachs International		3/10/16		9,413
JPY	43,000,000	USD	357,622	HSBC Bank PLC		3/10/16		336
JPY	48,937,976	USD	397,536	JPMorgan Chase Bank N.A.		3/10/16		9,854
JPY	1,062,024	USD	8,627	Morgan Stanley & Co. International PLC		3/10/16		214
JPY	76,000,000	USD	617,796	UBS AG		3/10/16		14,876
JPY	73,000,000	USD	600,028	UBS AG		3/10/16		7,669
KRW	90,000,000	USD	76,329	Barclays Bank PLC		3/10/16		312
KRW	105,000,000	USD	89,051	Barclays Bank PLC		3/10/16		364
KRW	70,000,000	USD	59,367	Barclays Bank PLC		3/10/16		243
KRW	275,000,000	USD	235,546	Citibank N.A.		3/10/16		(1,364	)
KRW	102,570,833	USD	86,597	Goldman Sachs International		3/10/16		749
KRW	240,000,000	USD	203,373	HSBC Bank PLC		3/10/16		1,004
KRW	180,000,000	USD	151,451	HSBC Bank PLC		3/10/16		1,831
KRW	205,000,000	USD	172,486	HSBC Bank PLC		3/10/16		2,086
KRW	330,000,000	USD	281,378	HSBC Bank PLC		3/10/16		(360	)
KRW	245,000,000	USD	208,902	HSBC Bank PLC		3/10/16		(267	)
KRW	165,000,000	USD	139,358	HSBC Bank PLC		3/10/16		1,151
KRW	360,000,000	USD	304,054	HSBC Bank PLC		3/10/16		2,511
KRW	340,000,000	USD	287,162	HSBC Bank PLC		3/10/16		2,372
KRW	90,000,000	USD	76,271	JPMorgan Chase Bank N.A.		3/10/16		370
KRW	70,000,000	USD	59,322	JPMorgan Chase Bank N.A.		3/10/16		288
KRW	105,000,000	USD	88,983	JPMorgan Chase Bank N.A.		3/10/16		432
KRW	120,000,000	USD	102,951	Morgan Stanley & Co. International PLC		3/10/16		(763	)
KRW	635,000,000	USD	544,784	Morgan Stanley & Co. International PLC		3/10/16		(4,037	)
KRW	150,000,000	USD	127,242	Morgan Stanley & Co. International PLC		3/10/16		494
KRW	102,553,253	USD	86,597	Morgan Stanley & Co. International PLC		3/10/16		734
KRW	120,000,000	USD	101,480	Morgan Stanley & Co. International PLC		3/10/16		708
KRW	320,000,000	USD	270,613	Morgan Stanley & Co. International PLC		3/10/16		1,889
KRW	215,000,000	USD	181,818	Morgan Stanley & Co. International PLC		3/10/16		1,269
KRW	190,000,000	USD	163,223	Morgan Stanley & Co. International PLC		3/10/16		(1,425	)
KRW	635,000,000	USD	545,509	Morgan Stanley & Co. International PLC		3/10/16		(4,762	)
KRW	320,000,000	USD	271,324	Morgan Stanley & Co. International PLC		3/10/16		1,178
KRW	125,000,000	USD	105,986	Morgan Stanley & Co. International PLC		3/10/16		460
KRW	1,170,000,000	USD	998,379	Morgan Stanley & Co. International PLC		3/10/16		(2,042	)
KRW	175,000,000	USD	147,854	Morgan Stanley & Co. International PLC		3/10/16		1,171
KRW	125,000,000	USD	105,610	Morgan Stanley & Co. International PLC		3/10/16		836
KRW	635,000,000	USD	536,499	Morgan Stanley & Co. International PLC		3/10/16		4,248
KRW	235,000,000	USD	198,245	Morgan Stanley & Co. International PLC		3/10/16		1,874
KRW	130,000,000	USD	109,668	Morgan Stanley & Co. International PLC		3/10/16		1,036
KRW	14,875,914	USD	12,560	UBS AG		3/10/16		108
MXN	2,400,000	USD	140,841	Bank of America N.A.		3/10/16		(2,518	)
MXN	7,300,000	USD	427,695	Citibank N.A.		3/10/16		(6,965	)
MXN	5,300,000	USD	310,519	Citibank N.A.		3/10/16		(5,057	)
MXN	2,900,000	USD	168,629	Citibank N.A.		3/10/16		(1,489	)
MXN	1,839,700	USD	107,229	Citibank N.A.		3/10/16		(1,199	)
MXN	1,166,639	USD	67,999	Citibank N.A.		3/10/16		(760	)
MXN	13,000,000	USD	751,081	Citibank N.A.		3/10/16		(1,836	)
MXN	20,500,000	USD	1,184,398	Citibank N.A.		3/10/16		(2,895	)
MXN	7,400,000	USD	425,920	Citibank N.A.		3/10/16		573
MXN	8,400,000	USD	483,477	Citibank N.A.		3/10/16		651
MXN	5,100,000	USD	306,695	Credit Suisse International		3/10/16		(12,760	)
MXN	3,500,000	USD	207,117	Credit Suisse International		3/10/16		(5,397	)

See Notes to Financial Statements.

36 BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015

Schedule of Investments (continued) CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
MXN	8,800,000	USD	513,599	Deutsche Bank AG		3/10/16	$	(6,417	)
MXN	15,800,000	USD	949,976	Deutsche Bank AG		3/10/16		(39,354	)
MXN	50,000,000	USD	3,006,253	Deutsche Bank AG		3/10/16		(124,539	)
MXN	5,300,000	USD	310,036	Goldman Sachs International		3/10/16		(4,574	)
MXN	4,700,000	USD	274,937	Goldman Sachs International		3/10/16		(4,056	)
MXN	5,800,000	USD	332,430	Goldman Sachs International		3/10/16		1,849
MXN	2,200,000	USD	127,373	HSBC Bank PLC		3/10/16		(578	)
MXN	5,900,000	USD	338,525	JPMorgan Chase Bank N.A.		3/10/16		1,517
MXN	3,500,000	USD	203,674	JPMorgan Chase Bank N.A.		3/10/16		(1,954	)
MXN	1,433,361	USD	83,349	JPMorgan Chase Bank N.A.		3/10/16		(738	)
MXN	2,260,300	USD	131,435	JPMorgan Chase Bank N.A.		3/10/16		(1,165	)
MXN	10,200,000	USD	606,381	JPMorgan Chase Bank N.A.		3/10/16		(18,511	)
MXN	3,400,000	USD	197,216	Morgan Stanley & Co. International PLC		3/10/16		(1,259	)
MXN	7,300,000	USD	423,434	Morgan Stanley & Co. International PLC		3/10/16		(2,704	)
MYR	1,075,000	USD	250,466	Bank of America N.A.		3/10/16		(1,230	)
MYR	130,000	USD	30,289	Bank of America N.A.		3/10/16		(149	)
MYR	140,000	USD	32,684	Barclays Bank PLC		3/10/16		(225	)
MYR	1,075,000	USD	250,963	Barclays Bank PLC		3/10/16		(1,727	)
MYR	650,000	USD	152,033	HSBC Bank PLC		3/10/16		(1,332	)
MYR	140,000	USD	32,695	HSBC Bank PLC		3/10/16		(236	)
MYR	1,075,000	USD	251,051	HSBC Bank PLC		3/10/16		(1,815	)
MYR	2,000,000	USD	465,224	HSBC Bank PLC		3/10/16		(1,530	)
MYR	1,300,000	USD	301,834	HSBC Bank PLC		3/10/16		(433	)
MYR	2,820,000	USD	656,195	HSBC Bank PLC		3/10/16		(2,386	)
MYR	550,000	USD	127,241	Morgan Stanley & Co. International PLC		3/10/16		275
MYR	1,075,000	USD	250,583	Morgan Stanley & Co. International PLC		3/10/16		(1,347	)
MYR	140,000	USD	32,634	Morgan Stanley & Co. International PLC		3/10/16		(175	)
MYR	2,000,000	USD	463,822	Morgan Stanley & Co. International PLC		3/10/16		(128	)
MYR	600,000	USD	142,535	Morgan Stanley & Co. International PLC		3/10/16		(3,426	)
MYR	2,650,000	USD	629,528	Morgan Stanley & Co. International PLC		3/10/16		(15,133	)
MYR	400,000	USD	94,731	Morgan Stanley & Co. International PLC		3/10/16		(1,992	)
MYR	500,000	USD	118,413	Morgan Stanley & Co. International PLC		3/10/16		(2,490	)
MYR	600,000	USD	139,002	Morgan Stanley & Co. International PLC		3/10/16		107
MYR	2,150,000	USD	498,089	Morgan Stanley & Co. International PLC		3/10/16		383
MYR	1,645,000	USD	382,558	Morgan Stanley & Co. International PLC		3/10/16		(1,170	)
MYR	235,000	USD	54,651	Morgan Stanley & Co. International PLC		3/10/16		(167	)
MYR	1,400,000	USD	325,619	Morgan Stanley & Co. International PLC		3/10/16		(1,033	)
MYR	2,200,000	USD	510,441	Morgan Stanley & Co. International PLC		3/10/16		(377	)
MYR	650,000	USD	153,447	UBS AG		3/10/16		(2,746	)
MYR	7,550,000	USD	1,783,605	Westpac Banking Corp.		3/10/16		(33,159	)
MYR	2,350,000	USD	555,162	Westpac Banking Corp.		3/10/16		(10,321	)
NOK	8,900,000	USD	1,022,840	BNP Paribas S.A.		3/10/16		(18,005	)
NOK	2,400,000	USD	277,703	Citibank N.A.		3/10/16		(6,736	)
NOK	1,300,000	USD	150,422	Citibank N.A.		3/10/16		(3,649	)
NOK	2,200,000	USD	254,561	Citibank N.A.		3/10/16		(6,175	)
NOK	1,300,000	USD	150,443	Citibank N.A.		3/10/16		(3,670	)
NOK	2,200,000	USD	254,596	Citibank N.A.		3/10/16		(6,210	)
NOK	2,400,000	USD	277,741	Citibank N.A.		3/10/16		(6,775	)
NOK	3,400,000	USD	390,646	Citibank N.A.		3/10/16		(6,777	)
NOK	10,700,000	USD	1,225,199	Citibank N.A.		3/10/16		(17,139	)
NOK	3,900,000	USD	458,358	Citibank N.A.		3/10/16		(18,037	)
NOK	3,200,000	USD	376,088	Citibank N.A.		3/10/16		(14,799	)
NOK	7,085,937	USD	821,003	Citibank N.A.		3/10/16		(20,981	)
NOK	377,421	USD	43,683	Citibank N.A.		3/10/16		(1,071	)
NOK	1,209,462	USD	139,983	Citibank N.A.		3/10/16		(3,431	)
NOK	2,211,214	USD	256,200	Citibank N.A.		3/10/16		(6,547	)
NOK	6,000,000	USD	691,721	Credit Suisse International		3/10/16		(14,304	)
NOK	7,200,000	USD	830,065	Credit Suisse International		3/10/16		(17,165	)
NOK	700,000	USD	79,507	Credit Suisse International		3/10/16		(475	)
NOK	9,000,000	USD	1,042,625	JPMorgan Chase Bank N.A.		3/10/16		(26,500	)
NOK	3,500,000	USD	405,465	JPMorgan Chase Bank N.A.		3/10/16		(10,305	)
NOK	14,300,000	USD	1,654,499	JPMorgan Chase Bank N.A.		3/10/16		(39,989	)
NOK	3,200,000	USD	366,208	JPMorgan Chase Bank N.A.		3/10/16		(4,919	)
NOK	1,085,045	USD	125,933	Morgan Stanley & Co. International PLC		3/10/16		(3,428	)

See Notes to Financial Statements.

BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015 37

Schedule of Investments (continued) CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
NOK	1,600,000	USD	183,407	Morgan Stanley & Co. International PLC		3/10/16	$	(2,762	)
NOK	5,804,601	USD	671,966	Morgan Stanley & Co. International PLC		3/10/16		(16,610	)
NOK	1,811,365	USD	209,691	Morgan Stanley & Co. International PLC		3/10/16		(5,183	)
NOK	514,955	USD	59,681	UBS AG		3/10/16		(1,541	)
NZD	50,291	USD	33,619	Bank of America N.A.		3/10/16		676
NZD	650,000	USD	428,122	Citibank N.A.		3/10/16		15,126
NZD	930,000	USD	612,544	Citibank N.A.		3/10/16		21,641
NZD	560,000	USD	375,635	Citibank N.A.		3/10/16		6,240
NZD	179,418	USD	119,992	Credit Suisse International		3/10/16		2,356
NZD	900,000	USD	603,283	HSBC Bank PLC		3/10/16		10,445
NZD	250,000	USD	167,258	JPMorgan Chase Bank N.A.		3/10/16		3,222
NZD	420,000	USD	278,751	Morgan Stanley & Co. International PLC		3/10/16		7,656
NZD	280,000	USD	187,328	Morgan Stanley & Co. International PLC		3/10/16		3,610
NZD	280,000	USD	186,754	Morgan Stanley & Co. International PLC		3/10/16		4,183
NZD	620,000	USD	413,528	Morgan Stanley & Co. International PLC		3/10/16		9,263
NZD	270,000	USD	180,085	Morgan Stanley & Co. International PLC		3/10/16		4,034
NZD	230,000	USD	156,274	Morgan Stanley & Co. International PLC		3/10/16		568
NZD	150,000	USD	102,468	Morgan Stanley & Co. International PLC		3/10/16		(180	)
NZD	520,000	USD	355,223	Morgan Stanley & Co. International PLC		3/10/16		(625	)
NZD	50,291	USD	33,613	Morgan Stanley & Co. International PLC		3/10/16		681
NZD	2,810,000	USD	1,858,394	UBS AG		3/10/16		57,801
NZD	1,400,000	USD	925,890	UBS AG		3/10/16		28,798
NZD	250,000	USD	169,395	UBS AG		3/10/16		1,085
NZD	550,000	USD	361,471	Westpac Banking Corp.		3/10/16		13,585
NZD	300,000	USD	197,166	Westpac Banking Corp.		3/10/16		7,410
NZD	575,000	USD	393,727	Westpac Banking Corp.		3/10/16		(1,623	)
NZD	445,000	USD	304,201	Westpac Banking Corp.		3/10/16		(747	)
PHP	38,800,000	USD	816,369	Deutsche Bank AG		3/10/16		5,082
PHP	6,300,000	USD	131,937	Deutsche Bank AG		3/10/16		1,443
PHP	8,400,000	USD	175,916	Deutsche Bank AG		3/10/16		1,924
PHP	19,200,000	USD	401,157	Goldman Sachs International		3/10/16		5,335
PHP	9,000,000	USD	188,324	HSBC Bank PLC		3/10/16		2,219
PHP	6,300,000	USD	131,910	HSBC Bank PLC		3/10/16		1,470
PHP	13,100,000	USD	276,546	HSBC Bank PLC		3/10/16		799
PHP	28,300,000	USD	597,425	HSBC Bank PLC		3/10/16		1,727
PHP	24,400,000	USD	515,094	HSBC Bank PLC		3/10/16		1,489
PHP	3,900,000	USD	82,418	HSBC Bank PLC		3/10/16		151
PHP	37,100,000	USD	784,024	HSBC Bank PLC		3/10/16		1,436
PHP	17,100,000	USD	357,890	JPMorgan Chase Bank N.A.		3/10/16		4,141
PHP	12,900,000	USD	271,985	Morgan Stanley & Co. International PLC		3/10/16		1,126
PHP	17,200,000	USD	361,877	Morgan Stanley & Co. International PLC		3/10/16		2,272
PHP	19,500,000	USD	410,267	Morgan Stanley & Co. International PLC		3/10/16		2,576
PHP	9,700,000	USD	204,512	Morgan Stanley & Co. International PLC		3/10/16		851
PHP	6,500,000	USD	137,044	Morgan Stanley & Co. International PLC		3/10/16		570
PHP	8,600,000	USD	181,320	Morgan Stanley & Co. International PLC		3/10/16		754
PHP	8,600,000	USD	181,324	Morgan Stanley & Co. International PLC		3/10/16		751
PHP	25,800,000	USD	542,131	Standard Chartered Bank		3/10/16		4,092
PHP	17,200,000	USD	361,420	Standard Chartered Bank		3/10/16		2,728
PLN	1,450,000	EUR	337,750	Barclays Bank PLC		3/10/16		(771	)
PLN	204,033	EUR	47,934	Barclays Bank PLC		3/10/16		(553	)
PLN	770,000	EUR	176,330	Barclays Bank PLC		3/10/16		2,884
PLN	1,645,000	EUR	376,542	BNP Paribas S.A.		3/10/16		6,339
PLN	900,000	EUR	206,394	BNP Paribas S.A.		3/10/16		3,052
PLN	900,000	EUR	206,488	BNP Paribas S.A.		3/10/16		2,949
PLN	1,400,000	EUR	319,773	BNP Paribas S.A.		3/10/16		6,143
PLN	1,900,000	EUR	443,526	Citibank N.A.		3/10/16		(2,052	)
PLN	85,155	EUR	20,000	Citibank N.A.		3/10/16		(224	)
PLN	800,000	EUR	184,394	Credit Suisse International		3/10/16		1,697
PLN	900,000	EUR	209,187	Credit Suisse International		3/10/16		12
PLN	550,000	EUR	129,303	Credit Suisse International		3/10/16		(1,588	)
PLN	170,271	EUR	40,005	Credit Suisse International		3/10/16		(465	)
PLN	2,408,031	EUR	565,430	Credit Suisse International		3/10/16		(6,203	)
PLN	2,550,000	EUR	599,310	Credit Suisse International		3/10/16		(7,162	)
PLN	264,874	EUR	60,637	Credit Suisse International		3/10/16		1,013

See Notes to Financial Statements.

38 BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015

Schedule of Investments (continued) CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
PLN	85,131	EUR	20,002	Goldman Sachs International		3/10/16	$	(232	)
PLN	170,281	EUR	40,004	HSBC Bank PLC		3/10/16		(461	)
PLN	750,000	EUR	173,938	JPMorgan Chase Bank N.A.		3/10/16		429
PLN	20,126	EUR	4,609	JPMorgan Chase Bank N.A.		3/10/16		76
PLN	1,375,000	EUR	317,706	Société Générale		3/10/16		2,070
PLN	900,000	EUR	206,375	Société Générale		3/10/16		3,072
PLN	1,375,000	EUR	318,037	Société Générale		3/10/16		1,710
PLN	85,129	EUR	20,002	UBS AG		3/10/16		(233	)
PLN	408,159	EUR	95,820	UBS AG		3/10/16		(1,030	)
PLN	1,100,000	USD	276,097	Barclays Bank PLC		3/10/16		2,106
PLN	2,150,000	USD	542,409	Barclays Bank PLC		3/10/16		1,352
PLN	550,000	USD	138,756	Barclays Bank PLC		3/10/16		346
PLN	253,843	USD	65,293	Barclays Bank PLC		3/10/16		(1,093	)
PLN	27,005	USD	6,946	Barclays Bank PLC		3/10/16		(116	)
PLN	132,323	USD	34,036	Barclays Bank PLC		3/10/16		(570	)
PLN	396,249	USD	102,125	Barclays Bank PLC		3/10/16		(1,909	)
PLN	81,608	USD	21,033	Barclays Bank PLC		3/10/16		(393	)
PLN	760,185	USD	195,922	Barclays Bank PLC		3/10/16		(3,662	)
PLN	408,194	USD	105,412	Barclays Bank PLC		3/10/16		(2,175	)
PLN	84,068	USD	21,710	Barclays Bank PLC		3/10/16		(448	)
PLN	783,101	USD	202,228	Barclays Bank PLC		3/10/16		(4,173	)
PLN	1,100,000	USD	283,250	Barclays Bank PLC		3/10/16		(5,047	)
PLN	1,450,000	USD	364,780	Barclays Bank PLC		3/10/16		1,943
PLN	550,000	USD	138,365	Barclays Bank PLC		3/10/16		737
PLN	400,000	USD	100,398	BNP Paribas S.A.		3/10/16		767
PLN	600,000	USD	150,597	BNP Paribas S.A.		3/10/16		1,151
PLN	275,000	USD	69,380	BNP Paribas S.A.		3/10/16		171
PLN	925,000	USD	233,368	BNP Paribas S.A.		3/10/16		576
PLN	215,000	USD	54,839	BNP Paribas S.A.		3/10/16		(463	)
PLN	415,000	USD	105,852	BNP Paribas S.A.		3/10/16		(894	)
PLN	105,000	USD	26,782	BNP Paribas S.A.		3/10/16		(226	)
PLN	1,525,000	USD	392,253	BNP Paribas S.A.		3/10/16		(6,562	)
PLN	795,000	USD	204,486	BNP Paribas S.A.		3/10/16		(3,421	)
PLN	1,350,000	USD	339,759	BNP Paribas S.A.		3/10/16		1,672
PLN	160,000	USD	41,154	BNP Paribas S.A.		3/10/16		(688	)
PLN	1,200,000	USD	308,523	BNP Paribas S.A.		3/10/16		(5,028	)
PLN	1,050,000	USD	264,844	BNP Paribas S.A.		3/10/16		714
PLN	1,050,000	USD	264,040	Credit Suisse International		3/10/16		1,518
PLN	700,000	USD	176,697	Credit Suisse International		3/10/16		341
PLN	322,426	USD	82,922	Credit Suisse International		3/10/16		(1,376	)
PLN	65,801	USD	16,923	Credit Suisse International		3/10/16		(281	)
PLN	618,532	USD	159,074	Credit Suisse International		3/10/16		(2,640	)
PLN	1,700,000	USD	438,605	Credit Suisse International		3/10/16		(8,655	)
PLN	1,290,000	USD	332,824	Credit Suisse International		3/10/16		(6,568	)
PLN	27,190	USD	7,011	Deutsche Bank AG		3/10/16		(134	)
PLN	253,279	USD	65,309	Deutsche Bank AG		3/10/16		(1,252	)
PLN	132,022	USD	34,043	Deutsche Bank AG		3/10/16		(653	)
PLN	54,327	USD	14,023	Deutsche Bank AG		3/10/16		(283	)
PLN	263,786	USD	68,089	Deutsche Bank AG		3/10/16		(1,375	)
PLN	506,061	USD	130,626	Deutsche Bank AG		3/10/16		(2,637	)
PLN	925,000	USD	233,578	Goldman Sachs International		3/10/16		365
PLN	275,000	USD	69,442	Goldman Sachs International		3/10/16		109
PLN	105,000	USD	26,746	Goldman Sachs International		3/10/16		(190	)
PLN	215,000	USD	54,766	Goldman Sachs International		3/10/16		(390	)
PLN	415,000	USD	105,711	Goldman Sachs International		3/10/16		(752	)
PLN	130,000	USD	33,106	Goldman Sachs International		3/10/16		(227	)
PLN	500,000	USD	127,330	Goldman Sachs International		3/10/16		(874	)
PLN	260,000	USD	66,212	Goldman Sachs International		3/10/16		(455	)
PLN	265,000	USD	67,509	JPMorgan Chase Bank N.A.		3/10/16		(487	)
PLN	540,000	USD	137,565	JPMorgan Chase Bank N.A.		3/10/16		(992	)
PLN	1,040,000	USD	264,940	JPMorgan Chase Bank N.A.		3/10/16		(1,911	)
PLN	1,160,000	USD	297,897	JPMorgan Chase Bank N.A.		3/10/16		(4,519	)
PLN	290,000	USD	74,474	JPMorgan Chase Bank N.A.		3/10/16		(1,130	)
PLN	600,000	USD	154,085	JPMorgan Chase Bank N.A.		3/10/16		(2,338	)

See Notes to Financial Statements.

BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015 39

Schedule of Investments (continued) CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
PLN	1,300,000	USD	333,898	JPMorgan Chase Bank N.A.		3/10/16	$	(5,113	)
PLN	1,000,000	USD	258,019	JPMorgan Chase Bank N.A.		3/10/16		(5,107	)
PLN	760,000	USD	196,095	JPMorgan Chase Bank N.A.		3/10/16		(3,882	)
PLN	1,100,000	USD	276,607	Morgan Stanley & Co. International PLC		3/10/16		1,597
PLN	1,400,000	USD	353,821	Société Générale		3/10/16		256
PLN	620,000	USD	158,653	UBS AG		3/10/16		(1,848	)
PLN	155,000	USD	39,663	UBS AG		3/10/16		(462	)
PLN	320,000	USD	81,885	UBS AG		3/10/16		(954	)
RON	1,700,000	USD	404,170	Barclays Bank PLC		3/10/16		4,304
RON	600,000	USD	147,108	BNP Paribas S.A.		3/10/16		(2,940	)
RUB	14,700,000	USD	205,865	Barclays Bank PLC		3/10/16		(7,625	)
RUB	6,100,000	USD	84,016	JPMorgan Chase Bank N.A.		3/10/16		(1,753	)
RUB	6,000,000	USD	86,931	JPMorgan Chase Bank N.A.		3/10/16		(6,017	)
RUB	9,600,000	USD	129,144	Morgan Stanley & Co. International PLC		3/10/16		319
SEK	3,000,000	USD	355,301	Citibank N.A.		3/10/16		1,204
SEK	2,900,000	USD	341,816	Citibank N.A.		3/10/16		2,806
SEK	12,900,000	USD	1,523,086	Credit Suisse International		3/10/16		9,884
SEK	3,200,000	USD	381,738	Credit Suisse International		3/10/16		(1,466	)
SEK	1,000,000	USD	118,817	Credit Suisse International		3/10/16		18
SEK	4,300,000	USD	510,913	Credit Suisse International		3/10/16		77
SEK	11,900,000	USD	1,373,460	Goldman Sachs International		3/10/16		40,676
SEK	1,600,000	USD	188,249	Goldman Sachs International		3/10/16		1,887
SEK	2,400,000	USD	282,373	Goldman Sachs International		3/10/16		2,831
SEK	6,200,000	USD	743,985	HSBC Bank PLC		3/10/16		(7,209	)
SEK	2,400,000	USD	282,542	JPMorgan Chase Bank N.A.		3/10/16		2,662
SEK	800,000	USD	94,851	JPMorgan Chase Bank N.A.		3/10/16		217
SEK	8,500,000	USD	1,007,787	JPMorgan Chase Bank N.A.		3/10/16		2,310
SEK	1,700,000	USD	198,812	Morgan Stanley & Co. International PLC		3/10/16		3,208
SEK	1,800,000	USD	210,507	Morgan Stanley & Co. International PLC		3/10/16		3,396
SGD	550,000	USD	389,394	Barclays Bank PLC		3/10/16		(2,506	)
SGD	670,000	USD	474,353	Barclays Bank PLC		3/10/16		(3,053	)
SGD	320,243	USD	226,528	BNP Paribas S.A.		3/10/16		(1,259	)
SGD	1,091,788	USD	775,773	Citibank N.A.		3/10/16		(7,773	)
SGD	259,591	USD	183,446	Citibank N.A.		3/10/16		(841	)
SGD	24,775	USD	17,517	Deutsche Bank AG		3/10/16		(89	)
SGD	96,624	USD	68,315	Deutsche Bank AG		3/10/16		(346	)
SGD	80,520	USD	56,929	Deutsche Bank AG		3/10/16		(289	)
SGD	548,212	USD	389,690	Deutsche Bank AG		3/10/16		(4,059	)
SGD	488,439	USD	348,869	Deutsche Bank AG		3/10/16		(5,284	)
SGD	692,471	USD	494,599	Deutsche Bank AG		3/10/16		(7,491	)
SGD	350,000	USD	246,887	Goldman Sachs International		3/10/16		(686	)
SGD	490,000	USD	347,419	Goldman Sachs International		3/10/16		(2,737	)
SGD	300,000	USD	212,653	Goldman Sachs International		3/10/16		(1,623	)
SGD	390,000	USD	275,556	HSBC Bank PLC		3/10/16		(1,217	)
SGD	240,000	USD	170,394	HSBC Bank PLC		3/10/16		(1,570	)
SGD	300,000	USD	212,992	HSBC Bank PLC		3/10/16		(1,962	)
SGD	160,167	USD	113,268	JPMorgan Chase Bank N.A.		3/10/16		(601	)
SGD	301,561	USD	215,410	JPMorgan Chase Bank N.A.		3/10/16		(3,282	)
SGD	427,529	USD	305,391	JPMorgan Chase Bank N.A.		3/10/16		(4,653	)
SGD	1,460,000	USD	1,033,412	JPMorgan Chase Bank N.A.		3/10/16		(6,400	)
SGD	1,540,000	USD	1,088,001	UBS AG		3/10/16		(4,713	)
SGD	480,000	USD	339,117	UBS AG		3/10/16		(1,469	)
SGD	569,480	USD	402,670	UBS AG		3/10/16		(2,079	)
SGD	683,376	USD	483,205	UBS AG		3/10/16		(2,495	)
SGD	175,225	USD	123,899	UBS AG		3/10/16		(640	)
SGD	1,090,000	USD	769,905	UBS AG		3/10/16		(3,162	)
THB	14,800,000	USD	407,938	Barclays Bank PLC		3/10/16		2,672
THB	6,700,000	USD	185,185	Barclays Bank PLC		3/10/16		699
THB	13,100,000	USD	364,395	Deutsche Bank AG		3/10/16		(949	)
THB	7,400,000	USD	205,556	Goldman Sachs International		3/10/16		(250	)
THB	12,000,000	USD	332,247	HSBC Bank PLC		3/10/16		680
THB	4,700,000	USD	130,275	JPMorgan Chase Bank N.A.		3/10/16		121
THB	6,500,000	USD	178,621	JPMorgan Chase Bank N.A.		3/10/16		1,715
THB	6,600,000	USD	182,113	Morgan Stanley & Co. International PLC		3/10/16		997

See Notes to Financial Statements.

40 BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015

Schedule of Investments (continued) CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)

Currency Purchased		Currency Sold		Counterparty	Settlement Date			Unrealized Appreciation (Depreciation)
THB	10,100,000	USD	278,688	Morgan Stanley & Co. International PLC		3/10/16		$	1,526
TRY	579,230	USD	194,980	Barclays Bank PLC		3/10/16			(223	)
TRY	540,000	USD	182,106	Citibank N.A.		3/10/16			(539	)
TRY	540,000	USD	180,672	Deutsche Bank AG		3/10/16			895
TRY	430,770	USD	144,976	HSBC Bank PLC		3/10/16			(136	)
TRY	820,000	USD	274,500	JPMorgan Chase Bank N.A.		3/10/16			1,213
TRY	760,000	USD	254,439	JPMorgan Chase Bank N.A.		3/10/16			1,099
TRY	830,000	USD	279,471	JPMorgan Chase Bank N.A.		3/10/16			(396	)
TRY	460,000	USD	155,037	UBS AG		3/10/16			(369	)
TRY	780,000	USD	262,889	UBS AG		3/10/16			(626	)
TWD	4,650,000	USD	141,790	Bank of America N.A.		3/10/16			(130	)
TWD	18,100,000	USD	551,913	Bank of America N.A.		3/10/16			(508	)
TWD	2,700,000	USD	81,793	Citibank N.A.		3/10/16			460
TWD	15,100,000	USD	461,069	Goldman Sachs International		3/10/16			(1,056	)
TWD	4,750,000	USD	144,553	Goldman Sachs International		3/10/16			153
TWD	22,700,000	USD	690,809	Goldman Sachs International		3/10/16			732
TWD	13,500,000	USD	410,135	HSBC Bank PLC		3/10/16			1,135
TWD	4,700,000	USD	142,988	HSBC Bank PLC		3/10/16			195
TWD	4,860,360	USD	148,051	HSBC Bank PLC		3/10/16			17
TWD	4,857,092	USD	148,014	HSBC Bank PLC		3/10/16			(46	)
TWD	5,344,154	USD	162,515	HSBC Bank PLC		3/10/16			291
TWD	1,644,355	USD	50,005	HSBC Bank PLC		3/10/16			90
TWD	4,266,246	USD	129,713	JPMorgan Chase Bank N.A.		3/10/16			256
TWD	8,900,000	USD	269,493	Morgan Stanley & Co. International PLC		3/10/16			1,640
TWD	8,900,000	USD	269,493	Morgan Stanley & Co. International PLC		3/10/16			1,640
TWD	11,300,000	USD	341,798	Morgan Stanley & Co. International PLC		3/10/16			2,450
TWD	6,355,645	USD	193,268	Morgan Stanley & Co. International PLC		3/10/16			353
TWD	20,655,846	USD	628,120	Morgan Stanley & Co. International PLC		3/10/16			1,148
TWD	12,500,000	USD	381,997	Morgan Stanley & Co. International PLC		3/10/16			(1,192	)
TWD	2,916,302	USD	88,830	UBS AG		3/10/16			13
TWD	4,650,000	USD	141,768	UBS AG		3/10/16			(109	)
TWD	18,100,000	USD	551,829	UBS AG		3/10/16			(424	)
TWD	14,800,000	USD	448,757	UBS AG		3/10/16			2,116
TWD	4,600,000	USD	139,478	UBS AG		3/10/16			658
TWD	4,750,000	USD	144,641	UBS AG		3/10/16			65
TWD	22,700,000	USD	691,230	UBS AG		3/10/16	��		312
USD	101,848	AUD	140,000	Barclays Bank PLC		3/10/16			318
USD	474,698	AUD	663,085	Barclays Bank PLC		3/10/16			(6,182	)
USD	47,204	AUD	65,741	Citibank N.A.		3/10/16			(472	)
USD	77,482	AUD	107,909	Citibank N.A.		3/10/16			(775	)
USD	164,735	AUD	230,000	Citibank N.A.		3/10/16			(2,065	)
USD	451,230	AUD	630,000	Citibank N.A.		3/10/16			(5,655	)
USD	615,965	AUD	860,000	Citibank N.A.		3/10/16			(7,720	)
USD	172,793	AUD	240,000	Citibank N.A.		3/10/16			(1,259	)
USD	110,667	AUD	154,150	Citibank N.A.		3/10/16			(1,125	)
USD	69,238	AUD	96,344	Citibank N.A.		3/10/16			(632	)
USD	90,900	AUD	126,915	Citibank N.A.		3/10/16			(1,140	)
USD	1,173,225	AUD	1,631,367	Credit Suisse International		3/10/16			(9,865	)
USD	714,765	AUD	993,879	Credit Suisse International		3/10/16			(6,010	)
USD	355,314	AUD	493,061	HSBC Bank PLC		3/10/16			(2,260	)
USD	583,218	AUD	809,317	HSBC Bank PLC		3/10/16			(3,710	)
USD	65,203	AUD	90,000	HSBC Bank PLC		3/10/16			(66	)
USD	43,469	AUD	60,000	HSBC Bank PLC		3/10/16			(44	)
USD	118,116	AUD	164,354	Morgan Stanley & Co. International PLC		3/10/16			(1,076	)
USD	193,877	AUD	269,772	Morgan Stanley & Co. International PLC		3/10/16			(1,765	)
USD	100,273	AUD	139,506	Morgan Stanley & Co. International PLC		3/10/16			(899	)
USD	227,456	AUD	320,000	Morgan Stanley & Co. International PLC		3/10/16			(4,613	)
USD	184,808	AUD	260,000	Morgan Stanley & Co. International PLC		3/10/16			(3,748	)
USD	367,722	AUD	510,000	Morgan Stanley & Co. International PLC		3/10/16			(2,137	)
USD	403,773	AUD	560,000	Morgan Stanley & Co. International PLC		3/10/16			(2,347	)
USD	252,358	AUD	350,000	Morgan Stanley & Co. International PLC		3/10/16			(1,467	)
USD	71,997	AUD	100,000	Morgan Stanley & Co. International PLC		3/10/16			(524	)
USD	806,302	AUD	1,130,000	Morgan Stanley & Co. International PLC		3/10/16			(13,190	)
USD	399,584	AUD	560,000	Morgan Stanley & Co. International PLC		3/10/16			(6,537	)

See Notes to Financial Statements.

BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015 41

Schedule of Investments (continued) CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	77,480	AUD	107,909	UBS AG		3/10/16	$	(777	)
USD	47,203	AUD	65,741	UBS AG		3/10/16		(474	)
USD	1,238,724	AUD	1,700,000	Westpac Banking Corp.		3/10/16		5,859
USD	2,586,747	AUD	3,550,000	Westpac Banking Corp.		3/10/16		12,236
USD	141,815	AUD	197,224	Westpac Banking Corp.		3/10/16		(1,215	)
USD	232,778	AUD	323,727	Westpac Banking Corp.		3/10/16		(1,994	)
USD	181,570	AUD	250,000	Westpac Banking Corp.		3/10/16		266
USD	413,978	AUD	570,000	Westpac Banking Corp.		3/10/16		606
USD	275,986	AUD	380,000	Westpac Banking Corp.		3/10/16		404
USD	195,737	AUD	270,000	Westpac Banking Corp.		3/10/16		(71	)
USD	282,731	AUD	390,000	Westpac Banking Corp.		3/10/16		(103	)
USD	152,137	AUD	210,000	Westpac Banking Corp.		3/10/16		(158	)
USD	217,338	AUD	300,000	Westpac Banking Corp.		3/10/16		(226	)
USD	300,019	CAD	410,000	Barclays Bank PLC		3/10/16		4,816
USD	63,210	CAD	87,947	Barclays Bank PLC		3/10/16		(113	)
USD	353,771	CAD	488,522	BNP Paribas S.A.		3/10/16		2,031
USD	186,714	CAD	250,000	Citibank N.A.		3/10/16		6,712
USD	309,524	CAD	420,000	Citibank N.A.		3/10/16		7,121
USD	181,859	CAD	253,226	Citibank N.A.		3/10/16		(466	)
USD	187,208	CAD	260,674	Citibank N.A.		3/10/16		(479	)
USD	172,413	CAD	230,000	Goldman Sachs International		3/10/16		6,811
USD	268,141	CAD	360,000	Goldman Sachs International		3/10/16		8,938
USD	285,832	CAD	400,000	Goldman Sachs International		3/10/16		(2,172	)
USD	478,768	CAD	670,000	Goldman Sachs International		3/10/16		(3,637	)
USD	1,066,764	CAD	1,473,349	HSBC Bank PLC		3/10/16		5,941
USD	180,672	CAD	250,000	HSBC Bank PLC		3/10/16		670
USD	361,343	CAD	500,000	HSBC Bank PLC		3/10/16		1,339
USD	488,166	CAD	670,000	JPMorgan Chase Bank N.A.		3/10/16		5,760
USD	1,012,762	CAD	1,390,000	JPMorgan Chase Bank N.A.		3/10/16		11,950
USD	450,285	CAD	620,000	Morgan Stanley & Co. International PLC		3/10/16		3,880
USD	404,069	CAD	558,130	Morgan Stanley & Co. International PLC		3/10/16		2,211
USD	208,057	CAD	290,000	Morgan Stanley & Co. International PLC		3/10/16		(746	)
USD	80,516	CAD	112,053	Morgan Stanley & Co. International PLC		3/10/16		(163	)
USD	62,360	CAD	86,774	Morgan Stanley & Co. International PLC		3/10/16		(118	)
USD	64,194	CAD	89,326	Morgan Stanley & Co. International PLC		3/10/16		(121	)
USD	1,858,694	CAD	2,490,000	UBS AG		3/10/16		65,874
USD	272,459	CAD	365,000	UBS AG		3/10/16		9,656
USD	1,854,962	CAD	2,485,000	UBS AG		3/10/16		65,742
USD	817,378	CAD	1,095,000	UBS AG		3/10/16		28,969
USD	272,581	CAD	365,000	Westpac Banking Corp.		3/10/16		9,778
USD	817,744	CAD	1,095,000	Westpac Banking Corp.		3/10/16		29,335
USD	1,859,527	CAD	2,490,000	Westpac Banking Corp.		3/10/16		66,707
USD	1,855,793	CAD	2,485,000	Westpac Banking Corp.		3/10/16		66,573
USD	482,831	CAD	670,000	Westpac Banking Corp.		3/10/16		425
USD	654,708	CLP	469,000,000	Bank of America N.A.		3/10/16		(2,267	)
USD	435,998	CLP	312,000,000	Bank of America N.A.		3/10/16		(1,052	)
USD	1,029,246	CLP	732,000,000	BNP Paribas S.A.		3/10/16		3,860
USD	123,318	CLP	88,000,000	BNP Paribas S.A.		3/10/16		48
USD	260,907	CLP	183,000,000	Credit Suisse International		3/10/16		4,560
USD	125,463	CLP	88,000,000	Credit Suisse International		3/10/16		2,193
USD	1,060,393	CLP	755,000,000	Deutsche Bank AG		3/10/16		2,789
USD	173,303	CLP	121,000,000	Goldman Sachs International		3/10/16		3,806
USD	305,694	CLP	217,000,000	HSBC Bank PLC		3/10/16		1,720
USD	114,607	CLP	82,000,000	HSBC Bank PLC		3/10/16		(259	)
USD	257,167	CLP	184,000,000	HSBC Bank PLC		3/10/16		(580	)
USD	187,258	CLP	133,000,000	Morgan Stanley & Co. International PLC		3/10/16		952
USD	88,412	COP	280,000,000	Citibank N.A.		3/10/16		821
USD	400,838	COP	1,340,000,000	Goldman Sachs International		3/10/16		(18,345	)
USD	153,986	COP	510,000,000	Goldman Sachs International		3/10/16		(5,554	)
USD	1,062,863	COP	3,390,000,000	JPMorgan Chase Bank N.A.		3/10/16		2,392
USD	896,692	COP	2,860,000,000	JPMorgan Chase Bank N.A.		3/10/16		2,018
USD	332,340	COP	1,060,000,000	JPMorgan Chase Bank N.A.		3/10/16		748
USD	142,988	COP	470,000,000	Morgan Stanley & Co. International PLC		3/10/16		(4,039	)
USD	197,749	COP	650,000,000	Morgan Stanley & Co. International PLC		3/10/16		(5,586	)

See Notes to Financial Statements.

42 BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015

Schedule of Investments (continued) CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	2,579,627	EUR	2,430,000	Barclays Bank PLC		3/10/16	$	(64,366	)
USD	366,243	EUR	345,000	Barclays Bank PLC		3/10/16		(9,138	)
USD	257,654	EUR	235,000	BNP Paribas S.A.		3/10/16		1,959
USD	548,199	EUR	500,000	BNP Paribas S.A.		3/10/16		4,168
USD	361,978	EUR	330,000	BNP Paribas S.A.		3/10/16		2,917
USD	405,854	EUR	370,000	BNP Paribas S.A.		3/10/16		3,270
USD	1,260,514	EUR	1,155,000	BNP Paribas S.A.		3/10/16		3,801
USD	102,767	EUR	94,471	BNP Paribas S.A.		3/10/16		(24	)
USD	562,196	EUR	516,814	BNP Paribas S.A.		3/10/16		(129	)
USD	273,732	EUR	250,000	Citibank N.A.		3/10/16		1,716
USD	574,837	EUR	525,000	Citibank N.A.		3/10/16		3,604
USD	175,674	EUR	160,000	Citibank N.A.		3/10/16		1,584
USD	1,266,359	EUR	1,155,000	Credit Suisse International		3/10/16		9,647
USD	377,295	EUR	346,955	Credit Suisse International		3/10/16		(214	)
USD	76,671	EUR	70,000	Credit Suisse International		3/10/16		507
USD	594,296	EUR	540,000	Deutsche Bank AG		3/10/16		6,742
USD	211,645	EUR	192,954	Goldman Sachs International		3/10/16		1,699
USD	638,054	EUR	580,000	Goldman Sachs International		3/10/16		6,977
USD	1,434,967	EUR	1,300,000	HSBC Bank PLC		3/10/16		20,485
USD	383,349	EUR	350,000	HSBC Bank PLC		3/10/16		2,527
USD	608,297	EUR	555,000	JPMorgan Chase Bank N.A.		3/10/16		4,422
USD	290,448	EUR	265,000	JPMorgan Chase Bank N.A.		3/10/16		2,111
USD	1,751,714	EUR	1,610,000	JPMorgan Chase Bank N.A.		3/10/16		(68	)
USD	912,710	EUR	840,000	Morgan Stanley & Co. International PLC		3/10/16		(1,263	)
USD	2,004,244	EUR	1,840,000	Morgan Stanley & Co. International PLC		3/10/16		2,208
USD	522,846	EUR	480,000	Morgan Stanley & Co. International PLC		3/10/16		576
USD	150,178	EUR	137,046	Morgan Stanley & Co. International PLC		3/10/16		1,063
USD	1,086,558	EUR	1,003,045	Morgan Stanley & Co. International PLC		3/10/16		(4,819	)
USD	82,150	EUR	75,529	Morgan Stanley & Co. International PLC		3/10/16		(30	)
USD	449,406	EUR	413,186	Morgan Stanley & Co. International PLC		3/10/16		(167	)
USD	2,580,879	EUR	2,430,000	UBS AG		3/10/16		(63,115	)
USD	366,421	EUR	345,000	UBS AG		3/10/16		(8,961	)
USD	193,591	GBP	130,000	Barclays Bank PLC		3/10/16		1,963
USD	574,799	GBP	380,000	BNP Paribas S.A.		3/10/16		14,657
USD	340,209	GBP	224,143	Citibank N.A.		3/10/16		9,809
USD	120,074	GBP	79,109	Citibank N.A.		3/10/16		3,462
USD	466,953	GBP	307,647	Citibank N.A.		3/10/16		13,463
USD	593,431	GBP	400,000	Citibank N.A.		3/10/16		3,808
USD	452,167	GBP	300,000	Deutsche Bank AG		3/10/16		9,949
USD	465,950	GBP	310,000	Goldman Sachs International		3/10/16		8,992
USD	210,261	GBP	140,000	HSBC Bank PLC		3/10/16		3,893
USD	4,800,288	GBP	3,200,000	HSBC Bank PLC		3/10/16		83,301
USD	615,037	GBP	410,000	HSBC Bank PLC		3/10/16		10,673
USD	606,143	GBP	400,000	HSBC Bank PLC		3/10/16		16,519
USD	136,482	GBP	90,000	HSBC Bank PLC		3/10/16		3,817
USD	530,763	GBP	350,000	HSBC Bank PLC		3/10/16		14,843
USD	386,699	GBP	255,000	HSBC Bank PLC		3/10/16		10,814
USD	298,851	GBP	200,000	HSBC Bank PLC		3/10/16		4,039
USD	16,529	GBP	10,891	Morgan Stanley & Co. International PLC		3/10/16		475
USD	46,832	GBP	30,857	Morgan Stanley & Co. International PLC		3/10/16		1,347
USD	64,280	GBP	42,353	Morgan Stanley & Co. International PLC		3/10/16		1,849
USD	178,850	GBP	120,000	UBS AG		3/10/16		1,963
USD	211,425	HUF	61,000,000	Bank of America N.A.		3/10/16		1,960
USD	67,888	HUF	19,620,238	Barclays Bank PLC		3/10/16		515
USD	124,443	HUF	36,000,000	Barclays Bank PLC		3/10/16		823
USD	273,082	HUF	79,000,000	Barclays Bank PLC		3/10/16		1,807
USD	13,273	HUF	3,840,195	Barclays Bank PLC		3/10/16		86
USD	11,208	HUF	3,242,831	Barclays Bank PLC		3/10/16		73
USD	59,870	HUF	17,466,324	Barclays Bank PLC		3/10/16		(107	)
USD	216,828	HUF	63,256,418	Barclays Bank PLC		3/10/16		(386	)
USD	298,513	HUF	85,375,000	Barclays Bank PLC		3/10/16		5,347
USD	641,956	HUF	183,600,000	Barclays Bank PLC		3/10/16		11,498
USD	292,097	HUF	83,540,000	Barclays Bank PLC		3/10/16		5,232
USD	684,166	HUF	196,000,000	Barclays Bank PLC		3/10/16		11,129

See Notes to Financial Statements.

BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015 43

Schedule of Investments (continued) CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	294,752	HUF	84,625,000	Barclays Bank PLC		3/10/16	$	4,161
USD	81,782	HUF	23,480,000	Barclays Bank PLC		3/10/16		1,155
USD	128,684	HUF	37,000,000	BNP Paribas S.A.		3/10/16		1,631
USD	150,477	HUF	43,680,000	BNP Paribas S.A.		3/10/16		486
USD	267,092	HUF	77,000,000	BNP Paribas S.A.		3/10/16		2,685
USD	268,065	HUF	77,000,000	Credit Suisse International		3/10/16		3,657
USD	59,535	HUF	17,245,908	Credit Suisse International		3/10/16		315
USD	98,206	HUF	28,306,546	Credit Suisse International		3/10/16		1,005
USD	116,296	HUF	33,520,909	Credit Suisse International		3/10/16		1,190
USD	44,422	HUF	12,835,891	Credit Suisse International		3/10/16		345
USD	202,759	HUF	59,000,000	Credit Suisse International		3/10/16		161
USD	233,571	HUF	67,186,181	Credit Suisse International		3/10/16		2,863
USD	64,800	HUF	18,639,593	Credit Suisse International		3/10/16		794
USD	169,741	HUF	48,880,407	Deutsche Bank AG		3/10/16		1,893
USD	611,830	HUF	176,188,819	Deutsche Bank AG		3/10/16		6,822
USD	540,820	HUF	157,000,000	JPMorgan Chase Bank N.A.		3/10/16		1,703
USD	134,344	HUF	39,000,000	JPMorgan Chase Bank N.A.		3/10/16		423
USD	81,121	HUF	23,453,854	JPMorgan Chase Bank N.A.		3/10/16		584
USD	322,903	HUF	93,000,000	JPMorgan Chase Bank N.A.		3/10/16		3,554
USD	25,995	HUF	7,460,000	JPMorgan Chase Bank N.A.		3/10/16		379
USD	57,148	HUF	16,400,000	JPMorgan Chase Bank N.A.		3/10/16		832
USD	26,570	HUF	7,625,000	JPMorgan Chase Bank N.A.		3/10/16		387
USD	517,830	HUF	149,000,000	JPMorgan Chase Bank N.A.		3/10/16		6,185
USD	1,059,988	HUF	305,000,000	JPMorgan Chase Bank N.A.		3/10/16		12,660
USD	13,135	HUF	3,798,568	Morgan Stanley & Co. International PLC		3/10/16		91
USD	11,092	HUF	3,207,680	Morgan Stanley & Co. International PLC		3/10/16		77
USD	138,818	HUF	40,164,109	Morgan Stanley & Co. International PLC		3/10/16		900
USD	242,378	HUF	70,743,582	Morgan Stanley & Co. International PLC		3/10/16		(546	)
USD	66,925	HUF	19,533,676	Morgan Stanley & Co. International PLC		3/10/16		(151	)
USD	357,074	HUF	104,000,000	Société Générale		3/10/16		(48	)
USD	11,208	HUF	3,242,943	UBS AG		3/10/16		72
USD	13,272	HUF	3,840,328	UBS AG		3/10/16		85
USD	72,281	IDR	1,030,000,000	Citibank N.A.		3/10/16		(1,260	)
USD	134,035	IDR	1,910,000,000	Citibank N.A.		3/10/16		(2,336	)
USD	395,027	IDR	5,560,000,000	Citibank N.A.		3/10/16		(1,950	)
USD	220,771	IDR	3,110,000,000	HSBC Bank PLC		3/10/16		(1,279	)
USD	218,042	IDR	3,130,000,000	HSBC Bank PLC		3/10/16		(5,435	)
USD	131,661	IDR	1,890,000,000	HSBC Bank PLC		3/10/16		(3,282	)
USD	138,724	IDR	1,990,000,000	HSBC Bank PLC		3/10/16		(3,359	)
USD	97,595	IDR	1,400,000,000	HSBC Bank PLC		3/10/16		(2,363	)
USD	255,229	IDR	3,600,000,000	HSBC Bank PLC		3/10/16		(1,807	)
USD	235,923	IDR	3,310,000,000	JPMorgan Chase Bank N.A.		3/10/16		(407	)
USD	36,351	IDR	510,000,000	JPMorgan Chase Bank N.A.		3/10/16		(63	)
USD	134,622	IDR	1,950,000,000	Morgan Stanley & Co. International PLC		3/10/16		(4,605	)
USD	265,102	IDR	3,840,000,000	Morgan Stanley & Co. International PLC		3/10/16		(9,069	)
USD	89,058	IDR	1,290,000,000	Morgan Stanley & Co. International PLC		3/10/16		(3,047	)
USD	367,753	IDR	5,360,000,000	Morgan Stanley & Co. International PLC		3/10/16		(14,944	)
USD	659,249	IDR	9,480,000,000	Morgan Stanley & Co. International PLC		3/10/16		(17,610	)
USD	164,721	IDR	2,300,000,000	Morgan Stanley & Co. International PLC		3/10/16		504
USD	269,122	IDR	3,800,000,000	UBS AG		3/10/16		(2,193	)
USD	936,261	IDR	13,220,000,000	UBS AG		3/10/16		(7,630	)
USD	270,972	IDR	3,860,000,000	UBS AG		3/10/16		(4,627	)
USD	124,956	IDR	1,780,000,000	UBS AG		3/10/16		(2,134	)
USD	191,982	ILS	743,307	Barclays Bank PLC		3/10/16		710
USD	34,248	ILS	132,961	Barclays Bank PLC		3/10/16		33
USD	13,856	ILS	54,012	Barclays Bank PLC		3/10/16		(43	)
USD	4,330	ILS	16,879	Barclays Bank PLC		3/10/16		(13	)
USD	13,639	ILS	53,084	BNP Paribas S.A.		3/10/16		(21	)
USD	64,595	ILS	250,000	Citibank N.A.		3/10/16		264
USD	21,249	ILS	82,134	Citibank N.A.		3/10/16		114
USD	16,999	ILS	65,707	Citibank N.A.		3/10/16		91
USD	99,869	ILS	386,030	Citibank N.A.		3/10/16		534
USD	297,059	ILS	1,150,000	Credit Suisse International		3/10/16		1,135
USD	208,374	ILS	800,000	Credit Suisse International		3/10/16		2,513

See Notes to Financial Statements.

44 BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015

Schedule of Investments (continued) CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	339,577	ILS	1,310,125	Credit Suisse International		3/10/16	$	2,448
USD	92,530	ILS	357,535	Credit Suisse International		3/10/16		528
USD	176,649	ILS	682,566	Credit Suisse International		3/10/16		1,007
USD	194,901	ILS	750,000	Credit Suisse International		3/10/16		1,907
USD	621,998	ILS	2,406,693	Credit Suisse International		3/10/16		2,693
USD	57,800	ILS	223,000	Credit Suisse International		3/10/16		417
USD	72,250	ILS	278,750	Credit Suisse International		3/10/16		521
USD	364,978	ILS	1,417,039	Credit Suisse International		3/10/16		338
USD	124,123	ILS	483,121	Credit Suisse International		3/10/16		(197	)
USD	397,193	ILS	1,545,988	Credit Suisse International		3/10/16		(629	)
USD	34,758	ILS	135,243	Credit Suisse International		3/10/16		(43	)
USD	594,345	ILS	2,311,673	Credit Suisse International		3/10/16		(508	)
USD	141,321	ILS	550,000	Deutsche Bank AG		3/10/16		(208	)
USD	415,823	ILS	1,600,000	HSBC Bank PLC		3/10/16		4,102
USD	69,264	ILS	267,728	HSBC Bank PLC		3/10/16		371
USD	11,790	ILS	45,571	HSBC Bank PLC		3/10/16		63
USD	95,016	ILS	367,434	HSBC Bank PLC		3/10/16		466
USD	49,770	ILS	192,465	HSBC Bank PLC		3/10/16		244
USD	14,737	ILS	56,963	HSBC Bank PLC		3/10/16		79
USD	21,250	ILS	82,153	Morgan Stanley & Co. International PLC		3/10/16		110
USD	99,875	ILS	386,117	Morgan Stanley & Co. International PLC		3/10/16		517
USD	17,000	ILS	65,722	Morgan Stanley & Co. International PLC		3/10/16		88
USD	385,455	ILS	1,500,000	UBS AG		3/10/16		(533	)
USD	141,334	ILS	550,000	UBS AG		3/10/16		(195	)
USD	123,370	INR	8,342,290	Barclays Bank PLC		3/10/16		(1,416	)
USD	205,224	INR	13,750,000	Barclays Bank PLC		3/10/16		(452	)
USD	90,708	INR	6,150,000	Citibank N.A.		3/10/16		(1,285	)
USD	394,582	INR	26,800,000	Citibank N.A.		3/10/16		(6,299	)
USD	97,173	INR	6,600,000	Citibank N.A.		3/10/16		(1,551	)
USD	97,503	INR	6,600,000	Citibank N.A.		3/10/16		(1,221	)
USD	217,166	INR	14,700,000	Citibank N.A.		3/10/16		(2,720	)
USD	155,119	INR	10,500,000	Citibank N.A.		3/10/16		(1,943	)
USD	96,283	INR	6,450,000	Citibank N.A.		3/10/16		(198	)
USD	3,909,185	INR	264,300,000	HSBC Bank PLC		3/10/16		(44,282	)
USD	90,752	INR	6,150,000	HSBC Bank PLC		3/10/16		(1,241	)
USD	1,184,548	INR	80,400,000	HSBC Bank PLC		3/10/16		(18,096	)
USD	217,102	INR	14,700,000	HSBC Bank PLC		3/10/16		(2,784	)
USD	155,073	INR	10,500,000	HSBC Bank PLC		3/10/16		(1,989	)
USD	97,475	INR	6,600,000	HSBC Bank PLC		3/10/16		(1,250	)
USD	200,599	INR	13,400,000	HSBC Bank PLC		3/10/16		158
USD	241,625	INR	16,200,000	HSBC Bank PLC		3/10/16		(699	)
USD	98,966	INR	6,700,000	JPMorgan Chase Bank N.A.		3/10/16		(1,254	)
USD	305,150	INR	20,500,000	Morgan Stanley & Co. International PLC		3/10/16		(1,494	)
USD	148,735	INR	10,057,710	UBS AG		3/10/16		(1,711	)
USD	96,269	INR	6,450,000	UBS AG		3/10/16		(212	)
USD	403,346	INR	27,000,000	UBS AG		3/10/16		(527	)
USD	333,134	INR	22,300,000	UBS AG		3/10/16		(435	)
USD	205,193	INR	13,750,000	UBS AG		3/10/16		(483	)
USD	306,964	JPY	37,000,000	Barclays Bank PLC		3/10/16		(1,047	)
USD	16,676	JPY	2,047,126	BNP Paribas S.A.		3/10/16		(366	)
USD	197,514	JPY	24,000,000	Citibank N.A.		3/10/16		(2,276	)
USD	1,205,091	JPY	147,952,874	Credit Suisse International		3/10/16		(26,560	)
USD	1,628,796	JPY	198,000,000	Credit Suisse International		3/10/16		(19,479	)
USD	314,407	JPY	38,000,000	HSBC Bank PLC		3/10/16		(1,929	)
USD	212,295	JPY	26,000,000	Westpac Banking Corp.		3/10/16		(4,145	)
USD	316,142	JPY	38,000,000	Westpac Banking Corp.		3/10/16		(193	)
USD	180,486	KRW	213,750,000	Bank of America N.A.		3/10/16		(1,537	)
USD	71,772	KRW	85,000,000	Bank of America N.A.		3/10/16		(611	)
USD	210,949	KRW	247,707,278	Citibank N.A.		3/10/16		9
USD	75,995	KRW	89,237,209	Citibank N.A.		3/10/16		3
USD	37,997	KRW	44,617,450	Citibank N.A.		3/10/16		2
USD	76,757	KRW	90,915,056	Goldman Sachs International		3/10/16		(664	)
USD	159,417	KRW	188,823,578	Goldman Sachs International		3/10/16		(1,379	)
USD	51,171	KRW	60,610,037	Goldman Sachs International		3/10/16		(443	)

See Notes to Financial Statements.

BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015 45

Schedule of Investments (continued) CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	251,320	KRW	297,500,000	HSBC Bank PLC		3/10/16	$	(2,022	)
USD	71,803	KRW	85,000,000	HSBC Bank PLC		3/10/16		(581	)
USD	180,563	KRW	213,750,000	HSBC Bank PLC		3/10/16		(1,460	)
USD	457,008	KRW	536,665,000	HSBC Bank PLC		3/10/16		1
USD	164,639	KRW	193,335,000	HSBC Bank PLC		3/10/16		—
USD	82,317	KRW	96,665,000	HSBC Bank PLC		3/10/16		—
USD	88,625	KRW	104,097,791	HSBC Bank PLC		3/10/16		(22	)
USD	246,007	KRW	288,957,722	HSBC Bank PLC		3/10/16		(60	)
USD	44,311	KRW	52,047,550	HSBC Bank PLC		3/10/16		(11	)
USD	456,927	KRW	536,670,000	HSBC Bank PLC		3/10/16		(85	)
USD	82,306	KRW	96,670,000	HSBC Bank PLC		3/10/16		(15	)
USD	123,636	KRW	145,000,000	HSBC Bank PLC		3/10/16		158
USD	164,603	KRW	193,330,000	HSBC Bank PLC		3/10/16		(31	)
USD	2,437,979	KRW	2,845,000,000	JPMorgan Chase Bank N.A.		3/10/16		15,263
USD	205,664	KRW	240,000,000	JPMorgan Chase Bank N.A.		3/10/16		1,288
USD	612,708	KRW	715,000,000	JPMorgan Chase Bank N.A.		3/10/16		3,836
USD	724,110	KRW	845,000,000	JPMorgan Chase Bank N.A.		3/10/16		4,533
USD	180,486	KRW	213,750,000	JPMorgan Chase Bank N.A.		3/10/16		(1,537	)
USD	71,772	KRW	85,000,000	JPMorgan Chase Bank N.A.		3/10/16		(611	)
USD	103,088	KRW	120,000,000	Morgan Stanley & Co. International PLC		3/10/16		900
USD	401,058	KRW	470,000,000	Morgan Stanley & Co. International PLC		3/10/16		820
USD	183,463	KRW	215,000,000	Morgan Stanley & Co. International PLC		3/10/16		375
USD	159,417	KRW	188,791,216	Morgan Stanley & Co. International PLC		3/10/16		(1,351	)
USD	51,171	KRW	60,599,650	Morgan Stanley & Co. International PLC		3/10/16		(434	)
USD	76,757	KRW	90,899,475	Morgan Stanley & Co. International PLC		3/10/16		(651	)
USD	473,590	KRW	555,000,000	Morgan Stanley & Co. International PLC		3/10/16		969
USD	7,422	KRW	8,790,313	UBS AG		3/10/16		(64	)
USD	11,133	KRW	13,185,469	UBS AG		3/10/16		(96	)
USD	23,122	KRW	27,385,206	UBS AG		3/10/16		(199	)
USD	251,288	KRW	297,500,000	UBS AG		3/10/16		(2,054	)
USD	180,212	KRW	213,750,000	UBS AG		3/10/16		(1,811	)
USD	71,663	KRW	85,000,000	UBS AG		3/10/16		(720	)
USD	105,630	MXN	1,800,000	Bank of America N.A.		3/10/16		1,889
USD	140,612	MXN	2,400,000	Citibank N.A.		3/10/16		2,290
USD	232,591	MXN	4,000,000	Citibank N.A.		3/10/16		2,054
USD	1,600,381	MXN	27,700,000	Citibank N.A.		3/10/16		3,912
USD	363,531	MXN	6,237,032	Citibank N.A.		3/10/16		4,064
USD	49,691	MXN	852,544	Citibank N.A.		3/10/16		556
USD	587,079	MXN	10,200,000	Citibank N.A.		3/10/16		(790	)
USD	571,295	MXN	9,500,000	Credit Suisse International		3/10/16		23,769
USD	126,286	MXN	2,100,000	Credit Suisse International		3/10/16		5,254
USD	130,188	MXN	2,200,000	Credit Suisse International		3/10/16		3,392
USD	511,063	MXN	8,500,000	Deutsche Bank AG		3/10/16		21,172
USD	1,575,277	MXN	26,200,000	Deutsche Bank AG		3/10/16		65,259
USD	817,089	MXN	14,000,000	Deutsche Bank AG		3/10/16		10,209
USD	615,528	MXN	10,600,000	Deutsche Bank AG		3/10/16		4,604
USD	139,365	MXN	2,400,000	Deutsche Bank AG		3/10/16		1,042
USD	139,365	MXN	2,400,000	Deutsche Bank AG		3/10/16		1,042
USD	203,240	MXN	3,500,000	Deutsche Bank AG		3/10/16		1,520
USD	401,208	MXN	7,000,000	Goldman Sachs International		3/10/16		(2,232	)
USD	310,036	MXN	5,300,000	Goldman Sachs International		3/10/16		4,574
USD	198,891	MXN	3,400,000	Goldman Sachs International		3/10/16		2,934
USD	98,425	MXN	1,700,000	HSBC Bank PLC		3/10/16		446
USD	440,016	MXN	7,600,000	HSBC Bank PLC		3/10/16		1,995
USD	138,952	MXN	2,400,000	HSBC Bank PLC		3/10/16		630
USD	647,995	MXN	10,900,000	JPMorgan Chase Bank N.A.		3/10/16		19,782
USD	755,004	MXN	12,700,000	JPMorgan Chase Bank N.A.		3/10/16		23,048
USD	273,506	MXN	4,700,000	JPMorgan Chase Bank N.A.		3/10/16		2,625
USD	203,674	MXN	3,500,000	JPMorgan Chase Bank N.A.		3/10/16		1,954
USD	296,783	MXN	5,100,000	JPMorgan Chase Bank N.A.		3/10/16		2,848
USD	315,574	MXN	5,500,000	JPMorgan Chase Bank N.A.		3/10/16		(1,414	)
USD	120,492	MXN	2,100,000	JPMorgan Chase Bank N.A.		3/10/16		(540	)
USD	172,131	MXN	3,000,000	JPMorgan Chase Bank N.A.		3/10/16		(772	)
USD	60,909	MXN	1,047,456	JPMorgan Chase Bank N.A.		3/10/16		540

See Notes to Financial Statements.

46 BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015

Schedule of Investments (continued) CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	445,598	MXN	7,662,968	JPMorgan Chase Bank N.A.		3/10/16	$	3,948
USD	469,838	MXN	8,100,000	Morgan Stanley & Co. International PLC		3/10/16		3,000
USD	71,062	MYR	305,000	Bank of America N.A.		3/10/16		349
USD	73,538	MYR	315,000	Barclays Bank PLC		3/10/16		506
USD	108,495	MYR	475,640	Citibank N.A.		3/10/16		(1,781	)
USD	48,220	MYR	211,396	Citibank N.A.		3/10/16		(792	)
USD	84,385	MYR	369,943	Citibank N.A.		3/10/16		(1,385	)
USD	471,921	MYR	2,000,000	HSBC Bank PLC		3/10/16		8,226
USD	105,932	MYR	453,792	HSBC Bank PLC		3/10/16		722
USD	84,746	MYR	363,034	HSBC Bank PLC		3/10/16		577
USD	187,117	MYR	800,000	HSBC Bank PLC		3/10/16		1,639
USD	347,584	MYR	1,500,000	HSBC Bank PLC		3/10/16		(186	)
USD	220,137	MYR	950,000	HSBC Bank PLC		3/10/16		(118	)
USD	230,947	MYR	1,000,000	HSBC Bank PLC		3/10/16		(900	)
USD	73,564	MYR	315,000	HSBC Bank PLC		3/10/16		532
USD	83,770	MYR	360,000	HSBC Bank PLC		3/10/16		305
USD	139,308	MYR	600,000	HSBC Bank PLC		3/10/16		200
USD	232,180	MYR	1,000,000	HSBC Bank PLC		3/10/16		333
USD	87,230	MYR	375,000	HSBC Bank PLC		3/10/16		287
USD	451,360	MYR	1,900,000	Morgan Stanley & Co. International PLC		3/10/16		10,850
USD	356,337	MYR	1,500,000	Morgan Stanley & Co. International PLC		3/10/16		8,566
USD	296,033	MYR	1,250,000	Morgan Stanley & Co. International PLC		3/10/16		6,224
USD	331,557	MYR	1,400,000	Morgan Stanley & Co. International PLC		3/10/16		6,971
USD	128,700	MYR	550,000	Morgan Stanley & Co. International PLC		3/10/16		1,184
USD	8,630	MYR	36,966	Morgan Stanley & Co. International PLC		3/10/16		59
USD	10,787	MYR	46,208	Morgan Stanley & Co. International PLC		3/10/16		74
USD	89,385	MYR	388,604	Morgan Stanley & Co. International PLC		3/10/16		(711	)
USD	201,117	MYR	874,360	Morgan Stanley & Co. International PLC		3/10/16		(1,601	)
USD	156,425	MYR	680,057	Morgan Stanley & Co. International PLC		3/10/16		(1,245	)
USD	417,633	MYR	1,800,000	Morgan Stanley & Co. International PLC		3/10/16		309
USD	231,054	MYR	1,000,000	Morgan Stanley & Co. International PLC		3/10/16		(794	)
USD	92,518	MYR	400,000	Morgan Stanley & Co. International PLC		3/10/16		(221	)
USD	185,035	MYR	800,000	Morgan Stanley & Co. International PLC		3/10/16		(442	)
USD	127,212	MYR	550,000	Morgan Stanley & Co. International PLC		3/10/16		(304	)
USD	73,427	MYR	315,000	Morgan Stanley & Co. International PLC		3/10/16		395
USD	393,838	MYR	1,700,000	Morgan Stanley & Co. International PLC		3/10/16		(303	)
USD	48,837	MYR	210,000	Morgan Stanley & Co. International PLC		3/10/16		149
USD	6,977	MYR	30,000	Morgan Stanley & Co. International PLC		3/10/16		21
USD	697,756	MYR	3,000,000	Morgan Stanley & Co. International PLC		3/10/16		2,214
USD	86,967	MYR	375,000	Morgan Stanley & Co. International PLC		3/10/16		24
USD	377,715	MYR	1,600,000	UBS AG		3/10/16		6,759
USD	1,244,980	MYR	5,270,000	Westpac Banking Corp.		3/10/16		23,145
USD	2,456,886	MYR	10,400,000	Westpac Banking Corp.		3/10/16		45,676
USD	183,881	NOK	1,600,000	BNP Paribas S.A.		3/10/16		3,237
USD	824,433	NOK	7,200,000	Citibank N.A.		3/10/16		11,533
USD	193,766	NOK	1,700,000	Credit Suisse International		3/10/16		1,831
USD	182,368	NOK	1,600,000	Credit Suisse International		3/10/16		1,724
USD	283,953	NOK	2,500,000	Credit Suisse International		3/10/16		1,696
USD	1,284,261	NOK	11,100,000	JPMorgan Chase Bank N.A.		3/10/16		31,040
USD	2,487,533	NOK	21,500,000	JPMorgan Chase Bank N.A.		3/10/16		60,123
USD	613,206	NOK	5,300,000	JPMorgan Chase Bank N.A.		3/10/16		14,821
USD	359,126	NOK	3,100,000	JPMorgan Chase Bank N.A.		3/10/16		9,128
USD	307,332	NOK	2,700,000	JPMorgan Chase Bank N.A.		3/10/16		2,494
USD	543,086	NOK	4,679,254	Morgan Stanley & Co. International PLC		3/10/16		14,785
USD	257,373	NOK	2,220,746	UBS AG		3/10/16		6,645
USD	124,870	NZD	186,795	Bank of America N.A.		3/10/16		(2,510	)
USD	146,482	NZD	219,125	Bank of America N.A.		3/10/16		(2,944	)
USD	39,622	NZD	59,272	Bank of America N.A.		3/10/16		(796	)
USD	66,646	NZD	98,466	Bank of America N.A.		3/10/16		(499	)
USD	34,434	NZD	50,874	Bank of America N.A.		3/10/16		(258	)
USD	11,385	NZD	16,821	Bank of America N.A.		3/10/16		(85	)
USD	268,311	NZD	400,000	Citibank N.A.		3/10/16		(4,457	)
USD	623,823	NZD	930,000	Citibank N.A.		3/10/16		(10,362	)
USD	172,371	NZD	254,369	Citibank N.A.		3/10/16		(1,089	)

See Notes to Financial Statements.

BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015 47

Schedule of Investments (continued) CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	333,621	NZD	492,328	Citibank N.A.		3/10/16	$	(2,107	)
USD	56,994	NZD	84,106	Citibank N.A.		3/10/16		(360	)
USD	185,217	NZD	280,000	Credit Suisse International		3/10/16		(5,720	)
USD	445,686	NZD	666,410	Credit Suisse International		3/10/16		(8,752	)
USD	141,420	NZD	211,457	Credit Suisse International		3/10/16		(2,777	)
USD	522,824	NZD	781,750	Credit Suisse International		3/10/16		(10,267	)
USD	658,561	NZD	972,249	Credit Suisse International		3/10/16		(4,435	)
USD	340,256	NZD	502,329	Credit Suisse International		3/10/16		(2,292	)
USD	112,504	NZD	166,093	Credit Suisse International		3/10/16		(758	)
USD	16,894	NZD	25,155	Credit Suisse International		3/10/16		(260	)
USD	9,900	NZD	14,728	Credit Suisse International		3/10/16		(143	)
USD	4,311	NZD	6,414	Credit Suisse International		3/10/16		(62	)
USD	34,433	NZD	50,874	JPMorgan Chase Bank N.A.		3/10/16		(258	)
USD	11,385	NZD	16,821	JPMorgan Chase Bank N.A.		3/10/16		(85	)
USD	66,645	NZD	98,466	JPMorgan Chase Bank N.A.		3/10/16		(500	)
USD	67,821	NZD	100,879	JPMorgan Chase Bank N.A.		3/10/16		(970	)
USD	29,535	NZD	43,931	JPMorgan Chase Bank N.A.		3/10/16		(423	)
USD	623,644	NZD	940,000	Morgan Stanley & Co. International PLC		3/10/16		(17,361	)
USD	617,009	NZD	930,000	Morgan Stanley & Co. International PLC		3/10/16		(17,176	)
USD	179,197	NZD	270,000	Morgan Stanley & Co. International PLC		3/10/16		(4,922	)
USD	617,234	NZD	930,000	Morgan Stanley & Co. International PLC		3/10/16		(16,952	)
USD	124,849	NZD	186,795	Morgan Stanley & Co. International PLC		3/10/16		(2,530	)
USD	39,615	NZD	59,272	Morgan Stanley & Co. International PLC		3/10/16		(803	)
USD	146,457	NZD	219,125	Morgan Stanley & Co. International PLC		3/10/16		(2,968	)
USD	85,442	NZD	126,159	Morgan Stanley & Co. International PLC		3/10/16		(589	)
USD	500,147	NZD	738,492	Morgan Stanley & Co. International PLC		3/10/16		(3,446	)
USD	258,409	NZD	381,554	Morgan Stanley & Co. International PLC		3/10/16		(1,780	)
USD	285,078	NZD	424,845	Morgan Stanley & Co. International PLC		3/10/16		(4,632	)
USD	214,089	NZD	320,000	Morgan Stanley & Co. International PLC		3/10/16		(4,125	)
USD	200,708	NZD	300,000	Morgan Stanley & Co. International PLC		3/10/16		(3,868	)
USD	147,707	NZD	219,655	Morgan Stanley & Co. International PLC		3/10/16		(2,080	)
USD	339,179	NZD	504,393	Morgan Stanley & Co. International PLC		3/10/16		(4,776	)
USD	92,589	NZD	140,000	UBS AG		3/10/16		(2,880	)
USD	205,019	NZD	310,000	UBS AG		3/10/16		(6,377	)
USD	436,172	NZD	660,000	Westpac Banking Corp.		3/10/16		(13,896	)
USD	204,868	NZD	310,000	Westpac Banking Corp.		3/10/16		(6,527	)
USD	223,455	NZD	340,000	Westpac Banking Corp.		3/10/16		(8,398	)
USD	134,144	PHP	6,400,000	Barclays Bank PLC		3/10/16		(1,353	)
USD	204,092	PHP	9,700,000	Deutsche Bank AG		3/10/16		(1,270	)
USD	452,370	PHP	21,500,000	Deutsche Bank AG		3/10/16		(2,816	)
USD	273,706	PHP	13,100,000	Goldman Sachs International		3/10/16		(3,640	)
USD	546,609	PHP	26,000,000	HSBC Bank PLC		3/10/16		(3,848	)
USD	125,549	PHP	6,000,000	HSBC Bank PLC		3/10/16		(1,479	)
USD	612,053	PHP	29,250,000	HSBC Bank PLC		3/10/16		(7,212	)
USD	91,023	PHP	4,350,000	HSBC Bank PLC		3/10/16		(1,072	)
USD	271,285	PHP	13,000,000	HSBC Bank PLC		3/10/16		(3,943	)
USD	133,556	PHP	6,400,000	HSBC Bank PLC		3/10/16		(1,941	)
USD	91,109	PHP	4,350,000	JPMorgan Chase Bank N.A.		3/10/16		(987	)
USD	612,630	PHP	29,250,000	JPMorgan Chase Bank N.A.		3/10/16		(6,635	)
USD	136,040	PHP	6,500,000	JPMorgan Chase Bank N.A.		3/10/16		(1,574	)
USD	202,971	PHP	9,700,000	Morgan Stanley & Co. International PLC		3/10/16		(2,392	)
USD	133,919	PHP	6,400,000	Morgan Stanley & Co. International PLC		3/10/16		(1,578	)
USD	136,583	PHP	6,500,000	Standard Chartered Bank		3/10/16		(1,031	)
USD	198,103	PLN	800,000	Barclays Bank PLC		3/10/16		(4,226	)
USD	185,722	PLN	750,000	Barclays Bank PLC		3/10/16		(3,962	)
USD	402,516	PLN	1,600,000	Barclays Bank PLC		3/10/16		(2,144	)
USD	290,126	PLN	1,150,000	Barclays Bank PLC		3/10/16		(723	)
USD	128,750	PLN	500,000	Barclays Bank PLC		3/10/16		2,294
USD	167,375	PLN	650,000	Barclays Bank PLC		3/10/16		2,982
USD	629,184	PLN	2,500,000	BNP Paribas S.A.		3/10/16		(3,096	)
USD	175,696	PLN	700,000	BNP Paribas S.A.		3/10/16		(1,342	)
USD	62,598	PLN	250,000	BNP Paribas S.A.		3/10/16		(630	)
USD	186,541	PLN	745,000	BNP Paribas S.A.		3/10/16		(1,878	)
USD	159,266	PLN	635,033	Credit Suisse International		3/10/16		(1,341	)

See Notes to Financial Statements.

48 BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015

Schedule of Investments (continued) CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	52,795	PLN	210,508	Credit Suisse International		3/10/16	$	(445	)
USD	138,307	PLN	550,000	Credit Suisse International		3/10/16		(795	)
USD	213,747	PLN	850,000	Credit Suisse International		3/10/16		(1,229	)
USD	292,834	PLN	1,135,000	Credit Suisse International		3/10/16		5,778
USD	22,434	PLN	89,492	Deutsche Bank AG		3/10/16		(199	)
USD	67,677	PLN	269,967	Deutsche Bank AG		3/10/16		(601	)
USD	1,335,130	PLN	5,400,000	JPMorgan Chase Bank N.A.		3/10/16		(30,595	)
USD	815,913	PLN	3,300,000	JPMorgan Chase Bank N.A.		3/10/16		(18,697	)
USD	86,536	PLN	350,000	JPMorgan Chase Bank N.A.		3/10/16		(1,983	)
USD	171,583	PLN	665,000	JPMorgan Chase Bank N.A.		3/10/16		3,396
USD	190,069	RON	800,000	BNP Paribas S.A.		3/10/16		(2,154	)
USD	189,520	RON	800,000	BNP Paribas S.A.		3/10/16		(2,704	)
USD	158,343	RON	650,000	BNP Paribas S.A.		3/10/16		2,162
USD	133,091	RON	550,000	BNP Paribas S.A.		3/10/16		938
USD	133,483	RON	550,000	BNP Paribas S.A.		3/10/16		1,329
USD	133,095	RON	550,000	BNP Paribas S.A.		3/10/16		941
USD	96,666	RON	400,000	BNP Paribas S.A.		3/10/16		554
USD	398,130	RON	1,650,000	BNP Paribas S.A.		3/10/16		1,669
USD	275,353	RON	1,150,000	Morgan Stanley & Co. International PLC		3/10/16		(968	)
USD	145,592	RON	600,000	Société Générale		3/10/16		1,425
USD	180,155	RUB	12,800,000	Barclays Bank PLC		3/10/16		7,538
USD	208,893	RUB	15,200,000	Barclays Bank PLC		3/10/16		3,910
USD	92,671	RUB	6,600,000	Citibank N.A.		3/10/16		3,665
USD	98,287	RUB	7,000,000	Citibank N.A.		3/10/16		3,887
USD	525,935	RUB	36,300,000	JPMorgan Chase Bank N.A.		3/10/16		36,403
USD	174,691	RUB	12,300,000	JPMorgan Chase Bank N.A.		3/10/16		8,817
USD	187,584	RUB	13,900,000	JPMorgan Chase Bank N.A.		3/10/16		133
USD	176,537	RUB	12,800,000	Morgan Stanley & Co. International PLC		3/10/16		3,920
USD	82,060	RUB	6,100,000	Morgan Stanley & Co. International PLC		3/10/16		(203	)
USD	141,296	RUB	9,700,000	UBS AG		3/10/16		10,485
USD	311,437	SEK	2,700,000	Citibank N.A.		3/10/16		(9,418	)
USD	201,857	SEK	1,750,000	Citibank N.A.		3/10/16		(6,104	)
USD	271,065	SEK	2,350,000	Citibank N.A.		3/10/16		(8,197	)
USD	271,065	SEK	2,350,000	Citibank N.A.		3/10/16		(8,197	)
USD	311,437	SEK	2,700,000	Citibank N.A.		3/10/16		(9,418	)
USD	201,857	SEK	1,750,000	Citibank N.A.		3/10/16		(6,104	)
USD	400,749	SEK	3,400,000	Citibank N.A.		3/10/16		(3,290	)
USD	553,977	SEK	4,700,000	Citibank N.A.		3/10/16		(4,547	)
USD	577,550	SEK	4,900,000	Citibank N.A.		3/10/16		(4,741	)
USD	816,613	SEK	6,936,815	Citibank N.A.		3/10/16		(7,723	)
USD	484,271	SEK	4,113,692	Citibank N.A.		3/10/16		(4,580	)
USD	218,397	SEK	1,855,195	Citibank N.A.		3/10/16		(2,065	)
USD	246,883	SEK	2,097,176	Citibank N.A.		3/10/16		(2,335	)
USD	165,807	SEK	1,400,000	Citibank N.A.		3/10/16		(562	)
USD	53,172	SEK	448,204	Citibank N.A.		3/10/16		(90	)
USD	199,132	SEK	1,700,000	Citibank N.A.		3/10/16		(2,887	)
USD	196,088	SEK	1,700,000	Credit Suisse International		3/10/16		(5,931	)
USD	52,387	SEK	444,805	Credit Suisse International		3/10/16		(471	)
USD	195,882	SEK	1,663,185	Credit Suisse International		3/10/16		(1,763	)
USD	59,220	SEK	502,824	Credit Suisse International		3/10/16		(533	)
USD	116,162	SEK	986,308	Credit Suisse International		3/10/16		(1,045	)
USD	224,331	SEK	1,900,000	Credit Suisse International		3/10/16		(1,456	)
USD	94,419	SEK	800,000	Credit Suisse International		3/10/16		(649	)
USD	283,376	SEK	2,400,000	Credit Suisse International		3/10/16		(1,828	)
USD	212,532	SEK	1,800,000	Credit Suisse International		3/10/16		(1,371	)
USD	167,010	SEK	1,400,000	Credit Suisse International		3/10/16		641
USD	124,546	SEK	1,051,796	Deutsche Bank AG		3/10/16		(444	)
USD	623,251	SEK	5,400,000	Goldman Sachs International		3/10/16		(18,458	)
USD	1,234,960	SEK	10,700,000	Goldman Sachs International		3/10/16		(36,574	)
USD	934,876	SEK	8,100,000	Goldman Sachs International		3/10/16		(27,687	)
USD	400,028	SEK	3,400,000	Goldman Sachs International		3/10/16		(4,011	)
USD	117,097	SEK	990,000	Goldman Sachs International		3/10/16		(549	)
USD	24,839	SEK	210,000	Goldman Sachs International		3/10/16		(117	)
USD	1,019,980	SEK	8,500,000	HSBC Bank PLC		3/10/16		9,883

See Notes to Financial Statements.

BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015 49

Schedule of Investments (continued) CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	57,973	SEK	490,000	JPMorgan Chase Bank N.A.		3/10/16	$	(256	)
USD	273,302	SEK	2,310,000	JPMorgan Chase Bank N.A.		3/10/16		(1,206	)
USD	276,116	SGD	390,000	Barclays Bank PLC		3/10/16		1,777
USD	205,237	SGD	290,000	BNP Paribas S.A.		3/10/16		1,241
USD	261,854	SGD	370,000	BNP Paribas S.A.		3/10/16		1,584
USD	141,543	SGD	200,000	BNP Paribas S.A.		3/10/16		856
USD	61,224	SGD	86,552	BNP Paribas S.A.		3/10/16		340
USD	339,792	SGD	480,364	BNP Paribas S.A.		3/10/16		1,888
USD	391,894	SGD	555,000	BNP Paribas S.A.		3/10/16		1,488
USD	165,937	SGD	235,000	BNP Paribas S.A.		3/10/16		630
USD	354,774	SGD	499,293	Citibank N.A.		3/10/16		3,555
USD	542,622	SGD	766,953	Citibank N.A.		3/10/16		3,122
USD	49,580	SGD	70,160	Citibank N.A.		3/10/16		227
USD	275,169	SGD	389,386	Citibank N.A.		3/10/16		1,262
USD	256,131	SGD	358,601	Deutsche Bank AG		3/10/16		3,879
USD	178,212	SGD	250,707	Deutsche Bank AG		3/10/16		1,856
USD	397,847	SGD	560,000	Goldman Sachs International		3/10/16		3,924
USD	134,984	SGD	190,000	Goldman Sachs International		3/10/16		1,331
USD	653,295	SGD	923,047	Goldman Sachs International		3/10/16		3,993
USD	389,864	SGD	550,000	Goldman Sachs International		3/10/16		2,975
USD	290,626	SGD	410,000	Goldman Sachs International		3/10/16		2,218
USD	275,103	SGD	390,000	Goldman Sachs International		3/10/16		764
USD	176,348	SGD	250,000	Goldman Sachs International		3/10/16		490
USD	392,247	SGD	555,000	Goldman Sachs International		3/10/16		1,842
USD	166,087	SGD	235,000	Goldman Sachs International		3/10/16		780
USD	275,556	SGD	390,000	HSBC Bank PLC		3/10/16		1,217
USD	518,280	SGD	730,000	HSBC Bank PLC		3/10/16		4,774
USD	158,149	SGD	221,399	JPMorgan Chase Bank N.A.		3/10/16		2,409
USD	169,902	SGD	240,250	JPMorgan Chase Bank N.A.		3/10/16		902
USD	30,613	SGD	43,288	JPMorgan Chase Bank N.A.		3/10/16		163
USD	637,035	SGD	900,000	JPMorgan Chase Bank N.A.		3/10/16		3,945
USD	318,518	SGD	450,000	JPMorgan Chase Bank N.A.		3/10/16		1,973
USD	443,631	SGD	630,000	Morgan Stanley & Co. International PLC		3/10/16		468
USD	535,174	SGD	760,000	Morgan Stanley & Co. International PLC		3/10/16		564
USD	2,592,833	SGD	3,670,000	UBS AG		3/10/16		11,233
USD	339,041	SGD	480,000	UBS AG		3/10/16		1,392
USD	328,929	THB	11,950,000	Bank of America N.A.		3/10/16		(2,611	)
USD	99,092	THB	3,600,000	Bank of America N.A.		3/10/16		(787	)
USD	128,500	THB	4,645,262	Barclays Bank PLC		3/10/16		(378	)
USD	64,250	THB	2,322,631	Barclays Bank PLC		3/10/16		(189	)
USD	64,250	THB	2,322,631	Barclays Bank PLC		3/10/16		(189	)
USD	530,680	THB	19,200,000	Barclays Bank PLC		3/10/16		(2,004	)
USD	135,434	THB	4,900,000	Barclays Bank PLC		3/10/16		(511	)
USD	328,884	THB	11,950,000	Barclays Bank PLC		3/10/16		(2,656	)
USD	99,078	THB	3,600,000	Barclays Bank PLC		3/10/16		(800	)
USD	342,142	THB	12,300,000	Deutsche Bank AG		3/10/16		891
USD	219,780	THB	7,900,000	Goldman Sachs International		3/10/16		603
USD	183,486	THB	6,600,000	Goldman Sachs International		3/10/16		376
USD	458,716	THB	16,500,000	Goldman Sachs International		3/10/16		941
USD	91,667	THB	3,300,000	Goldman Sachs International		3/10/16		112
USD	405,556	THB	14,600,000	Goldman Sachs International		3/10/16		494
USD	7,089	THB	256,028	Goldman Sachs International		3/10/16		(14	)
USD	14,178	THB	512,056	Goldman Sachs International		3/10/16		(29	)
USD	7,089	THB	256,028	Goldman Sachs International		3/10/16		(14	)
USD	96,260	THB	3,500,000	Goldman Sachs International		3/10/16		(844	)
USD	283,278	THB	10,300,000	Goldman Sachs International		3/10/16		(2,484	)
USD	176,576	THB	6,400,000	Goldman Sachs International		3/10/16		(985	)
USD	253,828	THB	9,200,000	Goldman Sachs International		3/10/16		(1,416	)
USD	512,962	THB	18,600,000	Goldman Sachs International		3/10/16		(3,075	)
USD	239,934	THB	8,700,000	Goldman Sachs International		3/10/16		(1,438	)
USD	133,609	THB	4,850,000	Goldman Sachs International		3/10/16		(949	)
USD	198,347	THB	7,200,000	Goldman Sachs International		3/10/16		(1,409	)
USD	135,284	THB	4,900,000	HSBC Bank PLC		3/10/16		(661	)
USD	270,569	THB	9,800,000	HSBC Bank PLC		3/10/16		(1,322	)

See Notes to Financial Statements.

50 BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015

Schedule of Investments (continued) CoreAlpha Bond Master Portfolio

Forward Foreign Currency Exchange Contracts (concluded)

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	174,430	THB	6,300,000	HSBC Bank PLC		3/10/16	$	(357	)
USD	133,620	THB	4,850,000	HSBC Bank PLC		3/10/16		(938	)
USD	198,364	THB	7,200,000	HSBC Bank PLC		3/10/16		(1,393	)
USD	360,335	THB	13,000,000	JPMorgan Chase Bank N.A.		3/10/16		(336	)
USD	684,254	THB	24,900,000	JPMorgan Chase Bank N.A.		3/10/16		(6,570	)
USD	128,535	THB	4,642,682	Morgan Stanley & Co. International PLC		3/10/16		(271	)
USD	64,267	THB	2,321,341	Morgan Stanley & Co. International PLC		3/10/16		(136	)
USD	64,267	THB	2,321,341	Morgan Stanley & Co. International PLC		3/10/16		(136	)
USD	106,625	TRY	318,249	Barclays Bank PLC		3/10/16		(381	)
USD	170,405	TRY	520,000	Citibank N.A.		3/10/16		(4,437	)
USD	138,472	TRY	420,000	Citibank N.A.		3/10/16		(2,747	)
USD	97,818	TRY	291,751	Citibank N.A.		3/10/16		(279	)
USD	91,105	TRY	270,000	Deutsche Bank AG		3/10/16		322
USD	200,747	TRY	600,000	Deutsche Bank AG		3/10/16		(994	)
USD	196,913	TRY	590,000	HSBC Bank PLC		3/10/16		(1,466	)
USD	133,916	TRY	400,000	JPMorgan Chase Bank N.A.		3/10/16		(579	)
USD	115,263	TWD	3,800,000	Barclays Bank PLC		3/10/16		(501	)
USD	4,491,100	TWD	147,600,000	Citibank N.A.		3/10/16		(5,445	)
USD	1,086,871	TWD	35,720,000	Citibank N.A.		3/10/16		(1,318	)
USD	66,941	TWD	2,200,000	Citibank N.A.		3/10/16		(81	)
USD	560,436	TWD	18,500,000	Citibank N.A.		3/10/16		(3,155	)
USD	458,015	TWD	15,000,000	Goldman Sachs International		3/10/16		1,049
USD	135,423	TWD	4,450,000	Goldman Sachs International		3/10/16		(144	)
USD	361,805	TWD	11,877,685	HSBC Bank PLC		3/10/16		(42	)
USD	361,716	TWD	11,869,699	HSBC Bank PLC		3/10/16		112
USD	573,248	TWD	18,900,000	HSBC Bank PLC		3/10/16		(2,529	)
USD	163,785	TWD	5,400,000	HSBC Bank PLC		3/10/16		(722	)
USD	157,767	TWD	5,200,000	HSBC Bank PLC		3/10/16		(648	)
USD	511,226	TWD	16,850,000	HSBC Bank PLC		3/10/16		(2,099	)
USD	82,142	TWD	2,700,000	HSBC Bank PLC		3/10/16		(112	)
USD	316,990	TWD	10,425,795	JPMorgan Chase Bank N.A.		3/10/16		(626	)
USD	133,173	TWD	4,365,826	Morgan Stanley & Co. International PLC		3/10/16		170
USD	256,054	TWD	8,384,519	Morgan Stanley & Co. International PLC		3/10/16		625
USD	522,571	TWD	17,100,000	Morgan Stanley & Co. International PLC		3/10/16		1,630
USD	208,708	TWD	6,900,000	Morgan Stanley & Co. International PLC		3/10/16		(1,496	)
USD	512,108	TWD	16,749,655	UBS AG		3/10/16		1,839
USD	217,083	TWD	7,126,821	UBS AG		3/10/16		(32	)
USD	135,505	TWD	4,450,000	UBS AG		3/10/16		(61	)
USD	352,369	TWD	11,600,000	UBS AG		3/10/16		(1,018	)
USD	157,719	TWD	5,200,000	UBS AG		3/10/16		(696	)
USD	511,071	TWD	16,850,000	UBS AG		3/10/16		(2,254	)
Total							$	(301,237	)

Centrally Cleared Credit Default Swaps — Buy Protection

Index	Pay Fixed Rate			Expiration Date	Notional Amount (000)		Unrealized Appreciation
Markit iTraxx XO, Series 24, Version 1		5.00	%	12/20/20	EUR	9,220	$	38,359

Centrally Cleared Interest Rate Swaps

Fixed Rate	Floating Rate	Effective Date	Expiration Date	Notional Amount (000)			Unrealized Appreciation (Depreciation)
0.17%2	6-Month EURIBOR	N/A	11/27/20		EUR	15,600	$	(125,683	)
1.63%1	3-Month LIBOR	N/A	11/27/20		USD	17,270		62,945
1.91%1	3-Month LIBOR	3/31/163	10/31/22		USD	32,320		157,542
0.75%2	6-Month EURIBOR	3/31/163	2/15/25		EUR	21,510		(350,981	)
1.24%1	6-Month EURIBOR	N/A	11/27/30		EUR	5,690		132,591
2.39%2	3-Month LIBOR	N/A	11/27/30		USD	6,600		(27,092	)
Total							$	(150,678	)
1    Master Portfolio pays the fixed rate and receives the floating rate.
2    Master Portfolio pays the floating rate and receives the fixed rate.
3    Forward swap.

See Notes to Financial Statements.

BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015 51

Schedule of Investments (continued) CoreAlpha Bond Master Portfolio

OTC Credit Default Swaps — Sell Protection

Index	Receive Fixed Rate			Counterparty	Expiration Date		Credit Rating1		Notional Amount (000)2		Value			Premiums Received			Unrealized Appreciation
Markit CMBX North America AM Index, Series 3		0.08	%	Goldman Sachs International		12/13/49		AA+	USD	13,133	$	(52,337	)	$	(84,846	)	$	32,509
1    Using Standard & Poor’s rating of the issuer or the underlying securities of the index, as applicable.
2    The maximum potential amount the Master Portfolio may pay should a negative credit event take place as defined under the terms of the agreement.

OTC Total Return Swaps

Reference Entity	Fixed Rate	Counterparty	Effective Date	Expiration Date		Notional Amount (000)		Value			Premiums Received		Unrealized Appreciation (Depreciation)
Change in Return of the Consumer Price Index for All Urban Consumers	1.87%1	Deutsche Bank AG	N/A		11/20/25		7,125	$	21,826			—	$	21,826
Change in Return of the Consumer Price Index for All Urban Consumers	1.94%1	Goldman Sachs International	N/A		11/27/25		7,125		(21,622	)		—		(21,622	)
Change in Return of the Consumer Price Index for All Urban Consumers	1.24%2	Goldman Sachs International	N/A		12/21/17		28,300		(82,608	)		—		(82,608	)
Change in Return of the Consumer Price Index for All Urban Consumers	1.43%2	Deutsche Bank AG	N/A		9/22/20		14,250		(48,607	)		—		(48,607	)
Total													$	(131,011	)
1    Master Portfolio receives the fixed rate and pays the total return of the reference entity.
2    Master Portfolio pays the fixed rate and receives the total return of the reference entity.

Transactions in Options Written for the Year Ended December 31, 2015

	Calls							Puts
	Contracts	Notional (000)			Premiums Received			Contracts		Notional (000)			Premiums Received
Outstanding options, beginning of year	—		—			—			4,780		—		$	1,156,129
Options written	—		USD   6,930		$	161,560			—		USD   12,620			74,924
Options expired	—		(6,930	)		(161,560	)		(2,390)		(12,620	)		(638,845	)
Options excerised	—		—			—			—		—			—
Options closed	—		—			—			(2,390)		—			(592,208	)
Outstanding options, end of year	—		—			—			—		—			—

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statement of Assets and Liabilities were as follows:
Assets — Derivative Financial Instruments		Commodity Contracts	Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Financial futures contracts	Net unrealized appreciation1	—		—		—		—	$	535,950		—	$	535,950
Forward foreign currency exchange contracts	Net unrealized appreciation on forward foreign currency exchange contracts	—		—		—		$2,744,825		—		—		2,744,825
Swaps — OTC	Unrealized appreciation on OTC swaps	—	$	32,509		—		—		—	$	21,826		54,335
Swaps — centrally cleared	Net unrealized appreciation1	—		38,359		—		—		353,078		—		391,437
Total		—	$	70,868		—		$2,744,825	$	889,028		$21,826	$	3,726,547
Liabilities — Derivative Financial Instruments
Financial futures contracts	Net unrealized depreciation1	—		—		—		—	$	204,949		—	$	204,949
Forward foreign currency exchange contracts	Net unrealized depreciation on forward foreign currency exchange contracts	—		—		—		$3,046,062		—		—		3,046,062
Swaps — OTC	Unrealized depreciation on OTC swaps; swap premium received	—	$	84,846		—		—		—		$152,837		237,683
Swaps — centrally cleared	Net unrealized depreciation1	—		—		—		—	$	503,756		—		503,756
Total		—	$	84,846		—		$3,046,062	$	708,705		$152,837	$	3,992,450
1    Includes cumulative appreciation (depreciation) on financial futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

See Notes to Financial Statements.

52 BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015

Schedule of Investments (continued) CoreAlpha Bond Master Portfolio

For the year ended December 31, 2015, the effect of derivative financial instruments in the Statement of Operations was as follows:

Net Realized Gain (Loss) from:	Commodity Contracts		Credit Contracts			Equity Contracts		Foreign Currency Exchange Contracts			Interest Rate Contracts			Other Contracts			Total
Financial futures contracts		—		—			—		—		$	10,097,462			—		$	10,097,462
Foreign currency exchange contracts		—		—			—	$	(7,205,003	)		—			—			(7,205,003	)
Options purchased1		—		—			—		(307,854	)		(1,681,894	)		—			(1,989,748	)
Options written		—		—			—		236,484			1,122,406			—			1,358,890
Swaps		—	$	575,522			—		—			(5,673,207	)	$	(2,168,101	)		(7,265,786	)
Total		—	$	575,522			—		$(7,276,373)		$	3,864,767		$	(2,168,101	)	$	(5,004,185	)
1    Options purchased are included in net realized gain (loss) on investments.
Net Change in Unrealized Appreciation (Depreciation) on:
Financial futures contracts		—		—			—		—		$	(603,756	)		—		$	(603,756	)
Foreign currency exchange contracts		—		—			—	$	(967,815	)		—			—			(967,815	)
Options purchased2		—		—			—		—			258,984			—			258,984
Options written		—		—			—		—			(200,129	)		—			(200,129	)
Swaps		—	$	(72,416	)		—		—			732,643		$	(131,011	)		529,216
Total		—	$	(72,416	)		—	$	(967,815	)	$	187,742		$	(131,011	)	$	(983,500	)
2    Options purchased are included in net change in unrealized appreciation (depreciation) on investments.

Average Quarterly Balances of Outstanding Derivative Financial Instruments

For the year ended December 31, 2015, the average quarterly balances of outstanding derivative financial instruments were as follows:

Financial futures contracts:
Average notional value of contracts — long	$	714,027,156
Average notional value of contracts — short.	$	303,421,468
Forward foreign currency exchange contracts:
Average amounts purchased — in USD	$	684,087,605
Average amounts sold — in USD.	$	673,826,728
Options:
Average value of option contracts purchased	$	92,813
Average value of option contracts written	$	76,009
Credit default swaps:
Average notional value — buy protection	$	4,818,550
Average notional value — sell protection.	$	42,654,393
Interest rate swaps:
Average notional value — pays fixed rate	$	213,342,447
Average notional value — receives fixed rate	$	32,268,889
Total return swaps:
Average notional value	$	129,097,500

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

	Assets			Liabilities
Derivative Financial Instruments:
Financial futures contracts	$	289,072		$	146,164
Forward foreign currency exchange contracts		2,744,825			3,046,062
Swaps — Centrally cleared		35,619			97,503
Swaps — OTC1		54,335			237,683
Total derivative assets and liabilities in the Statement of Assets and Liabilities	$	3,123,851		$	3,527,412
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		(324,691	)		(243,667	)
Total derivative assets and liabilities subject to an MNA	$	2,799,160		$	3,283,745
1    Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/received in the Statement of Assets and Liabilities.

See Notes to Financial Statements.

BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015 53

Schedule of Investments (continued) CoreAlpha Bond Master Portfolio

The following table presents 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 Offset1			Non-cash Collateral Received	Cash Collateral Received			Net Amount of Derivative Assets2
Bank of America N.A.	$	5,828	$	(5,828	)	—		—			—
Barclays Bank PLC		174,959		(174,959	)	—		—			—
BNP Paribas S.A.		93,985		(93,985	)	—		—			—
Citibank N.A.		201,765		(201,765	)	—		—			—
Credit Suisse International		135,679		(135,679	)	—		—			—
Deutsche Bank AG		182,171		(182,171	)	—		—			—
Goldman Sachs International		202,815		(202,815	)	—		—			—
HSBC Bank PLC		370,900		(271,698	)	—		—		$	99,202
JPMorgan Chase Bank N.A.		395,572		(272,173	)	—		—			123,399
Morgan Stanley & Co. International PLC		329,306		(329,306	)	—		—			—
Société Générale		18,669		(48	)	—		—			18,621
Standard Chartered Bank		6,820		(3,390	)	—		—			3,430
UBS AG		398,040		(184,298	)	—		—			213,742
Westpac Banking Corp.		282,651		(131,723	)	—		—			150,928
Total	$	2,799,160	$	(2,189,838	)	—		—		$	609,322
Counterparty	Derivative Liabilities Subject to an MNA by  Counterparty		Derivatives Available for Offset1			Non-cash Collateral Pledged	Cash Collateral Pledged			Net Amount of Derivative Liabilities3
Bank of America N.A.	$	21,184	$	(5,828	)	—		—		$	15,356
Barclays Bank PLC		209,803		(174,959	)	—		—			34,844
BNP Paribas S.A.		113,800		(93,985	)	—		—			19,815
Citibank N.A.		488,872		(201,765	)	—		—			287,107
Credit Suisse International		313,089		(135,679	)	—		—			177,410
Deutsche Bank AG		256,591		(182,171	)	—		—			74,420
Goldman Sachs International		641,254		(202,815	)	—	$	(200,000	)		238,439
HSBC Bank PLC		271,698		(271,698	)	—		—			—
JPMorgan Chase Bank N.A.		272,173		(272,173	)	—		—			—
Morgan Stanley & Co. International PLC		375,822		(329,306	)	—		—			46,516
Société Générale		48		(48	)	—		—			—
Standard Chartered Bank		3,390		(3,390	)	—		—			—
UBS AG		184,298		(184,298	)	—		—			—
Westpac Banking Corp.		131,723		(131,723	)	—		—			—
Total	$	3,283,745	$	(2,189,838	)	—	$	(200,000	)	$	893,907
1    The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.
2    Net amount represents the net amount receivable from the counterparty in the event of default.
3    Net amount represents the net amount payable due to the counterparty in the event of default.

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Master Portfolio’s policy regarding valuation of investments and derivative 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:

	Level 1		Level 2			Level 3		Total
Assets:
Investments:
Long-Term Investments:
Asset-Backed Securities		—	$	82,726,582			—	$	82,726,582
Corporate Bonds		—		326,933,783			—		326,933,783
Foreign Agency Obligations		—		9,741,443			—		9,741,443
Investment Companies	$	6,345,757		—			—		6,345,757
Municipal Bonds		—		5,942,457			—		5,942,457
Non-Agency Mortgage-Backed Securities		—		109,173,509			—		109,173,509
Preferred Securities		1,932,680		1,482,536			—		3,415,216
U.S. Government Sponsored Agency Securities		—		426,025,321			—		426,025,321
U.S. Treasury Obligations		—		8,802,002			—		8,802,002
Short-Term Securities		19,530,947		—			—		19,530,947
Liabilities:
Investments:
TBA Sale Commitments		—		(60,844,344	)		—		(60,844,344	)
Total	$	27,809,384	$	909,983,289			—	$	937,792,673

See Notes to Financial Statements.

54 BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015

Schedule of Investments (concluded) CoreAlpha Bond Master Portfolio

	Level 1			Level 2			Level 3		Total
Derivative Financial Instruments 1
Assets:
Credit contracts		—		$	70,868			—	$	70,868
Foreign currency exchange contracts		—			2,744,825			—		2,744,825
Interest rate contracts	$	535,950			353,078			—		889,028
Other contracts		—			21,826			—		21,826
Liabilities:
Foreign currency exchange contracts		—			(3,046,062	)		—		(3,046,062	)
Interest rate contracts		(204,949	)		(503,756	)		—		(708,705	)
Other contracts		—			(152,837	)		—		(152,837	)
Total	$	331,001		$	(512,058	)		—	$	(181,057	)
1    Derivative financial instruments are financial futures contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

	Level 1		Level 2			Level 3		Total
Assets:
Cash	$	115,166		—			—	$	115,166
Cash pledged as collateral for OTC derivatives		200,000		—			—		200,000
Cash pledged as collateral for centrally cleared swaps		997,890		—			—		997,890
Cash pledged for financial futures contracts		2,649,000		—			—		2,649,000
Foreign currency at value		4,169,837		—			—		4,169,837
Liabilities:
Cash received as collateral for TBA commitments		—	$	(78,000	)		—		(78,000	)
Collateral on securities loaned at value		—		(116,920	)		—		(116,920	)
Total	$	8,131,893	$	(194,920	)		—	$	7,936,973

During the year ended December 31, 2015, there were no transfers between levels.

See Notes to Financial Statements.

BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015 55

Statement of Assets and Liabilities CoreAlpha Bond Master Portfolio

December 31, 2015
Assets
Investments at value — unaffiliated (including securities loaned of $112,011) (cost — $974,636,044)	$	972,760,313
Investments at value — affiliated (cost — $25,904,566)		25,876,704
Cash		115,166
Cash pledged:
Collateral — OTC derivatives		200,000
Financial futures contracts		2,649,000
Centrally cleared swaps		997,890
Foreign currency at value (cost — $4,231,722)		4,169,837
Receivables:
Contributions from investors		9,640,214
Interest		4,469,473
Investments sold		66,236
Swaps		394
Principal paydowns		31,688
TBA sale commitments		60,853,202
Securities lending income — affiliated		702
Unrealized appreciation on:
Forward foreign currency exchange contracts		2,744,825
OTC swaps		54,335
Variation margin receivable on financial futures contracts		289,072
Variation margin receivable on centrally cleared swaps		35,619
Total assets		1,084,954,670
Liabilities
Collateral on securities loaned at value		116,920
TBA sale commitments at value (proceeds — $60,853,202)		60,844,344
Cash received as collateral for TBA Commitments		78,000
Payables:
Investments purchased		204,092,163
Investment advisory fees		170,692
Withdrawals to investors		70,069
Trustees’ fees		20,597
Swaps		1,372
Professional fees		35,662
Swap premiums received		84,846
Unrealized depreciation on:
Forward foreign currency exchange contracts		3,046,062
OTC swaps		152,837
Variation margin payable on financial futures contracts		146,164
Variation margin payable on centrally cleared swaps		97,503
Total liabilities		268,957,231
Net Assets	$	815,997,439
Net Assets Consist of
Investors’ capital	$	818,144,880
Net unrealized appreciation (depreciation)		(2,147,441	)
Net Assets	$	815,997,439

See Notes to Financial Statements.
56	BLACKROCK COREALPHA BOND FUND	DECEMBER 31, 2015

Statement of Operations CoreAlpha Bond Master Portfolio

Year Ended December 31, 2015
Investment Income
Interest — unaffiliated	$	71,252,136
Dividends — affiliated		550,391
Dividends — unaffiliated		306,031
Securities lending — affiliated — net		9,673
Total income		72,118,231
Expenses
Investment advisory		6,340,216
Independent Trustees		80,838
Professional		53,658
Total expenses		6,474,712
Less fees waived by the Manager		(164,627	)
Total expenses after fees waived		6,310,085
Net investment income		65,808,146
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments		12,491,940
In-kind redemptions — unaffiliated1		11,029,620
In-kind redemptions — affiliated1		225,108
Financial futures contracts		10,097,462
Foreign currency transactions		(7,317,720	)
Options written		1,358,890
Swaps		(7,265,786	)
		20,619,514
Net change in unrealized appreciation (depreciation) on:
Investments — unaffiliated		(57,785,735	)
Investments — affiliated		(907,412	)
Financial futures contracts		(603,756	)
Foreign currency translations		(1,049,570	)
Options written		(200,129	)
Swaps		529,216
		(60,017,386	)
Net realized and unrealized loss		(39,397,872	)
Net Increase in Net Assets Resulting from Operations	$	26,410,274
1    See Note 2 of the Notes to Financial Statements.

See Notes to Financial Statements.
	BLACKROCK COREALPHA BOND FUND	DECEMBER 31, 2015	57

Statements of Changes in Net Assets CoreAlpha Bond Master Portfolio

	Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014
Operations
Net investment income	$	65,808,146		$	86,655,251
Net realized gain		20,619,514			56,120,150
Net change in unrealized appreciation (depreciation)		(60,017,386	)		76,655,028
Net increase in net assets resulting from operations		26,410,274			219,430,429
Capital Transactions
Proceeds from contributions		402,475,509			1,468,046,895
Value of withdrawals1		(2,500,269,038	)		(2,173,243,591	)
Net decrease in net assets derived from capital transactions		(2,097,793,529	)		(705,196,696	)
Net Assets
Total decrease in net assets		(2,071,383,255	)		(485,766,267	)
Beginning of year		2,887,380,694			3,373,146,961
End of year	$	815,997,439		$	2,887,380,694
1    See Note 2 of Notes to Financial Statements.

See Notes to Financial Statements.
58	BLACKROCK COREALPHA BOND FUND	DECEMBER 31, 2015

Financial Highlights CoreAlpha Bond Master Portfolio

	Year Ended December 31,
	2015		2014		2013		2012		2011
Total Return
Total return		0.60%		6.64%		(2.39)%		4.95%		8.38%
Ratios to Average Net Assets
Total expenses		0.25%		0.25%		0.25%		0.25%		0.27%
Total expenses after fees waived		0.24%		0.24%		0.24%		0.24%		0.26%
Net investment income		2.53%		2.52%		2.23%		2.36%		3.22%
Supplemental Data
Net assets, end of year (000)		$ 815,997		$ 2,887,381		$ 3,373,147		$ 2,789,640		$ 2,362,453
Portfolio turnover rate1,2		612%		686%		986%		2,128%		1,646%

¹  Portfolio turnover rates include TBA transactions, if any.

²  Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Portfolio turnover rate (excluding MDRs)		540%		470%		736%		1,774%		1,510%

See Notes to Financial Statements.
	BLACKROCK COREALPHA BOND FUND	DECEMBER 31, 2015	59

Notes to Financial Statements CoreAlpha Bond Master Portfolio

1. Organization:

CoreAlpha Bond Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio (“MIP”), is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a diversified, open-end management investment company. MIP is organized as a Delaware statutory trust.

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 open-end funds referred to as the Equity-Liquidity 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 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:

Foreign Currency: The Master Portfolio’s books and records are maintained in U.S. dollars. 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 changes in the exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statement of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. The 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 federal income tax purposes.

Segregation and Collateralization: In cases where the Master Portfolio enters into certain investments (e.g., dollar rolls, TBA sale commitments, financial futures contracts, forward foreign currency exchange contracts, options written and swaps) 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.

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.

In-Kind Redemptions: The Master Portfolio transferred securities and cash to shareholders in connection with an in-kind redemption transaction. For financial reporting purposes, these transactions were treated as a sale of securities and the resulting gains and losses were recognized based on the market value of the securities on the date of the redemption. For the year ended December 31, 2015, the Master Portfolio had in-kind redemptions of $2,013,230,637. For tax purposes, no gains or losses were recognized.

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 fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statement of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges. Effective September 2015, the arrangement with its custodian for earning credits on uninvested cash balances has ceased and the custodian will be imposing fees on certain uninvested cash balances.

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: The Master Portfolio’s investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). 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 independent dealers or pricing services under policies approved by

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Notes to Financial Statements (continued) CoreAlpha Bond Master Portfolio

the Board Trustees of MIP (the “Board”). The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to provide oversight of the pricing function for the Master Portfolio for all financial instruments.

Fair Value Inputs and Methodologies: The following methods (or “techniques”) and inputs are used to establish the fair value of the Master Portfolio’s assets and liabilities:

• Bond investments are valued on the basis of last available bid prices or current market quotations provided by dealers or pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more brokers or dealers as obtained from a pricing service. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche. Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of the Master Portfolio’s net assets

• Municipal investments (including commitments to purchase such investments on a “when-issued” basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments.

• Investments in open-end U.S. mutual funds are valued at NAV each business day.

• Financial futures contracts traded on exchanges are valued at their last sale price.

• 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 business on the NYSE. Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

• Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. Over-the-counter (“OTC”) options 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 the Master Portfolio’s pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments.

• To-be-announced (“TBA”) commitments are valued on the basis of last available bid prices or current market quotations provided by pricing services.

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such instruments, 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”). 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 consistent with the principles of fair value measurement, which include the market approach, income approach and/or in the case of recent investments, the cost approach, as appropriate. The market approach generally consists of using comparable market transactions. The income approach generally is used to discount future cash flows to present value and is adjusted for liquidity as appropriate. These factors include but are not limited to: (i) attributes specific to the investment or asset; (ii) the principal market for the investment or asset; (iii) the customary participants in the principal market for the investment or asset; (iv) data assumptions by market participants for the investment or asset, if reasonably available; (v) quoted prices for similar investments or assets in active markets; and (vi) other factors, such as future cash flows, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. Due to the inherent uncertainty of valuations of such investments, the fair values may differ from the values that would have been used had an active market existed. The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market does not exist, including regular due diligence of the Master Portfolio’s pricing vendors, regular reviews of key inputs and assumptions, transactional back-testing

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or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:

• Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Master Portfolio has the ability to access

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

• Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Master Portfolio’s own assumptions used in determining the fair value of investments and derivative financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as Level 3. The fair value hierarchy for the Master Portfolio’s investments and derivative financial instruments has been included in the Schedule of Investments.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Master Portfolio’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

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, 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.

Inflation-Indexed Bonds: 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 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

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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.

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 pass-through securities (the “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 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. The Master Portfolio also may invest in stripped mortgage-backed securities that are privately issued.

Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.

Capital Securities and Trust Preferred Securities: Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics, or in the case of trust preferred securities, by an affiliated business trust of a corporation, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured as either fixed or adjustable coupon securities 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 the trust preferred 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. Payments on these securities are treated as interest rather than dividends for federal income tax purposes. 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 Stock: 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.

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 on 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, repledge or use the collateral it receives; however, the counterparty is not permitted to do so. To the extent amounts due to the Master Portfolio is not fully collateralized, contractually or otherwise, the Master Portfolio bears the risk of loss from counterparty non-performance.

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Mortgage Dollar Roll Transactions: The Master Portfolio may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, the Master Portfolio is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and realize gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that the Master Portfolio is required to purchase may decline below the agreed upon repurchase price of those securities.

Securities Lending: The Master Portfolio may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Master Portfolio collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by the Master Portfolio is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter, at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Master Portfolio and any additional required collateral is delivered to the Master Portfolio, or excess collateral returned by the Master Portfolio, on the next business day. During the term of the loan, the Master Portfolio’s is entitled to all distributions made on or in respect of the loaned securities. 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 corporate bonds 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. The cash collateral invested by the securities lending agent, BlackRock Institutional Trust Company, N.A. (“BTC”), 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 securities lending agreements by counterparty which are subject to offset under an MSLA:

Counterparty	Securities Loaned at Value		Cash Collateral Received1			Net Amount
Citigroup Global Markets, Inc.	$	112,011	$	(112,011	)		—
Total	$	112,011	$	(112,011	)		—

¹ Collateral with a value of $116,290 has been received in connection with securities lending agreements. Collateral received in excess of the value of securities loaned from the individual counterparty is not shown for financial reporting purposes in the table above.

The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Master Portfolio benefits from a borrower default indemnity provided by BlackRock, Inc. (“BlackRock”). BlackRock’s indemnity allows for full replacement of the securities loaned if the collateral received does not cover the value on the securities loaned in the event of borrower default. The Master Portfolio could suffer a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received.

5. Derivative Financial Instruments:

The Master Portfolio engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Master Portfolio and/or to manage economically its exposure to certain risks such as credit risk, interest rate risk, foreign currency exchange rate risk, or other risk (e.g., inflation risk). These contracts may be transacted on an exchange or OTC.

Financial Futures Contracts: The Master Portfolio invests in long and/or short positions in financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk). Financial 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 at a specified date. Depending on the terms of the particular contract, financial futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date.

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Upon entering into a financial 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. Securities deposited as initial margin are designated on the Schedule of Investments and cash deposited, if any, is recorded on the Statement of Assets and Liabilities as cash pledged for financial futures contracts. 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 value of the contract. Such receipts or payments are known as variation margin. Variation margin is recorded by the Master Portfolio as unrealized appreciation (depreciation) and, if applicable, as a receivable or payable for variation margin in the Statement of Assets and Liabilities.

When the contract is closed, the Master Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest or foreign currency exchange rates and the underlying assets.

Forward Foreign Currency Exchange Contracts: The Master Portfolio enters into forward foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to, or hedge exposure away from, 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 future date. Forward foreign currency exchange contracts, when used by the Master Portfolio, help to manage the overall exposure to the currencies in which some of the investments held by the Master Portfolio are denominated. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The contract is marked-to-market daily and the change in market value is recorded by the Master Portfolio as an unrealized gain or loss. When the contract is closed, the Master Portfolio records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. 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.

Options: The Master Portfolio purchases and writes call and put options to increase or decrease its exposure to underlying instruments including interest rate 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. When the Master Portfolio purchases (writes) an option, an amount equal to the premium paid (received) by the Master Portfolio is reflected as an asset (liability). The amount of the asset (liability) is subsequently marked-to-market to reflect the current market value of the option purchased (written). When an instrument is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the instrument acquired or deducted from (or added to) the proceeds of the instrument sold. When an option expires (or the Master Portfolio enters into a closing transaction), the Master Portfolio realizes a gain or loss on the option to the extent of the premiums received or paid (or gain or loss 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 “covered,” meaning that the Master Portfolio holds the underlying instrument subject to being called by the option counterparty. When the Master Portfolio writes a put option, such option is covered by cash in an amount sufficient to cover the obligation.

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 the Master Portfolio 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: The Master Portfolio enters into swap agreements in which the Master Portfolio and a counterparty agree either 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”). Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation).

For OTC swaps, any upfront premiums paid are recorded as assets and any upfront fees received are recorded as liabilities and 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 OTC swap. Payments received or made by the Master Portfolio for OTC swaps are recorded in the Statement of Operations as realized gains or losses, respectively. When an OTC swap is terminated, the Master Portfolio will record a realized gain or loss 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 agreement, the swap agreement 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 a 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 on the Schedule of Investments and cash deposited is recorded on the Statement of Assets and Liabilities as cash pledged for centrally cleared swaps. The daily change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin in the Statement of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gain (loss) in the Statement of Operations.

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Notes to Financial Statements (continued) CoreAlpha Bond Master Portfolio

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.

• Credit default swaps — The Master Portfolio enters into credit default swaps to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which it 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 on single-name issuers are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a guarantee 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 accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occur. As a buyer, if an underlying credit event occurs, the Master Portfolio will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Master Portfolio will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.

• Total return swaps — The Master Portfolio enters into total return swaps to obtain exposure to a security or market without owning such security or investing directly in that market or to transfer the risk/return of one market (e.g., fixed income) to another market (e.g., equity or commodity prices) (equity risk, commodity price risk and/or interest rate risk). Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (coupons plus capital gains/losses) of an underlying instrument in exchange for fixed or floating rate interest payments. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Master Portfolio will receive a payment from or make a payment to the counterparty.

• Interest rate swaps — The Master Portfolio enters into interest rate swaps to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds, which may decrease when interest rates rise (interest rate risk). Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, 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 swaps, the notional principal amount may decline (or amortize) over time.

• Forward interest rate 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 either periodic net payments beginning on a specified future effective date or a net payment at termination, unless terminated earlier.

Master Netting Arrangements: In order to better define the Master Portfolio’s 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 Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event the Master Portfolio’s net assets decline by a stated percentage or the Master Portfolio fails to meet the terms of its ISDA Master Agreements. The result would cause the Master Portfolio to accelerate payment of any net liability owed to the counterparty.

Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Master Portfolio and the counterparty.

Cash collateral that has been pledged to cover obligations of the Master Portfolio and cash collateral received from the counterparty, if any, is reported separately on 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 party has to exceed a minimum transfer amount threshold (typically either $250,000 or $500,000) before a transfer is required, which is determined at the close of business of

66 BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015

Notes to Financial Statements (continued) CoreAlpha Bond Master Portfolio

the Master Portfolio. Any additional required collateral is delivered to/pledged by the Master Portfolio on the next business day. Typically, the Master Portfolio’s 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, the Master Portfolio may pay interest pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Master Portfolio from its counterparties are not fully collateralized, the Master Portfolio 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, the Master Portfolio 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.

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 on 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 party has to exceed a minimum transfer amount threshold (typically either $250,000 or $500,000) 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 Master Portfolio and its counterparties are not permitted to sell, re-pledge or use the collateral they receive. To the extent amounts due to the Master Portfolio from its counterparties are not fully collateralized, the Master Portfolio 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, the Master Portfolio 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.

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:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock for 1940 Act purposes.

MIP, on behalf of the Master Portfolio, entered into an Investment Advisory Agreement with the Manager, the Master Portfolio’s investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory 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 based on a percentage of the Master Portfolio’s average daily net assets at the following annual rates:

Average Daily Net Assets	Investment Advisory Fee
First $1 Billion		0.25%
$1 Billion — $3 Billion		0.24%
$3 Billion — $5 Billion		0.23%
$5 Billion — $10 Billion		0.22%
Greater than $10 Billion		0.21%

The Manager entered into a sub-advisory agreement with BlackRock International Limited (“BIL”) and BlackRock Fund Advisors (“BFA”), both affiliates of the Manager. The Manager pays BIL and BFA, for services they provide, a monthly fee that is a percentage of the investment advisory fees paid by the Master Portfolio to the Manager.

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the Master Portfolio pays to the Manager indirectly through its investment in affiliated money market funds. This amount is included in fees waived by the Manager in the Statement of Operations. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with the Master Portfolio’s investments in other affiliated investment companies, if any. For the year ended December 31, 2015, the amount waived was $30,131.

The fees and expenses of the MIP’s trustees who are not “interested persons” of MIP, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and the MIP’s independent registered public accounting firm (together, the “independent expenses”) are paid directly by the Master Portfolio. BAL has contractually agreed to reimburse the Master Portfolio or provide an offsetting credit against the administration fees paid by the Master Portfolio in an amount equal to these independent expenses through April 30, 2016. If the Master Portfolio does not pay administration fees, BFA agrees to cap the expenses of the Master Portfolio at the rate at which it pays an investment advisory fee to BFA. The amount is included in fees waived by the Manager in the Statement of Operations. For the year ended December 31, 2015, the Manager waived $134,496 pursuant to this agreement.

The U.S. Securities and Exchange Commission has issued an exemptive order which permits BTC, an affiliate of the Manager, to serve as securities lending agent for the Master Portfolio, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending. The Master Portfolio is responsible for fees in connection with the investment of cash collateral received for securities on loan in a money market fund managed by the Manager or its affiliates, however, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees the Master Portfolio bears to an annual rate of 0.04% (the “collateral investment fees”).

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Notes to Financial Statements (continued) CoreAlpha Bond Master Portfolio

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 fees. The Master Portfolio retains a portion of securities lending income and remits a remaining portion to BTC as compensation for its services as securities lending agent.

Pursuant to a securities lending agreement, BTC may lend securities only when the difference between the borrower rebate rate and the risk free rate exceeds a certain level (such securities, the “specials only securities”).

Pursuant to such agreement, the Master Portfolio retains 80% of securities lending income. In addition, commencing the business day following the date that the aggregate securities lending income earned across certain funds in the Equity-Liquidity Complex in a calendar year exceeds a specified threshold, the Master Portfolio, pursuant to the securities lending agreement, will retain for the remainder of the calendar year securities lending income in an amount equal to 85% of securities lending income.

The share of securities lending income earned by the Master Portfolio, if any, is shown as securities lending — affiliated — net in the Statement of Operations. For the year ended December 31, 2015, the Master Portfolio paid BTC $2,314 for securities lending agent services and collateral investment fees.

Certain officers and/or trustees of MIP are officers and/or directors of BlackRock or its affiliates.

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 advisor, common officers, or common trustees. For the year ended December 31, 2015, the purchase and sale transactions with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:

Purchases		Sales
	—	$	880,261

7. Purchases and Sales:

For the year ended December 31, 2015, purchases and sales of investments including paydowns and mortgage dollar rolls and excluding short-term securities and in-kind redemptions, were as follows:

	Purchases		Sales
Non-U.S. Government Securities	$	17,388,442,783	$	17,713,028,597
U.S. Government Securities	$	333,749,816	$	575,702,072

For the year ended December 31, 2015, purchases and sales related to mortgage dollar rolls were $2,084,050,823 and $2,086,284,565, respectively.

8. Income Tax Information:

The Master Portfolio is classified as a partnership for 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 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 remains open for each of the four years ended December 31, 2015. 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 December 31, 2015, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the Master Portfolio’s financial statements.

As of period end, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

Tax cost	$	1,001,426,330
Gross unrealized appreciation	$	8,914,464
Gross unrealized depreciation		(11,703,777	)
Net unrealized depreciation	$	(2,789,313	)

9. Bank Borrowings:

MIP, 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, $2.1 billion credit agreement with a group of lenders, under which the Master Portfolio may borrow to fund shareholder redemptions. Excluding commitments designated for certain funds, the Participating Funds, including the Master Portfolio, can borrow up to an aggregate commitment amount of $1.6 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following

68 BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015

Notes to Financial Statements (continued) CoreAlpha Bond Master Portfolio

terms: a fee of 0.06% 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 2016 unless extended or renewed. Participating Funds paid administration, legal and arrangement fees, which, if applicable, are included in miscellaneous expenses in the Statement of Operations, and along with commitment 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 December 31, 2015, 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 and enters into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities held by the Master Portfolio may decline in response to certain events, including those directly involving the issuers of securities owned by the Master Portfolio. Changes arising from the general economy, the overall market and local, regional or global political or/and social instability, as well as currency, interest rate and price fluctuations, may also affect the securities’ value.

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 portfolio current earnings rate.

Counterparty Credit Risk: Similar to issuer credit risk, the Master Portfolio may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Master Portfolio manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Master Portfolio to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent 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.

The Master Portfolio’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by the Master Portfolio.

For OTC options purchased, the Master Portfolio bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by the Master Portfolio should the counterparty fail to perform under the contracts. Options written by the Master Portfolio do not typically give rise to counterparty credit risk, as options written generally obligate the Master Portfolio, and not the counterparty, to perform. The Master Portfolio may be exposed to counterparty credit risk with respect to options written to the extent the Master Portfolio deposits collateral with its counterparty to a written option.

With exchange-traded options purchased and futures and centrally cleared swaps, there is less counterparty credit risk to the Master Portfolio since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Master Portfolio does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Master Portfolio.

Concentration Risk: The Master Portfolio invests a significant portion of its assets in fixed-income securities and/or uses derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise. The Master Portfolio may be subject to a greater risk of rising interest rates due to the current period of historically low rates.

The Master Portfolio invests a significant portion of its assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. Investment percentages in these securities are presented in the Schedule of Investments. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions.

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Notes to Financial Statements (concluded) CoreAlpha Bond Master Portfolio

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.

70 BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Master Investment Portfolio and the Interestholders of CoreAlpha Bond Master Portfolio:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of CoreAlpha Bond Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio, at December 31, 2015, 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. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Master Portfolio’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2015 by correspondence with the custodian, brokers and transfer agent, provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 24, 2016

BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015 71

Officers and Trustees

Name, Address1 and Year of Birth	Position(s) Held with the Trust/MIP	Length of Time Served as a Trustee3	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Independent Trustees2
Rodney D. Johnson 1941	Chair of the Board and Trustee	Since 2009	President, Fairmount Capital Advisors, Inc. from 1987 to 2013; Member of the Archdiocesan Investment Committee of the Archdiocese of Philadelphia from 2004 to 2012; Director, The Committee of Seventy (civic) from 2006 to 2012; Director, Fox Chase Cancer Center from 2004 to 2011.	33 RICs consisting of 155 Portfolios	None
David O. Beim 1940	Trustee	Since 2009	Professor of Professional Practice at the Columbia University Graduate School of Business since 1991; Trustee, Phillips Exeter Academy from 2002 to 2012; Chairman, Wave Hill, Inc. (public garden and cultural center) from 1990 to 2006.	33 RICs consisting of 155 Portfolios	None
Collette Chilton 1958	Trustee	Since 2015	Chief Investment Officer, Williams College since 2006; Chief Investment Officer, Lucent Asset Management Corporation from 1998 to 2006.	33 RICs consisting of 155 Portfolios	None
Frank J. Fabozzi 1948	Trustee	Since 2014	Editor of and Consultant for The Journal of Portfolio Management since 2006; Professor of Finance, EDHEC Business School since 2011; Visiting Professor, Princeton University from 2013 to 2014; Professor in the Practice of Finance and Becton Fellow, Yale University School of Management from 2006 to 2011.	108 RICs consisting of 230 Portfolios	None
Dr. Matina S. Horner 1939	Trustee	Since 2009	Executive Vice President, Teachers Insurance and Annuity Association and College Retirement Equities Fund from 1989 to 2003.	33 RICs consisting of 155 Portfolios	NSTAR (electric and gas utility)
Herbert I. London 1939	Trustee	Since 2009	Professor Emeritus, New York University since 2005; President, London Center for Policy Research since 2012; John M. Olin Professor of Humanities, New York University from 1993 to 2005 and Professor thereof from 1980 to 2005; President Emeritus, Hudson Institute (policy research organization) from 2011 to 2012, President thereof from 1997 to 2011 and Trustee from 1980 to 2012; Chairman of the Board of Trustees for Grantham University since 2006; Director, InnoCentive, Inc. (global internet service) since 2005; Director, Cerego, LLC (educational software) since 2005; Director, Cybersettle (online adjudication) since 2009; Director, AIMS Worldwide, Inc. (marketing) from 2007 to 2012.	33 RICs consisting of 155 Portfolios	None
Cynthia A. Montgomery 1952	Trustee	Since 2009	Professor, Harvard Business School since 1989; Director, McLean Hospital from 2005 to 2012; Director, Harvard Business School Publishing from 2005 to 2010.	33 RICs consisting of 155 Portfolios	Newell Rubbermaid, Inc. (manufacturing)
Joseph P. Platt 1947	Trustee	Since 2009	Director, Jones and Brown (Canadian insurance broker) since 1998; General Partner, Thorn Partners, LP (private investments) since 1998; Director, WQED Multi-Media (public broadcasting not-for-profit) since 2001; Director, The West Penn Allegheny Health System (a not-for-profit health system) from 2008 to 2013; Partner, Amarna Corporation, LLC (private investment company) from 2002 to 2008.	33 RICs consisting of 155 Portfolios	Greenlight Capital Re, Ltd. (reinsurance company)
Robert C. Robb, Jr. 1945	Trustee	Since 2009	Partner, Lewis, Eckert, Robb and Company (management and financial consulting firm) since 1981.	33 RICs consisting of 155 Portfolios	None
Toby Rosenblatt 1938	Trustee	Since 2009	President, Founders Investments Ltd. (private investments) since 1999; Director, Forward Management, LLC since 2007; Director, College Futures Foundation (philanthropic foundation) since 2009; Director, The James Irvine Foundation (philanthropic foundation) from 1998 to 2008.	33 RICs consisting of 155 Portfolios	None
Mark Stalnecker 1951	Trustee	Since 2015	Chief Investment Officer, University of Delaware from 1999 to 2013; Trustee, Winterthur Museum and Country Estate since 2001; Member of the Investment Committee, Delaware Public Employees’ Retirement System since 2002; Member of the Investment Committee, Christiana Care Health System since 2009; Member of the Investment Committee, Delaware Community Foundation from 2013 to 2014.	33 RICs consisting of 155 Portfolios	None

72 BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015

Officers and Trustees (continued)

Name, Address1 and Year of Birth	Position(s) Held with the Trust/MIP	Length of Time Served as a Trustee3	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Independent Trustees2
Kenneth L. Urish 1951	Trustee	Since 2009	Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Immediate 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 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.	33 RICs consisting of 155 Portfolios	None
Frederick W. Winter 1945	Trustee	Since 2009	Director, Alkon Corporation (pneumatics) since 1992; Professor and Dean Emeritus of the Joseph M. Katz School of Business, University of Pittsburgh from 2005 to 2013 and Dean thereof from 1997 to 2005; Director, Tippman Sports (recreation) from 2005 to 2013; Director, Indotronix International (IT services) from 2004 to 2008.	33 RICs consisting of 155 Portfolios	None
	1    The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.
	2    Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board has determined to extend the terms of Independent Trustees on a case-by-case basis, as appropriate. The Board has unanimously approved extending the mandatory retirement age for David O. Beim and Dr. Matina S. Horner until December 31, 2016, which the Board believes is in the best interests of the shareholders of the Trust/MIP.
	3    Date shown is the earliest date a person has served for the Trust/MIP. In connection with the acquisition of Barclays Global Investors by BlackRock, Inc. (“BlackRock”) in December 2009, the Trustees were elected to the Trust/MIP Board. As a result, although the chart shows certain Independent Trustees as joining the Trust’s/MIP’s board in 2009, those Independent Trustees first became members of the boards of other funds advised by BlackRock Advisors, LLC or its affiliates as follows: David O. Beim, 1998; Dr. Matina S. Horner, 2004; Rodney D. Johnson, 1995; Herbert I. London, 1987; Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Robert C. Robb, Jr., 1998; Toby Rosenblatt, 2005; Kenneth L. Urish, 1999; and Frederick W. Winter, 1999. Frank J. Fabozzi first became a member of the board of other funds advised by BlackRock Advisors, LLC or its affiliates in 1988.
Interested Trustees4
Barbara G. Novick 1960	Trustee	Since 2015	Vice Chairman of BlackRock since 2006; Chair of BlackRock’s Government Relations Steering Committee since 2009; Head of the Global Client Group of BlackRock from 1988 to 2008.	108 RICs consisting of 230 Portfolios	None
John M. Perlowski 1964	Trustee, President and Chief Executive Officer	Since 2015 (Trustee); since 2010 (President and Chief Executive Officer)	Managing Director of BlackRock since 2009; Head of BlackRock Global Fund Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.	136 RICs consisting of 328 Portfolios	None
	4    Mr. Perlowski and Ms. Novick are both “interested persons,” as defined in the 1940 Act, of the Trust/MIP based on their positions with BlackRock and its affiliates. Mr. Perlowski and Ms. Novick are also board members of a complex of BlackRock registered open-end funds. Mr. Perlowski is also a board member of the BlackRock Equity-Bond Complex and the BlackRock Equity-Liquidity Complex, and Ms. Novick is also a board member of the BlackRock Equity-Liquidity Complex. Interested Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The maximum age limitation may be waived as to any Trustee by action of a majority of the Trustees upon a finding of good cause therefor.

BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015 73

Officers and Trustees (concluded)

Name, Address1 and Year of Birth	Position(s) Held with the Trust/MIP	Length of Time Served as an Officer	Principal Occupation(s) During Past Five Years
Trust/MIP Officers2
John M. Perlowski 1964	Trustee, President and Chief Executive Officer	Since 2015 (Trustee); since 2010 (President and Chief Executive Officer)	Managing Director of BlackRock since 2009; Head of BlackRock Global Fund Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.
Richard Hoerner, CFA 1958	Vice President	Since 2009	Managing Director of BlackRock since 2000; Head of the Global Cash Group since 2013; Co-head of the Global Cash and Securities Lending Group from 2010 to 2013; Member of the Cash Management Group Executive Committee since 2005.
Jennifer McGovern 1977	Vice President	Since 2014	Director of BlackRock since 2011; Head of Product Structure and Oversight for BlackRock’s U.S. Wealth Advisory Group since 2013; Vice President of BlackRock from 2008 to 2010.
Neal Andrews 1966	Chief Financial Officer	Since 2009	Managing Director of BlackRock since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.
Jay Fife 1970	Treasurer	Since 2009	Managing Director of BlackRock since 2007; Director of BlackRock in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.
Charles Park 1967	Chief Compliance Officer	Since 2014	Anti-Money Laundering Compliance Officer for the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End Complex from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End 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.
Fernanda Piedra 1969	Anti-Money Laundering Compliance Officer	Since 2015	Director of BlackRock since 2014; Anti-Money Laundering Compliance Officer and Regional Head of Financial Crime for the Americas at BlackRock since 2014; Head of Regulatory Changes and Remediation for the Asset Wealth Management Division of Deutsche Bank from 2010 to 2014; Vice President of Goldman Sachs (Anti-Money Laundering/Suspicious Activities Group) from 2004 to 2010.
Benjamin Archibald 1975	Secretary	Since 2012	Managing Director of BlackRock since 2014; Director of BlackRock from 2010 to 2013; Secretary of the iShares exchange traded funds since 2015; Secretary of the BlackRock-advised mutual funds since 2012.
	1    The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.
	2    Officers of the Trust/MIP serve at the pleasure of the Board.
	Further information about the Officers and Trustees is available in the Trust’s/MIP’s Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762

Effective September 25, 2015, John M. Perlowski was appointed to serve as a Trustee of the Trust/MIP.

Effective December 31, 2015, Herbert I. London and Toby Rosenblatt retired as Trustees of the Trust/MIP.

Investment Advisor and Administrator BlackRock Advisors, LLC Wilmington, DE 19809	Accounting Agent and Custodian State Street Bank and Trust Company Boston, MA 02110	Distributor BlackRock Investments, LLC New York, NY 10022	Legal Counsel Sidley Austin LLP New York, NY 10019
Sub-Advisors BlackRock Fund Advisors San Francisco, CA 94105 BlackRock International Limited Edinburgh, EH3 8BL United Kingdom	Transfer Agent BNY Mellon Investment Servicing (US) Inc. Wilmington, DE 19809	Independent Registered Public Accounting Firm PricewaterhouseCoopers LLP Philadelphia, PA 19103	Address of the Trust/MIP 400 Howard Street San Francisco, CA 94105

74 BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015

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 Portfolio files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s/Master Portfolio’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Fund’s/Master Portfolio’s Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Fund/Master Portfolio uses 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 http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Fund/Master Portfolio voted proxies relating to securities held in the Fund’s/Master Portfolio’s portfolio during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC’s website at http://www.sec.gov.

BlackRock’s Mutual Fund Family

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

Shareholder Privileges

Account Information

Call us at (800) 441-7762 from 8:00 AM to 6:00 PM EST on any business day to get information about your account balances, recent transactions and share prices. You can also reach us on the Web at http://www.blackrock.com/funds.

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.

BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015 75

Additional Information (concluded)

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.

76 BLACKROCK COREALPHA BOND FUND DECEMBER 31, 2015

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.

CAB-12/15-AR

DECEMBER 31, 2015

  ANNUAL REPORT  

BlackRock Disciplined International Fund  |  of BlackRock Funds III

Not FDIC Insured • May Lose Value • No Bank Guarantee

Table of Contents

	Page
The Markets in Review		3
Annual Report:
Fund Summary		4
About Fund Performance		5
Disclosure of Expenses		5
Derivative Financial Instruments		5
Fund Financial Statements:
Statement of Assets and Liabilities		6
Statement of Operations		7
Statement of Changes in Net Assets		8
Fund Financial Highlights		9
Fund Notes to Financial Statements		12
Fund Report of Independent Registered Public Accounting Firm		15
Important Tax Information		15
Master Portfolio Information		16
Master Portfolio Financial Statements:
Schedule of Investments		17
Statement of Assets and Liabilities		24
Statement of Operations		25
Statements of Changes in Net Assets		26
Master Portfolio Financial Highlights		27
Master Portfolio Notes to Financial Statements		28
Master Portfolio Report of Independent Registered Public Accounting Firm		35
Disclosure of Investment Advisory Agreement as Sub-Advisory Agreements		36
Officers and Trustees		38
Additional Information		41

2 BLACKROCK DISCIPLINED INTERNATIONAL FUND DECEMBER 31, 2015

The Markets in Review

Dear Shareholder,

Diverging monetary policies and shifting economic outlooks across regions have been the overarching themes driving financial markets over the past couple of years. With U.S. growth outpacing the global economic recovery in 2015 while inflationary pressures remained low, investors spent most of the year anticipating a short-term rate hike from the Federal Reserve (the “Fed”), which ultimately came to fruition in December. In contrast, the European Central Bank (“ECB”) and the Bank of Japan moved to a more accommodative stance during the year. In this environment, the U.S. dollar strengthened considerably, causing profit challenges for U.S. exporters and high levels of volatility in emerging market currencies and commodities. Oil prices were particularly volatile and below the historical norm due to an ongoing imbalance in global supply and demand.

Market volatility broadly increased in the middle of 2015, beginning with a sharp, but temporary, selloff in June as Greece’s long-brewing debt troubles came to an impasse. Just as these concerns abated, Chinese equities tumbled amid weakness in the country’s economy. This, combined with a depreciation of the yuan and declining confidence in China’s policymakers, stoked worries about the potential impact to the broader world economy, causing heightened volatility to spread throughout markets globally. Given a dearth of meaningful growth across most of the world, financial markets became more reliant on central bank policies to drive performance. In that vein, risk assets (such as equities and high yield bonds) rallied in October when China’s central bank provided more stimulus, the ECB hinted at further easing, and soft U.S. data pushed back expectations for a Fed rate hike. As the period came to a close, however, the ECB disappointed investors with its subdued policy changes. The Fed’s December rate hike had a positive impact on the markets as it removed a source of uncertainty, but this was counteracted by the dampening effect of a stronger U.S. dollar, falling oil prices and tighter credit conditions.

At BlackRock, we believe investors need to think globally, extend their scope across a broad array of asset classes and be prepared to move freely as market conditions change over time. 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 December 31, 2015
	6-month			12-month
U.S. large cap equities (S&P 500® Index)		0.15	%		1.38	%
U.S. small cap equities (Russell 2000® Index)		(8.75	)		(4.41	)
International equities (MSCI Europe, Australasia, Far East Index)		(6.01	)		(0.81	)
Emerging market equities (MSCI Emerging Markets Index)		(17.35	)		(14.92	)
3-month Treasury bills (BofA Merrill Lynch 3-Month U.S. Treasury Bill Index)		0.04			0.05
U.S. Treasury securities (BofA Merrill Lynch 10-Year U.S. Treasury Index)		1.43			0.91
U.S. investment-grade bonds (Barclays U.S. Aggregate Bond Index)		0.65			0.55
Tax-exempt municipal bonds (S&P Municipal Bond Index)		3.31			3.32
U.S. high yield bonds (Barclays U.S. Corporate High Yield 2% Issuer Capped Index)		(6.79	)		(4.43	)
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

THIS PAGE NOT PART OF YOUR FUND REPORT 3

Fund Summary as of December 31, 2015

Investment Objective

BlackRock Disciplined International Fund’s (the “Fund”) investment objective is to seek to provide long-term returns in excess of the total rate of return of the MSCI Europe Australasia Far East (“EAFE”) Index.

Expense Example

	Actual						Hypothetical3
	Beginning Account Value September 9, 20151		Ending Account Value December 31, 2015		Expenses Paid During the Period2		Beginning Account Value September 9, 20151		Ending Account Value December 31, 2015		Expenses Paid During the Period2		Annualized Expense Ratio
Institutional	$	1,000.00	$	1,010.30	$	2.21	$	1,000.00	$	1,013.28	$	2.21		0.71	%
Investor A	$	1,000.00	$	1,009.50	$	2.99	$	1,000.00	$	1,012.51	$	2.99		0.96	%
Class K	$	1,000.00	$	1,011.00	$	1.56	$	1,000.00	$	1,013.93	$	1.56		0.50	%

¹  Commencement of operations.

²  For each class of the Fund, expenses are equal to the annualized net expense ratio for the class, multiplied by the average account value over the period, multiplied by 113/365 (to reflect the period from September 9, 2015, commencement of operations, to December 31, 2015). Because the Fund invests all of its assets in the Master Portfolio, the expense example reflects the net expenses of both the Fund and the Master Portfolio in which it invests.

³  Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365.

See “Disclosure of Expenses” on page 5 for further information on how expenses were calculated.

4 BLACKROCK DISCIPLINED INTERNATIONAL FUND DECEMBER 31, 2015

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.

• Investor A Shares are subject to a maximum initial sales charge (front-end load) of 5.25% and a service fee of 0.25% (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.

Performance information reflects past performance and does not guarantee future results. Current performance may be lower or higher than the performance data quoted. Refer to www.blackrock.com/funds to obtain performance data current to the most recent month-end. Performance results do not reflect the deduction of taxes that a share-

holder would pay on fund distributions or the redemption of fund shares. Figures shown in the performance table on the previous page assume reinvestment of all distributions, if any, at net asset value (“NAV”) on the ex-dividend date. 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 administration, service and distribution fees applicable to each class, which are deducted from the income available to be paid to shareholders. BlackRock Advisors, LLC (“BAL” or the “Administrator”), the Fund’s administrator, voluntarily waived a portion of the Fund’s expenses. Without such waiver, the Fund’s performance would have been lower. The Administrator is under no obligation to waive or to continue waiving its fees and such voluntary waiver may be reduced or discontinued at any time. See Note 4 of the Notes to Financial Statements for additional information on waivers.

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 on previous page (which is based on a hypothetical investment of $1,000 invested on September 9, 2015 (commencement of operations) and held through December 31, 2015) 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 any 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 Master Portfolio may invest in various derivative financial instruments. Derivative financial instruments are used to obtain exposure to a security, index and/or market without owning or taking physical custody of securities 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. Derivative financial instruments also 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 derivative financial instru-

ment. The Master Portfolio’s ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Master Portfolio can realize on an investment and/or may result in lower distributions paid to shareholders. The Master Portfolio’s investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.

BLACKROCK DISCIPLINED INTERNATIONAL FUND DECEMBER 31, 2015 5

Statement of Assets and Liabilities BlackRock Disciplined International Fund

December 31, 2015
Assets
Investments at value — Master Portfolio (cost — $4,831,964)	$	4,858,262
Receivables from the Administrator		5,084
Total assets		4,863,346
Liabilities
Payables:
Professional fees		18,532
Administration fees		433
Service fees		10
Total liabilities		18,975
Net Assets	$	4,844,371
Net Assets Consist of
Paid-in capital	$	5,001,439
Distributions in excess of net investment income		(859	)
Accumulated net realized loss allocated from the Master Portfolio		(182,507	)
Net unrealized appreciation (depreciation) allocated from the Master Portfolio		26,298
Net Assets	$	4,844,371
Net Asset Value
Institutional — Based on net assets of $48,430 and 5,000 shares outstanding, unlimited number of shares authorized, no par value	$	9.69
Investor A — Based on net assets of $49,881 and 5,150 shares outstanding, unlimited number of shares authorized, no par value	$	9.69
Class K — Based on net assets of $4,746,060 and 490,000 shares outstanding, unlimited number of shares authorized, no par value	$	9.69

See Notes to Financial Statements.
6	BLACKROCK DISCIPLINED INTERNATIONAL FUND	DECEMBER 31, 2015

Statement of Operations BlackRock Disciplined International Fund

Period September 9, 20151 to December 31, 2015
Investment Income
Net investment income allocated from the Master Portfolio:
Dividends — unaffiliated	$	38,020
Dividends — affiliated		29
Securities lending — affiliated — net		360
Foreign taxes withheld		(3,527	)
Expenses		(7,200	)
Fees waived		1,027
Total income		28,709
Fund Expenses
Administration — Institutional		46
Administration — Investor A		47
Administration — Class K		1,521
Service — Investor A		38
Professional		18,532
Total expenses		20,184
Less fees waived by the Administrator		(18,532	)
Total expenses after fees waived		1,652
Net investment income		27,057
Realized and Unrealized Gain (Loss) Allocated from the Master Portfolio
Net realized loss from investments, in-kind redemptions2, financial futures contracts and foreign currency transactions		(1,992	)
Net change in unrealized appreciation (depreciation) on investments, financial futures contracts and foreign currency transactions		26,298
Net realized and unrealized gain		24,306
Net Increase in Net Assets Resulting from Operations	$	51,363

¹ Commencement of operations.

² See Note 2 of the Notes to Financial Statements.

See Notes to Financial Statements.
	BLACKROCK DISCIPLINED INTERNATIONAL FUND	DECEMBER 31, 2015	7

Statement of Changes in Net Assets BlackRock Disciplined International Fund

Increase (Decrease) in Net Assets:	Period September 9, 20151 to December 31, 2015
Operations
Net investment income	$	27,057
Net realized loss		(1,992	)
Net change in unrealized appreciation (depreciation)		26,298
Net increase in net assets resulting from operations		51,363
Distributions to Shareholders2
From net investment income:
Institutional		(249	)
Investor A		(210	)
Class K		(27,457	)
Net realized gain:
Institutional		(1,805	)
Investor A		(1,805	)
Class K		(176,905	)
Decrease in net assets resulting from distributions to shareholders		(208,431	)
Capital Share Transactions
Increase in net assets resulting from capital share transactions		5,001,439
Net Assets
Total increase in net assets		4,844,371
Beginning of period		—
End of period	$	4,844,371
Distributions in excess of net investment income, end of period	$	(859	)

¹  Commencement of operations.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

See Notes to Financial Statements.
8	BLACKROCK DISCIPLINED INTERNATIONAL FUND	DECEMBER 31, 2015

Financial Highlights

	Institutional
	Period September 9, 20151 to December  31, 2015
Per Share Operating Performance
Net asset value, beginning of period	$	10.00
Net investment income2		0.05
Net realized and unrealized gain		0.05
Net increase from investment operations		0.10
Distributions:3
From net investment income		(0.05	)
From net realized gain		(0.36	)
Total distributions		(0.41	)
Net asset value, end of period	$	9.69
Total Return4
Based on net asset value		1.03%	5
Ratios to Average Net Assets6
Total expenses		1.08%	7,8,9
Total expenses after fees waived		0.71%	7,8
Net investment income		1.56%	7,8
Supplemental Data
Net assets, end of period (000)	$	48
Portfolio turnover of the Master Portfolio		107%

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Aggregate total return.

⁶  Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁷  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.07%

⁸  Annualized.

⁹  Audit fees were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 1.91%.

See Notes to Financial Statements.
	BLACKROCK DISCIPLINED INTERNATIONAL FUND	DECEMBER 31, 2015	9

Financial Highlights (continued)

	Investor A
	Period September 9, 20151 to December  31, 2015
Per Share Operating Performance
Net asset value, beginning of period	$	10.00
Net investment income2		0.04
Net realized and unrealized gain		0.05
Net increase from investment operations		0.09
Distributions:3
From net investment income		(0.04	)
From net realized gain		(0.36	)
Total distributions		(0.40	)
Net asset value, end of period	$	9.69
Total Return4
Based on net asset value		0.95%	5
Ratios to Average Net Assets6
Total expenses		1.33%	7,8,9
Total expenses after fees waived		0.96%	7,8
Net investment income		1.31%	7,8
Supplemental Data
Net assets, end of period (000)	$	50
Portfolio turnover of the Master Portfolio		107%

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁵  Aggregate total return.

⁶  Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁷  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.07%

⁸  Annualized.

⁹  Audit fees were not annualized in the calculation of the expense ratios. if these expenses were annualized, the total expenses would have been 2.16%.

See Notes to Financial Statements.
10	BLACKROCK DISCIPLINED INTERNATIONAL FUND	DECEMBER 31, 2015

Financial Highlights (concluded)

	Class K
	Period September 9, 20151 to December  31, 2015
Per Share Operating Performance
Net asset value, beginning of period	$	10.00
Net investment income2		0.05
Net realized and unrealized gain		0.06
Net increase from investment operations		0.11
Distributions:3
From net investment income		(0.06	)
From net realized gain		(0.36	)
Total distributions		(0.42	)
	��
Net asset value, end of period	$	9.69
Total Return4
Based on net asset value		1.10%	5
Ratios to Average Net Assets6
Total expenses		0.88%	7,8,9
Total expenses after fees waived		0.50%	7,8
Net investment income		1.77%	7,8
Supplemental Data
Net assets, end of period (000)	$	4,746
Portfolio turnover of the Master Portfolio		107%

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Aggregate total return.

⁶  Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁷  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.07%

⁸  Annualized.

⁹  Audit fees were not annualized in the calculating of the expense ratios. If these expenses were annualized, the total expenses would have been 1.71%.

See Notes to Financial Statements.
	BLACKROCK DISCIPLINED INTERNATIONAL FUND	DECEMBER 31, 2015	11

Notes to Financial Statements BlackRock Disciplined International Fund

1. Organization:

BlackRock Disciplined International Fund (the “Fund”), a series of BlackRock Funds III (the “Trust”), is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a diversified, open-end management investment company. The Trust is organized as a Delaware statutory trust. The Fund seeks to achieve its investment objective by investing all of its assets in International Tilts Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio (“MIP”), an affiliate of the Fund, which has the same investment objective and strategies as the Fund. The value of the Fund’s investment in the Master Portfolio reflects the Fund’s proportionate interest in the net assets of the Master Portfolio. The performance of the Fund is directly affected by the performance of the Master Portfolio. At December 31, 2015, the percentage of the Master Portfolio owned by the Fund was 1.6%. The financial statements of the Master Portfolio, including the Schedule 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 Investor A Shares bear certain expenses related to shareholder servicing of such shares. Institutional and Class K Shares are sold only to certain eligible investors. Investor A Shares are generally available through financial intermediaries. Each class has exclusive voting rights with respect to matters relating to its shareholder servicing and distribution expenditures. The Board of Trustees of the Trust and Board of Trustees of MIP are referred to throughout this report as the “Board of Trustees” or the “Board” and the members are referred to as “Trustees.”

Share Class	Initial Sales Charge		CDSC			Conversion Privilege
Institutional Shares		No		No			None
Investor A Shares		Yes		No	1		None
Class K Shares		No		No			None

¹  Investor A shares may be subjected to CDSC where no initial sales charge was paid at the time of purchase.

The Fund, together with certain other registered investment companies advised by BAL or its affiliates, is included in a complex of open-end funds referred to as the Equity-Liquidity 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 Investment Income: For financial reporting purposes, contributions to and withdrawals from the Master Portfolio are accounted on a trade date basis. The Fund records daily its proportionate share of the Master Portfolio’s income, expenses and realized and unrealized gains and losses. Realized and unrealized gains and losses are adjusted utilizing partnership tax allocation rules. In addition, the Fund accrues its own expenses. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.

Distributions: Distributions paid by the Fund are recorded on the ex-dividend date. The character and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.

In-Kind Redemptions: The Master Portfolio satisfied certain redemptions in investors’ capital through an in-kind redemption of securities and cash. For financial reporting purposes, these transactions were treated as a sale of securities and the resulting gains and losses were recognized at the Master Portfolio based on the market value of the securities on the date of the transfer. For the year ended December 31, 2015, the Fund was allocated realized loss from the in-kind redemptions of $92,253. For tax purposes, no gains or losses were recognized.

Indemnifications: In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against the Fund, which cannot be predicted with any certainty.

Other: Expenses directly related to the Fund or its classes are charged to the Fund or the applicable class. Other operating expenses shared by several funds, including other funds managed by BAL, are prorated among those funds on the basis of relative net assets or other appropriate methods. Expenses directly related to the Fund and other shared expenses prorated to the Fund are allocated daily to each class based on its relative net assets or other appropriate methods.

12 BLACKROCK DISCIPLINED INTERNATIONAL FUND DECEMBER 31, 2015

Notes to Financial Statements (continued) BlackRock Disciplined International Fund

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: The Fund’s policy is to fair value its financial instruments at fair value. The Fund records its investment in the Master Portfolio at fair value based on the Fund’s proportionate interest in the net assets of the Master Portfolio. Valuation of securities held by the Master Portfolio is discussed in Note 3 of the Master Portfolio’s Notes to Financial Statements, which are included elsewhere in this report.

4. Administration Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

The Trust, on behalf of the Fund, entered into an Administration Agreement with BAL, which has agreed to provide general administration services (other than investment advice and related portfolio activities). BAL, in consideration thereof, has agreed to bear all of the Fund’s ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by the Fund. BAL is entitled to receive for these administration services an annual fee based on the average daily net assets attributed to each share class as follows:

	Institutional		Investor A		Class K
Rate		0.30%		0.30%		0.10%

BAL is entitled to receive an annual administrative fee of 0.05% of the Master Portfolio’s average daily net assets. BAL has contractually agreed to waive this administration fee until May 1, 2017. This waiver agreement may be terminated upon 90 days’ notice by a majority of the non-interested trustees of MIP or by a majority of the outstanding voting securities of the Master Portfolio.

From time to time, BAL may waive such fees in whole or in part. Any such waiver will reduce the expenses of the Fund and, accordingly, have a favorable impact on its performance. BAL may delegate certain of its administration duties to sub-administrators.

The fees and expenses of the Fund’s trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and the Trust’s independent registered public accounting firm (together, the “independent expenses”) are paid directly by the Fund. BAL has contractually agreed to provide an offsetting credit against the administration fees paid by the Fund in an amount equal to the independent expenses through April 30, 2016. The amount of the waiver, if any, is shown as fees waived in the Statement of Operations.

The Trust, on behalf of the Fund, entered into a Distribution Agreement and a Service Plan with BlackRock Investments, LLC (“BRIL”), an affiliate of BAL. Pursuant to the Service Plan and in accordance with Rule 12b-1 under the 1940 Act, the Fund pays BRIL ongoing service fees. The fees are accrued daily and paid monthly at an annual rate of 0.25% based upon the average daily net assets of the Investor A Shares.

Pursuant to sub-agreements with BRIL, broker-dealers and BRIL provide shareholder servicing services to the Fund. The ongoing service fee compensates BRIL and each broker-dealer for providing shareholder servicing related services to the shareholders.

For the year ended December 31, 2015, affiliates earned underwriting discounts, direct commissions and dealer concessions of $3 on sales of the Fund’s Investor A Shares.

Certain officers and/or trustees of the Trust are officers and/or directors of BlackRock or its affiliates.

5. 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 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 remains open for the period ended December 31, 2015. 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 December 31, 2015, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the Fund’s financial statements.

BLACKROCK DISCIPLINED INTERNATIONAL FUND DECEMBER 31, 2015 13

Notes to Financial Statements (concluded) BlackRock Disciplined International Fund

The tax character of distributions paid was as follows:

	12/31/15
Ordinary income	$	27,916
Long-term capital gain		180,515
Total	$	208,431

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

Net unrealized gains (losses)1	$	(106,912	)
Qualified late year losses2		(50,156	)
Total	$	(157,068	)

¹  The differences between book-basis and tax-basis net unrealized gains (losses) was attributable primarily to the timing and recognition of partnership income.

²  The Fund has elected to defer certain qualified late-year losses and recognize such losses in the next taxable year.

6. Capital Share Transactions:

Transactions in capital shares for each class were as follows:

	Period September 9,  20151 to December 31, 2015
	Shares		Amount
Institutional
Shares sold		5,000	$	50,000
Net increase		5,000	$	50,000
Investor A
Shares sold		5,150	$	51,439
Net increase		5,150	$	51,439
Class K
Shares sold		490,000	$	4,900,000
Net increase		490,000	$	4,900,000
Total Net Increase		500,150	$	5,001,439

¹  Commencement of operations.

At period end, shares owned by BlackRock HoldCo2, Inc., an affiliate of the Fund, were as follows:

Institutional	5,000
Investor A	5,000
Class K	490,000

7. 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.

14 BLACKROCK DISCIPLINED INTERNATIONAL FUND DECEMBER 31, 2015

Report of Independent Registered Public Accounting Firm BlackRock Disciplined International Fund

To the Board of Trustees of BlackRock Funds III and the Shareholders of BlackRock Disciplined International Fund:

In our opinion, the accompanying statement of assets and liabilities and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of BlackRock Disciplined International Fund, (the “Fund”), a series of BlackRock Funds III, at December 31, 2015, and the results of its operations, the changes in its net assets and the financial highlights for the period September 9, 2015 (commencement of operations) through December 31, 2015, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit provides a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 24, 2016

Important Tax Information (Unaudited)

During the fiscal year ended December 31, 2015, the following information is provided with respect to the ordinary income distributions paid by the Fund.

	Payable Dates
Qualified Dividend Income for Individuals1		Quarterly	100.00%
Foreign Source Income2		Quarterly	88.63%
Foreign Taxes Paid Per Share3		9/30/15	$0.002286689
		12/31/15	$0.004873309

¹ The Fund hereby designates the percentage indicated above or the maximum amount allowed by law.

² Expressed as a percentage of distributions grossed up for foreign taxes.

³ The foreign taxes paid represent taxes paid by the Fund from foreign sources. Foreign taxes paid may be included in taxable income with an offsetting deduction for gross income or may be taken as a credit for taxes paid to foreign governments. You should consult your tax advisor regarding the appropriate treatment of foreign taxes paid.

Additionally, the Fund distributed long-term capital gains of $0.36103 per share to shareholders on record December 8, 2015.

BLACKROCK DISCIPLINED INTERNATIONAL FUND DECEMBER 31, 2015 15

Portfolio Information as of December 31, 2015

Ten Largest Holdings	Percent of Net Assets
Roche Holding AG		2	%
Novo Nordisk A/S, Class B		2
HSBC Holdings PLC		1
Bayer AG, Registered Shares		1
Sanofi		1
Murata Manufacturing Co. Ltd.		1
Australia & New Zealand Banking Group Ltd.		1
Intesa Sanpaolo SpA		1
Singapore Telecommunications Ltd.		1
Toyota Motor Corp.		1

Geographic Allocation	Percent of Net Assets
Japan		24	%
United Kingdom		15
France		8
Australia		8
United States		8
Germany		7
Switzerland		6
Netherlands		5
Spain		4
Singapore		3
Italy		3
Sweden		3
Hong Kong		3
Denmark		2
Finland		2
Norway		2
Other1		2
Liabilities in Excess of Other Assets		(5	)

¹  Other includes a 1% or less investment in each of the following countries: Austria, Belgium, Faeroe Islands, Ireland, Isle of Man, Israel, New Zealand and Portugal.

Portfolio Information as of December 31, 2015

Derivative Financial Instruments

The Master Portfolio may invest in various derivative financial instruments. Derivative financial instruments are used to obtain exposure to a security, index and/or market without owning or taking physical custody of securities 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. Derivative financial instruments also 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 derivative financial instrument. The Master Portfolio’s ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Master Portfolio can realize on an investment and/or may result in lower distributions paid to shareholders. The Master Portfolio’s investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.

16 BLACKROCK DISCIPLINED INTERNATIONAL FUND DECEMBER 31, 2015

Schedule of Investments December 31, 2015 International Tilts Master Portfolio (Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Australia — 7.9%
Amcor Ltd.		18,807	$	182,714
Aristocrat Leisure Ltd.		115,546		853,179
Australia & New Zealand Banking Group Ltd.		174,314		3,517,617
BHP Billiton Ltd.		135,819		1,747,931
Caltex Australia Ltd.		97,169		2,655,990
Commonwealth Bank of Australia		11,791		728,972
CSL Ltd.		27,765		2,116,794
CSR Ltd.		36,523		76,229
Independence Group NL		5,474		10,046
Lend Lease Group (a)		11,143		114,968
Macquarie Group Ltd.		24,661		1,475,293
Mirvac Group		54,477		77,986
National Australia Bank Ltd.		58,322		1,272,692
Qantas Airways Ltd. (b)		473,597		1,403,775
Rio Tinto Ltd.		6,279		203,060
Sonic Healthcare Ltd.		8,297		107,423
Spotless Group Holdings Ltd.		37,689		29,531
Stockland		192,082		570,192
Suncorp Group Ltd.		12,454		109,346
Sydney Airport (a)		299,982		1,380,612
Telstra Corp. Ltd.		392,062		1,593,220
Wesfarmers Ltd.		1,694		51,071
Westfield Corp.		34,802		239,435
Westpac Banking Corp.		105,659		2,561,150
Woodside Petroleum Ltd.		41,214		858,651
				23,937,877
Austria — 0.1%
ams AG		1,500		50,143
Raiffeisen Bank International AG (b)		839		12,296
Schoeller-Bleckmann Oilfield Equipment AG (c)		4,672		256,261
Vienna Insurance Group AG		1,137		31,100
				349,800
Belgium — 0.9%
Ageas		18,259		847,471
bpost SA		58,547		1,436,590
Delhaize Group		1,194	��	116,208
Groupe Bruxelles Lambert SA		1,947		166,599
Proximus		7,107		231,268
				2,798,136
Denmark — 2.4%
Carlsberg A/S, Class B		2,685		237,869
Danske Bank A/S		5,210		139,796
Genmab A/S (b)		675		89,751
GN Store Nord A/S		3,504		63,592
Jyske Bank A/S (b)		3		136
NKT Holding A/S		3,721		192,079
Novo Nordisk A/S, Class B		81,167		4,699,424
Pandora A/S		3,197		403,090
Vestas Wind Systems A/S		22,151		1,546,998
				7,372,735

Common Stocks	Shares		Value
Faeroe Islands — 0.0%
Bakkafrost P/F		344	$	10,135
Finland — 2.4%
Elisa OYJ		1,662		62,532
Fortum OYJ		11,176		168,382
Kesko OYJ, Class B		1,320		46,269
Kone OYJ, Class B		37,179		1,574,198
Metso OYJ		2,745		61,489
Neste Oil OYJ		42,259		1,261,258
Nokia OYJ		278,432		1,969,771
Sampo OYJ, Class A		1,931		98,060
Stora Enso OYJ, Class R		173,892		1,572,355
UPM-Kymmene OYJ		20,211		375,224
				7,189,538
France — 8.0%
Alstom SA (b)		5,373		164,118
ArcelorMittal (c)		9,941		41,943
AtoS		2,023		169,836
AXA SA		32,033		875,255
BNP Paribas SA		29,110		1,646,966
Bouygues SA		2,614		103,647
Cie Generale des Etablissements Michelin		17,608		1,675,975
CNP Assurances		11,273		152,065
Compagnie de Saint-Gobain		28,681		1,242,899
Credit Agricole SA		61,639		726,362
Danone SA		2,602		175,826
Electricite de France SA		45,656		672,398
Faurecia		4,916		196,983
Gecina SA		580		70,511
Hermes International		25		8,451
ICADE		1,050		70,476
Lagardere SCA		17,220		513,869
LVMH Moet Hennessy Louis Vuitton SA		701		110,106
Metropole Television SA		35,183		605,014
Orange SA		42,800		715,861
Peugeot SA (b)		72,768		1,275,543
Plastic Omnium SA		2,535		80,579
Publicis Groupe SA		3,601		239,450
Renault SA		4,500		450,430
Safran SA		33,888		2,328,198
Sanofi		43,437		3,701,776
SCOR SE		6,802		254,515
Societe Generale SA		18,540		854,363
Technicolor SA, Registered Shares		42,004		340,923
Technip SA		10,115		503,021
Thales SA		23,388		1,750,584
Total SA		37,821		1,695,567
Valeo SA		6,322		974,692
Wendel SA		826		98,232
				24,486,434
Germany — 7.2%
Allianz SE, Registered Shares		6,625		1,167,842
Bayer AG, Registered Shares		34,657		4,328,324

Portfolio Abbreviations

CVA	Certificaten Van Aandelen (Dutch Certificate)
FTSE	Financial Times Stock Exchange

See Notes to Financial Statements.

BLACKROCK DISCIPLINED INTERNATIONAL FUND DECEMBER 31, 2015 17

Schedule of Investments (continued) International Tilts Master Portfolio

Common Stocks	Shares		Value
Germany (continued)
Continental AG		3,189	$	771,450
Daimler AG, Registered Shares		35,940		3,002,929
Deutsche Lufthansa AG, Registered Shares (b)(c)		18,497		291,347
Deutsche Post AG, Registered Shares		20,753		580,208
Deutsche Telekom AG, Registered Shares (c)		76,012		1,365,225
Dialog Semiconductor PLC (b)		12,620		421,112
Duerr AG		9,377		744,179
E.ON SE		34,600		332,229
Evonik Industries AG		27,631		913,950
Fresenius SE & Co. KGaA		6,308		449,333
Infineon Technologies AG		45,253		659,730
K+S AG, Registered Shares		13,525		344,767
KION Group AG (b)		5,523		273,873
Merck KGaA		1,173		113,571
Metro AG		3,970		126,474
OSRAM Licht AG		7,098		296,547
Porsche Automobil Holding SE, Preference Shares		3,887		209,188
Rheinmetall AG		5,017		333,489
RWE AG (c)		6,415		80,876
Salzgitter AG		4,046		98,873
SAP SE		23,217		1,842,341
Siemens AG, Registered Shares		15,465		1,496,174
Symrise AG		15,120		1,000,920
Talanx AG		3,508		107,887
TUI AG		21,468		383,313
Volkswagen AG		801		123,087
				21,859,238
Hong Kong — 2.4%
AIA Group Ltd.		34,000		203,153
BOC Hong Kong Holdings Ltd.		11,500		34,995
Cheung Kong Property Holdings Ltd.		186,184		1,204,421
CK Hutchison Holdings Ltd.		202,684		2,724,462
CLP Holdings Ltd.		62,500		529,750
Hang Lung Properties Ltd.		73,000		165,408
Henderson Land Development Co. Ltd.		25,900		157,990
HK Electric Investments & HK Electric Investments Ltd. (a)(d)(c)		62,500		52,369
Hong Kong Exchanges & Clearing Ltd.		14,300		364,289
Hongkong Land Holdings Ltd.		54,900		383,355
Kerry Properties Ltd.		35,500		96,608
New World Development Co. Ltd.		131,000		128,634
Power Assets Holdings Ltd.		15,500		142,097
Sands China Ltd. (c)		156,000		528,870
SJM Holdings Ltd. (c)		172,000		121,887
Sun Hung Kai Properties Ltd.		7,000		84,137
Swire Properties Ltd.		56,800		163,319
Techtronic Industries Co. Ltd.		16,500		66,796
Wheelock & Co. Ltd.		74,000		310,518
				7,463,058
Ireland — 0.8%
DCC PLC		16,779		1,401,750
Glanbia PLC		1,109		20,416
Shire PLC		14,377		986,368
				2,408,534
Isle of Man — 0.0%
Playtech PLC		2,779		34,023
Israel — 0.0%
Azrieli Group		345		12,852

Common Stocks	Shares		Value
Italy — 3.2%
Assicurazioni Generali SpA		29,814	$	544,603
Banca Popolare dell’Emilia Romagna		1,508		11,438
Banca Popolare di Milano Scarl		42,274		41,871
Enel SpA		262,690		1,101,538
Intesa Sanpaolo SpA		1,010,974		3,354,087
Mediaset SpA		109,422		453,433
Mediobanca SpA		153,393		1,470,434
Moncler SpA		27,902		388,282
Parmalat SpA		48,024		124,734
Prada SpA (c)		13,400		41,669
Recordati SpA		498		12,993
Saras SpA (b)		5,281		10,183
Snam SpA		51,507		268,812
UniCredit SpA		366,746		2,027,625
				9,851,702
Japan — 23.5%
ABC-Mart, Inc.		3,800		208,005
Adastria Holdings Co. Ltd.		300		16,787
Ajinomoto Co., Inc.		57,000		1,349,516
ANA Holdings, Inc.		62,000		178,877
Asahi Group Holdings Ltd.		83,600		2,617,048
Asahi Kasei Corp.		139,000		939,932
Astellas Pharma, Inc.		211,300		3,008,015
Calbee, Inc. (c)		7,000		295,603
Casio Computer Co. Ltd.		7,600		177,663
Central Japan Railway Co.		1,000		177,534
Chubu Electric Power Co., Inc.		15,300		209,514
Chugoku Electric Power Co., Inc.		1,200		15,844
COMSYS Holdings Corp. (c)		28,900		406,358
CyberAgent, Inc.		500		20,601
Dai-ichi Life Insurance Co. Ltd.		53,400		888,452
Daicel Corp.		42,700		635,457
Daiichi Sankyo Co. Ltd.		24,200		499,481
Daito Trust Construction Co. Ltd.		11,200		1,293,718
Daiwa House Industry Co. Ltd.		12,800		367,953
Daiwa Securities Group, Inc.		29,000		177,297
DIC Corp.		6,000		16,235
Disco Corp.		7,600		715,703
Dowa Holdings Co. Ltd.		38,000		273,225
East Japan Railway Co.		10,100		951,075
Electric Power Development Co. Ltd.		1,100		39,178
Fuji Electric Co. Ltd.		20,000		83,877
Fuji Heavy Industries Ltd.		78,100		3,217,428
FUJIFILM Holdings Corp.		26,000		1,085,045
Fujitsu General Ltd.		61,000		775,830
GungHo Online Entertainment, Inc. (c)		10,900		29,611
Hankyu Hanshin Holdings, Inc.		40,000		259,995
Haseko Corp.		81,300		898,883
Hazama Ando Corp.		30,300		163,383
Hitachi Capital Corp.		1,500		40,302
Hitachi Ltd.		114,000		645,966
Honda Motor Co. Ltd.		5,900		188,573
Hoya Corp.		70,500		2,882,926
Hulic Co. Ltd.		5,800		50,927
Ichigo Group Holdings Co Ltd. (c)		6,600		20,545
Iida Group Holdings Co. Ltd.		10,800		200,167
Isuzu Motors Ltd.		14,200		152,971
ITOCHU Corp.		19,800		234,203
Izumi Co. Ltd.		400		15,529
Japan Aviation Electronics Industry Ltd.		3,000		43,034

See Notes to Financial Statements.

18 BLACKROCK DISCIPLINED INTERNATIONAL FUND DECEMBER 31, 2015

Schedule of Investments (continued) International Tilts Master Portfolio

Common Stocks	Shares			Value
Japan (continued)
Japan Display, Inc. (b)		4,100		$	11,813
Japan Exchange Group, Inc.		4,900			76,596
Japan Petroleum Exploration Co.		12,300			330,345
Japan Real Estate Investment Corp.		30			145,582
Japan Tobacco, Inc. (c)		61,300			2,250,553
Kaken Pharmaceutical Co. Ltd.		2,500			170,833
Kansai Electric Power Co., Inc. (b)		10,500			125,893
Kao Corp.		21,000			1,079,163
Kikkoman Corp.		18,000			623,654
Kumagai Gumi Co. Ltd.		13,000			37,324
Kyushu Electric Power Co., Inc. (b)		3,700			40,327
Lawson, Inc.		1,200			97,405
Lintec Corp.		13,900			292,389
Minebea Co. Ltd.		3,000			25,686
Miraca Holdings, Inc.		800			35,201
Mitsubishi Electric Corp.		82,000			860,741
Mitsubishi Estate Co. Ltd.		32,000			665,387
Mitsubishi Gas Chemical Co., Inc.		16,000			81,816
Mitsubishi Heavy Industries Ltd.		16,000			69,960
Mitsubishi UFJ Financial Group, Inc.		109,700			679,509
Mitsui & Co. Ltd.		47,300	��		562,020
Mitsui Mining & Smelting Co. Ltd.		10,000			18,543
Mitsui OSK Lines Ltd.		10,000			25,223
Mixi, Inc.		1,100			41,144
Mizuho Financial Group, Inc.		1,200,100			2,400,200
Murata Manufacturing Co. Ltd.		25,200			3,625,806
Nexon Co. Ltd. (c)		45,600			741,808
NGK Spark Plug Co. Ltd.		3,300			86,884
NH Foods Ltd.		56,000			1,097,593
Nippon Steel & Sumitomo Metal		8,200			162,215
Nippon Telegraph & Telephone Corp.		48,300			1,922,249
Nippon Yusen KK		36,000			87,253
Nishimatsu Construction Co. Ltd.		11,000			41,691
Nissan Chemical Industries Ltd.		19,800			449,482
Nissan Motor Co. Ltd.		304,900			3,192,528
Nissin Foods Holdings Co. Ltd.		1,600			84,902
Nitto Denko Corp.		3,300			240,919
Nomura Holdings, Inc.		9,600			53,473
Nomura Real Estate Holdings, Inc.		32,600			604,802
NTT DoCoMo, Inc.		62,300			1,277,872
Obic Co. Ltd.		15,800			836,367
Oki Electric Industry Co. Ltd. (c)		192,000			240,347
OKUMA Corp.		7,000			56,610
Omron Corp.		7,700			256,771
ORIX Corp.		103,600			1,453,349
OSG Corp. (c)		7,600			143,678
Panasonic Corp.		22,800			231,135
Penta-Ocean Construction Co. Ltd.		2,100			8,774
Pigeon Corp.		2,700			65,502
Resona Holdings, Inc.		168,500			818,276
Santen Pharmaceutical Co. Ltd.		4,300			70,793
Seiko Holdings Corp.		17,000			95,982
Sekisui Chemical Co. Ltd.		1,600			20,890
Senshu Ikeda Holdings, Inc.		21,500			88,631
Shin-Etsu Chemical Co. Ltd.		6,600			358,814
Shionogi & Co. Ltd.		24,600			1,112,664
Skylark Co. Ltd.		7,800			100,784
SMC Corp. (c)		800			207,787
Sompo Japan Nipponkoa Holdings, Inc.		6,200			203,575
Sony Corp.		11,500			282,633
Start Today Co. Ltd.		1,000			32,191

Common Stocks	Shares		Value
Japan (continued)
Sumco Corp.		7,000	$	52,812
Sumitomo Chemical Co. Ltd.		9,000		51,688
Sumitomo Corp.		6,100		62,191
Sumitomo Dainippon Pharma Co. Ltd. (c)		10,300		121,349
Sumitomo Electric Industries Ltd.		22,200		313,482
Sumitomo Mitsui Trust Holdings, Inc.		544,000		2,060,308
Sumitomo Realty & Development Co. Ltd.		7,000		199,799
Sundrug Co. Ltd.		700		45,008
Tadano Ltd.		77,000		932,154
Taiyo Yuden Co Ltd.		17,000		235,105
Takeda Pharmaceutical Co. Ltd.		4,100		204,424
TDK Corp.		3,900		249,771
Teijin Ltd.		13,000		44,302
Tohoku Electric Power Co., Inc.		5,100		63,757
Tokio Marine Holdings, Inc.		82,000		3,167,217
Tokyo Electric Power Co., Inc. (b)		36,600		210,752
Tokyo Electron Ltd.		6,400		387,743
Tokyo Gas Co. Ltd.		23,000		108,072
Tokyo Steel Manufacturing Co. Ltd.		50,500		313,531
Toshiba Corp. (b)		47,000		96,596
Tosoh Corp.		53,000		272,632
Toyota Motor Corp.		53,400		3,288,317
TS Tech Co. Ltd.		8,500		219,838
United Arrows Ltd.		900		38,800
West Japan Railway Co.		8,000		552,984
Yahoo! Japan Corp.		40,900		166,255
Yakult Honsha Co. Ltd.		1,600		78,312
Yokogawa Electric Corp.		800		9,621
Zeon Corp.		55,000		442,526
				71,559,949
Netherlands — 5.0%
Akzo Nobel NV		2,685		179,408
Altice NV Class A (b)		9,438		135,598
Altice NV Class B (b)		6,868		100,104
ASM International NV		3,815		149,562
ASML Holding NV		3,185		282,992
Eurocommercial Properties NV CVA		8,173		353,076
Euronext NV (d)		3,938		202,054
GrandVision NV (d)		2,659		79,787
Heineken Holding NV		2,469		190,080
Heineken NV		3,608		307,462
ING Groep NV CVA		136,392		1,845,388
Koninklijke Ahold NV		76,799		1,619,954
Koninklijke BAM Groep NV (b)		2,202		12,242
Koninklijke DSM NV		20,068		1,006,318
NN Group NV		10,009		353,147
Randstad Holding NV		5,361		333,837
RELX NV		24,259		408,577
Royal Dutch Shell PLC, A Shares		42,916		978,788
Royal Dutch Shell PLC, Class A		72,128		1,633,638
Royal Dutch Shell PLC, Class B		57,736		1,315,857
Unilever NV CVA		72,390		3,155,053
Wereldhave NV		3,303		185,278
Wolters Kluwer NV		11,981		402,364
				15,230,564
New Zealand — 0.0%
Contact Energy Ltd.		10,505		34,001
Vector Ltd.		5,687		12,330
				46,331

See Notes to Financial Statements.

BLACKROCK DISCIPLINED INTERNATIONAL FUND DECEMBER 31, 2015 19

Schedule of Investments (continued) International Tilts Master Portfolio

Common Stocks	Shares		Value
Norway — 2.0%
Aker Solutions ASA		9,845	$	33,522
BW LPG Ltd. (d)		944		7,738
DnB NOR ASA		103,298		1,272,758
DNO ASA (b)(c)		63,189		42,649
Fred Olsen Energy ASA (b)		8		31
Norsk Hydro ASA (c)		310,454		1,153,988
Orkla ASA		70,154		553,439
Schibsted ASA, Class A		6,403		210,509
Seadrill Ltd. (b)(c)		41,437		143,099
Statoil ASA		85,541		1,193,020
Storebrand ASA (b)		12,492		48,923
Subsea 7 SA (b)(c)		31,459		222,666
Telenor ASA		19,198		320,003
Yara International ASA		19,656		845,371
				6,047,716
Portugal — 0.0%
Jeronimo Martins SGPS SA		1,021		13,286
Singapore — 3.4%
Ascendas Real Estate Investment Trust		109,900		176,132
CapitaLand Commercial Trust Ltd.		529,700		502,569
CapitaLand Ltd.		239,600		563,177
CapitaLand Mall Trust		117,400		159,299
City Developments Ltd.		97,600		525,050
ComfortDelGro Corp. Ltd.		578,900		1,239,583
DBS Group Holdings Ltd.		82,200		963,343
Ezion Holdings Ltd. (c)		268,900		115,111
Global Logistic Properties Ltd.		23,600		35,640
Jardine Cycle & Carriage Ltd.		600		14,668
Keppel Corp. Ltd. (c)		28,900		132,020
Noble Group Ltd. (c)		44		12
Oversea-Chinese Banking Corp. Ltd. (c)		133,400		824,735
Singapore Airlines Ltd.		100,900		795,039
Singapore Telecommunications Ltd.		1,292,800		3,333,179
Wilmar International Ltd.		11,600		23,935
Yangzijiang Shipbuilding Holdings Ltd.		1,339,600		1,034,948
				10,438,440
Spain — 4.1%
Abertis Infraestructuras SA (c)		515		8,054
ACS Actividades de Construccion y Servicios SA		22,215		649,955
Aena SA (b)(d)		5,844		669,192
Banco Bilbao Vizcaya Argentaria SA (c)		109,869		802,789
Banco de Sabadell SA		30,460		53,984
Banco Popular Espanol SA (c)		90,261		297,399
Bankinter SA		45,142		320,116
CaixaBank SA		282,063		981,751
Ebro Foods SA		1,004		19,750
Ferrovial SA		13,625		308,105
Gamesa Corp. Tecnologica SA		44,915		768,943
Grifols SA (c)		9,423		435,548
Iberdrola SA		286,379		2,030,132
Industria de Diseno Textil SA		54,204		1,862,130
International Consolidated Airlines Group SA		21,245		190,423
Mediaset Espana Comunicacion SA		39,453		429,241
Repsol SA (c)		104,291		1,148,166
Tecnicas Reunidas SA (c)		6,901		260,925
Telefonica SA		108,526		1,203,979
				12,440,582

Common Stocks	Shares		Value
Sweden — 3.1%
Assa Abloy AB		16,281	$	340,805
BillerudKorsnas AB		3,361		62,201
Castellum AB		15,530		221,167
Electrolux AB, Class B		1,780		42,947
Hennes & Mauritz AB, Class B		65,537		2,331,169
Hexpol AB		9,441		101,229
Husqvarna AB, Class B		7,535		49,726
Intrum Justitia AB		84,470		2,874,318
Investment AB Kinnevik, Class B		6,016		185,300
Investor AB, Class B		11,606		426,522
Peab AB		7,305		55,937
Skanska AB, Class B		46,058		893,230
Svenska Cellulosa AB, B Shares		4,944		143,278
Swedbank AB, Class A		6,419		141,369
Telefonaktiebolaget LM Ericsson, Class B		16,212		156,305
TeliaSonera AB		58,368		289,849
Volvo AB, Class B		119,478		1,107,866
				9,423,218
Switzerland — 6.0%
Actelion Ltd., Registered Shares (b)		6,202		861,728
Adecco SA, Registered Shares (b)		3,652		249,953
Baloise Holding AG, Registered Shares		11,672		1,479,289
BB Biotech AG, Registered Shares (b)		279		81,059
Cie Financiere Richemont SA, Registered Shares (c)		4,968		355,574
EMS-Chemie Holding AG, Registered Shares		209		91,980
Givaudan SA, Registered Shares (b)		89		161,532
Glencore PLC (b)(c)		722,489		957,389
Lonza Group AG, Registered Shares (b)		4,744		771,539
Nestle SA, Registered Shares		40,954		3,040,230
Novartis AG, Registered Shares		19,986		1,719,181
Roche Holding AG		18,659		5,170,565
Sonova Holding AG, Registered Shares		1,313		166,821
STMicroelectronics NV		1,874		12,546
Straumann Holding AG, Registered Shares		164		49,775
Swiss Life Holding AG, Registered Shares (b)		11,440		3,081,361
Swiss Prime Site AG, Registered Shares (b)		1,310		102,307
Transocean Ltd. (c)		2,218		27,726
				18,380,555
United Kingdom — 14.7%
Anglo American PLC		24,272		106,486
ARM Holdings PLC		39,681		604,819
AstraZeneca PLC		30,705		2,074,040
Aviva PLC		18,614		141,289
Babcock International Group PLC (c)		49,578		741,942
Barclays PLC		252,332		812,198
Berkeley Group Holdings PLC		155		8,426
BG Group PLC		35,405		513,225
BHP Billiton PLC		57,003		635,687
BP PLC		284,738		1,479,692
British American Tobacco PLC		13,537		751,764
Britvic PLC		134,437		1,440,386
BT Group PLC		448,332		3,113,026
BTG PLC (b)		4,118		41,727
Burberry Group PLC		11,858		208,630
Capita PLC		9,473		168,548
Centrica PLC		150,737		484,012
Close Brothers Group PLC		16,220		319,850
Derwent London PLC		2,027		109,635
Diageo PLC		39,242		1,071,610

See Notes to Financial Statements.

20 BLACKROCK DISCIPLINED INTERNATIONAL FUND DECEMBER 31, 2015

Schedule of Investments (continued) International Tilts Master Portfolio

Common Stocks	Shares		Value
United Kingdom (continued)
Dixons Carphone PLC		49,199	$	362,059
DS Smith PLC		1,045		6,113
easyJet PLC		29,129		747,071
Fiat Chrysler Automobiles NV (b)		78,212		1,086,196
GlaxoSmithKline PLC		38,520		777,943
Hammerson PLC		24,655		217,959
Hikma Pharmaceuticals PLC		24,006		813,791
Howden Joinery Group PLC		54,111		419,254
HSBC Holdings PLC		551,624		4,354,636
Imperial Tobacco Group PLC		13,709		724,077
Inchcape PLC		10,676		123,176
Indivior PLC		29,245		80,817
Intermediate Capital Group PLC		10,878		100,279
ITV PLC		669,749		2,726,781
J. Sainsbury PLC (c)		217,568		828,543
Land Securities Group PLC		1,770		30,683
Legal & General Group PLC		135,523		534,760
Lloyds Banking Group PLC		2,410,088		2,593,239
Man Group PLC		6,123		15,751
Mondi PLC		4,690		91,927
National Grid PLC		47,270		651,928
Old Mutual PLC		5,775		15,192
Paragon Group of Cos. PLC		44,653		232,137
Persimmon PLC (b)		277		8,264
Provident Financial PLC		8,121		402,661
Prudential PLC		17,663		397,938
Qinetiq Group PLC		39,732		158,360
Reckitt Benckiser Group PLC		1,798		166,362
Rightmove PLC		6,767		411,231
Rio Tinto PLC		28,840		839,684
Royal Bank of Scotland Group PLC (b)		29,092		129,316
SABMiller PLC		14,290		854,885
Schroders PLC		9,603		420,602
Segro PLC		12,686		80,283
Severn Trent PLC		10,646		340,316
Sky PLC		166,621		2,731,375
Spirax-Sarco Engineering PLC		4,647		224,742
SSE PLC		93,086		2,090,129
Standard Chartered PLC		52,211		433,203
Standard Life PLC		38,771		222,023

Common Stocks	Shares		Value
United Kingdom (continued)
Tate & Lyle PLC		73,550	$	647,853
Thomas Cook Group PLC (b)		90,901		162,194
Unilever PLC		7,246		310,797
UNITE Group PLC		2,920		28,209
United Utilities Group PLC		1,032		14,210
Vedanta Resources PLC (c)		11,912		47,984
Vodafone Group PLC		308,727		1,001,130
Wolseley PLC		3,721		202,098
				44,687,153
Total Common Stocks — 97.1%				296,041,856
Rights
Singapore — 0.0%
Ascendas Real Estate Investment Trust (Expires 01/13/16) (b)		2,940		129
Spain — 0.0%
Repsol SA (Expires 01/14/16) (b)(c)		112,223		55,979
Total Rights — 0.0%				56,108
Total Long-Term Investments (Cost — $299,507,759) — 97.1%				296,097,964
Short-Term Securities
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.35% (e)(f)(g)		18,111,897		18,111,897
BlackRock Cash Funds: Prime, SL Agency Shares, 0.31% (e)(f)(g)		4,733,349		4,733,349
Total Short-Term Securities (Cost — $22,845,246) — 7.5%				22,845,246
Total Investments (Cost — $322,353,005) — 104.6%				318,943,210
Liabilities in Excess of Other Assets — (4.6)%				(14,092,137	)
Net Assets — 100.0%			$	304,851,073

Notes to Schedule of Investments

(a) A security contractually bound to one or more other securities to form a single saleable unit which cannot be sold separately.

(b) Non-income producing security.

(c) Security, or a portion of security, is on loan.

(d) 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.

(e) During the year ended December 31, 2015, investments in issuers considered to be affiliates of the Master Portfolio for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares Held at December 31, 2014		Net Activity		Shares Held at December 31, 2015		Income
BlackRock Cash Funds: Institutional, SL Agency Shares		5,215,771		12,896,126		18,111,897	$	254,626	1
BlackRock Cash Funds: Prime, SL Agency Shares		3,749,270		984,079		4,733,349	$	184,495	1
1    Represents all or a portion of 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.

(f) Current yield as of period end.

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

See Notes to Financial Statements.

BLACKROCK DISCIPLINED INTERNATIONAL FUND DECEMBER 31, 2015 21

Schedule of Investments (continued) International Tilts Master Portfolio

Derivative Financial Instruments Outstanding as of Period End

Financial Futures Contracts

Contracts Long		Issue	Expiration	Notional Value	Unrealized Appreciation (Depreciation)
	120	Euro Stoxx 50 Index	March 2016	$4,280,056	$	(1,260	)
	26	FTSE 100 Index	March 2016	$2,375,644		(7,969	)
	11	SPI 200 Index	March 2016	$1,053,463		19,586
	31	Yen Denom Nikkei Index	March 2016	$2,419,235		(6,297	)
	Total				$	4,060

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statement of Assets and Liabilities were as follows:

Assets — Derivative Financial Instruments		Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contacts		Total
Financial futures contracts	Net unrealized appreciation1		—		—	$	19,586		—		—		—	$	19,586
Liabilities — Derivative Financial Instruments
Financial futures contracts	Net unrealized depreciation1		—		—	$	15,526		—		—		—	$	15,526
1    Includes cumulative appreciation (depreciation) on financial futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

For the year ended December 31, 2015, the effect of derivative financial instruments in the Statement of Operations was as follows:

Net Realized Gain From:	Commodity Contracts		Credit Contracts		Equity Contracts			Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contacts		Total
Financial futures contracts		—		—	$	1,951,621			—		—		—	$	1,951,621
Net Change in Unrealized Appreciation (Depreciation) on:
Financial futures contracts		—		—	$	(367,928	)		—		—		—	$	(367,928	)

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Financial futures contracts:
Average notional value of contracts — long	$	30,444,348

For more information about the Master Portfolio’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 investments and derivative financial instruments. For information about the Master Portfolio’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Common Stocks:
Australia		—	$	23,937,877		—	$	23,937,877
Austria		—		349,800		—		349,800
Belgium		—		2,798,136		—		2,798,136

See Notes to Financial Statements.

22 BLACKROCK DISCIPLINED INTERNATIONAL FUND DECEMBER 31, 2015

Schedule of Investments (concluded) International Tilts Master Portfolio

	Level 1			Level 2		Level 3		Total
Assets (concluded):
Investments (concluded):
Common Stocks (concluded):
Denmark		—		$	7,372,735		—	$	7,372,735
Faeroe Islands		—			10,135		—		10,135
Finland		—			7,189,538		—		7,189,538
France		—			24,486,434		—		24,486,434
Germany		—			21,859,238		—		21,859,238
Hong Kong		—			7,463,058		—		7,463,058
Ireland		—			2,408,534		—		2,408,534
Isle of Man		—			34,023		—		34,023
Israel		—			12,852		—		12,852
Italy	$	166,403			9,685,299		—		9,851,702
Japan		—			71,559,949		—		71,559,949
Netherlands		5,000,441			10,230,123		—		15,230,564
New Zealand		12,330			34,001		—		46,331
Norway		—			6,047,716		—		6,047,716
Portugal		—			13,286		—		13,286
Singapore		—			10,438,440		—		10,438,440
Spain		—			12,440,582		—		12,440,582
Sweden		—			9,423,218		—		9,423,218
Switzerland		—			18,380,555		—		18,380,555
United Kingdom		—			44,687,153		—		44,687,153
Rights		55,979			129		—		56,108
Short-Term Securities		22,845,246			—		—		22,845,246
Total	$	28,080,399		$	290,862,811		—	$	318,943,210
	Level 1			Level 2		Level 3		Total
Derivative Financial Instruments1
Assets:
Equity contracts	$	19,586			—		—	$	19,586
Liabilities:
Equity contracts		(15,526	)		—		—		(15,526	)
Total	$	4,060			—		—	$	4,060
1    Derivative financial instruments are financial futures contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

	Level 1		Level 2			Level 3		Total
Assets:
Cash pledged for financial futures contracts	$	752,910		—			—	$	752,910
Foreign currency at value		669,447		—			—		669,447
Liabilities:
Collateral on securities loaned at value		—	$	(10,863,424	)		—		(10,863,424	)
Total	$	1,422,357	$	(10,863,424	)		—	$	(9,441,067	)

Transfers between Level 1 and Level 2 were as follows:

	Transfers into Level 11		Transfers out of Level 21
Assets:
Investments:
Common Stocks:
Netherlands	$	9,477,344	$	(9,477,344	)
New Zealand		60,764		(60,764	)
Italy		306,086		(306,086	)
Total	$	9,844,194	$	(9,844,194	)
1    Systematic Fair Value Prices were not utilized at period end for these investments.

See Notes to Financial Statements.

BLACKROCK DISCIPLINED INTERNATIONAL FUND DECEMBER 31, 2015 23

Statement of Assets and Liabilities International Tilts Master Portfolio

December 31, 2015
Assets
Investments at value — unaffiliated (including securities loaned of $10,168,613) (cost — $299,507,759)	$	296,097,964
Investments at value — affiliated (cost — $22,845,246)		22,845,246
Cash pledged for financial futures contracts		752,910
Foreign currency at value (cost — $669,547)		669,447
Receivables:
Investments sold		639,531
Dividends		383,854
Securities lending income — affiliated		5,605
Total assets		321,394,557
Liabilities
Collateral on securities loaned at value		10,863,424
Variation margin payable on financial futures contracts		42,197
Payables:
Withdrawals to investors		5,165,758
Investments purchased		331,141
Investment advisory fees		90,415
Administration fees		13,664
Trustees’ fees		9,579
Other accrued expenses		27,306
Total liabilities		16,543,484
Net Assets	$	304,851,073
Net Assets Consist of
Investors’ capital	$	308,261,056
Net unrealized appreciation (depreciation)		(3,409,983	)
Net Assets	$	304,851,073

See Notes to Financial Statements.
24	BLACKROCK DISCIPLINED INTERNATIONAL FUND	DECEMBER 31, 2015

Statement of Operations International Tilts Master Portfolio

Year Ended December 31, 2015
Investment Income
Dividends — unaffiliated	$	40,697,293
Securities lending — affiliated — net		423,432
Dividends — affiliated		15,689
Foreign taxes withheld		(4,534,717	)
Total income		36,601,697
Expenses
Investment advisory		4,686,104
Administration		593,279
Professional		43,020
Trustees		42,735
Total expenses		5,365,138
Less fees waived by the Manager		(211,412	)
Total expenses after fees waived		5,153,726
Net investment income		31,447,971
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments		(7,423,225	)
In-kind redemptions1		(24,357,588	)
Financial futures contracts		1,951,621
Foreign currency transactions		(3,518,793	)
		(33,347,985	)
Net change in unrealized appreciation (depreciation) on:
Investments		51,555,332
Financial futures contracts		(367,928	)
Foreign currency translations		1,562,064
		52,749,468
Net realized and unrealized gain		19,401,483
Net Increase in Net Assets Resulting from Operations	$	50,849,454
1   See Note 2 of the Notes to Financial Statements.

See Notes to Financial Statements.
	BLACKROCK DISCIPLINED INTERNATIONAL FUND	DECEMBER 31, 2015	25

Statements of Changes in Net Assets

	International Tilts Master Portfolio
	Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014
Operations
Net investment income	$	31,447,971		$	28,896,622
Net realized loss		(33,347,985	)		(16,672,273	)
Net change in unrealized appreciation (depreciation)		52,749,468			(62,457,072	)
Net increase (decrease) in net assets resulting from operations		50,849,454			(50,232,723	)
Capital Transactions
Proceeds from contributions		211,647,509			1,877,904,975
Value of withdrawals		(1,207,440,039	)		(1,130,695,994	)
Net increase (decrease) in net assets derived from capital transactions		(995,792,530	)		747,208,981
Net Assets
Total increase (decrease) in net assets		(944,943,076	)		696,976,258
Beginning of year		1,249,794,149			552,817,891
End of year	$	304,851,073		$	1,249,794,149

See Notes to Financial Statements.
26	BLACKROCK DISCIPLINED INTERNATIONAL FUND	DECEMBER 31, 2015

Financial Highlights International Tilts Master Portfolio

	Year Ended December 31,				Period October 31, 20131 to December 31, 2013
	2015		2014
Total Return
Total return		2.25%		(3.94)%		1.60%	2
Ratio to Average Net Assets
Total expenses		0.45%		0.46%		0.53%	3
Total expenses after fees waived		0.43%		0.45%		0.45%	3
Net investment income		2.65%		2.84%		1.17%	3
Supplemental Data
Net assets, end of period (000)		$    304,851		$ 1,249,794		$    552,818
Portfolio turnover rate		107%		120%		15%

¹  Commencement of operations.

²  Aggregate total return.

³  Annualized.

See Notes to Financial Statements.
	BLACKROCK DISCIPLINED INTERNATIONAL FUND	DECEMBER 31, 2015	27

Notes to Financial Statements International Tilts Master Portfolio

1. Organization:

International Tilts Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio (“MIP”), is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a diversified, open-end management investment company. MIP is organized as a Delaware statutory trust.

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 open-end funds referred to as the Equity-Liquidity 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 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:

Foreign Currency: The Master Portfolio’s books and records are maintained in U.S. dollars. 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 changes in the exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statement of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. The 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 federal income tax purposes.

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

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Master Portfolio is informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, some 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.

In-Kind Redemptions: The Master Portfolio transferred securities and cash to shareholders in connection with an in-kind redemption transaction. For financial reporting purposes, these transactions were treated as a sale of securities and the resulting gains and losses were recognized based on the market value of the securities on the date of the redemption. For the year ended December 31, 2015, the Master Portfolio had in-kind redemptions of $1,014,456,524. For tax purposes, no gains or losses were recognized.

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 fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statement of Operations. The custodian imposes fees on overdrawn cash balances, which can be

28 BLACKROCK DISCIPLINED INTERNATIONAL FUND DECEMBER 31, 2015

Notes to Financial Statements (continued) International Tilts Master Portfolio

offset by accumulated credits earned or may result in additional custody charges. Effective September 2015, the arrangement with its custodian for earning credits on uninvested cash balances has ceased and the custodian will be imposing fees on certain uninvested cash balances.

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: The Master Portfolio’s investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). 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 independent dealers or pricing services under policies approved by the Board of Trustees of MIP (the “Board”). The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to provide oversight of the pricing function for the Master Portfolio for all financial instruments.

Fair Value Inputs and Methodologies: The following methods (or “techniques”) and inputs are used to establish the fair value of the Master Portfolio’s assets and liabilities:

• Equity investments traded on a recognized securities exchange are valued at the official close price each day, if available. For equity investments traded on more than one exchange, the official close price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price. Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of the Master Portfolio’s net assets. Each business day, the Master Portfolio uses a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and over-the-counter (“OTC”) options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of business on the NYSE, which follows the close of the local markets.

• Financial futures contracts traded on exchanges are valued at their last sale price.

• Investments in open-end U.S. mutual funds are valued at NAV each business day.

• 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 business on the NYSE. Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

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

Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:

• Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Master Portfolio has the ability to access

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

• Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Master Portfolio’s own assumptions used in determining the fair value of investments and derivative financial instruments)

BLACKROCK DISCIPLINED INTERNATIONAL FUND DECEMBER 31, 2015 29

Notes to Financial Statements (continued) International Tilts Master Portfolio

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. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as Level 3. The fair value hierarchy for the Master Portfolio’s investments and derivative financial instruments has been included in the Schedule of Investments.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Master Portfolio’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

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. 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. The cash collateral invested by the securities lending agent, BlackRock Institutional Trust Company, N.A. (“BTC”), 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 lending agreements by counterparty which are subject to offset under an MSLA:

Counterparty	Securities Loaned at Value		Cash Collateral Received1			Net Amount
Credit Suisse Securities (USA) LLC	$	536,829	$	(536,829	)		—
Deutsche Bank Securities, Inc.		135,974		(135,974	)		—
Goldman Sachs & Co.		2,509,188		(2,509,188	)		—
JP Morgan Clearing Corp.		110,184		(110,184	)		—
Morgan Stanley & Co. LLC		1,171,479		(1,171,479	)		—
State Street Bank & Trust Co.		5,704,959		(5,704,959	)		—
Total	$	10,168,613	$	(10,168,613	)		—

¹  Collateral with a value of $10,863,424 has been received in connection with securities lending agreements. Excess of collateral received from the individual counterparty is not shown for financial reporting purposes.

30 BLACKROCK DISCIPLINED INTERNATIONAL FUND DECEMBER 31, 2015

Notes to Financial Statements (continued) International Tilts Master Portfolio

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 BlackRock, Inc. (“BlackRock”). BlackRock’s indemnity allows for full replacement of the securities loaned if the collateral received does not cover the value on the securities loaned in the event of borrower default. The Master Portfolio could suffer a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received.

5. Derivative Financial Instruments:

The Master Portfolio engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Master Portfolio and/or to manage economically its exposure to certain risks such as equity risk. These contracts may be transacted on an exchange or OTC.

Financial Futures Contracts: The Master Portfolio invests in long and/or short positions in financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in the value of equity securities (equity risk). Financial 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 at a specified date. Depending on the terms of the particular contract, financial futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date.

Upon entering into a financial 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. Securities deposited as initial margin are designated on the Schedule of Investments and cash deposited, if any, is recorded on the Statement of Assets and Liabilities as cash pledged for financial futures contracts. 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 value of the contract. Such receipts or payments are known as variation margin. Variation margin is recorded by the Master Portfolio as unrealized appreciation (depreciation) and, if applicable, as a receivable or payable for variation margin in the Statement of Assets and Liabilities.

When the contract is closed, the Master Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest or foreign currency exchange rates and the underlying assets.

6. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock for 1940 Act purposes.

MIP, on behalf of the Master Portfolio, entered into an Investment Advisory Agreement with the Manager, the Master Portfolio’s investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory 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 based on a percentage of the Master Portfolio’s average daily net assets at the following annual rates:

Average Daily Net Assets	Investment Advisory Fee
First $1 Billion		0.40%
$1 Billion — $3 Billion		0.38%
$3 Billion — $5 Billion		0.36%
$5 Billion — $10 Billion		0.35%
Greater than $10 Billion		0.34%

The Manager entered into a sub-advisory agreement with BlackRock Fund Advisors (“BFA”), an affiliate of the Manager. The Manager pays BFA, for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by the Master Portfolio to the Manager.

MIP, on behalf of the Master Portfolio, entered into an Administration Agreement with the Manager, which has agreed to provide general administration services (other than investment advice and related portfolio activities). The Manager, in consideration thereof, has agreed to bear all of the Master Portfolio’s ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by the Master Portfolio. The Manager is entitled to receive for these administration services an annual fee of 0.05% based on the average daily net assets of the Master Portfolio. The Manager has contractually agreed to waive this administration fee until May 1, 2017.

BLACKROCK DISCIPLINED INTERNATIONAL FUND DECEMBER 31, 2015 31

Notes to Financial Statements (continued) International Tilts Master Portfolio

From time to time, the Manager may waive such fees in whole or in part. Any such waiver will reduce the expenses of the Master Portfolio and, accordingly, have a favorable impact on its performance. The Manager may delegate certain of its administration duties to sub-administrators. For the year ended December 31, 2015, the Manager waived $119,534 pursuant to this agreement.

The fees and expenses of the Master Portfolio’s trustees who are not “interested persons” of MIP, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and MIP’s independent registered public accounting firm (together, the “independent expenses”) are paid directly by the Master Portfolio. The Manager has contractually agreed to provide an offsetting credit against the administration fees paid by the Master Portfolio in an amount equal to the independent expenses through April 30, 2017. The amount of the waiver, if any, is included in fees waived by the Manager in the Statement of Operations. For the year ended December 31, 2015, the Manager waived $85,755 pursuant to this agreement.

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the Master Portfolio pays to the Manager indirectly through its investment in affiliated money market funds. This amount is included in fees waived by the Manager in the Statement of Operations. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with the Master Portfolio’s investments in other affiliated investment companies, if any. For the year ended December 31, 2015, the amounts waived was $6,123.

The U.S. Securities and Exchange Commission has issued an exemptive order which permits BTC, an affiliate of the Manager, to serve as securities lending agent for the Master Portfolio, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending. The Master Portfolio is responsible for fees in connection with the investment of cash collateral received for securities on loan in a money market fund managed by the Manager or its affiliates, however, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees the Master Portfolio bears to an annual rate of 0.04% (the “collateral investment fees”).

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 fees. The Master Portfolio retains a portion of securities lending income and remits a remaining portion to BTC as compensation for its services as securities lending agent.

Pursuant to a securities lending agreement, the Master Portfolio retains 80% of securities lending income, and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees. In addition, commencing the business day following the date that the aggregate securities lending income earned across certain funds in the Equity-Liquidity Complex in a calendar year exceeds a specified threshold, the Master Portfolio, pursuant to the securities lending agreement, will retain for the remainder of the calendar year securities lending income in an amount equal to 85% of securities lending income, and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

The share of securities lending income earned by the Master Portfolio is shown as securities lending — affiliated — net in the Statement of Operations. For the year ended December 31, 2015, the Master Portfolio paid BTC $103,218 in total for securities lending agent services and collateral investment fees.

Certain officers and/or trustees of MIP are officers and/or directors of BlackRock or its affiliates.

7. Purchases and Sales:

For the year ended December 31, 2015, purchases and sales of investments excluding short-term securities and in-kind redemptions, were $1,200,347,748 and $1,153,975,832, respectively.

8. Income Tax Information:

The Master Portfolio is classified as a partnership for 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 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 remains open for each of the two years ended December 31, 2015 and the period ended December 31, 2013. 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.

32 BLACKROCK DISCIPLINED INTERNATIONAL FUND DECEMBER 31, 2015

Notes to Financial Statements (continued) International Tilts Master Portfolio

Management has analyzed tax laws and regulations and their application to the Master Portfolio as of December 31, 2015, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the Master Portfolio’s financial statements.

As of period end, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

Tax cost	$	330,898,759
Gross unrealized appreciation	$	14,055,375
Gross unrealized depreciation		(26,010,924	)
Net unrealized depreciation	$	(11,955,549	)

9. Bank Borrowings:

MIP, 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, $2.1 billion credit agreement with a group of lenders, under which the Master Portfolio may borrow to fund shareholder redemptions. Excluding commitments designated for certain funds, the Participating Funds, including the Master Portfolio, can borrow up to an aggregate commitment amount of $1.6 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 0.06% 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 2016 unless extended or renewed. Participating Funds paid administration, legal and arrangement fees, which, if applicable, are included in miscellaneous expenses in the Statement of Operations, and along with commitment 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 December 31, 2015, 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 and enters into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities held by the Master Portfolio may decline in response to certain events, including those directly involving the issuers of securities owned by the Master Portfolio. Changes arising from the general economy, the overall market and local, regional or global political or/and social instability, as well as currency, interest rate and price fluctuations, may also affect the securities’ value.

Counterparty Credit Risk: Similar to issuer credit risk, the Master Portfolio may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Master Portfolio manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Master Portfolio to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent 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.

BLACKROCK DISCIPLINED INTERNATIONAL FUND DECEMBER 31, 2015 33

Notes to Financial Statements (concluded) International Tilts Master Portfolio

Concentration Risk: The Master Portfolio invests a significant portion of its assets in securities of issuers located in Europe or with significant exposure to European issuers or countries. The European financial markets have recently experienced volatility and adverse trends due to concerns about economic downturns in, or rising government debt levels of, several European countries. These events may spread to other countries in Europe and may affect the value and liquidity of certain of the Master Portfolio’s investments.

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.

34 BLACKROCK DISCIPLINED INTERNATIONAL FUND DECEMBER 31, 2015

Report of Independent Registered Public Accounting  Firm

To the Board of Trustees of Master Investment Portfolio and the Interestholders of International Tilts Master Portfolio:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of International Tilts Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio, at December 31, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Master Portfolio’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2015 by correspondence with the custodian, transfer agent, and brokers, provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 24, 2016

BLACKROCK DISCIPLINED INTERNATIONAL FUND DECEMBER 31, 2015 35

Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement

The Board of Trustees (the “Board,” and the members of which are referred to as “Board Members”) of BlackRock Funds III (the “Fund”) met in person on May 18-20, 2015 (the “Meeting”) to review and approve the organization of BlackRock Disciplined International Fund (the “Portfolio”), a series of the Fund. The Portfolio is a “feeder” fund that invests all of its investable assets in International Tilts Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio (the “Master Fund”). The Master Portfolio commenced operations in October 2013. The Portfolio commenced operations in September 2015.

At the Meeting, the Board of the Fund noted that because the Portfolio invests all of its investable assets in the Master Portfolio, the Portfolio will not have an investment advisory agreement. Accordingly, the Board of the Fund reviewed the Master Fund’s investment advisory agreement (the “Advisory Agreement”) with BlackRock Advisors, LLC (the “Manager”) on behalf of the Master Portfolio. The Board of the Fund also reviewed the sub-advisory agreement (the “Sub-Advisory Agreement”) between the Manager and BlackRock Fund Advisors (the “Sub-Advisor”) with respect to the Master Portfolio. The Advisory Agreement and the Sub-Advisory Agreement are referred to herein as the “Agreements.” The Board of Trustees of the Master Fund (the “Master Fund Board”) met in person on April 21, 2015 and May 18-20, 2015 to consider the approval of the continuation of the Agreements; and at the May 18-20, 2015 meeting, the Master Fund Board approved the continuation of the Agreements, each for a one-year term ending June 30, 2016. A discussion regarding the basis for the Master Fund Board’s approval of the Agreements is available in the Master Portfolio’s semi-annual report for the period ending June 30, 2015. The factors considered by the Board of the Fund in reviewing the Agreements were substantially the same as the factors considered by the Master Fund Board in approving the continuation of the Agreements. The Agreements were substantially the same as an investment advisory agreement and sub-advisory agreements that had previously been reviewed by the Board of the Fund with respect to another series of the Master Fund in which a series of the Fund invests. The Manager and the Sub-Advisor are referred to herein as “BlackRock.”

Activities and Composition of the Board

On the date of the Meeting, the Board of the Fund consisted of fourteen individuals, thirteen 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 Portfolio 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 and Contract Committee and an Executive Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Executive Committee, which also has one interested Board Member).

Board Considerations in Reviewing the Agreements

A. Nature, Extent and Quality of the Services: At the Meeting, the Board, including the Independent Board Members, reviewed materials relating to its consideration of the Agreements and met with the relevant investment advisory personnel from BlackRock. The Board considered all factors it believed relevant with respect to the Portfolio including, among other factors: (a) the nature, extent and quality of the services to be provided by BlackRock; (b) the investment performance of BlackRock portfolio management; (c) the advisory fee and the cost of the services to be provided and profits to be realized by BlackRock and its affiliates from their relationship with the Portfolio; (d) the sharing of potential economies of scale; (e) fall out benefits to BlackRock and its affiliates from their relationship with the Portfolio; (f) possible alternatives to the proposed Agreements; (g) the policies and practices of BlackRock with respect to portfolio transactions for the Portfolio; (h) BlackRock’s portfolio compliance systems and capabilities; and (i) other factors deemed relevant by the Board Members. As noted above, the factors considered by the Board in reviewing the Agreements were substantially the same as the factors considered by the Master Fund Board in approving the continuation of the Agreements, as discussed in the Master Portfolio’s semi-annual report for the period ending June 30, 2015.

B. The Investment Performance of the Portfolio and BlackRock: The Board, including the Independent Board Members, previously received and considered information about BlackRock’s investment performance for other funds. The Board was informed that the Master Portfolio has delivered strong performance since its inception date. The Board, however, did not consider the performance history of the Portfolio because the Portfolio is newly organized and had not yet commenced operations as of the date of the Meeting.

36 BLACKROCK DISCIPLINED INTERNATIONAL FUND DECEMBER 31, 2015

Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement (concluded)

C. Consideration of the Advisory Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Portfolio: The Board received materials in advance of the Meeting relating to its review of the Agreements, including fees and estimated expense ratios of each class of the Portfolio, and for a representative class of the Portfolio, as compared with the fees and expense ratios of a peer group of funds. Both the peer group and the funds within the peer group (collectively, the “Peer Group”) were selected by Lipper, Inc. (“Lipper”), which is not affiliated with BlackRock.¹

The Board, including the Independent Board Members, reviewed the Master Portfolio’s contractual advisory fee rate compared with the other funds in the Portfolio’s Peer Group. The contractual advisory fee rate is shown before taking into account any reimbursements or fee waivers. The Board also compared the Portfolio’s estimated total expense ratio, as well as the Master Portfolio’s estimated actual advisory fee rate, to those of other funds in the Portfolio’s Peer Group. 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 that benefit a fund, and the actual advisory fee rate gives effect to any management fee reimbursements or waivers that benefit a fund. Additionally, the Board noted information received at prior Board meetings concerning 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.

The Board noted that the Master Portfolio’s contractual advisory fee rate ranked in the first quartile, and that the estimated actual advisory fee rate and the estimated total expense ratio each ranked in the first quartile, relative to the Portfolio’s Peer Group. The Board also noted that the Master Portfolio has an advisory fee arrangement that includes breakpoints that adjust the fee rate downward as the size of the Master Portfolio increases above certain contractually specified levels. The Board further noted that BlackRock and its affiliates have contractually agreed to reimburse or otherwise compensate the Portfolio for the Portfolio’s allocable portion of the fees and expenses of the independent trustees of the Fund and the Master Fund, counsel to such independent trustees and the accounting firm that provides audit services to the Portfolio and the Master Portfolio.

Following consideration of this information, the Board, including the independent Board Members, concluded that the fees to be paid pursuant to the Agreements were fair and reasonable in light of the services provided.

As the Portfolio had not commenced operations as of the date of the Meeting, BlackRock was not able to provide the Board with specific information concerning the expected profits to be realized by BlackRock and its affiliates from their relationships with the Portfolio. BlackRock, however, will provide the Board with such information at future meetings.

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 Master Portfolio and the Portfolio increase. The Board noted the existence of breakpoints in the advisory fee based upon the asset level of the Master Portfolio. The Board further noted the existence of expense caps, as applicable.

Conclusion

All the Board Members present at the Meeting, including all the Independent Board Members present, considered the Advisory Agreement between the Manager and the Master Fund with respect to the Master Portfolio and the Sub-Advisory Agreement between the Manager and the Sub-Advisor with respect to the Master Portfolio and found the Agreements to be satisfactory. Based upon its evaluation of the relevant factors in their totality, the Board, including the Independent Board Members, was satisfied that the terms of the Agreements were fair and reasonable. In arriving at this conclusion, 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.

¹  Funds are ranked by Lipper in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable.

BLACKROCK DISCIPLINED INTERNATIONAL FUND DECEMBER 31, 2015 37

Officers and Trustees

Name, Address1 and Year of Birth	Position(s) Held with the Trust/MIP	Length of Time Served as a Trustee3	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Independent Trustees2
Rodney D. Johnson 1941	Chair of the Board and Trustee	Since 2009	President, Fairmount Capital Advisors, Inc. from 1987 to 2013; Member of the Archdiocesan Investment Committee of the Archdiocese of Philadelphia from 2004 to 2012; Director, The Committee of Seventy (civic) from 2006 to 2012; Director, Fox Chase Cancer Center from 2004 to 2011.	33 RICs consisting of 155 Portfolios	None
David O. Beim 1940	Trustee	Since 2009	Professor of Professional Practice at the Columbia University Graduate School of Business since 1991; Trustee, Phillips Exeter Academy from 2002 to 2012; Chairman, Wave Hill, Inc. (public garden and cultural center) from 1990 to 2006.	33 RICs consisting of 155 Portfolios	None
Collette Chilton 1958	Trustee	Since 2015	Chief Investment Officer, Williams College since 2006; Chief Investment Officer, Lucent Asset Management Corporation from 1998 to 2006.	33 RICs consisting of 155 Portfolios	None
Frank J. Fabozzi 1948	Trustee	Since 2014	Editor of and Consultant for The Journal of Portfolio Management since 2006; Professor of Finance, EDHEC Business School since 2011; Visiting Professor, Princeton University from 2013 to 2014; Professor in the Practice of Finance and Becton Fellow, Yale University School of Management from 2006 to 2011.	108 RICs consisting of 230 Portfolios	None
Dr. Matina S. Horner 1939	Trustee	Since 2009	Executive Vice President, Teachers Insurance and Annuity Association and College Retirement Equities Fund from 1989 to 2003.	33 RICs consisting of 155 Portfolios	NSTAR (electric and gas utility)
Herbert I. London 1939	Trustee	Since 2009	Professor Emeritus, New York University since 2005; President, London Center for Policy Research since 2012; John M. Olin Professor of Humanities, New York University from 1993 to 2005 and Professor thereof from 1980 to 2005; President Emeritus, Hudson Institute (policy research organization) from 2011 to 2012, President thereof from 1997 to 2011 and Trustee from 1980 to 2012; Chairman of the Board of Trustees for Grantham University since 2006; Director, InnoCentive, Inc. (global internet service) since 2005; Director, Cerego, LLC (educational software) since 2005; Director, Cybersettle (online adjudication) since 2009; Director, AIMS Worldwide, Inc. (marketing) from 2007 to 2012.	33 RICs consisting of 155 Portfolios	None
Cynthia A. Montgomery 1952	Trustee	Since 2009	Professor, Harvard Business School since 1989; Director, McLean Hospital from 2005 to 2012; Director, Harvard Business School Publishing from 2005 to 2010.	33 RICs consisting of 155 Portfolios	Newell Rubbermaid, Inc. (manufacturing)
Joseph P. Platt 1947	Trustee	Since 2009	Director, Jones and Brown (Canadian insurance broker) since 1998; General Partner, Thorn Partners, LP (private investments) since 1998; Director, WQED Multi-Media (public broadcasting not-for-profit) since 2001; Director, The West Penn Allegheny Health System (a not-for-profit health system) from 2008 to 2013; Partner, Amarna Corporation, LLC (private investment company) from 2002 to 2008.	33 RICs consisting of 155 Portfolios	Greenlight Capital Re, Ltd. (reinsurance company)
Robert C. Robb, Jr. 1945	Trustee	Since 2009	Partner, Lewis, Eckert, Robb and Company (management and financial consulting firm) since 1981.	33 RICs consisting of 155 Portfolios	None
Toby Rosenblatt 1938	Trustee	Since 2009	President, Founders Investments Ltd. (private investments) since 1999; Director, Forward Management, LLC since 2007; Director, College Futures Foundation (philanthropic foundation) since 2009; Director, The James Irvine Foundation (philanthropic foundation) from 1998 to 2008.	33 RICs consisting of 155 Portfolios	None

38 BLACKROCK DISCIPLINED INTERNATIONAL FUND DECEMBER 31, 2015

Officers and Trustees (continued)

Name, Address1 and Year of Birth	Position(s) Held with the Trust/MIP	Length of Time Served as a Trustee3	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Independent Trustees2
Mark Stalnecker 1951	Trustee	Since 2015	Chief Investment Officer, University of Delaware from 1999 to 2013; Trustee, Winterthur Museum and Country Estate since 2001; Member of the Investment Committee, Delaware Public Employees’ Retirement System since 2002; Member of the Investment Committee, Christiana Care Health System since 2009; Member of the Investment Committee, Delaware Community Foundation from 2013 to 2014.	33 RICs consisting of 155 Portfolios	None
Kenneth L. Urish 1951	Trustee	Since 2009	Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Immediate 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 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.	33 RICs consisting of 155 Portfolios	None
Frederick W. Winter 1945	Trustee	Since 2009	Director, Alkon Corporation (pneumatics) since 1992; Professor and Dean Emeritus of the Joseph M. Katz School of Business, University of Pittsburgh from 2005 to 2013 and Dean thereof from 1997 to 2005; Director, Tippman Sports (recreation) from 2005 to 2013; Director, Indotronix International (IT services) from 2004 to 2008.	33 RICs consisting of 155 Portfolios	None
	1    The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.
	2    Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board has determined to extend the terms of Independent Trustees on a case-by-case basis, as appropriate. The Board has unanimously approved extending the mandatory retirement age for David O. Beim and Dr. Matina Horner until December 31, 2016, which the Board believes is in the best interests of the shareholders of the Trust/MIP.
	3    Date shown is the earliest date a person has served for the Trust/MIP. In connection with the acquisition of Barclays Global Investors by BlackRock, Inc. (“BlackRock”) in December 2009, the Trustees were elected to the Trust/MIP Board. As a result, although the chart shows certain Independent Trustees as joining the Trust’s/MIP’s board in 2009, those Independent Trustees first became members of the boards of other funds advised by BlackRock Advisors, LLC or its affiliates as follows: David O. Beim, 1998; Dr. Matina S. Horner, 2004; Rodney D. Johnson, 1995; Herbert I. London, 1987; Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Robert C. Robb, Jr., 1998; Toby Rosenblatt, 2005; Kenneth L. Urish, 1999; and Frederick W. Winter, 1999. Frank J. Fabozzi first became a member of the board of other funds advised by BlackRock Advisors, LLC or its affiliates in 1988.
Interested Trustees4
Barbara G. Novick 1960	Trustee	Since 2015	Vice Chairman of BlackRock since 2006; Chair of BlackRock’s Government Relations Steering Committee since 2009; Head of the Global Client Group of BlackRock from 1988 to 2008.	108 RICs consisting of 230 Portfolios	None
John M. Perlowski 1964	Trustee, President and Chief Executive Officer	Since 2015 (Trustee); Since 2010 (President and Chief Executive Officer)	Managing Director of BlackRock since 2009; Head of BlackRock Global Fund Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.	136 RICs consisting of 328 Portfolios	None
	4    Mr. Perlowski and Ms. Novick are both “interested persons,” as defined in the 1940 Act, of the Funds based on their positions with BlackRock and its affiliates. Mr. Perlowski and Ms. Novick are also board members of a complex of BlackRock registered open-end funds. Mr. Perlowski is also a board member of the BlackRock Equity-Bond Complex and the BlackRock Equity-Liquidity Complex, and Ms. Novick is also a board member of the BlackRock Equity-Liquidity Complex. Interested Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The maximum age limitation may be waived as to any Trustee by action of a majority of the Trustees upon a finding of good cause therefor.

BLACKROCK DISCIPLINED INTERNATIONAL FUND DECEMBER 31, 2015 39

Officers and Trustees (concluded)

Name, Address1 and Year of Birth	Position(s) Held with the Trust/MIP	Length of Time Served as an Officer	Principal Occupation(s) During Past Five Years
Trust/MIP Officers2
John M. Perlowski 1964	Trustee, President and Chief Executive Officer	Since 2015 (Trustee); Since 2010 (President and Chief Executive Officer)	Managing Director of BlackRock since 2009; Head of BlackRock Global Fund Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.
Richard Hoerner, CFA 1958	Vice President	Since 2009	Managing Director of BlackRock since 2000; Head of the Global Cash Group since 2013; Co-head of the Global Cash and Securities Lending Group from 2010 to 2013; Member of the Cash Management Group Executive Committee since 2005.
Jennifer McGovern 1977	Vice President	Since 2014	Director of BlackRock since 2011; Head of Product Structure and Oversight for BlackRock’s U.S. Wealth Advisory Group since 2013; Vice President of BlackRock from 2008 to 2010.
Neal Andrews 1966	Chief Financial Officer	Since 2009	Managing Director of BlackRock since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.
Jay Fife 1970	Treasurer	Since 2009	Managing Director of BlackRock since 2007; Director of BlackRock in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.
Charles Park 1967	Chief Compliance Officer	Since 2014	Anti-Money Laundering Compliance Officer for the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End Complex from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End 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.
Fernanda Piedra 1969	Anti-Money Laundering Compliance Officer	Since 2015	Director of BlackRock since 2014; Anti-Money Laundering Compliance Officer and Regional Head of Financial Crime for the Americas at BlackRock since 2014; Head of Regulatory Changes and Remediation for the Asset Wealth Management Division of Deutsche Bank from 2010 to 2014; Vice President of Goldman Sachs (Anti-Money Laundering/Suspicious Activities Group) from 2004 to 2010.
Benjamin Archibald 1975	Secretary	Since 2012	Managing Director of BlackRock since 2014; Director of BlackRock from 2010 to 2013; Secretary of the iShares exchange traded funds since 2015; Secretary of the BlackRock-advised mutual funds since 2012.
	1    The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.
	2    Officers of the Trust/MIP serve at the pleasure of the Board.
	Further information about the Officers and Trustees is available in the Trust’s/MIP’s Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762

Effective September 25, 2015, John M. Perlowski was appointed to serve as a Trustee of the Trust/MIP.

Effective December 31, 2015, Herbert I. London and Toby Rosenblatt retired as Trustees of the Trust/MIP.

Investment Advisor and Administrator BlackRock Advisors, LLC Wilmington, DE 19809	Accounting Agent and Custodian State Street Bank and Trust Company Boston, MA 02110	Independent Registered Public Accounting Firm PricewaterhouseCoopers LLP Philadelphia, PA 19103
Sub-Advisor BlackRock Fund Advisors San Francisco, CA 94105	Transfer Agent BNY Mellon Investment Servicing (US) Inc. Wilmington, DE 19809	Legal Counsel Sidley Austin LLP New York, NY 10019
		Address of the Trust/MIP 400 Howard Street San Francisco, CA 94105

40 BLACKROCK DISCIPLINED INTERNATIONAL FUND DECEMBER 31, 2015

Additional Information

Availability of Quarterly Schedule of Investments

The Master Portfolio files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Master Portfolio’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Master Portfolio’s Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Master Portfolio uses to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling (800) 441-7762; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Master Portfolio voted proxies relating to securities held in the Master Portfolio’s portfolio during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com; and (2) on the SEC’s website at http://www.sec.gov.

BLACKROCK DISCIPLINED INTERNATIONAL FUND DECEMBER 31, 2015 41

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 Portfolio file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s/Master Portfolio’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Fund’s/Master Portfolio’s Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Fund/Master Portfolio 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 http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Fund/Master Portfolio voted proxies relating to securities held in the Fund’s/Master Portfolio’s portfolio during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC’s website at http://www.sec.gov.

BlackRock’s Mutual Fund Family

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

Shareholder Privileges

Account Information

Call us at (800) 441-7762 from 8:00 AM to 6:00 PM EST on any business day to get information about your account balances, recent transactions and share prices. You can also reach us on the Web at http://www.blackrock.com/funds.

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.

42 BLACKROCK DISCIPLINED INTERNATIONAL FUND DECEMBER 31, 2015

Additional Information (concluded)

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.

BLACKROCK DISCIPLINED INTERNATIONAL FUND DECEMBER 31, 2015 43

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.

DIF-12/15-AR

DECEMBER 31, 2015

  ANNUAL REPORT  

BlackRock Large Cap Index Fund  |  of BlackRock Funds III

Not FDIC Insured • May Lose Value • No Bank Guarantee

Table of Contents

	Page
The Markets in Review		3
Annual Report:
Fund Summary		4
About Fund Performance		6
Disclosure of Expenses		6
Derivative Financial Instruments		6
Fund Financial Statements:
Statement of Assets and Liabilities		7
Statement of Operations		8
Statements of Changes in Net Assets		9
Fund Financial Highlights		10
Fund Notes to Financial Statements		13
Fund Report of Independent Registered Public Accounting Firm		17
Important Tax Information		17
Master Portfolio Information		18
Master Portfolio Financial Statements:
Schedule of Investments		19
Statement of Assets and Liabilities		32
Statement of Operations		33
Statements of Changes in Net Assets		34
Master Portfolio Financial Highlights		35
Master Portfolio Notes to Financial Statements		36
Master Portfolio Report of Independent Registered Public Accounting Firm		42
Officers and Trustees		43
Additional Information		46

2 BLACKROCK LARGE CAP INDEX FUND DECEMBER 31, 2015

The Markets in Review

Dear Shareholder,

Diverging monetary policies and shifting economic outlooks across regions have been the overarching themes driving financial markets over the past couple of years. With U.S. growth outpacing the global economic recovery in 2015 while inflationary pressures remained low, investors spent most of the year anticipating a short-term rate hike from the Federal Reserve (the “Fed”), which ultimately came to fruition in December. In contrast, the European Central Bank (“ECB”) and the Bank of Japan moved to a more accommodative stance during the year. In this environment, the U.S. dollar strengthened considerably, causing profit challenges for U.S. exporters and high levels of volatility in emerging market currencies and commodities. Oil prices were particularly volatile and below the historical norm due to an ongoing imbalance in global supply and demand.

Market volatility broadly increased in the middle of 2015, beginning with a sharp, but temporary, selloff in June as Greece’s long-brewing debt troubles came to an impasse. Just as these concerns abated, Chinese equities tumbled amid weakness in the country’s economy. This, combined with a depreciation of the yuan and declining confidence in China’s policymakers, stoked worries about the potential impact to the broader world economy, causing heightened volatility to spread throughout markets globally. Given a dearth of meaningful growth across most of the world, financial markets became more reliant on central bank policies to drive performance. In that vein, risk assets (such as equities and high yield bonds) rallied in October when China’s central bank provided more stimulus, the ECB hinted at further easing, and soft U.S. data pushed back expectations for a Fed rate hike. As the period came to a close, however, the ECB disappointed investors with its subdued policy changes. The Fed’s December rate hike had a positive impact on the markets as it removed a source of uncertainty, but this was counteracted by the dampening effect of a stronger U.S. dollar, falling oil prices and tighter credit conditions.

At BlackRock, we believe investors need to think globally, extend their scope across a broad array of asset classes and be prepared to move freely as market conditions change over time. 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 December 31, 2015
	6-month			12-month
U.S. large cap equities (S&P 500® Index)		0.15	%		1.38	%
U.S. small cap equities (Russell 2000® Index)		(8.75	)		(4.41	)
International equities (MSCI Europe, Australasia, Far East Index)		(6.01	)		(0.81	)
Emerging market equities (MSCI Emerging Markets Index)		(17.35	)		(14.92	)
3-month Treasury bills (BofA Merrill Lynch 3-Month U.S. Treasury Bill Index)		0.04			0.05
U.S. Treasury securities (BofA Merrill Lynch 10-Year U.S. Treasury Index)		1.43			0.91
U.S. investment-grade bonds (Barclays U.S. Aggregate Bond Index)		0.65			0.55
Tax-exempt municipal bonds (S&P Municipal Bond Index)		3.31			3.32
U.S. high yield bonds (Barclays U.S. Corporate High Yield 2% Issuer Capped Index)		(6.79	)		(4.43	)
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

THIS PAGE NOT PART OF YOUR FUND REPORT 3

Fund Summary as of December 31, 2015

Investment Objective

BlackRock Large Cap Index Fund’s (formerly known as BlackRock Russell 1000^® Index Fund) (the “Fund”) investment objective is to match the performance of the Russell 1000^® Index as closely as possible before the deduction of Fund expenses.

Portfolio Management Commentary

How did the Fund perform?

• For the 12-month period ended December 31, 2015, the Fund’s Institutional Shares returned 0.82%, Investor A Shares returned 0.56% and Class K Shares returned 0.86%. The benchmark Russell 1000^® Index returned 0.92% for the same period.

• Returns for the Fund’s respective share classes differ from the benchmark index due to individual share-class expenses. The Fund invests all of its assets in Large Cap Index Master Portfolio (formerly known as BlackRock Russell 1000^® Index Master Portfolio), (the “Master Portfolio”), a series of Master Investment Portfolio.

Describe the market environment.

• The year started with U.S. stock prices falling as lower oil prices punished the energy sector and the negative impact of a stronger dollar began to show in the earnings of large global exporting companies. U.S. equities came back into favor in the spring, after a powerful rally in European equities left valuations in the United States looking more appealing by comparison. U.S. stocks continued to outperform international markets into the summer as increasing turmoil around Greece’s debt troubles drove investors to the relative stability of U.S. markets.

• The second half of the year started well with strong manufacturing and construction data and merger and acquisition activity. This momentum stuttered as volatility and uncertainty became major themes through the remainder of 2015 given a sharp selloff in Chinese equities, falling oil prices and anticipation of a rate hike from the Federal Reserve (the “Fed”).

• With easy monetary policy in the beginning of 2015, many markets reached all-time highs, but hit considerable headwinds in the latter half of the year. Geopolitical strife in the Middle East and Russia, terrorist attacks in France and San Bernardino, California, slowing growth globally, oil price instability, and the Fed starting a tightening cycle were significant events that shaped 2015 market returns.

• The U.S. dollar strengthened against most major currencies for the year, posting a 19.9% gain against the Canadian dollar, a 12.5% gain versus the Australian dollar, an 11.4% gain versus the euro, and a 5.8% gain versus the British pound. A key theme heading into 2016 is the divergence in monetary policy between the United States and the rest of the world.

Describe recent portfolio activity.

• During the period, as changes were made to the composition of the Russell 1000^® Index, the Master Portfolio purchased and sold securities to maintain its objective of replicating the risks and return of the benchmark index.

Describe portfolio positioning at period end.

• The Master Portfolio remains positioned to attempt to match the risk characteristics of its benchmark index, irrespective of the market’s future direction.

4 BLACKROCK LARGE CAP INDEX FUND DECEMBER 31, 2015

Total Return Based on a $10,000 Investment

¹  Assuming transaction costs and other operating expenses, including administration fees, if any.

²  The Fund invests all of its assets in the Master Portfolio. The Master Portfolio will be substantially invested in securities in the Russell 1000^® Index and will invest, under normal circumstances, at least 80% of its assets in securities or other financial instruments that are components of or have economic characteristics similar to the securities included in the Russell 1000^® Index.

³  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.

⁴  Commencement of operations.

Performance Summary for the Period Ended December 31, 2015

				Average Annual Total Returns5
	6-Month Total Returns			1 Year			Since Inception6
Institutional		(0.77	)%		0.82	%		11.57	%
Investor A		(0.90	)		0.56			11.22
Class K		(0.75	)		0.86			11.54
Russell 1000® Index		(0.78	)		0.92			11.70

⁵  See “About Fund Performance” on Page 6 for a detailed description of share classes, including any related sales charges and fees.

⁶  The Fund commenced operations on March 31, 2011.

Past performance is not indicative of future results.

Expense Example

	Actual						Hypothetical8
	Beginning Account Value July 1, 2015		Ending Account Value December 31, 2015		Expenses Paid During the Period7		Beginning Account Value July 1, 2015		Ending Account Value December 31, 2015		Expenses Paid During the Period7		Annualized Expense Ratio
Institutional	$	1,000.00	$	992.30	$	0.65	$	1,000.00	$	1,024.55	$	0.66		0.13	%
Investor A	$	1,000.00	$	991.00	$	1.91	$	1,000.00	$	1,023.29	$	1.94		0.38	%
Class K	$	1,000.00	$	992.50	$	0.40	$	1,000.00	$	1,024.80	$	0.41		0.08	%

⁷  For each class of the Fund, expenses are equal to the annualized net expense ratio for the class, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). Because the Fund invests all of its assets in the Master Portfolio, the expense example reflects the net expenses of both the Fund and the Master Portfolio in which it invests.

⁸  Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365.

See “Disclosure of Expenses” on page 6 for further information on how expenses were calculated.

BLACKROCK LARGE CAP INDEX FUND DECEMBER 31, 2015 5

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.

• Investor A Shares are not subject to any sales charge and bear no ongoing distribution fee. These shares are subject to an ongoing service fee of 0.25% per year. These shares are generally available through financial intermediaries.

Performance information reflects past performance and does not guarantee future results. Current performance may be lower or higher than the performance data quoted. Refer to www.blackrock.com/funds 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 table on the previous page

assume reinvestment of all distributions, if any, at net asset value (“NAV”) on the ex-dividend date. 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 administration and distribution fees applicable to each class, which are deducted from the income available to be paid to shareholders.

BlackRock Advisors, LLC (the “Administrator”), the Fund’s administrator, has contractually agreed to waive and/or reimburse a portion of the Fund’s expenses. Without such waiver and/or reimbursement, the Fund’s performance would have been lower. The Administrator is under no obligation to continue waiving and/or reimbursing its fees after the applicable termination date of such agreement. See Note 4 of 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 on the previous page (which is based on a hypothetical investment of $1,000 invested on July 1, 2015 and held through December 31, 2015) 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 any 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 Master Portfolio may invest in various derivative financial instruments. Derivative financial instruments are used to obtain exposure to a security, index and/or market without owning or taking physical custody of securities 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. Derivative financial instruments also 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 derivative financial instrument. The

Master Portfolio’s ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Master Portfolio can realize on an investment and/or may result in lower distributions paid to shareholders. The Master Portfolio’s investments, in these instruments if any, are discussed in detail in the Master Portfolio’s Notes to Financial Statements.

6 BLACKROCK LARGE CAP INDEX FUND DECEMBER 31, 2015

Statement of Assets and Liabilities BlackRock Large Cap Index Fund

December 31, 2015
Assets
Investments at value — Master Portfolio (cost — $94,729,586)	$	98,463,993
Receivables:
Capital shares sold		19,447
From the Administrator		18,112
Withdrawals from the Master Portfolio		12,399
Prepaid expenses		17,614
Total assets		98,531,565
Liabilities
Payables:
Capital shares redeemed		31,846
Service fees		3,712
Administration fees		826
Officer’s fees		74
Other accrued expenses		34,426
Total liabilities		70,884
Net Assets	$	98,460,681
Net Assets Consist of
Paid-in capital	$	75,520,733
Distributions in excess of net investment income		(122,138	)
Accumulated net realized gain allocated from the Master Portfolio		19,327,679
Net unrealized appreciation (depreciation) allocated from the Master Portfolio		3,734,407
Net Assets	$	98,460,681
Net Asset Value
Institutional — Based on net assets of $3,431,423 and 243,734 shares outstanding, unlimited number of shares authorized, no par value	$	14.08
Investor A — Based on net assets of $17,397,157 and 1,241,712 shares outstanding, unlimited number of shares authorized, no par value	$	14.01
Class K — Based on net assets of $77,632,101 and 5,533,558 shares outstanding, unlimited number of shares authorized, no par value	$	14.03

See Notes to Financial Statements.
	BLACKROCK LARGE CAP INDEX FUND	DECEMBER 31, 2015	7

Statement of Operations BlackRock Large Cap Index Fund

Year Ended December 31, 2015
Investment Income
Net investment income allocated from the Master Portfolio:
Dividends — unaffiliated	$	1,876,888
Securities lending — affiliated — net		22,945
Dividends — affiliated		12,705
Interest — affiliated		4,183
Foreign taxes withheld		(472	)
Expenses		(43,032	)
Fees waived		1,533
Total income		1,874,750
Fund Expenses
Administration		9,570
Service — Investor A		42,776
Transfer agent — Institutional		1,860
Transfer agent — Investor A		18,326
Professional		50,956
Registration		49,694
Printing		19,096
Officer and Trustees		69
Miscellaneous		8,108
Total expenses		200,455
Less:
Administration fees waived		(9,570	)
Transfer agent fees waived — Institutional		(260	)
Transfer agent fees waived — Investor A		(1,674	)
Transfer agent fees reimbursed — Institutional		(592	)
Transfer agent fees reimbursed — Investor A		(8,156	)
Fees waived and/or reimbursed by the administrator		(86,045	)
Total expenses after fees waived and/or reimbursed		94,158
Net investment income		1,780,592
Realized and Unrealized Gain (Loss) Allocated from the Master Portfolio
Net realized gain from investments, in-kind redemptions1 and financial futures contracts		23,655,263
Net change in unrealized appreciation (depreciation) on investments, in-kind redemptions1 and financial futures contracts		(24,271,610	)
Net realized and unrealized loss		(616,347	)
Net Increase in Net Assets Resulting from Operations	$	1,164,245
1    See Note 2 of the Notes to Financial Statements.

See Notes to Financial Statements.
8	BLACKROCK LARGE CAP INDEX FUND	DECEMBER 31, 2015

Statements of Changes in Net Assets BlackRock Large Cap Index Fund

	Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014
Operations
Net investment income	$	1,780,592		$	1,476,837
Net realized gain		23,655,263			1,393,663
Net change in unrealized appreciation (depreciation)		(24,271,610	)		7,399,707
Net increase in net assets resulting from operations		1,164,245			10,270,207
Distributions to Shareholders1
From net investment income:
Institutional		(49,031	)		(4,929	)
Investor A		(294,975	)		(210,349	)
Class K		(1,564,063	)		(1,260,548	)
From net realized gain:
Institutional		(108,722	)		(6,123	)
Investor A		(563,699	)		(296,423	)
Class K		(2,500,143	)		(1,259,884	)
Decrease in net assets resulting from distributions to shareholders		(5,080,633	)		(3,038,256	)
Capital Share Transactions
Net increase in net assets derived from capital share transactions		14,158,685			7,103,413
Net Assets
Total increase in net assets		10,242,297			14,335,364
Beginning of year		88,218,384			73,883,020
End of year	$	98,460,681		$	88,218,384
Undistributed (distributions in excess of) net investment income, end of year	$	(122,138	)	$	5,339
1    Distributions for annual periods determined in accordance with federal income tax regulations.

See Notes to Financial Statements.
	BLACKROCK LARGE CAP INDEX FUND	DECEMBER 31, 2015	9

Financial Highlights BlackRock Large Cap Index Fund

	Institutional
	Year Ended December 31,												Period March 31, 20111 to December 31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	14.72		$	13.49		$	10.62		$	9.40		$	10.00
Net investment income2		0.28			0.26			0.23			0.21			0.13
Net realized and unrealized gain (loss)		(0.16	)		1.49			3.26			1.33			(0.60	)
Net increase (decrease) from investment operations		0.12			1.75			3.49			1.54			(0.47	)
Distributions:3
From net investment income		(0.29	)		(0.25	)		(0.23	)		(0.21	)		(0.13	)
From net realized gain		(0.47	)		(0.27	)		(0.39	)		(0.11	)		(0.00	)4
From return of capital		—			—			—			—			(0.00	)4
Total distributions		(0.76	)		(0.52	)		(0.62	)		(0.32	)		(0.13	)
Net asset value, end of period	$	14.08		$	14.72		$	13.49		$	10.62		$	9.40
Total Return5
Based on net asset value		0.82%			13.07%			33.09%			16.42%			(4.72)%	6
Ratios to Average Net Assets7
Total expenses		0.27%	9		0.59%			0.56%	8		0.65%	9		1.84%	10,11,12
Total expenses after fees waived and/or reimbursed		0.13%	9		0.16%			0.23%	8		0.23%	9		0.22%	10,11
Net investment income		1.93%	9		1.81%			1.80%	8		2.07%	9		1.86%	10,11
Supplemental Data
Net assets, end of period (000)	$	3,431		$	363		$	183		$	28		$	24
Portfolio turnover rate of the Master Portfolio		6%			6%			14%			16%			10%

¹  Commencement of operations.

²  Based on average shares outstanding

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Amount is greater than $(0.005) per share.

⁵  Where applicable, assumes the reinvestment of distributions.

⁶  Aggregate total return.

⁷  Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁸  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.01% for the year ended December 31, 2013.

⁹  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of less than 0.01%.

¹⁰  Annualized.

¹¹  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.24%.

¹²  Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 1.84%.

See Notes to Financial Statements.
10	BLACKROCK LARGE CAP INDEX FUND	DECEMBER 31, 2015

Financial Highlights (continued) BlackRock Large Cap Index Fund

	Investor A
	Year Ended December 31,												Period March 31, 20111 to December 31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	14.65		$	13.43		$	10.61		$	9.39		$	10.00
Net investment income2		0.24			0.22			0.19			0.19			0.13
Net realized and unrealized gain (loss)		(0.16	)		1.49			3.22			1.33			(0.62	)
Net increase (decrease) from investment operations		0.08			1.71			3.41			1.52			(0.49	)
Distributions:3
From net investment income		(0.25	)		(0.22	)		(0.20	)		(0.19	)		(0.12	)
From net realized gain		(0.47	)		(0.27	)		(0.39	)		(0.11	)		(0.00	)4
From return of capital		—			—			—			—			(0.00	)4
Total distributions		(0.72	)		(0.49	)		(0.59	)		(0.30	)		(0.12	)
Net asset value, end of period	$	14.01		$	14.65		$	13.43		$	10.61		$	9.39
Total Return5
Based on net asset value		0.56%			12.79%			32.35%			16.18%			(4.93)%	6
Ratios to Average Net Assets7
Total expenses		0.54%	9		0.57%			0.66%	8		0.83%	8,9		1.40%	10,11,12
Total expenses after fees waived and/or reimbursed		0.39%	9		0.41%			0.48%	8		0.45%	8,9		0.45%	10,11
Net investment income		1.62%	9		1.56%			1.56%	8		1.83%	8,9		1.80%	10,11
Supplemental Data
Net assets, end of period (000)	$	17,397		$	17,507		$	6,454		$	2,310		$	1,918
Portfolio turnover rate of the Master Portfolio		6%			6%			14%			16%			10%

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Amount is greater than $(0.005) per share.

⁵  Where applicable, assumes the reinvestment of distributions.

⁶  Aggregate total return.

⁷  Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁸  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.01% for the year ended December 31, 2013.

⁹  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of less than 0.01%.

¹⁰  Annualized.

¹¹  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.24%.

¹²  Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 1.40%.

See Notes to Financial Statements.
	BLACKROCK LARGE CAP INDEX FUND	DECEMBER 31, 2015	11

Financial Highlights (concluded) BlackRock Large Cap Index Fund

	Class K
	Year Ended December 31,												Period March 31, 20111 to December 31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	14.67		$	13.44		$	10.61		$	9.40		$	10.00
Net investment income2		0.28			0.26			0.23			0.22			0.13
Net realized and unrealized gain (loss)		(0.15	)		1.50			3.22			1.32			(0.60	)
Net increase (decrease) from investment operations		0.13			1.76			3.45			1.54			(0.47	)
Distributions:3
From net investment income		(0.30	)		(0.27	)		(0.23	)		(0.22	)		(0.13	)
From net realized gain		(0.47	)		(0.26	)		(0.39	)		(0.11	)		(0.00	)4
From return of capital		—			—			—			—			(0.00	)4
Total distributions		(0.77	)		(0.53	)		(0.62	)		(0.33	)		(0.13	)
Net asset value, end of period	$	14.03		$	14.67		$	13.44		$	10.61		$	9.40
Total Return5
Based on net asset value		0.86%			13.17%			32.80%			16.37%			(4.68)%	6
Ratios to Average Net Assets7
Total expenses		0.19%	9		0.24%			0.33%	8		0.52%	9		1.11%	10,11,12
Total expenses after fees waived and/or reimbursed		0.09%	9		0.12%			0.18%	8		0.18%	9		0.18%	10,11
Net investment income		1.91%	9		1.83%			1.85%	8		2.11%	9		2.02%	10,11
Supplemental Data
Net assets, end of period (000)	$	77,632		$	70,348		$	6,746		$	56,654		$	46,785
Portfolio turnover rate of the Master Portfolio		6%			6%			14%			16%			10%

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Amount is greater than $(0.005) per share.

⁵  Where applicable, assumes the reinvestment of distributions.

⁶  Aggregate total return.

⁷  Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁸  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.01% for the year ended December 31, 2013.

⁹  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of less than 0.01%.

¹⁰  Annualized.

¹¹  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.24%.

¹²  Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 1.12%.

See Notes to Financial Statements.
12	BLACKROCK LARGE CAP INDEX FUND	DECEMBER 31, 2015

Notes to Financial Statements BlackRock Large Cap Index Fund

1. Organization:

BlackRock Large Cap Index Fund (formerly known as BlackRock Russell 1000^® Index Fund) (the “Fund”), a series of BlackRock Funds III (the “Trust”), is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a diversified, open-end management investment company. The Trust is organized as a Delaware statutory trust. The Fund seeks to achieve its investment objective by investing all of its assets in Large Cap Index Master Portfolio (formerly known as Russell 1000^® Index Fund Master Portfolio) (the “Master Portfolio”), a series of Master Investment Portfolio (“MIP”), an affiliate of the Fund, which has the same investment objective and strategies as the Fund. The value of the Fund’s investment in the Master Portfolio reflects the Fund’s proportionate interest in the net assets of the Master Portfolio. The performance of the Fund is directly affected by the performance of the Master Portfolio. At December 31, 2015, the percentage of the Master Portfolio owned by the Fund was 3.9%. As such, the financial statements of the Master Portfolio, including the Schedule 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 Investor A Shares bear certain expenses related to shareholder servicing of such shares. Institutional and Class K Shares are sold only certain eligible investors. Investor A Shares are generally available through financial intermediaries. Each class has exclusive voting rights with respect to matters relating to its shareholder servicing and distribution expenditures.

Share Class	Initial Sales Charge		CDSC		Conversion Privilege
Institutional Shares		No		No	None
Investor A Shares		No		No	None
Class K Shares		No		No	None

The Board of Trustees of the Fund and Board of Trustees of MIP are referred to throughout this report as the “Board of Trustees” or the “Board” and the members are referred to as “Trustees.”

The Fund, together with certain other registered investment companies advised by BlackRock Fund Advisors, LLC (“BAL” or the “Administrator”) or its affiliates, is included in a complex of open-end funds referred to as the Equity Liquidity 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 Investment Income: For financial reporting purposes, contributions to and withdrawals from the Master Portfolio are accounted on a trade date basis. The Fund records daily its proportionate share of the Master Portfolio’s income, expenses and realized and unrealized gains and losses. Realized and unrealized gains and losses are adjusted utilizing partnership tax allocation rules. In addition, the Fund accrues its own expenses. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.

In-Kind Redemptions: The Master Portfolio satisfied certain redemptions in investors’ capital through an in-kind redemption of securities and cash. For financial reporting purposes, these transactions were treated as a sale of securities and the resulting gains and losses were recognized at the Master Portfolio based on the market value of the securities on the date of the transfer. For the year ended December 31, 2015, the Fund were allocated realized gain from the in-kind redemptions of $8,070,015. For tax purposes, no gains or losses were recognized.

Distributions: Distributions paid by the Fund are recorded on the ex-dividend date. The character and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.

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.

BLACKROCK LARGE CAP INDEX FUND DECEMBER 31, 2015 13

Notes to Financial Statements (continued) BlackRock Large Cap Index Fund

Other: Expenses directly related to the Fund or its classes are charged to the Fund or the applicable class. Other operating expenses shared by several funds, including other funds managed by the Administrator, are prorated among those funds on the basis of relative net assets or other appropriate methods. Expenses directly related to the Fund and other shared expenses prorated to the Fund are allocated daily to each class based on its relative net assets or other appropriate methods.

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: The Fund’s policy is to fair value its financial instruments at market value. The Fund records its investment in the Master Portfolio at fair value based on the Fund’s proportionate interest in the net assets of the Master Portfolio. Valuation of securities held by the Master Portfolio is discussed in Note 3 of the Master Portfolio’s Notes to Financial Statements, which are included elsewhere in this report.

4. Administration Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

The Trust, on behalf of the Fund, entered into an Administration Agreement with BlackRock Advisors, LLC (“BAL” or the “Administrator”), an indirect, wholly owned subsidiary of BlackRock, to provide administrative services (other than investment advice and related portfolio activities). For such services, the Fund pays the Administrator a monthly fee at an annual rate of 0.01% of the average daily value of the Fund’s net assets. The Fund does not pay an investment advisory fee or investment management fee.

BFA, the investment advisor for the Master Portfolio, and BAL contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of Fund’s business. The expense limitations as a percentage of average daily net assets are as follows:

	Institutional		Investor A		Class K
Rate		0.13%		0.38%		0.08%

BFA and BAL have agreed not to reduce or discontinue this contractual expense limitation prior to May 1, 2016, unless approved by the Board, including a majority of the Independent Trustees.

Prior to April 30, 2015, the expense limitations as a percentage of average daily net assets were as follows:

	Institutional		Investor A		Class K
Rate		0.15%		0.40%		0.10%

If during the Fund’s fiscal year the operating expenses of a share class, that at any time during the prior two fiscal years received a waiver or reimbursement from BFA or BAL, are less than the expense limit for that share class, BFA or BAL is entitled to be reimbursed by such share class up to the lesser of (a) the amount of fees waived or expenses reimbursed during those prior two fiscal years under the agreement and (b) the amount by which the expense limit for that share class exceeds the operating expenses of the share class for the current fiscal year, provided that: (1) the Fund of which the share class is a part, has more than $50 million in assets for the fiscal year and (2) BFA or BAL or an affiliate continues to serve as the Fund’s investment advisor or administrator. In the event the expense limit for a share class is changed subsequent to a fiscal year in which the BFA or BAL, as applicable, becomes entitled to reimbursement for fees waived or reimbursed, the amount available to reimburse BFA or BAL, as applicable, shall be calculated by reference to the expense limit for that share class in effect at the time the BFA or BAL became entitled to receive such reimbursement, rather than the subsequently changed expense limit for that share class.

As of period end, the Fund level and class specific waivers and/or reimbursements subject to possible future recoupment under the expense limitation agreement are as follows:

	Expiring December 31,
	2016		2017
Fund level	$	99,938	$	95,615
Institutional	$	758	$	852
Investor A	$	4,985	$	9,830
Class K	$	70		—

14 BLACKROCK LARGE CAP INDEX FUND DECEMBER 31, 2015

Notes to Financial Statements (continued) BlackRock Large Cap Index Fund

The following Fund level and class specific waivers and/or reimbursements previously recorded by the Fund, which were subject to recoupment by BAL and BFA, expired on December 31, 2015:

Fund level	$	100,089
Institutional	$	186
Investor A	$	981
Class K	$	149

The Trust, on behalf of the Fund, entered into a Distribution Agreement and a Distribution and Service Plan with BlackRock Investments, LLC (“BRIL”), an affiliate of the Administrator. Pursuant to the Distribution and Service Plan 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 rate of 0.25% based upon the average daily net assets of the Investor A Shares.

Pursuant to sub-agreements with BRIL, broker-dealers and 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 Investor A shareholders.

BAL maintains a call center, which is responsible for providing certain shareholder services to the Fund, such as responding to shareholder inquiries and processing transactions based upon instructions from shareholders with respect to the subscription and redemption of Fund shares. For the year ended December 31, 2015, the Fund reimbursed the BAL 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		Class K
$295	$	1,683		—

Certain officers and/or trustees of the Trust are officers and/or directors of BlackRock or its affiliates. The Fund reimburses the Administrator for a portion of the compensation paid to the Trust’s Chief Compliance Officer, which is included in officer and trustees in the Statement of Operations.

5. 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 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 remains open for each of the four years ended December 31, 2015. 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 December 31, 2015, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the Fund’s financial statements.

The tax character of distributions paid was as follows:

	2015		2014
Ordinary income	$	2,615,289	$	1,852,288
Long-term capital gains		2,465,344		1,185,968
Total	$	5,080,633	$	3,038,256

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

Undistributed ordinary income	$	39,109
Undistributed long-term capital gains		433,372
Net unrealized gains1		22,467,467
Total	$	22,939,948

¹ The difference between book-basis and tax-basis net unrealized gains (losses) was attributable primarily to the timing and recognition of partnership income.

BLACKROCK LARGE CAP INDEX FUND DECEMBER 31, 2015 15

Notes to Financial Statements (concluded) BlackRock Large Cap Index Fund

6. Capital Share Transactions:

Transactions in capital shares for each class were as follows:

	Year Ended December 31, 2015						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount
Institutional
Shares sold		235,121		$	3,472,697			12,718		$	182,477
Shares issued in reinvestment of distributions		11,038			157,118			649			9,418
Shares redeemed		(27,116	)		(399,482	)		(2,256	)		(32,808	)
Net increase		219,043		$	3,230,333			11,111		$	159,087
Investor A
Shares sold		551,765		$	8,156,831			915,164		$	12,739,622
Shares issued in reinvestment of distributions		60,105			853,788			35,002			505,651
Shares redeemed		(565,416	)		(8,408,598	)		(235,628	)		(3,301,283	)
Net increase		46,454		$	602,021			714,538		$	9,943,990
Class K
Shares sold		960,151		$	13,837,654			626,336		$	8,676,816
Shares issued in reinvestment of distributions		285,513			4,064,205			175,001			2,519,103
Shares redeemed		(508,830	)		(7,575,528	)		(1,008,042	)		(14,195,583	)
Net increase (decrease)		736,834		$	10,326,331			(206,705	)	$	(2,999,664	)
Total Net Increase		1,002,331		$	14,158,685			518,944		$	7,103,413

7. 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.

16 BLACKROCK LARGE CAP INDEX FUND DECEMBER 31, 2015

Report of Independent Registered Public Accounting Firm BlackRock Large Cap Index Fund

To the Board of Trustees of BlackRock Funds III and the Shareholders of BlackRock Large Cap Index Fund:

In our opinion, the accompanying statement of assets and liabilities and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of BlackRock Large Cap Index Fund (the “Fund”), a series of BlackRock Funds III, at December 31, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 24, 2016

Important Tax Information (Unaudited)

The following information is provided with respect to the ordinary income distributions paid during the taxable year ended December 31, 2015.

	January — December 2015
Qualified Dividend Income for Individuals1		73.26%
Dividends Qualifying for the Dividend Received Deductions for Corporations1		68.91%

¹  The Fund hereby designates the percentage indicated above or the maximum amount allowable by law.

Additionally, the Fund distributed long-term capital gains of $0.018216 and $0.347132 per share to shareholders on record June 29, 2015 and December 29, 2015, respectively.

BLACKROCK LARGE CAP INDEX FUND DECEMBER 31, 2015 17

Master Portfolio Information Large Cap Index Master Portfolio

As of Period End

Ten Largest Holdings Percent of
Net Assets

Apple, Inc.	3	%
Microsoft Corp.	2
Exxon Mobil Corp.	2
General Electric Co.	1
Johnson & Johnson	1
Amazon.Com, Inc.,	1
Wells Fargo & Co.	1
Berkshire Hathaway, Inc., Class B	1
JPMorgan Chase & Co.	1
Facebook, Inc.	1

Sector Allocation Percent of
Net Assets

Information Technology	20	%
Financials	18
Health Care	15
Consumer Discretionary	14
Industrials	11
Consumer Staples	9
Energy	6
Materials	3
Utilities	3
Telecommunication Services	2
Shot-Term Securities	12
Liabilities in Excess of Other Assets	(13	)

For Master Portfolio compliance purposes, the Master Portfolio’s sector classifications refer to any 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 advisor. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

18 BLACKROCK LARGE CAP INDEX FUND DECEMBER 31, 2015

Schedule of Investments December 31, 2015 Large Cap Index Master Portfolio (Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Aerospace & Defense — 2.7%
B/E Aerospace, Inc.		13,156	$	557,420
Boeing Co.		86,489		12,505,445
General Dynamics Corp.		36,465		5,008,832
Hexcel Corp. (a)		12,107		562,370
Honeywell International, Inc.		97,769		10,125,935
Huntington Ingalls Industries, Inc.		6,019		763,510
L-3 Communications Holdings, Inc.		10,301		1,231,073
Lockheed Martin Corp.		33,938		7,369,637
Northrop Grumman Corp.		22,811		4,306,945
Orbital ATK, Inc.		7,593		678,359
Oshkosh Corp. (a)		9,551		372,871
Precision Castparts Corp.		17,289		4,011,221
Raytheon Co.		38,165		4,752,687
Rockwell Collins, Inc.		16,544		1,527,011
Spirit Aerosystems Holdings, Inc., Class A (b)		17,769		889,694
Textron, Inc.		34,726		1,458,839
TransDigm Group, Inc. (b)		6,665		1,522,619
Triumph Group, Inc.		6,143		244,184
United Technologies Corp.		111,339		10,696,338
				68,584,990
Air Freight & Logistics — 0.6%
C.H. Robinson Worldwide, Inc.		18,240		1,131,245
Expeditors International of Washington, Inc. (a)		23,923		1,078,927
FedEx Corp. (a)		35,490		5,287,655
United Parcel Service, Inc., Class B		87,744		8,443,605
				15,941,432
Airlines — 0.7%
Alaska Air Group, Inc. (a)		16,214		1,305,389
American Airlines Group, Inc.		78,836		3,338,705
Copa Holdings SA, Class A (a)		4,227		203,995
Delta Air Lines, Inc.		102,096		5,175,246
JetBlue Airways Corp. (b)		39,297		890,077
Southwest Airlines Co.		83,585		3,599,170
Spirit Airlines, Inc. (b)		9,276		369,649
United Continental Holdings, Inc. (b)		47,778		2,737,679
				17,619,910
Auto Components — 0.5%
Allison Transmission Holdings, Inc.		22,539		583,535
BorgWarner, Inc. (a)		28,300		1,223,409
Delphi Automotive PLC (a)		36,113		3,095,967
Gentex Corp. (a)		36,904		590,833
Goodyear Tire & Rubber Co.		33,758		1,102,874
Johnson Controls, Inc.		81,901		3,234,270
Lear Corp.		9,726		1,194,645
Visteon Corp. (b)		5,077		581,317
				11,606,850
Automobiles — 0.8%
Ford Motor Co.		488,339		6,880,697
General Motors Co.		201,016		6,836,554
Harley-Davidson, Inc. (a)		25,346		1,150,455
PACCAR, Inc.		44,375		2,103,375
Tesla Motors, Inc. (a)(b)		12,197		2,927,402

Common Stocks	Shares		Value
Automobiles (continued)
Thor Industries, Inc. (a)		5,661	$	317,865
				20,216,348
Banks — 3.8%
Associated Banc-Corp		18,820		352,875
Bank of America Corp.		1,313,508		22,106,340
Bank of Hawaii Corp. (a)		5,394		339,283
BankUnited, Inc.		12,981		468,095
BB&T Corp.		97,027		3,668,591
BOK Financial Corp. (a)		3,608		215,722
CIT Group, Inc.		21,835		866,849
Citizens Financial Group, Inc.		39,122		1,024,605
Comerica, Inc.		22,331		934,106
Commerce Bancshares, Inc. (a)		10,862		462,069
Cullen/Frost Bankers, Inc. (a)		6,470		388,200
East West Bancorp, Inc.		18,049		750,116
Fifth Third Bancorp (a)		101,300		2,036,130
First Horizon National Corp. (a)		27,776		403,308
First Niagara Financial Group, Inc.		42,429		460,355
First Republic Bank		17,791		1,175,273
Huntington Bancshares, Inc.		101,124		1,118,431
KeyCorp		106,099		1,399,446
M&T Bank Corp. (a)		19,970		2,419,965
PacWest Bancorp		14,050		605,555
PNC Financial Services Group, Inc. (c)		64,776		6,173,801
Popular, Inc.		12,704		360,031
Regions Financial Corp. (a)		167,640		1,609,344
Signature Bank (b)		6,359		975,280
SunTrust Banks, Inc.		64,564		2,765,922
SVB Financial Group (b)		6,409		762,030
Synovus Financial Corp.		16,934		548,323
TCF Financial Corp.		20,940		295,673
US Bancorp		209,520		8,940,218
Wells Fargo & Co.		582,687		31,674,865
Zions Bancorporation (a)		24,583		671,116
				95,971,917
Beverages — 2.1%
Brown-Forman Corp., Class A		3,363		370,300
Brown-Forman Corp., Class B		15,479		1,536,755
Coca-Cola Co.		490,435		21,069,088
Coca-Cola Enterprises, Inc.		29,140		1,434,854
Constellation Brands, Inc., Class A		20,461		2,914,465
Dr Pepper Snapple Group, Inc.		23,980		2,234,936
Molson Coors Brewing Co., Class B		17,247		1,619,838
Monster Beverage Corp. (b)		18,712		2,787,339
PepsiCo, Inc.		184,612		18,446,431
				52,414,006
Biotechnology — 3.6%
AbbVie, Inc.		207,027		12,264,279
Agios Pharmaceuticals, Inc. (a)(b)		3,280		212,938
Alexion Pharmaceuticals, Inc. (b)		26,987		5,147,770
Alkermes PLC (b)		18,590		1,475,674
Alnylam Pharmaceuticals, Inc. (b)		9,309		876,349
Amgen, Inc.		95,095		15,436,771

Portfolio Abbreviations

ETF	Exchange-Traded Fund
REIT	Real Estate Investment Trust

See Notes to Financial Statements.

BLACKROCK LARGE CAP INDEX FUND DECEMBER 31, 2015 19

Schedule of Investments (continued) Large Cap Index Master Portfolio

Common Stocks	Shares		Value
Biotechnology (continued)
Biogen, Inc. (b)		27,879	$	8,540,732
BioMarin Pharmaceutical, Inc. (b)		20,054		2,100,857
Bluebird Bio, Inc. (b)		4,594		295,027
Celgene Corp. (b)		99,200		11,880,192
Gilead Sciences, Inc. (a)		183,805		18,599,228
Incyte Corp. (b)		19,568		2,122,150
Intercept Pharmaceuticals, Inc. (b)		1,958		292,427
Intrexon Corp. (a)(b)		6,076		183,191
Ionis Pharmaceuticals, inc. (a)(b)		14,586		903,311
Juno Therapeutics, Inc. (a)(b)		1,370		60,239
Medivation, Inc. (b)		19,745		954,473
OPKO Health, Inc. (a)(b)		38,996		391,910
Puma Biotechnology, Inc. (a)(b)		3,179		249,234
Regeneron Pharmaceuticals, Inc. (b)		9,812		5,326,640
Seattle Genetics, Inc. (a)(b)		13,245		594,436
United Therapeutics Corp. (b)		5,801		908,495
Vertex Pharmaceuticals, Inc. (b)		30,487		3,836,179
				92,652,502
Building Products — 0.2%
Allegion PLC		11,652		768,100
AO Smith Corp.		9,203		705,042
Armstrong World Industries, Inc. (b)		4,971		227,324
Fortune Brands Home & Security, Inc. (a)		20,000		1,110,000
Lennox International, Inc.		5,078		634,242
Masco Corp.		43,600		1,233,880
Owens Corning		14,803		696,185
USG Corp. (a)(b)		11,357		275,861
				5,650,634
Capital Markets — 2.1%
Affiliated Managers Group, Inc. (b)		6,845		1,093,557
Ameriprise Financial, Inc. (a)		22,686		2,414,244
Artisan Partners Asset Management, Inc., Class A (a)		4,812		173,521
Bank of New York Mellon Corp.		140,269		5,781,888
BlackRock, Inc. (c)		15,691		5,343,099
Charles Schwab Corp.		143,291		4,718,573
E*Trade Financial Corp. (b)		36,368		1,077,948
Eaton Vance Corp. (a)		14,864		482,040
Federated Investors, Inc., Class B (a)		11,520		330,048
Franklin Resources, Inc.		48,511		1,786,175
Goldman Sachs Group, Inc.		54,033		9,738,368
Invesco Ltd.		53,869		1,803,534
Lazard Ltd., Class A		8,183		368,317
Legg Mason, Inc. (a)		12,271		481,391
LPL Financial Holdings, Inc. (a)		10,056		428,888
Morgan Stanley		191,730		6,098,931
Northern Trust Corp.		29,188		2,104,163
NorthStar Asset Management Group, Inc.		23,656		287,184
Raymond James Financial, Inc.		16,029		929,201
SEI Investments Co.		17,488		916,371
State Street Corp.		51,490		3,416,876
T. Rowe Price Group, Inc. (a)		32,592		2,330,002
TD Ameritrade Holding Corp.		33,395		1,159,140
Waddell & Reed Financial, Inc., Class A (a)		10,275		294,482
				53,557,941
Chemicals — 2.2%
Air Products & Chemicals, Inc.		26,861		3,494,885
Airgas, Inc.		8,563		1,184,434

Common Stocks	Shares		Value
Chemicals (continued)
Albemarle Corp. (a)		13,653	$	764,705
Ashland, Inc. (a)		8,479		870,793
Axalta Coating Systems Ltd. (b)		12,403		330,540
Cabot Corp.		8,046		328,920
Celanese Corp., Series A		19,166		1,290,447
CF Industries Holdings, Inc.		29,438		1,201,365
Chemours Co.		21,176		113,503
Dow Chemical Co.		139,926		7,203,390
E.I. du Pont de Nemours & Co.		113,219		7,540,385
Eastman Chemical Co.		18,593		1,255,213
Ecolab, Inc. (a)		33,021		3,776,942
FMC Corp. (a)		16,474		644,628
Huntsman Corp.		23,823		270,868
International Flavors & Fragrances, Inc. (a)		10,117		1,210,398
LyondellBasell Industries NV, Class A		45,731		3,974,024
Monsanto Co.		55,011		5,419,684
Mosaic Co.		43,580		1,202,372
NewMarket Corp. (a)		1,041		396,340
Platform Specialty Products Corp. (a)(b)		15,803		202,752
PPG Industries, Inc.		34,001		3,359,979
Praxair, Inc. (a)		36,060		3,692,544
RPM International, Inc.		16,697		735,670
Scotts Miracle-Gro Co., Class A		5,556		358,418
Sherwin-Williams Co. (a)		10,128		2,629,229
Valspar Corp. (a)		10,162		842,938
Westlake Chemical Corp.		5,081		276,000
WR Grace & Co. (a)(b)		9,131		909,356
				55,480,722
Commercial Services & Supplies — 0.5%
ADT Corp. (a)		20,799		685,951
Cintas Corp.		11,262		1,025,405
Clean Harbors, Inc. (a)(b)		7,222		300,796
Copart, Inc. (b)		15,082		573,267
Covanta Holding Corp. (a)		14,432		223,552
Iron Mountain, Inc.		26,499		715,738
KAR Auction Services, Inc.		17,562		650,321
Pitney Bowes, Inc. (a)		25,552		527,649
Republic Services, Inc.		30,326		1,334,041
Rollins, Inc.		11,742		304,118
RR Donnelley & Sons Co. (a)		25,456		374,712
Stericycle, Inc. (b)		10,637		1,282,822
Tyco International PLC		52,659		1,679,295
Waste Connections, Inc.		15,492		872,509
Waste Management, Inc.		57,261		3,056,020
				13,606,196
Communications Equipment — 1.4%
Arista Networks, Inc. (a)(b)		4,187		325,916
ARRIS Group, Inc. (a)(b)		17,034		520,729
Brocade Communications Systems, Inc.		52,421		481,225
Cisco Systems, Inc.		636,097		17,273,214
CommScope Holding Co., Inc. (b)		12,850		332,687
EchoStar Corp., Class A (b)		5,607		219,290
F5 Networks, Inc. (b)		8,765		849,854
Harris Corp.		15,458		1,343,300
Juniper Networks, Inc. (a)		49,383		1,362,971
Lumentum Holdings, Inc. (b)		5,370		118,247
Motorola Solutions, Inc. (a)		22,101		1,512,813
Palo Alto Networks, Inc. (b)		9,077		1,598,823
QUALCOMM, Inc. (a)		187,994		9,396,880

See Notes to Financial Statements.

20 BLACKROCK LARGE CAP INDEX FUND DECEMBER 31, 2015

Schedule of Investments (continued) Large Cap Index Master Portfolio

Common Stocks	Shares		Value
Communications Equipment (continued)
Viavi Solutions, Inc. (b)		31,174	$	189,850
				35,525,799
Construction & Engineering — 0.1%
AECOM (a)(b)		18,865		566,516
Chicago Bridge & Iron Co. NV		12,294		479,343
Fluor Corp. (a)		18,388		868,281
Jacobs Engineering Group, Inc. (b)		15,756		660,964
KBR, Inc.		17,963		303,934
Quanta Services, Inc. (b)		25,271		511,738
				3,390,776
Construction Materials — 0.1%
Eagle Materials, Inc.		6,431		388,626
Martin Marietta Materials, Inc. (a)		8,440		1,152,735
Vulcan Materials Co.		16,592		1,575,742
				3,117,103
Consumer Finance — 0.8%
Ally Financial, Inc. (b)		58,642		1,093,087
American Express Co.		108,082		7,517,103
Capital One Financial Corp. (a)		68,342		4,932,926
Credit Acceptance Corp. (a)(b)		1,093		233,924
Discover Financial Services		55,345		2,967,599
Navient Corp.		47,860		547,997
OneMain Holdings, Inc. (b)		6,513		270,550
Santander Consumer USA Holdings, Inc. (b)		11,331		179,596
SLM Corp. (b)		50,149		326,971
Synchrony Financial (b)		104,276		3,171,033
				21,240,786
Containers & Packaging — 0.4%
AptarGroup, Inc.		7,897		573,717
Avery Dennison Corp.		11,255		705,238
Ball Corp.		17,242		1,254,011
Bemis Co., Inc.		12,328		550,938
Crown Holdings, Inc. (b)		17,468		885,628
Graphic Packaging Holding Co.		41,384		530,957
Owens-Illinois, Inc. (b)		19,046		331,781
Packaging Corp. of America		12,254		772,615
Sealed Air Corp.		25,620		1,142,652
Silgan Holdings, Inc. (a)		5,111		274,563
Sonoco Products Co.		12,798		523,054
WestRock Co.		32,678		1,490,770
				9,035,924
Distributors — 0.1%
Genuine Parts Co.		19,036		1,635,002
LKQ Corp. (b)		38,046		1,127,303
				2,762,305
Diversified Consumer Services — 0.1%
Graham Holdings Co., Class B		443		214,842
H&R Block, Inc.		29,021		966,690
Service Corp. International (a)		24,552		638,843
ServiceMaster Global Holdings, Inc. (b)		12,851		504,273
				2,324,648
Diversified Financial Services — 3.9%
Berkshire Hathaway, Inc., Class B (b)		232,614		30,714,352
CBOE Holdings, Inc. (a)		10,474		679,763
Citigroup, Inc.		379,483		19,638,245

Common Stocks	Shares		Value
Diversified Financial Services (continued)
CME Group, Inc.		40,095	$	3,632,607
FactSet Research Systems, Inc.		5,248		853,167
Interactive Brokers Group, Inc., Class A		7,210		314,356
Intercontinental Exchange, Inc.		13,922		3,567,652
JPMorgan Chase & Co. (a)		464,150		30,647,824
Leucadia National Corp.		41,218		716,781
McGraw-Hill Financial, Inc.		34,232		3,374,591
Moody’s Corp.		22,202		2,227,749
Morningstar, Inc.		2,502		201,186
MSCI, Inc.		14,106		1,017,466
NASDAQ, Inc.		14,079		818,975
Vantiv, Inc., Class A (b)		17,976		852,422
				99,257,136
Diversified Telecommunication Services — 2.2%
AT&T, Inc. (a)		761,353		26,198,157
CenturyLink, Inc. (a)		70,509		1,774,006
Frontier Communications Corp. (a)		146,551		684,393
Level 3 Communications, Inc. (b)		36,175		1,966,473
Verizon Communications, Inc.		510,101		23,576,868
Zayo Group Holdings, Inc. (b)		17,955		477,424
				54,677,321
Electric Utilities — 1.6%
American Electric Power Co., Inc.		61,278		3,570,669
Avangrid, Inc. (b)		7,055		270,912
Duke Energy Corp.		86,492		6,174,664
Edison International		40,750		2,412,808
Entergy Corp.		22,453		1,534,887
Eversource Energy		39,729		2,028,960
Exelon Corp.		115,011		3,193,855
FirstEnergy Corp.		52,784		1,674,836
Great Plains Energy, Inc.		19,562		534,238
Hawaiian Electric Industries, Inc.		13,151		380,721
ITC Holdings Corp.		19,472		764,276
NextEra Energy, Inc. (a)		55,548		5,770,882
OGE Energy Corp. (a)		24,216		636,639
Pepco Holdings, Inc.		31,875		829,069
Pinnacle West Capital Corp.		13,896		896,014
PPL Corp.		83,561		2,851,937
Southern Co.		113,598		5,315,250
Westar Energy, Inc.		17,721		751,548
Xcel Energy, Inc. (a)		63,401		2,276,730
				41,868,895
Electrical Equipment — 0.5%
Acuity Brands, Inc.		5,432		1,270,002
AMETEK, Inc.		30,208		1,618,847
Babcock & Wilcox Enterprises, Inc. (b)		6,136		128,058
Eaton Corp. PLC (a)		58,421		3,040,229
Emerson Electric Co. (a)		83,586		3,997,918
Hubbell, Inc.		7,141		721,527
Regal-Beloit Corp.		5,501		321,919
Rockwell Automation, Inc.		16,832		1,727,131
SolarCity Corp. (a)(b)		7,306		372,752
				13,198,383
Electronic Equipment, Instruments & Components — 0.5%
Amphenol Corp., Class A (a)		38,638		2,018,063
Arrow Electronics, Inc. (b)		11,855		642,304
Avnet, Inc.		16,482		706,089

See Notes to Financial Statements.

BLACKROCK LARGE CAP INDEX FUND DECEMBER 31, 2015 21

Schedule of Investments (continued) Large Cap Index Master Portfolio

Common Stocks	Shares		Value
Electronic Equipment, Instruments & Components (continued)
CDW Corp.		16,546	$	695,594
Cognex Corp.		10,678		360,596
Corning, Inc.		147,957		2,704,654
Dolby Laboratories, Inc., Class A (a)		6,445		216,874
Fitbit, Inc., Series A (a)(b)		5,114		151,323
FLIR Systems, Inc.		17,809		499,899
Ingram Micro, Inc., Class A		19,701		598,516
IPG Photonics Corp. (a)(b)		4,244		378,395
Jabil Circuit, Inc. (a)		24,567		572,165
Keysight Technologies, Inc. (b)		20,920		592,664
National Instruments Corp.		13,730		393,914
Trimble Navigation Ltd. (b)		32,248		691,720
Zebra Technologies Corp., Class A (a)(b)		6,493		452,237
				11,675,007
Energy Equipment & Services — 1.0%
Baker Hughes, Inc.		54,366		2,508,991
Cameron International Corp. (b)		23,940		1,513,008
Diamond Offshore Drilling, Inc. (a)		8,654		182,599
Dril-Quip, Inc. (b)		4,833		286,259
Ensco PLC, Class A (a)		29,475		453,620
FMC Technologies, Inc. (b)		28,967		840,333
Frank’s International NV		3,948		65,892
Halliburton Co.		106,420		3,622,537
Helmerich & Payne, Inc. (a)		11,908		637,673
Nabors Industries Ltd.		41,837		356,033
National Oilwell Varco, Inc. (a)		48,512		1,624,667
Noble Corp. PLC (a)		29,687		313,198
Oceaneering International, Inc.		12,401		465,285
Patterson-UTI Energy, Inc. (a)		18,522		279,312
Rowan Cos. PLC, Class A		15,767		267,251
RPC, Inc. (a)		6,673		79,742
Schlumberger Ltd.		158,806		11,076,718
Seadrill Ltd. (a)(b)		46,104		156,293
Superior Energy Services, Inc. (a)		19,011		256,078
Weatherford International PLC (a)(b)		97,186		815,391
				25,800,880
Food & Staples Retailing — 2.2%
Costco Wholesale Corp.		55,028		8,887,022
CVS Health Corp.		141,122		13,797,498
Kroger Co. (a)		122,621		5,129,236
Rite Aid Corp. (b)		124,039		972,466
Sprouts Farmers Market, Inc. (a)(b)		18,751		498,589
Sysco Corp.		74,263		3,044,783
Wal-Mart Stores, Inc.		197,560		12,110,428
Walgreens Boots Alliance, Inc.		107,526		9,156,377
Whole Foods Market, Inc. (a)		44,811		1,501,168
				55,097,567
Food Products — 1.7%
Archer-Daniels-Midland Co.		77,591		2,846,038
Blue Buffalo Pet Products, Inc. (b)		4,730		88,498
Bunge Ltd.		17,962		1,226,445
Campbell Soup Co. (a)		21,777		1,144,381
ConAgra Foods, Inc.		53,412		2,251,850
Flowers Foods, Inc. (a)		21,993		472,630
General Mills, Inc.		74,554		4,298,784
Hain Celestial Group, Inc. (a)(b)		12,353		498,938
Hershey Co. (a)		18,221		1,626,589
Hormel Foods Corp. (a)		16,737		1,323,562

Common Stocks	Shares		Value
Food Products (continued)
Ingredion, Inc.		8,915	$	854,414
J.M. Smucker Co.		14,967		1,846,030
Kellogg Co.		31,235		2,257,353
Keurig Green Mountain, Inc. (a)		16,213		1,458,846
Kraft Heinz Co.		74,035		5,386,787
McCormick & Co., Inc. (a)		15,983		1,367,505
Mead Johnson Nutrition Co.		25,334		2,000,119
Mondelez International, Inc., Class A		203,444		9,122,429
Pilgrim’s Pride Corp. (a)		8,670		191,520
Pinnacle Foods, Inc.		14,453		613,674
Tyson Foods, Inc., Class A		36,865		1,966,010
WhiteWave Foods Co. (b)		21,969		854,814
				43,697,216
Gas Utilities — 0.1%
AGL Resources, Inc.		15,001		957,214
Atmos Energy Corp.		12,315		776,338
National Fuel Gas Co. (a)		10,592		452,808
Questar Corp.		20,886		406,859
UGI Corp.		20,883		705,010
				3,298,229
Health Care Equipment & Supplies — 2.5%
Abbott Laboratories		186,201		8,362,287
Alere, Inc. (b)		10,767		420,882
Align Technology, Inc. (b)		10,132		667,192
Baxter International, Inc.		68,071		2,596,909
Becton Dickinson & Co.		26,189		4,035,463
Boston Scientific Corp. (b)		167,680		3,092,019
C.R. Bard, Inc.		9,287		1,759,329
Cooper Cos., Inc. (a)		6,061		813,386
Danaher Corp.		74,583		6,927,269
DENTSPLY International, Inc. (a)		17,540		1,067,309
DexCom, Inc. (b)		9,918		812,284
Edwards Lifesciences Corp. (b)		26,905		2,124,957
Hill-Rom Holdings, Inc.		6,936		333,344
Hologic, Inc. (b)		30,754		1,189,872
IDEXX Laboratories, Inc. (a)(b)		11,799		860,383
Intuitive Surgical, Inc. (b)		4,610		2,517,798
Medtronic PLC		178,235		13,709,836
ResMed, Inc. (a)		17,679		949,186
Sirona Dental Systems, Inc. (b)		6,860		751,650
St. Jude Medical, Inc.		35,168		2,172,327
Stryker Corp.		42,245		3,926,250
Teleflex, Inc. (a)		5,132		674,602
Varian Medical Systems, Inc. (a)(b)		12,521		1,011,697
Zimmer Biomet Holdings, Inc. (a)		21,313		2,186,501
				62,962,732
Health Care Providers & Services — 2.6%
Acadia Healthcare Co., Inc. (b)		6,486		405,116
Aetna, Inc.		43,675		4,722,141
AmerisourceBergen Corp.		25,719		2,667,318
Anthem, Inc. (a)		32,944		4,593,711
Brookdale Senior Living, Inc. (b)		22,853		421,866
Cardinal Health, Inc.		41,378		3,693,814
Centene Corp. (b)		14,919		981,820
Cigna Corp.		32,190		4,710,363
Community Health Systems, Inc. (b)		15,087		400,258
DaVita HealthCare Partners, Inc. (b)		22,066		1,538,221
Envision Healthcare Holdings, Inc. (b)		23,288		604,789

See Notes to Financial Statements.

22 BLACKROCK LARGE CAP INDEX FUND DECEMBER 31, 2015

Schedule of Investments (continued) Large Cap Index Master Portfolio

Common Stocks	Shares		Value
Health Care Providers & Services (continued)
Express Scripts Holding Co. (a)(b)		84,515	$	7,387,456
HCA Holdings, Inc. (b)		40,099		2,711,895
Health Net, Inc. (b)		9,679		662,624
Henry Schein, Inc. (b)		10,459		1,654,509
Humana, Inc.		18,734		3,344,206
Laboratory Corp. of America Holdings (b)		12,558		1,552,671
LifePoint Hospitals, Inc. (b)		5,543		406,856
McKesson Corp.		28,961		5,711,978
MEDNAX, Inc. (a)(b)		11,735		840,930
Patterson Cos., Inc.		10,957		495,366
Premier, Inc., Class A (b)		5,018		176,985
Quest Diagnostics, Inc.		17,965		1,278,030
Tenet Healthcare Corp. (a)(b)		12,532		379,720
UnitedHealth Group, Inc.		119,056		14,005,748
Universal Health Services, Inc., Class B		11,485		1,372,343
VCA, Inc. (b)		10,338		568,590
				67,289,324
Health Care Technology — 0.1%
Athenahealth, Inc. (a)(b)		4,839		778,934
Cerner Corp. (b)		37,479		2,255,111
IMS Health Holdings, Inc. (b)		17,002		433,041
Inovalon Holdings, Inc. (a)(b)		2,901		49,317
Veeva Systems, Inc., Class A (a)(b)		9,139		263,660
				3,780,063
Hotels, Restaurants & Leisure — 2.1%
ARAMARK		24,192		780,192
Brinker International, Inc. (a)		7,457		357,563
Carnival Corp.		53,125		2,894,250
Chipotle Mexican Grill, Inc. (b)		3,884		1,863,737
Choice Hotels International, Inc. (a)		4,561		229,920
Darden Restaurants, Inc. (a)		15,733		1,001,248
Domino’s Pizza, Inc. (a)		6,904		768,070
Dunkin’ Brands Group, Inc. (a)		12,095		515,126
Extended Stay America, Inc.		6,383		101,490
Hilton Worldwide Holdings, Inc.		64,963		1,390,208
Hyatt Hotels Corp., Class A (a)(b)		4,404		207,076
International Game Technology PLC		12,326		199,435
Las Vegas Sands Corp.		45,725		2,004,584
Marriott International, Inc., Class A (a)		25,755		1,726,615
McDonald’s Corp. (a)		119,883		14,162,978
MGM Resorts International (b)		55,700		1,265,504
Norwegian Cruise Line Holdings Ltd. (b)		16,483		965,904
Panera Bread Co., Class A (b)		3,179		619,206
Royal Caribbean Cruises Ltd.		21,511		2,177,128
Six Flags Entertainment Corp.		8,791		482,978
Starbucks Corp.		187,669		11,265,770
Starwood Hotels & Resorts Worldwide, Inc.		21,373		1,480,721
Wendy’s Co. (a)		25,917		279,126
Wyndham Worldwide Corp. (a)		15,015		1,090,840
Wynn Resorts Ltd. (a)		10,225		707,468
Yum! Brands, Inc.		54,081		3,950,617
				52,487,754
Household Durables — 0.6%
D.R. Horton, Inc.		41,058		1,315,088
Garmin Ltd. (a)		14,860		552,346
GoPro, Inc., Class A (a)(b)		10,387		187,070
Harman International Industries, Inc.		8,929		841,201
Jarden Corp. (b)		26,398		1,507,854

Common Stocks	Shares		Value
Household Durables (continued)
Leggett & Platt, Inc.		17,245	$	724,635
Lennar Corp., Class A (a)		21,750		1,063,792
Lennar Corp., Class B		1,116		44,841
Mohawk Industries, Inc. (b)		7,721		1,462,280
Newell Rubbermaid, Inc.		33,607		1,481,396
NVR, Inc. (b)		495		813,285
PulteGroup, Inc.		45,739		815,069
Tempur Sealy International, Inc. (b)		7,670		540,428
Toll Brothers, Inc. (b)		21,966		731,468
TopBuild Corp. (b)		4,545		139,850
Tupperware Brands Corp. (a)		6,189		344,418
Whirlpool Corp.		9,837		1,444,760
				14,009,781
Household Products — 1.7%
Church & Dwight Co., Inc.		16,369		1,389,401
Clorox Co.		16,407		2,080,900
Colgate-Palmolive Co.		113,136		7,537,120
Energizer Holdings, Inc. (a)		7,914		269,551
Kimberly-Clark Corp.		45,539		5,797,115
Procter & Gamble Co.		339,317		26,945,163
Spectrum Brands Holdings, Inc.		3,147		320,364
				44,339,614
Independent Power and Renewable Electricity Producers — 0.1%
AES Corp. (a)		85,606		819,249
Calpine Corp. (b)		46,603		674,345
NRG Energy, Inc.		42,144		496,035
TerraForm Power, Inc., Class A (a)(b)		6,982		87,834
				2,077,463
Industrial Conglomerates — 2.0%
3M Co.		79,338		11,951,476
BWX Technologies, Inc.		13,195		419,205
Carlisle Cos., Inc.		8,141		722,025
General Electric Co.		1,176,238		36,639,814
Roper Technologies, Inc.		12,573		2,386,230
				52,118,750
Insurance — 3.1%
ACE Ltd.		40,848		4,773,089
Aflac, Inc.		54,267		3,250,593
Alleghany Corp. (b)		2,010		960,639
Allied World Assurance Co. Holdings AG		12,202		453,792
Allstate Corp.		48,441		3,007,702
American Financial Group, Inc.		8,654		623,780
American International Group, Inc.		154,715		9,587,689
American National Insurance Co.		831		84,986
AmTrust Financial Services, Inc. (a)		4,788		294,845
Aon PLC		35,251		3,250,495
Arch Capital Group Ltd. (b)		15,513		1,082,032
Arthur J Gallagher & Co.		21,071		862,647
Aspen Insurance Holdings Ltd.		7,589		366,549
Assurant, Inc.		8,522		686,362
Assured Guaranty Ltd.		19,193		507,271
Axis Capital Holdings Ltd.		12,470		701,063
Brown & Brown, Inc.		14,515		465,931
Chubb Corp.		28,736		3,811,543
Cincinnati Financial Corp.		20,557		1,216,358
CNA Financial Corp.		3,088		108,543
Endurance Specialty Holdings Ltd.		7,860		502,961
Erie Indemnity Co., Class A		3,059		292,563

See Notes to Financial Statements.

BLACKROCK LARGE CAP INDEX FUND DECEMBER 31, 2015 23

Schedule of Investments (continued) Large Cap Index Master Portfolio

Common Stocks	Shares		Value
Insurance (continued)
Everest Re Group Ltd.		5,576	$	1,020,910
FNF Group		35,077		1,216,120
Genworth Financial, Inc., Class A (a)(b)		61,794		230,492
Hanover Insurance Group, Inc.		5,260		427,848
Hartford Financial Services Group, Inc.		52,521		2,282,563
Lincoln National Corp.		31,646		1,590,528
Loews Corp.		38,938		1,495,219
Markel Corp. (b)		1,745		1,541,446
Marsh & McLennan Cos., Inc.		67,149		3,723,412
Mercury General Corp. (a)		845		39,352
MetLife, Inc.		117,164		5,648,476
Old Republic International Corp.		33,011		614,995
PartnerRe Ltd.		5,971		834,387
Principal Financial Group, Inc.		36,820		1,656,164
ProAssurance Corp.		6,806		330,295
Progressive Corp. (a)		73,382		2,333,548
Prudential Financial, Inc.		56,658		4,612,528
Reinsurance Group of America, Inc.		8,306		710,578
RenaissanceRe Holdings Ltd.		5,780		654,238
StanCorp Financial Group, Inc.		5,297		603,222
Torchmark Corp.		15,821		904,328
Travelers Cos., Inc.		39,860		4,498,600
Unum Group		31,301		1,042,010
Validus Holdings Ltd.		10,579		489,702
Voya Financial, Inc.		27,827		1,027,095
W.R. Berkley Corp.		12,200		667,950
White Mountains Insurance Group Ltd.		758		550,922
XL Group PLC		38,352		1,502,631
				79,140,992
Internet & Catalog Retail — 2.1%
Amazon.com, Inc. (b)		47,675		32,223,056
Expedia, Inc.		14,787		1,838,024
Groupon, Inc. (a)(b)		63,718		195,614
Liberty Interactive Corp QVC Group, Series A (b)		61,649		1,684,250
Liberty Ventures, Series A (b)		17,762		801,244
Netflix, Inc. (a)(b)		53,076		6,070,833
Priceline Group, Inc. (b)		6,484		8,266,776
TripAdvisor, Inc. (b)		14,028		1,195,887
				52,275,684
Internet Software & Services — 4.0%
Akamai Technologies, Inc. (b)		22,333		1,175,386
Alphabet, Inc., Class A (b)		36,054		28,050,373
Alphabet, Inc., Class C (b)		36,791		27,919,954
CoStar Group, Inc. (b)		4,060		839,161
eBay, Inc. (b)		151,939		4,175,284
Facebook, Inc., Class A (b)		270,657		28,326,962
GoDaddy, Inc., Class A (a)(b)		2,708		86,818
IAC/InterActiveCorp		9,098		546,335
LendingClub Corp. (b)		7,587		83,836
LinkedIn Corp., Class A (b)		13,686		3,080,445
Match Group, Inc. (b)		4,391		59,498
Pandora Media, Inc. (b)		26,886		360,541
Twitter, Inc. (b)		70,689		1,635,743
VeriSign, Inc. (a)(b)		12,980		1,133,933
Yahoo!, Inc. (b)		117,372		3,903,793
Yelp, Inc. (a)(b)		8,596		247,565
Zillow Group, Inc., Class A (a)(b)		5,795		150,902
Zillow Group, Inc., Class C (a)(b)		10,928		256,589
				102,033,118

Common Stocks	Shares		Value
IT Services — 3.7%
Accenture PLC, Class A		78,562	$	8,209,729
Alliance Data Systems Corp. (b)		7,761		2,146,460
Amdocs Ltd.		19,339		1,055,329
Automatic Data Processing, Inc.		58,724		4,975,097
Black Knight Financial Services, Inc., Class A Class A (a)(b)		2,376		78,551
Booz Allen Hamilton Holding Corp.		12,568		387,723
Cognizant Technology Solutions Corp., Class A (b)		76,359		4,583,067
Computer Sciences Corp.		16,906		552,488
CoreLogic, Inc. (b)		10,700		362,302
CSRA, Inc.		16,906		507,180
DST Systems, Inc.		4,636		528,782
Fidelity National Information Services, Inc.		35,454		2,148,513
First Data Corp., Class A (b)		22,148		354,811
Fiserv, Inc. (b)		29,616		2,708,679
FleetCor Technologies, Inc. (b)		11,483		1,641,265
Gartner, Inc. (b)		10,417		944,822
Genpact Ltd. (b)		19,900		497,102
Global Payments, Inc.		16,624		1,072,414
International Business Machines Corp.		113,570		15,629,504
Jack Henry & Associates, Inc.		9,969		778,180
Leidos Holdings, Inc.		8,224		462,682
Mastercard, Inc., Class A		125,028		12,172,726
Paychex, Inc.		40,580		2,146,276
PayPal Holdings, Inc. (b)		151,939		5,500,192
Sabre Corp.		13,901		388,811
Square, Inc. (a)(b)		3,823		50,043
Teradata Corp. (b)		17,841		471,359
Total System Services, Inc.		20,666		1,029,167
VeriFone Systems, Inc. (b)		13,454		376,981
Visa, Inc., Class A (a)		244,818		18,985,636
Western Union Co. (a)		64,576		1,156,556
WEX, Inc. (b)		4,927		435,547
Xerox Corp.		134,585		1,430,639
				93,768,613
Leisure Products — 0.1%
Brunswick Corp.		11,631		587,482
Hasbro, Inc. (a)		13,976		941,424
Mattel, Inc. (a)		42,443		1,153,176
Polaris Industries, Inc. (a)		8,055		692,327
Vista Outdoor, Inc. (b)		7,847		349,270
				3,723,679
Life Sciences Tools & Services — 0.7%
Agilent Technologies, Inc.		41,649		1,741,345
Bio-Rad Laboratories, Inc., Class A (b)		2,543		352,612
Bio-Techne Corp. (a)		4,659		419,310
Bruker Corp. (b)		14,132		342,984
Charles River Laboratories International, Inc. (b)		5,776		464,332
Illumina, Inc. (b)		18,023		3,459,425
Mettler-Toledo International, Inc. (b)		3,498		1,186,277
PerkinElmer, Inc.		13,962		747,944
QIAGEN NV (b)		29,095		804,477
Quintiles Transnational Holdings, Inc. (b)		9,579		657,694
Thermo Fisher Scientific, Inc.		49,786		7,062,144
VWR Corp. (a)(b)		3,415		96,679
Waters Corp. (b)		10,343		1,391,961
				18,727,184

See Notes to Financial Statements.

24 BLACKROCK LARGE CAP INDEX FUND DECEMBER 31, 2015

Schedule of Investments (continued) Large Cap Index Master Portfolio

Common Stocks	Shares		Value
Machinery — 1.3%
AGCO Corp. (a)		8,999	$	408,465
Caterpillar, Inc. (a)		75,499		5,130,912
Colfax Corp. (b)		11,654		272,121
Crane Co.		5,982		286,179
Cummins, Inc.		22,677		1,995,803
Deere & Co. (a)		41,758		3,184,883
Donaldson Co., Inc. (a)		17,232		493,869
Dover Corp. (a)		20,060		1,229,879
Flowserve Corp. (a)		16,864		709,637
Graco, Inc.		7,451		536,994
IDEX Corp.		9,450		723,964
Illinois Tool Works, Inc.		37,424		3,468,456
Ingersoll-Rand PLC		33,109		1,830,597
ITT Corp.		10,902		395,961
Joy Global, Inc. (a)		12,156		153,287
Kennametal, Inc. (a)		10,039		192,749
Lincoln Electric Holdings, Inc.		9,520		493,993
Manitowoc Co., Inc. (a)		17,197		263,974
Middleby Corp. (a)(b)		7,170		773,428
Nordson Corp. (a)		7,666		491,774
Parker Hannifin Corp.		17,345		1,682,118
Pentair PLC		22,468		1,112,840
Snap-on, Inc.		7,266		1,245,610
SPX Corp.		4,707		43,916
SPX FLOW, Inc. (b)		5,394		150,546
Stanley Black & Decker, Inc.		19,227		2,052,098
Terex Corp.		13,103		242,143
Timken Co. (a)		9,692		277,094
Toro Co.		7,072		516,751
Trinity Industries, Inc. (a)		19,610		471,032
Valmont Industries, Inc. (a)		2,933		310,957
WABCO Holdings, Inc. (b)		6,853		700,788
Wabtec Corp. (a)		12,139		863,326
Xylem, Inc.		22,685		828,002
				33,534,146
Marine — 0.0%
Kirby Corp. (b)		7,125		374,918
Media — 3.3%
AMC Networks, Inc., Class A (b)		7,517		561,370
Cable One, Inc.		460		199,484
Cablevision Systems Corp., New York Group, Class A		25,387		809,845
CBS Corp., Class B		61,553		2,900,993
Charter Communications, Inc., Class A (a)(b)		9,375		1,716,562
Cinemark Holdings, Inc.		14,625		488,914
Clear Channel Outdoor Holdings, Inc., Class A (b)		4,142		23,154
Comcast Corp., Class A		313,189		17,673,255
Discovery Communications, Inc., Class A (a)(b)		19,533		521,140
Discovery Communications, Inc., Class C (b)		34,398		867,518
DISH Network Corp., Class A (b)		27,219		1,556,382
Gannett Co., Inc. (a)		14,707		239,577
Interpublic Group of Cos., Inc.		51,647		1,202,342
John Wiley & Sons, Inc., Class A		5,778		260,183
Liberty Broadband Corp., Class A (b)		3,460		178,709
Liberty Broadband Corp., Class C (b)		8,333		432,149
Liberty Media Corp., Class A (b)		13,298		521,946
Liberty Media Corp., Class C (b)		25,157		957,979
Lions Gate Entertainment Corp.		11,248		364,323
Live Nation Entertainment, Inc. (b)		17,323		425,626

Common Stocks	Shares		Value
Media (continued)
The Madison Square Garden Co., Class A (b)		2,596	$	420,033
MSG Networks, Inc., Class A (a)(b)		7,351		152,901
News Corp., Class A		47,503		634,640
News Corp., Class B (a)		15,642		218,362
Omnicom Group, Inc. (a)		30,557		2,311,943
Regal Entertainment Group, Class A (a)		10,795		203,702
Scripps Networks Interactive, Inc., Class A (a)		11,335		625,805
Sirius XM Holdings, Inc. (b)		287,467		1,169,991
Starz, Class A (b)		10,534		352,889
TEGNA, Inc.		28,459		726,274
Thomson Reuters Corp.		41,230		1,560,555
Time Warner Cable, Inc.		35,356		6,561,720
Time Warner, Inc.		103,134		6,669,676
Tribune Media Co., Class A		9,860		333,367
Twenty-First Century Fox, Inc., Class A		148,098		4,022,342
Twenty-First Century Fox, Inc., Class B		60,485		1,647,006
Viacom, Inc., Class A (a)		1,186		52,172
Viacom, Inc., Class B		43,349		1,784,245
Walt Disney Co.		212,216		22,299,657
				83,648,731
Metals & Mining — 0.3%
Alcoa, Inc.		163,792		1,616,627
Allegheny Technologies, Inc. (a)		13,962		157,073
Compass Minerals International, Inc.		4,161		313,199
Freeport-McMoRan, Inc. (a)		139,421		943,880
Newmont Mining Corp.		66,170		1,190,398
Nucor Corp. (a)		39,915		1,608,575
Reliance Steel & Aluminum Co.		9,344		541,111
Royal Gold, Inc. (a)		7,935		289,389
Southern Copper Corp. (a)		13,983		365,236
Steel Dynamics, Inc.		30,333		542,051
Tahoe Resources, Inc. (a)		20,878		181,012
United States Steel Corp. (a)		18,129		144,669
				7,893,220
Multi-Utilities — 1.1%
Alliant Energy Corp.		14,211		887,477
Ameren Corp.		30,347		1,311,901
CenterPoint Energy, Inc.		53,966		990,816
CMS Energy Corp. (a)		34,620		1,249,090
Consolidated Edison, Inc. (a)		36,631		2,354,274
Dominion Resources, Inc.		74,227		5,020,714
DTE Energy Co.		22,429		1,798,581
MDU Resources Group, Inc.		23,128		423,705
NiSource, Inc. (a)		39,854		777,551
PG&E Corp.		60,031		3,193,049
Public Service Enterprise Group, Inc.		63,269		2,447,878
SCANA Corp. (a)		17,929		1,084,525
Sempra Energy (a)		30,966		2,911,114
TECO Energy, Inc.		28,611		762,483
Vectren Corp.		9,842		417,498
WEC Energy Group, Inc.		39,485		2,025,975
				27,656,631
Multiline Retail — 0.6%
Dillard’s, Inc., Class A (a)		2,571		168,940
Dollar General Corp.		37,985		2,729,982
Dollar Tree, Inc. (b)		28,797		2,223,704
JC Penney Co., Inc. (a)(b)		37,826		251,921
Kohl’s Corp. (a)		24,644		1,173,794

See Notes to Financial Statements.

BLACKROCK LARGE CAP INDEX FUND DECEMBER 31, 2015 25

Schedule of Investments (continued) Large Cap Index Master Portfolio

Common Stocks	Shares		Value
Multiline Retail (continued)
Macy’s, Inc.		41,988	$	1,468,740
Nordstrom, Inc. (a)		17,555		874,415
Sears Holdings Corp. (a)(b)		1,520		31,251
Target Corp.		79,857		5,798,417
				14,721,164
Oil, Gas & Consumable Fuels — 5.2%
Anadarko Petroleum Corp.		63,529		3,086,239
Antero Resources Corp. (a)(b)		9,062		197,552
Apache Corp. (a)		47,164		2,097,383
Cabot Oil & Gas Corp. (a)		51,769		915,794
California Resources Corp. (a)		42,469		98,953
Cheniere Energy, Inc. (b)		29,616		1,103,196
Chesapeake Energy Corp. (a)		72,945		328,253
Chevron Corp.		235,194		21,158,052
Cimarex Energy Co.		11,846		1,058,795
Cobalt International Energy, Inc. (b)		44,915		242,541
Columbia Pipeline Group, Inc.		49,192		983,840
Concho Resources, Inc. (b)		16,153		1,499,968
ConocoPhillips		154,206		7,199,878
CONSOL Energy, Inc. (a)		29,632		234,093
Continental Resources, Inc. (b)		10,642		244,553
CVR Energy, Inc. (a)		1,794		70,594
Denbury Resources, Inc. (a)		48,109		97,180
Devon Energy Corp.		51,417		1,645,344
Diamondback Energy, Inc. (b)		8,351		558,682
Energen Corp.		9,886		405,227
EOG Resources, Inc. (a)		68,656		4,860,158
EP Energy Corp., Class A (a)(b)		3,903		17,095
EQT Corp. (a)		19,055		993,337
Exxon Mobil Corp. (a)		522,936		40,762,861
Golar LNG Ltd. (a)		10,974		173,279
Gulfport Energy Corp. (b)		13,652		335,430
Hess Corp.		31,534		1,528,768
HollyFrontier Corp.		23,672		944,276
Kinder Morgan, Inc.		223,325		3,332,009
Kosmos Energy Ltd. (a)(b)		21,624		112,445
Laredo Petroleum, Inc. (a)(b)		16,102		128,655
Marathon Oil Corp. (a)		84,625		1,065,429
Marathon Petroleum Corp.		67,948		3,522,424
Memorial Resource Development Corp. (a)(b)		10,821		174,759
Murphy Oil Corp. (a)		21,971		493,249
Murphy USA, Inc. (b)		5,616		341,116
Newfield Exploration Co. (b)		19,830		645,665
Noble Energy, Inc.		53,672		1,767,419
Occidental Petroleum Corp.		96,070		6,495,293
ONEOK, Inc. (a)		26,188		645,796
PBF Energy, Inc., Class A		12,094		445,180
Phillips 66		67,743		5,541,377
Pioneer Natural Resources Co.		18,673		2,341,221
QEP Resources, Inc. (a)		22,213		297,654
Range Resources Corp. (a)		21,263		523,282
SM Energy Co. (a)		8,512		167,346
Southwestern Energy Co. (a)(b)		48,724		346,428
Spectra Energy Corp.		83,964		2,010,098
Targa Resources Corp. (a)		7,111		192,424
Teekay Corp.		6,094		60,148
Tesoro Corp.		15,738		1,658,313
Valero Energy Corp.		60,223		4,258,368
Whiting Petroleum Corp. (a)(b)		25,607		241,730
Williams Cos., Inc.		93,674		2,407,422

Common Stocks	Shares		Value
Oil, Gas & Consumable Fuels (continued)
World Fuel Services Corp. (a)		8,908	$	342,602
WPX Energy, Inc. (b)		31,019		178,049
				132,577,222
Paper & Forest Products — 0.1%
Domtar Corp. (a)		7,922		292,718
International Paper Co.		52,644		1,984,679
				2,277,397
Personal Products — 0.2%
Avon Products, Inc. (a)		56,352		228,225
Coty, Inc., Class A (a)		10,371		265,809
Edgewell Personal Care Co.		7,490		586,991
Estee Lauder Cos., Inc., Class A		26,236		2,310,342
Herbalife Ltd. (a)(b)		9,271		497,111
Nu Skin Enterprises, Inc., Class A (a)		7,258		275,006
				4,163,484
Pharmaceuticals — 5.3%
Akorn, Inc. (b)		9,575		357,243
Allergan PLC (b)		49,084		15,338,750
Baxalta, Inc.		68,071		2,656,811
Bristol-Myers Squibb Co.		208,491		14,342,096
Eli Lilly & Co.		122,380		10,311,739
Endo International PLC (b)		28,316		1,733,506
Jazz Pharmaceuticals PLC (b)		7,638		1,073,597
Johnson & Johnson		346,828		35,626,172
Mallinckrodt PLC (b)		14,631		1,091,912
Merck & Co., Inc.		353,354		18,664,158
Mylan NV (b)		52,563		2,842,081
Perrigo Co. PLC		18,295		2,647,286
Pfizer, Inc.		770,146		24,860,313
Zoetis, Inc.		62,531		2,996,486
				134,542,150
Professional Services — 0.4%
Dun & Bradstreet Corp.		4,561		474,025
Equifax, Inc.		14,885		1,657,742
IHS, Inc., Class A (b)		8,632		1,022,288
ManpowerGroup, Inc.		9,830		828,571
Nielsen Holdings PLC (a)		46,034		2,145,184
Robert Half International, Inc.		16,945		798,787
Towers Watson & Co., Class A		8,671		1,113,877
TransUnion (b)		3,953		108,984
Verisk Analytics, Inc. (a)(b)		21,146		1,625,705
				9,775,163
Real Estate Investment Trusts (REITs) — 3.6%
Alexandria Real Estate Equities, Inc.		9,076		820,107
American Campus Communities, Inc.		14,241		588,723
American Capital Agency Corp.		44,403		769,948
American Homes 4 Rent, Class A		20,511		341,713
American Tower Corp.		52,917		5,130,303
Annaly Capital Management, Inc.		118,531		1,111,821
Apartment Investment & Management Co., Class A		19,015		761,170
Apple Hospitality REIT, Inc. (a)		20,845		416,275
AvalonBay Communities, Inc.		16,533		3,044,221
BioMed Realty Trust, Inc.		25,691		608,620
Boston Properties, Inc.		19,187		2,447,110
Brandywine Realty Trust		22,544		307,951
Brixmor Property Group, Inc.		21,889		565,174
Camden Property Trust		10,862		833,767

See Notes to Financial Statements.

26 BLACKROCK LARGE CAP INDEX FUND DECEMBER 31, 2015

Schedule of Investments (continued) Large Cap Index Master Portfolio

Common Stocks	Shares		Value
Real Estate Investment Trusts (REITs) (continued)
Care Capital Properties, Inc.		10,380	$	317,317
CBL & Associates Properties, Inc.		20,740		256,554
Chimera Investment Corp.		25,297		345,051
Columbia Property Trust, Inc.		15,461		363,024
Communications Sales & Leasing, Inc. (b)		14,998		280,313
Corporate Office Properties Trust		11,942		260,694
Corrections Corp. of America		13,836		366,516
Crown Castle International Corp.		41,743		3,608,682
DDR Corp.		37,995		639,836
Digital Realty Trust, Inc.		18,304		1,384,148
Douglas Emmett, Inc.		18,419		574,304
Duke Realty Corp.		43,353		911,280
Empire State Realty Trust, Inc., Class A		14,151		255,709
Equinix, Inc.		7,702		2,329,085
Equity Commonwealth (b)		15,439		428,123
Equity Lifestyle Properties, Inc.		10,571		704,769
Equity Residential		45,525		3,714,385
Essex Property Trust, Inc.		8,174		1,956,937
Extra Space Storage, Inc.		15,357		1,354,641
Federal Realty Investment Trust (a)		8,591		1,255,145
Four Corners Property Trust, Inc. (b)		5,096		123,119
Gaming and Leisure Properties, Inc.		10,885		302,603
General Growth Properties, Inc.		72,170		1,963,746
HCP, Inc.		57,743		2,208,092
Healthcare Trust of America, Inc., Class A		15,338		413,666
Hospitality Properties Trust		17,944		469,236
Host Hotels & Resorts, Inc.		94,764		1,453,680
Kilroy Realty Corp. (a)		11,044		698,864
Kimco Realty Corp.		51,624		1,365,971
Lamar Advertising Co., Class A		10,173		610,177
Liberty Property Trust		18,750		582,187
Macerich Co.		19,794		1,597,178
MFA Financial, Inc.		45,788		302,201
Mid-America Apartment Communities, Inc.		9,432		856,520
National Retail Properties, Inc. (a)		16,813		673,361
NorthStar Realty Europe Corp.		7,628		90,087
NorthStar Realty Finance Corp.		22,885		389,732
Omega Healthcare Investors, Inc.		22,854		799,433
Outfront Media, Inc.		16,839		367,595
Paramount Group, Inc.		21,905		396,480
Piedmont Office Realty Trust, Inc., Class A (a)		19,095		360,514
Plum Creek Timber Co., Inc. (a)		22,033		1,051,415
Post Properties, Inc.		6,686		395,544
Prologis, Inc.		65,544		2,813,148
Public Storage		18,116		4,487,333
Rayonier, Inc.		15,584		345,965
Realty Income Corp. (a)		31,216		1,611,682
Regency Centers Corp.		11,469		781,268
Retail Properties of America, Inc., Class A		28,263		417,445
Senior Housing Properties Trust		28,563		423,875
Simon Property Group, Inc.		38,931		7,569,744
SL Green Realty Corp. (a)		12,455		1,407,166
Spirit Realty Capital, Inc.		55,657		557,683
Starwood Property Trust, Inc.		29,872		614,168
Tanger Factory Outlet Centers, Inc.		11,735		383,734
Taubman Centers, Inc.		7,730		593,046
Two Harbors Investment Corp.		46,159		373,888
UDR, Inc. (a)		32,392		1,216,967
Ventas, Inc.		41,384		2,335,299
VEREIT, Inc.		113,545		899,276

Common Stocks	Shares			Value
Real Estate Investment Trusts (REITs) (continued)
Vornado Realty Trust		23,548		$	2,353,858
Weingarten Realty Investors		15,697			542,802
Welltower, Inc.		43,854			2,983,388
Weyerhaeuser Co.		64,755			1,941,355
WP Carey, Inc.		13,066			770,894
WP Glimcher, Inc.		23,138			245,494
					92,194,295
Real Estate Management & Development — 0.2%
CBRE Group, Inc., Class A (b)		35,774			1,237,065
Forest City Enterprises, Inc., Class A (b)		27,398			600,838
Howard Hughes Corp. (a)(b)		4,926			557,426
Jones Lang LaSalle, Inc.		5,629			899,852
Realogy Holdings Corp. (b)		17,722			649,866
					3,945,047
Road & Rail — 0.8%
AMERCO, Inc.		905			352,498
Avis Budget Group, Inc. (b)		13,277			481,822
CSX Corp.		123,568			3,206,590
Genesee & Wyoming, Inc., Class A (b)		7,089	��		380,608
Hertz Global Holdings, Inc. (a)(b)		50,915			724,521
JB Hunt Transport Services, Inc. (a)		11,541			846,648
Kansas City Southern (a)		13,826			1,032,387
Landstar System, Inc. (a)		5,453			319,818
Norfolk Southern Corp.		38,128			3,225,248
Old Dominion Freight Line, Inc. (b)		8,776			518,398
Ryder System, Inc.		6,751			383,659
Union Pacific Corp.		109,511			8,563,760
					20,035,957
Semiconductors & Semiconductor Equipment — 2.4%
Analog Devices, Inc.		39,215			2,169,374
Applied Materials, Inc.		143,724			2,683,327
Atmel Corp.		52,202			449,459
Avago Technologies Ltd.		32,092			4,658,154
Broadcom Corp., Class A		69,100			3,995,362
Cree, Inc. (b)		12,947			345,296
Cypress Semiconductor Corp. (a)(b)		40,493			397,236
First Solar, Inc. (b)		9,449			623,539
Intel Corp.		593,337			20,440,460
KLA-Tencor Corp.		20,002			1,387,139
Lam Research Corp. (a)		19,802			1,572,675
Linear Technology Corp.		29,951			1,272,019
Marvell Technology Group Ltd. (a)		56,289			496,469
Maxim Integrated Products, Inc.		35,521			1,349,798
Microchip Technology, Inc. (a)		26,153			1,217,161
Micron Technology, Inc. (b)		135,270			1,915,423
NVIDIA Corp. (a)		67,289			2,217,845
ON Semiconductor Corp. (b)		53,842			527,652
Qorvo, Inc. (b)		18,747			954,222
Skyworks Solutions, Inc.		23,901			1,836,314
SunEdison, Inc. (a)(b)		34,752			176,888
SunPower Corp. (a)(b)		7,281			218,503
Teradyne, Inc.		27,295			564,188
Texas Instruments, Inc.		130,120			7,131,877
Xilinx, Inc.		32,354			1,519,667
					60,120,047

See Notes to Financial Statements.

BLACKROCK LARGE CAP INDEX FUND DECEMBER 31, 2015 27

Schedule of Investments (continued) Large Cap Index Master Portfolio

Common Stocks	Shares		Value
Software — 4.5%
Activision Blizzard, Inc. (a)		63,109	$	2,442,949
Adobe Systems, Inc. (b)		62,570		5,877,826
Allscripts Healthcare Solutions, Inc. (b)		22,498		346,019
ANSYS, Inc. (b)		11,228		1,038,590
Autodesk, Inc. (a)(b)		28,473		1,734,860
Broadridge Financial Solutions, Inc.		14,993		805,574
CA, Inc.		38,368		1,095,790
Cadence Design Systems, Inc. (b)		36,653		762,749
CDK Global, Inc.		20,112		954,717
Citrix Systems, Inc. (b)		20,048		1,516,631
Electronic Arts, Inc. (a)(b)		39,349		2,704,063
FireEye, Inc. (a)(b)		17,065		353,928
Fortinet, Inc. (a)(b)	��	17,874		557,133
Intuit, Inc.		34,479		3,327,223
King Digital Entertainment PLC		10,991		196,519
Microsoft Corp.		1,011,771		56,133,055
NetSuite, Inc. (a)(b)		5,023		425,046
Nuance Communications, Inc. (b)		31,901		634,511
Oracle Corp.		396,279		14,476,072
PTC, Inc. (b)		14,519		502,793
Rackspace Hosting, Inc. (a)(b)		15,767		399,220
Red Hat, Inc. (a)(b)		22,928		1,898,668
salesforce.com, Inc. (b)		82,047		6,432,485
ServiceNow, Inc. (b)		19,236		1,665,068
SolarWinds, Inc. (b)		7,547		444,518
Solera Holdings, Inc.		8,220		450,703
Splunk, Inc. (a)(b)		15,722		924,611
SS&C Technologies Holdings, Inc.		10,199		696,286
Symantec Corp.		85,140		1,787,940
Synopsys, Inc. (b)		19,457		887,434
Tableau Software, Inc., Class A (b)		6,219		585,954
Ultimate Software Group, Inc. (b)		3,587		701,294
VMware, Inc., Class A (b)		10,354		585,726
Workday, Inc., Class A (a)(b)		13,310		1,060,541
Zynga, Inc., Class A (b)		98,125		262,975
				114,669,471
Specialty Retail — 2.6%
Aaron’s, Inc.		8,079		180,889
Advance Auto Parts, Inc.		9,159		1,378,521
AutoNation, Inc. (b)		9,163		546,665
AutoZone, Inc. (b)		3,908		2,899,384
Bed Bath & Beyond, Inc. (b)		21,426		1,033,804
Best Buy Co., Inc. (a)		37,959		1,155,852
Cabela’s, Inc. (a)(b)		6,301		294,446
CarMax, Inc. (b)		26,169		1,412,341
CST Brands, Inc.		9,503		371,947
Dick’s Sporting Goods, Inc. (a)		11,559		408,611
DSW, Inc., Class A (a)		9,334		222,709
Foot Locker, Inc. (a)		17,492		1,138,554
GameStop Corp., Class A (a)		13,445		376,998
Gap, Inc. (a)		29,895		738,407
GNC Holdings, Inc., Class A		11,087		343,919
Home Depot, Inc.		162,465		21,485,996
L Brands, Inc.		30,950		2,965,629
Lowe’s Cos., Inc.		119,031		9,051,117
Michaels Cos., Inc. (b)		8,298		183,469
O’Reilly Automotive, Inc. (b)		12,631		3,200,948
Office Depot, Inc. (b)		69,193		390,249
Penske Automotive Group, Inc.		5,383		227,916
Ross Stores, Inc.		51,754		2,784,883

Common Stocks	Shares		Value
Specialty Retail (continued)
Sally Beauty Holdings, Inc. (b)		19,961	$	556,712
Signet Jewelers Ltd.		10,044		1,242,342
Staples, Inc.		77,903		737,741
Tiffany & Co.		14,127		1,077,749
TJX Cos., Inc.		85,097		6,034,228
Tractor Supply Co.		17,064		1,458,972
Ulta Salon Cosmetics & Fragrance, Inc. (b)		8,036		1,486,660
Urban Outfitters, Inc. (a)(b)		10,723		243,948
Williams-Sonoma, Inc.		11,497		671,540
				66,303,146
Technology Hardware, Storage & Peripherals — 3.7%
3D Systems Corp. (a)(b)		14,838		128,942
Apple, Inc.		720,538		75,843,830
EMC Corp.		242,896		6,237,569
Hewlett Packard Enterprise Co. (a)		227,324		3,455,325
HP, Inc.		227,324		2,691,516
Lexmark International, Inc., Class A		7,836		254,278
NCR Corp. (b)		21,324		521,585
NetApp, Inc.		36,884		978,533
SanDisk Corp.		26,001		1,975,816
Western Digital Corp.		28,104		1,687,645
				93,775,039
Textiles, Apparel & Luxury Goods — 0.9%
Carter’s, Inc.		6,514		579,941
Coach, Inc.		34,556		1,131,018
Fossil Group, Inc. (a)(b)		5,223		190,953
Hanesbrands, Inc.		50,237		1,478,475
Kate Spade & Co. (a)(b)		15,871		282,028
lululemon athletica, Inc. (a)(b)		13,953		732,114
Michael Kors Holdings Ltd. (a)(b)		24,927		998,576
NIKE, Inc., Class B		169,610		10,600,625
PVH Corp.		10,385		764,855
Ralph Lauren Corp.		7,508		836,992
Skechers U.S.A., Inc., Class A (b)		15,398		465,174
Under Armour, Inc., Class A (a)(b)		22,343		1,801,069
VF Corp.		42,273		2,631,494
				22,493,314
Thrifts & Mortgage Finance — 0.1%
New York Community Bancorp, Inc. (a)		60,653		989,857
People’s United Financial, Inc. (a)		38,776		626,232
TFS Financial Corp.		8,385		157,890
				1,773,979
Tobacco — 1.4%
Altria Group, Inc.		245,960		14,317,332
Philip Morris International, Inc.		193,754		17,032,914
Reynolds American, Inc.		103,274		4,766,095
				36,116,341
Trading Companies & Distributors — 0.3%
Air Lease Corp. (a)		12,203		408,556
Fastenal Co. (a)		36,766		1,500,788
GATX Corp. (a)		5,559		236,535
HD Supply Holdings, Inc. (b)		21,065		632,582
MSC Industrial Direct Co., Inc., Class A (a)		5,819		327,435
NOW, Inc. (b)		13,786		218,095
United Rentals, Inc. (b)		12,167		882,594
W.W. Grainger, Inc. (a)		7,854		1,591,142
Watsco, Inc.		3,183		372,825

See Notes to Financial Statements.

28 BLACKROCK LARGE CAP INDEX FUND DECEMBER 31, 2015

Schedule of Investments (continued) Large Cap Index Master Portfolio

Common Stocks	Shares		Value
Trading Companies & Distributors (continued)
WESCO International, Inc. (a)(b)		5,511	$	240,721
				6,411,273
Transportation Infrastructure — 0.0%
Macquarie Infrastructure Corp.		8,534		619,568
Water Utilities — 0.1%
American Water Works Co., Inc.		22,509		1,344,913
Aqua America, Inc. (a)		22,214		661,977
				2,006,890
Wireless Telecommunication Services — 0.1%
SBA Communications Corp., Class A (b)		16,191		1,701,189
Sprint Corp. (a)(b)		88,539		320,511
T-Mobile U.S., Inc. (b)		34,334		1,343,146
Telephone & Data Systems, Inc.		11,630		301,101
United States Cellular Corp. (b)		1,509		61,582
				3,727,529
Total Long-Term Investments (Cost — $2,499,753,360) — 100.4%				2,553,362,296

Short-Term Securities — 12.4%	Shares		Value
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.35%, (c)(d)(e)		198,484,859	$	198,484,859
BlackRock Cash Funds: Prime, SL Agency Shares, 0.31%, (c)(d)(e)		115,638,588		115,638,588
				314,123,447
Total Short-Term Securities (Cost — $314,123,447) — 12.4%				314,123,447
Total Investments (Cost — $2,813,876,807) — 112.8%				2,867,485,743
Liabilities in Excess of Other Assets — (12.8)%				(324,857,213	)
Net Assets — 100.0%			$	2,542,628,530

Notes to Schedule of Investments

(a) Security, or a portion of security, is on loan.

(b) Non-income producing security.

(c) During the year ended December 31, 2015, investments in issuers considered to be affiliates of the Master Portfolio for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares Held at December 31, 2014		Shares Purchased			Shares Sold			Shares Held at December 31, 2015		Value at December 31, 2015		Income			Realized Gain
BlackRock Cash Funds: Institutional, SL Agency Shares		79,872,532		118,612,327	1		—			198,484,859	$	198,484,859	$	569,426	2		—
BlackRock Cash Funds: Prime, SL Agency Shares		33,734,031		81,904,557	1		—			115,638,588	$	115,638,588	$	330,706	2		—
BlackRock, Inc.		16,270		6,421			(7,000	)		15,691	$	5,343,099	$	162,024		$	916,863	3
PNC Financial Services Group, Inc.		68,164		26,790			(30,178	)		64,776	$	6,173,801	$	166,058		$	749,189	4
iShares Russell 1000 ETF		191,542		—			(191,542	)		—	$	—		—		$	2,938,679
1   Represents net shares purchased. 2   Represents all or a portion of 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.
3   Includes $896,616 of gains and losses from in-kind redemption transactions. See Note 2 of the Notes to Financial Statements.
4   Includes $713,212 of gains and losses from in-kind redemption transactions. See Note 2 of the Notes to Financial Statements.

(d) Current yield as of period end.

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

Derivative Financial Instruments Outstanding as of Period End

Financial Futures Contracts

Contracts Long		Issue		Expiration		Notional Value		Unrealized Depreciation
	164		S&P 500 E-Mini Index		March 2016	$	16,690,280	$	(118,658	)
	12		S&P MidCap 400 E-Mini Index		March 2016	$	1,672,200		(18,313	)
	Total							$	(136,971	)

See Notes to Financial Statements.

BLACKROCK LARGE CAP INDEX FUND DECEMBER 31, 2015 29

Schedule of Investments (continued) Large Cap Index Master Portfolio

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:

Liabilities — Derivative Financial Instruments		Commodity Contracts	Credit Contracts	Equity Contracts		Foreign Currency Exchange Contracts	Interest Rate Contracts	Other Contacts	Total
Financial futures contracts	Net unrealized depreciation1	—	—	$	136,971	—	—	—	$	136,971
1    Includes cumulative depreciation on financial futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

For the year ended December 31, 2015, the effect of derivative financial instruments in the Statement of Operations was as follows:

Net Realized Gain From:	Commodity Contracts	Credit Contracts	Equity Contracts			Foreign Currency Exchange Contracts	Interest Rate Contracts	Other Contacts	Total
Financial futures contracts	—	—	$	342,037		—	—	—	$	342,037
Net Change in Unrealized Appreciation (Depreciation) on:
Financial futures contracts	—	—	$	(838,925	)	—	—	—	$	(838,925	)

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Financial futures contracts:
Average notional value of contracts — long	$	47,989,288

For more information about the Master Portfolio’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 investments and derivative financial instruments. For information about the Master Portfolio’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy:

	Level 1			Level 2	Level 3	Total
Assets:
Investments:
Long-Term Investments:
Common Stocks1	$	2,553,362,296		—	—	$	2,553,362,296
Short-Term Securities		314,123,447		—	—		314,123,447
Total	$	2,867,485,743		—	—	$	2,867,485,743
1   See above Schedule of Investments for values in each sector.
	Level 1			Level 2	Level 3	Total
Derivative Financial Instruments1
Liabilities:
Equity contracts	$	(136,971	)	—	—	$	(136,971	)
1   Derivative financial instruments are financial futures contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

See Notes to Financial Statements.

30 BLACKROCK LARGE CAP INDEX FUND DECEMBER 31, 2015

Schedule of Investments (concluded) Large Cap Index Master Portfolio

The Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

	Level 1		Level 2			Level 3	Total
Assets:
Cash	$	3,826		—		—	$	3,826
Cash pledged for financial futures contracts		2,172,100		—		—		2,172,100
Liabilities:
Collateral on securities loaned at value		—	$	(265,400,040	)	—		(265,400,040	)
Total	$	2,175,926	$	(265,400,040	)	—	$	(263,224,114	)

During the year ended December 31, 2015, there were no transfers between levels.

See Notes to Financial Statements.

BLACKROCK LARGE CAP INDEX FUND DECEMBER 31, 2015 31

Statement of Assets and Liabilities Large Cap Index Master Portfolio

December 31, 2015
Assets
Investments at value — unaffiliated (including securities loaned at value of $257,887,517) (cost — $2,488,913,135)	$	2,541,845,396
Investments at value — affiliated (cost — $324,963,672)		325,640,347
Cash		3,826
Cash pledged for financial futures contracts		2,172,100
Receivables:
Dividends		3,386,814
Investments sold		39,608
Securities lending income — affiliated		68,376
Prepaid expenses		15,258
Total assets		2,873,171,725
Liabilities
Collateral on securities loaned at value		265,400,040
Variation margin payable on financial futures contracts		488,823
Payables:
Investment advisory fees		62,506
Trustees’ fees		22,350
Other accrued expenses		111,635
Withdrawals to investors		64,457,841
Total liabilities		330,543,195
Net Assets	$	2,542,628,530
Net Assets Consist of
Investors’ capital	$	2,489,156,565
Net unrealized appreciation (depreciation)		53,471,965
Net Assets	$	2,542,628,530

See Notes to Financial Statements.
32	BLACKROCK LARGE CAP INDEX FUND	DECEMBER 31, 2015

Statement of Operations Large Cap Index Master Portfolio

Year Ended December 31, 2015
Investment Income
Dividends — unaffiliated	$	62,710,489
Securities lending — affiliated — net		758,997
Dividends — affiliated		328,082
Interest — affiliated		141,135
Foreign taxes withheld		(15,892	)
Total income		63,922,811
Expenses
Investment advisory		1,171,900
Accounting services		144,097
Trustees		97,484
Professional		37,247
Printing		2,965
Miscellaneous		8,866
Total expenses		1,462,559
Less fees waived and/or reimbursed by the Manager		(52,419	)
Total expenses after fees waived and/or reimbursed		1,410,140
Net investment income		62,512,671
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments — unaffiliated		26,735,604
Investments — affiliated		2,994,903
In-kind redemptions — unaffiliated1		304,715,248
In-kind redemptions — affiliated1		1,609,828
Financial futures contracts		342,037
		336,397,620
Net change in unrealized appreciation (depreciation) on:
Investments — unaffiliated		(342,935,736	)
Investments — affiliated		(3,948,411	)
Financial futures contracts		(838,925	)
		(347,723,072	)
Net realized and unrealized loss		(11,325,452	)
Net Increase in Net Assets Resulting from Operations	$	51,187,219
1    See Note 2 of the Notes to Financial Statements.

See Notes to Financial Statements.
	BLACKROCK LARGE CAP INDEX FUND	DECEMBER 31, 2015	33

Statements of Changes in Net Assets Large Cap Index Master Portfolio

	Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014
Operations
Net investment income	$	62,512,671		$	34,627,320
Net realized gain		336,397,620			14,179,093
Net change in unrealized appreciation (depreciation)		(347,723,072	)		187,555,527
Net increase in net assets resulting from operations		51,187,219			236,361,940
Capital Transactions
Proceeds from contributions		1,332,533,563			3,160,600,185
Value of withdrawals		(1,614,489,855	)		(1,756,436,556	)
Net increase (decrease) in net assets derived from capital transactions		(281,956,292	)		1,404,163,629
Net Assets
Total increase (decrease) in net assets		(230,769,073	)		1,640,525,569
Beginning of year		2,773,397,603			1,132,872,034
End of year	$	2,542,628,530		$	2,773,397,603

See Notes to Financial Statements.
34	BLACKROCK LARGE CAP INDEX FUND	DECEMBER 31, 2015

Financial Highlights Large Cap Index Master Portfolio

	Year Ended December 31,									Period March 31, 20111 to December  31, 2011
	2015		2014		2013			2012
Total Return
Total return		0.92%		13.27%		32.88%			16.39%		(4.68)%	2
Ratios to Average Net Assets
Total expenses		0.05%		0.06%		0.08%	3		0.09%		0.40%	4,5
Total expenses after fees waived and/or reimbursed		0.04%		0.06%		0.08%	3		0.09%		0.16%	4
Net investment income		1.93%		1.92%		1.96%	3		2.30%		2.04%	4
Supplemental Data
Net assets, end of year (000)		$ 2,542,629		$ 2,773,398		$ 1,132,872			$    440,092		$      56,881
Portfolio turnover rate		6%		6%		14%			16%		9%

¹  Commencement of operations.

²  Aggregate total return.

³  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.01% for the year ended December 31, 2013.

⁴  Annualized.

⁵  Organization costs were not annualized in the calculation of the expense ratio.

See Notes to Financial Statements.
	BLACKROCK LARGE CAP INDEX FUND	DECEMBER 31, 2015	35

Notes to Financial Statements Large Cap Index Master Portfolio

1. Organization:

Large Cap Index Master Portfolio (formerly known as Russell 1000^® Index Master Portfolio) (the “Master Portfolio”), a series of Master Investment Portfolio (“MIP”), is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a diversified, open-end management investment company. MIP is organized as a Delaware statutory trust.

The Master Portfolio, together with certain other registered investment companies advised by BlackRock Fund Advisors (the “Manager”) or its affiliates, is included in a complex of open-end funds referred to as the Equity-Liquidity 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 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:

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

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Master Portfolio is informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, some 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.

In-Kind Redemptions: The Master Portfolio transferred securities and cash to shareholders in connection with an in-kind redemption transaction. For financial reporting purposes, these transactions were treated as a sale of securities and the resulting gains and losses were recognized based on the market value of the securities on the date of the redemption. For the year ended December 31, 2015, the Master Portfolio had in-kind redemptions of $1,074,853,386. For tax purposes, no gains or losses were recognized.

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 fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statement of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges. Effective September 2015, the arrangement with its custodian for earning credits on uninvested cash balances has ceased and the custodian will be imposing fees on certain uninvested cash balances.

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: The Master Portfolio’s investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). 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 independent dealers or pricing services under

36 BLACKROCK LARGE CAP INDEX FUND DECEMBER 31, 2015

Notes to Financial Statements (continued) Large Cap Index Master Portfolio

policies approved by the Board of Trustees of MIP (the “Board”). The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to provide oversight of the pricing function for the Master Portfolio for all financial instruments.

Fair Value Inputs and Methodologies: The following methods (or “techniques”) and inputs are used to establish the fair value of the Master Portfolio’s assets and liabilities:

• Equity investments traded on a recognized securities exchange are valued at the official close price each day, if available. For equity investments traded on more than one exchange, the official close price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price.

• Investments in open-end U.S. mutual funds are valued at net asset value (“NAV”) each business day.

• Financial futures contracts traded on exchanges are valued at their last sale price.

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

Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:

• Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Master Portfolio has the ability to access

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

• Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Master Portfolio’s own assumptions used in determining the fair value of investments and derivative financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as Level 3. The fair value hierarchy for the Master Portfolio’s investments and derivative financial instruments has been included in the Schedule of Investments.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Master Portfolio’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

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

BLACKROCK LARGE CAP INDEX FUND DECEMBER 31, 2015 37

Notes to Financial Statements (continued) Large Cap Index Master Portfolio

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. 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. The cash collateral invested by the securities lending agent, BlackRock Institutional Trust Company, N.A. (“BTC”), 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 lending agreements by counterparty which are subject to offset under an MSLA:

Counterparty	Securities Loaned at Value		Cash Collateral Received1			Net Amount
Barclays Capital, Inc.	$	1,790,081	$	(1,790,081	)		—
BNP Paribas S.A.		7,403,161		(7,403,161	)		—
Credit Suisse Securities (USA) LLC		7,393,419		(7,393,419	)		—
Deutsche Bank Securities, Inc.		9,788,622		(9,788,622	)		—
Goldman Sachs & Co.		107,109,582		(107,109,582	)		—
HSBC Bank PLC		1,460,827		(1,460,827	)		—
Jefferies LLC		4,949,787		(4,949,787	)		—
JP Morgan Securities LLC		40,429,941		(40,429,941	)		—
Merrill Lynch, Pierce, Fenner & Smith, Inc.		19,966,692		(19,966,692	)		—
Morgan Stanley		22,830,643		(22,830,643	)		—
Scotia Capital (USA), Inc.		3,345,243		(3,345,243	)		—
SG Americas Securities LLC		248,145		(248,145	)		—
State Street Bank & Trust Co.		20,840,460		(20,840,460	)		—
UBS Securities LLC		10,330,914		(10,330,914	)		—
Total	$	257,887,517	$	(257,887,517	)		—

¹  Collateral with a value of $265,400,040 has been received in connection with securities lending agreements. Collateral received in excess of the value of securities loaned from the individual counterparty is not shown for financial reporting purposes in the table above.

The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Master Portfolio benefits from a borrower default indemnity provided by BlackRock, Inc. (“BlackRock”). BlackRock’s indemnity allows for full replacement of the securities loaned if the collateral received does not cover the value on the securities loaned in the event of borrower default. The Master Portfolio could suffer 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.

38 BLACKROCK LARGE CAP INDEX FUND DECEMBER 31, 2015

Notes to Financial Statements (continued) Large Cap Index 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 economically its exposure to certain risks such as equity risk. These contracts may be transacted on an exchange.

Financial Futures Contracts: The Master Portfolio invests in long and/or short positions in financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in the value of equity securities (equity risk). Financial 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 at a specified date. Depending on the terms of the particular contract, financial futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date.

Upon entering into a financial 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. Securities deposited as initial margin are designated on the Schedule of Investment and cash deposited, if any, is recorded on the Statement of Assets and Liabilities as cash pledged for financial futures contracts. 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 value of the contract. Such receipts or payments are known as variation margin. Variation margin is recorded by the Master Portfolio as unrealized appreciation (depreciation) and, if applicable, as a receivable or payable for variation margin in the Statement of Assets and Liabilities.

When the contract is closed, the Master Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest or foreign currency exchange rates and the underlying assets.

6. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock for 1940 Act purposes.

MIP, on behalf of the Master Portfolio, entered into an Investment Advisory Agreement with the Manager, the Master Portfolio’s investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration 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. Effective April 30, 2015, for such services, the Master Portfolio pays the Manager a monthly fee based on a percentage of the Master Portfolio’s average daily net assets at an annual rate of 0.03%. Prior to April 30, 2015, the Master Portfolio paid the Manager a monthly fee at an annual rate of 0.05%.

The Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Master Portfolio’s business in order to limit expenses of certain feeder funds which invest their assets in the Master Portfolio. The Manager has agreed not to reduce or discontinue this contractual waiver or reimbursement prior to May 1, 2016, unless approved by the Board, including a majority of the Independent Trustees.

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the Master Portfolio pays to the Manager indirectly through its investment in affiliated money market funds. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with the Master Portfolio’s investments in other affiliated investment companies, if any. For the year ended December 31, 2015, the amount waived was $52,419.

The U.S. Securities and Exchange Commission has issued an exemptive order which permits BTC, an affiliate of the Manager, to serve as securities lending agent for the Master Portfolio, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending. The Master Portfolio is responsible for fees in connection with the investment of cash collateral received for securities on loan in a money market fund managed by the Manager or its affiliates, however, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees the Master Portfolio bears to an annual rate of 0.04% (the “collateral investment fees”).

BLACKROCK LARGE CAP INDEX FUND DECEMBER 31, 2015 39

Notes to Financial Statements (continued) Large Cap Index Master Portfolio

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 fees. The Master Portfolio retains a portion of securities lending income and remits a remaining portion to BTC as compensation for its services as securities lending agent.

Pursuant to a securities lending agreement, the Master Portfolio retains 71.5% of securities lending income, and this amount retained can never be less than 65% of the total of securities lending income plus the collateral investment fees. In addition, commencing the business day following the date that the aggregate securities lending income earned across certain funds in the Equity-Liquidity Complex in a calendar year exceeds a specified threshold, the Master Portfolio, pursuant to the securities lending agreement, will retain for the remainder of the calendar year securities lending income in an amount equal to 75% of securities lending income, and this amount retained can never be less than 65% of the total of securities lending income plus the collateral investment fees.

The share of securities lending income earned by the Master Portfolio is shown as securities lending — affiliated — net in the Statement of Operations. For the year ended December 31, 2015, the Master Portfolio paid BTC $275,957 in total for securities lending agent services and collateral investment fees.

Certain officers and/or trustees MIP are officers and/or directors of BlackRock or its affiliates.

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 advisor, common officers, or common trustees. For the year ended December 31, 2015, the purchase and sale transactions with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were $268,100,986 and $61,963,829, respectively.

7. Purchases and Sales:

For the year ended December 31, 2015, purchases and sales of investments, excluding short-term securities and in-kind redemptions, were $1,136,709,842 and $179,106,198, respectively.

8. Income Tax Information:

The Master Portfolio is classified as a partnership for 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 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 remains open for each of the four years ended December 31, 2015. 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 December 31, 2015, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the Master Portfolio’s financial statements.

As of period end, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

Tax cost	$	2,821,133,904
Gross unrealized appreciation	$	220,952,395
Gross unrealized depreciation		(174,600,556	)
Net unrealized appreciation	$	46,351,839

9. Bank Borrowings:

MIP, 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, $2.1 billion credit agreement with a group of lenders, under which the Master Portfolio may borrow to fund shareholder redemptions. Excluding commitments designated for certain funds, the Participating Funds, including the Master Portfolio, can borrow up to an aggregate commitment amount of $1.6 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 0.06% per annum on unused commitment amounts and interest at a rate equal to the higher of

40 BLACKROCK LARGE CAP INDEX FUND DECEMBER 31, 2015

Notes to Financial Statements (concluded) Large Cap Index Master Portfolio

(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 2016 unless extended or renewed. Participating Funds paid administration, legal and arrangement fees, which, if applicable, are included in miscellaneous expenses in the Statement of Operations, and along with commitment 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 December 31, 2015, 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 and enters into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities held by the Master Portfolio may decline in response to certain events, including those directly involving the issuers of securities owned by the Master Portfolio. Changes arising from the general economy, the overall market and local, regional or global political or/and social instability, as well as currency, interest rate and price fluctuations, may also affect the securities’ value.

Counterparty Credit Risk: Similar to issuer credit risk, the Master Portfolio may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Master Portfolio manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Master Portfolio to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent 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.

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.

BLACKROCK LARGE CAP INDEX FUND DECEMBER 31, 2015 41

Report of Independent Registered Public Accounting Firm Large Cap Index Master Portfolio

To the Board of Trustees of Master Investment Portfolio and the Interestholders of Large Cap Index Master Portfolio:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Large Cap Index Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio, at December 31, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Master Portfolio’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2015 by correspondence with the custodian, transfer agent, and brokers, provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 24, 2016

42 BLACKROCK LARGE CAP INDEX FUND DECEMBER 31, 2015

Officers and Trustees

Name, Address1 and Year of Birth	Position(s) Held with the Trust/MIP	Length of Time Served as a Trustee3	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Independent Trustees2
Rodney D. Johnson 1941	Chair of the Board and Trustee	Since 2009	President, Fairmount Capital Advisors, Inc. from 1987 to 2013; Member of the Archdiocesan Investment Committee of the Archdiocese of Philadelphia from 2004 to 2012; Director, The Committee of Seventy (civic) from 2006 to 2012; Director, Fox Chase Cancer Center from 2004 to 2011.	33 RICs consisting of 155 Portfolios	None
David O. Beim 1940	Trustee	Since 2009	Professor of Professional Practice at the Columbia University Graduate School of Business since 1991; Trustee, Phillips Exeter Academy from 2002 to 2012; Chairman, Wave Hill, Inc. (public garden and cultural center) from 1990 to 2006.	33 RICs consisting of 155 Portfolios	None
Collette Chilton 1958	Trustee	Since 2015	Chief Investment Officer, Williams College since 2006; Chief Investment Officer, Lucent Asset Management Corporation from 1998 to 2006.	33 RICs consisting of 155 Portfolios	None
Frank J. Fabozzi 1948	Trustee	Since 2014	Editor of and Consultant for The Journal of Portfolio Management since 2006; Professor of Finance, EDHEC Business School since 2011; Visiting Professor, Princeton University from 2013 to 2014; Professor in the Practice of Finance and Becton Fellow, Yale University School of Management from 2006 to 2011.	108 RICs consisting of 230 Portfolios	None
Dr. Matina S. Horner 1939	Trustee	Since 2009	Executive Vice President, Teachers Insurance and Annuity Association and College Retirement Equities Fund from 1989 to 2003.	33 RICs consisting of 155 Portfolios	NSTAR (electric and gas utility)
Herbert I. London 1939	Trustee	Since 2009	Professor Emeritus, New York University since 2005; President, London Center for Policy Research since 2012; John M. Olin Professor of Humanities, New York University from 1993 to 2005 and Professor thereof from 1980 to 2005; President Emeritus, Hudson Institute (policy research organization) from 2011 to 2012, President thereof from 1997 to 2011 and Trustee from 1980 to 2012; Chairman of the Board of Trustees for Grantham University since 2006; Director, InnoCentive, Inc. (global internet service) since 2005; Director, Cerego, LLC (educational software) since 2005; Director, Cybersettle (online adjudication) since 2009; Director, AIMS Worldwide, Inc. (marketing) from 2007 to 2012.	33 RICs consisting of 155 Portfolios	None
Cynthia A. Montgomery 1952	Trustee	Since 2009	Professor, Harvard Business School since 1989; Director, McLean Hospital from 2005 to 2012; Director, Harvard Business School Publishing from 2005 to 2010.	33 RICs consisting of 155 Portfolios	Newell Rubbermaid, Inc. (manufacturing)
Joseph P. Platt 1947	Trustee	Since 2009	Director, Jones and Brown (Canadian insurance broker) since 1998; General Partner, Thorn Partners, LP (private investments) since 1998; Director, WQED Multi-Media (public broadcasting not-for-profit) since 2001; Director, The West Penn Allegheny Health System (a not-for-profit health system) from 2008 to 2013; Partner, Amarna Corporation, LLC (private investment company) from 2002 to 2008.	33 RICs consisting of 155 Portfolios	Greenlight Capital Re, Ltd. (reinsurance company)
Robert C. Robb, Jr. 1945	Trustee	Since 2009	Partner, Lewis, Eckert, Robb and Company (management and financial consulting firm) since 1981.	33 RICs consisting of 155 Portfolios	None
Toby Rosenblatt 1938	Trustee	Since 2009	President, Founders Investments Ltd. (private investments) since 1999; Director, Forward Management, LLC since 2007; Director, College Futures Foundation (philanthropic foundation) since 2009; Director, The James Irvine Foundation (philanthropic foundation) from 1998 to 2008.	33 RICs consisting of 155 Portfolios	None

BLACKROCK LARGE CAP INDEX FUND DECEMBER 31, 2015 43

Officers and Trustees (continued)

Name, Address1 and Year of Birth	Position(s) Held with the Trust/MIP	Length of Time Served as a Trustee3	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Independent Trustees2 (concluded)
Mark Stalnecker 1951	Trustee	Since 2015	Chief Investment Officer, University of Delaware from 1999 to 2013; Trustee, Winterthur Museum and Country Estate since 2001; Member of the Investment Committee, Delaware Public Employees’ Retirement System since 2002; Member of the Investment Committee, Christiana Care Health System since 2009; Member of the Investment Committee, Delaware Community Foundation from 2013 to 2014.	33 RICs consisting of 155 Portfolios	None
Kenneth L. Urish 1951	Trustee	Since 2009	Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Immediate 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 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.	33 RICs consisting of 155 Portfolios	None
Frederick W. Winter 1945	Trustee	Since 2009	Director, Alkon Corporation (pneumatics) since 1992; Professor and Dean Emeritus of the Joseph M. Katz School of Business, University of Pittsburgh from 2005 to 2013 and Dean thereof from 1997 to 2005; Director, Tippman Sports (recreation) from 2005 to 2013; Director, Indotronix International (IT services) from 2004 to 2008.	33 RICs consisting of 155 Portfolios	None
	1    The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.
	2    Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board has determined to extend the terms of Independent Trustees on a case-by-case basis, as appropriate. The Board has unanimously approved extending the mandatory retirement age for David O. Beim and Dr. Matina S. Horner until December 31, 2016, which the Board believes is in the best interests of shareholders of the Trust/MIP.
	3    Date shown is the earliest date a person has served for the Trust/MIP. In connection with the acquisition of Barclays Global Investors by BlackRock, Inc. (“BlackRock”) in December 2009, the Trustees were elected to the Trust/MIP Board. As a result, although the chart shows certain Independent Trustees as joining the Trust’s/MIP’s board in 2009, those Independent Trustees first became members of the boards of other funds advised by BlackRock Advisors, LLC or its affiliates as follows: David O. Beim, 1998; Dr. Matina S. Horner, 2004; Rodney D. Johnson, 1995; Herbert I. London, 1987; Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Robert C. Robb, Jr., 1998; Toby Rosenblatt, 2005; Kenneth L. Urish, 1999; and Frederick W. Winter, 1999. Frank J. Fabozzi first became a member of the board of other funds advised by BlackRock Advisors, LLC or its affiliates in 1988.
Interested Trustees4
Barbara G. Novick 1960	Trustee	Since 2015	Vice Chairman of BlackRock since 2006; Chair of BlackRock’s Government Relations Steering Committee since 2009; Head of the Global Client Group of BlackRock from 1988 to 2008.	108 RICs consisting of 230 Portfolios	None
John M. Perlowski 1964	Trustee, President, and Chief Executive Officer	Since 2015 (Trustee); Since 2010 (President and Chief Executive Officer)	Managing Director of BlackRock since 2009; Head of BlackRock Global Fund Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.	136 RICs consisting of 328 Portfolios	None
	4    Mr. Perlowski and Ms. Novick are both “interested persons,” as defined in the 1940 Act, of the Trust/MIP based on their positions with BlackRock and its affiliates. Mr. Perlowski and Ms. Novick are also board members of a complex of BlackRock registered open-end funds. Mr. Perlowski is also a board member of the BlackRock Equity-Bond Complex and the BlackRock Equity-Liquidity Complex, and Ms. Novick is also a board member of the BlackRock Equity-Liquidity Complex. Interested Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The maximum age limitation may be waived as to any Trustee by action of a majority of the Trustees upon a finding of good cause therefor.

44 BLACKROCK LARGE CAP INDEX FUND DECEMBER 31, 2015

Officers and Trustees (concluded)

Name, Address1 and Year of Birth	Position(s) Held with the Trust/MIP	Length of Time Served as an Officer	Principal Occupation(s) During Past Five Years
Trust/MIP Officers2
John M. Perlowski 1964	Trustee, President and Chief Executive Officer	Since 2015 (Trustee); Since 2010 (President and Chief Executive Officer)	Managing Director of BlackRock since 2009; Head of BlackRock Global Fund Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.
Richard Hoerner, CFA 1958	Vice President	Since 2009	Managing Director of BlackRock since 2000; Head of the Global Cash Group since 2013; Co-head of the Global Cash and Securities Lending Group from 2010 to 2013; Member of the Cash Management Group Executive Committee since 2005.
Jennifer McGovern 1977	Vice President	Since 2014	Director of BlackRock since 2011; Head of Product Structure and Oversight for BlackRock’s U.S. Wealth Advisory Group since 2013; Vice President of BlackRock from 2008 to 2010.
Neal Andrews 1966	Chief Financial Officer	Since 2007	Managing Director of BlackRock since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.
Jay Fife 1970	Treasurer	Since 2007	Managing Director of BlackRock since 2007; Director of BlackRock in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.
Charles Park 1967	Chief Compliance Officer	Since 2014	Anti-Money Laundering Compliance Officer for the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End Complex from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End 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.
Fernanda Piedra 1969	Anti-Money Laundering Compliance Officer	Since 2015	Director of BlackRock since 2014; Anti-Money Laundering Compliance Officer and Regional Head of Financial Crime for the Americas at BlackRock since 2014; Head of Regulatory Changes and Remediation for the Asset Wealth Management Division of Deutsche Bank from 2010 to 2014; Vice President of Goldman Sachs (Anti-Money Laundering/Suspicious Activities Group) from 2004 to 2010.
Benjamin Archibald 1975	Secretary	Since 2012	Managing Director of BlackRock since 2014; Director of BlackRock from 2010 to 2013; Secretary of the iShares exchange traded funds since 2015; Secretary of the BlackRock-advised mutual funds since 2012.
	1    The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.
	2    Officers of the Trust/MIP serve at the pleasure of the Board.
	Further information about the Officers and Trustees is available in the Trust’s/MIP’s Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762

Effective September 25, 2015, John M. Perlowski was appointed to serve as a Trustee of the Trust/MIP.

Effective December 31, 2015, Herbert I. London and Toby Rosenblatt retired as Trustees of the Trust/MIP.

Investment Advisor BlackRock Fund Advisors San Francisco, CA 94105	Accounting Agent and Custodian State Street Bank and Trust Company Boston, MA 02110	Distributor BlackRock Investments, LLC New York, NY 10022	Legal Counsel Sidley Austin LLP New York, NY 10019
Administrator BlackRock Advisors, LLC Wilmington, DE 19809	Transfer Agent BNY Mellon Investment Servicing (US) Inc. Wilmington, DE 19809	Independent Registered Public Accounting Firm PricewaterhouseCoopers LLP Philadelphia, PA 19103	Address of the Trust/MIP 400 Howard Street San Francisco, CA 94105

BLACKROCK LARGE CAP INDEX FUND DECEMBER 31, 2015 45

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 Portfolio file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s/Master Portfolio’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Fund’s/Master Portfolio’s Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Fund/Master Portfolio 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 http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Fund/Master Portfolio voted proxies relating to securities held in the Fund’s/Master Portfolio’s portfolio during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com; or by calling (800) 441-7762; and (2) on the SEC’s website at http://www.sec.gov.

BlackRock’s Mutual Fund Family

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

Shareholder Privileges

Account Information

Call us at (800) 441-7762 from 8:00 AM to 6:00 PM EST on any business day to get information about your account balances, recent transactions and share prices. You can also reach us on the Web at http://www.blackrock.com/funds.

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.

46 BLACKROCK LARGE CAP INDEX FUND DECEMBER 31, 2015

Additional Information (concluded)

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.

BLACKROCK LARGE CAP INDEX FUND DECEMBER 31, 2015 47

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.

LCI-12/15-AR

DECEMBER 31, 2015

  ANNUAL REPORT  

BlackRock Funds III

^Ø   BlackRock LifePath^® 2025 Fund

^Ø   BlackRock LifePath^® 2035 Fund

^Ø   BlackRock LifePath^® 2045 Fund

^Ø   BlackRock LifePath^® 2055 Fund

Not FDIC Insured • May Lose Value • No Bank Guarantee

Table of Contents

	Page
The Markets in Review		3
Annual Report:
Fund Summaries		4
About Fund Performance		14
Disclosure of Expenses		15
Derivative Financial Instruments		16
Fund Financial Statements:
Statements of Assets and Liabilities		17
Statements of Operations		18
Statements of Changes in Net Assets		19
Fund Financial Highlights		21
Fund Notes to Financial Statements		41
Fund Report of Independent Registered Public Accounting Firm		47
Important Tax Information		47
Master Portfolio Information		48
Master Portfolio Financial Statements:
Schedules of Investments		50
Statements of Assets and Liabilities		67
Statements of Operations		68
Statements of Changes in Net Assets		69
Master Portfolio Financial Highlights		70
Master Portfolio Notes to Financial Statements		74
Master Portfolio Report of Independent Registered Public Accounting Firm		81
Disclosure of Sub-Advisory Agreement		82
Officers and Trustees		83
Additional Information		86

2 BLACKROCK FUNDS III DECEMBER 31, 2015

The Markets in Review

Dear Shareholder,

Diverging monetary policies and shifting economic outlooks across regions have been the overarching themes driving financial markets over the past couple of years. With U.S. growth outpacing the global economic recovery in 2015 while inflationary pressures remained low, investors spent most of the year anticipating a short-term rate hike from the Federal Reserve (the “Fed”), which ultimately came to fruition in December. In contrast, the European Central Bank (“ECB”) and the Bank of Japan moved to a more accommodative stance during the year. In this environment, the U.S. dollar strengthened considerably, causing profit challenges for U.S. exporters and high levels of volatility in emerging market currencies and commodities. Oil prices were particularly volatile and below the historical norm due to an ongoing imbalance in global supply and demand.

Market volatility broadly increased in the middle of 2015, beginning with a sharp, but temporary, selloff in June as Greece’s long-brewing debt troubles came to an impasse. Just as these concerns abated, Chinese equities tumbled amid weakness in the country’s economy. This, combined with a depreciation of the yuan and declining confidence in China’s policymakers, stoked worries about the potential impact to the broader world economy, causing heightened volatility to spread throughout markets globally. Given a dearth of meaningful growth across most of the world, financial markets became more reliant on central bank policies to drive performance. In that vein, risk assets (such as equities and high yield bonds) rallied in October when China’s central bank provided more stimulus, the ECB hinted at further easing, and soft U.S. data pushed back expectations for a Fed rate hike. As the period came to a close, however, the ECB disappointed investors with its subdued policy changes. The Fed’s December rate hike had a positive impact on the markets as it removed a source of uncertainty, but this was counteracted by the dampening effect of a stronger U.S. dollar, falling oil prices and tighter credit conditions.

At BlackRock, we believe investors need to think globally, extend their scope across a broad array of asset classes and be prepared to move freely as market conditions change over time. 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 December 31, 2015
	6-month			12-month
U.S. large cap equities (S&P 500® Index)		0.15	%		1.38	%
U.S. small cap equities (Russell 2000® Index)		(8.75	)		(4.41	)
International equities (MSCI Europe, Australasia, Far East Index)		(6.01	)		(0.81	)
Emerging market equities (MSCI Emerging Markets Index)		(17.35	)		(14.92	)
3-month Treasury bills (BofA Merrill Lynch 3-Month U.S. Treasury Bill Index)		0.04			0.05
U.S. Treasury securities (BofA Merrill Lynch 10-Year U.S. Treasury Index)		1.43			0.91
U.S. investment-grade bonds (Barclays U.S. Aggregate Bond Index)		0.65			0.55
Tax-exempt municipal bonds (S&P Municipal Bond Index)		3.31			3.32
U.S. high yield bonds (Barclays U.S. Corporate High Yield 2% Issuer Capped Index)		(6.79	)		(4.43	)
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

THIS PAGE NOT PART OF YOUR FUND REPORT 3

Fund Summary as of December 31, 2015 BlackRock LifePath Funds

Portfolio Management Commentary

How did each Fund perform?

• The BlackRock LifePath Funds with target dates of 2025, 2035, 2045 and 2055 (altogether, the “LifePath Funds”) invest in their respective LifePath Master Portfolio.

• Effective as of December 14, 2015, each LifePath Fund has the ability to adjust its equity allocation along the glide path, based on a strategic assessment of market conditions among other factors as described below. Effective as of December 14, 2015, each LifePath Fund’s principal investment strategy was amended to permit each LifePath Fund to invest directly, through each LifePath Fund’s corresponding LifePath Master Portfolio, in equity securities and related derivatives of issuers that are primarily engaged in or related to the real estate industry.

• For the 12-month period ended December 31, 2015, the LifePath Funds underperformed the custom benchmark across various LifePath Fund target dates, with the exception of LifePath 2045 Class K Shares, which outperformed the custom benchmark and LifePath 2055 Class K Shares, which performed in-line with the custom benchmark. The returns for the LifePath Funds include Fund expenses. The custom benchmarks have no expenses associated with performance.

What factors influenced performance?

• The underperformance of Active Stock Master Portfolio was the largest detractor from performance relative to the benchmark. The allocation to BlackRock Basic Value Fund, Inc. drove the largest proportion of the underperformance, which was due to negative stock selection in the consumer discretionary, financials and utilities sectors. This allocation overshadowed strong results in health care and consumer staples, as well as positive sector allocation.

• In replicating the asset classes within the custom benchmark there are some cases where benchmark mismatches occur, either due to the underlying security selection within the fund or to the vehicles/funds that are available to gain that asset class exposure. In 2015, given additional market volatility, there were mismatches relative to the Global Real Estate benchmark and the Global International Equity benchmark, which resulted in positive contributions to relative performance. The relative performance differences were more positive in the farther-dated funds than in the near-dated funds.

Describe recent portfolio activity.

• Each LifePath Fund has its own time horizon, which affects its acceptable level of risk and, in turn, the strategic allocation of its holdings across asset classes. On a quarterly basis, the strategic allocation of each LifePath Fund is systematically adjusted to reflect the shareholders’ remaining investment time horizon. During the period, the LifePath Funds were rebalanced in accordance with their updated strategic allocations, and daily cash flows were allocated to the underlying funds and instruments as appropriate. On December 14, 2015, the LifePath Funds moved from index (passive) exposure to Global REITs to an actively managed World Real Estate Securities strategy. While the benchmark of the REIT exposure remains unchanged and is still the FTSE/EPRA NAREIT Developed Real Estate Index, the underlying strategy is being actively managed.

Describe portfolio positioning at period end.

• At period end, each of the LifePath Funds was invested according to its respective strategic allocation benchmark within tolerance limits.

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 BLACKROCK FUNDS III DECEMBER 31, 2015

BlackRock LifePath Funds

Glide Path Evolution

Under normal circumstances, the asset allocation of each LifePath Fund will change over time according to a glide path as each LifePath Fund approaches its respective target date. The glide path represents the shifting of asset classes over time, as well as potential adjustments. Each LifePath Fund’s asset mix becomes more conservative prior to retirement as time elapses. This reflects the need for reduced investment risks as retirement approaches and the need for lower volatility of each LifePath Fund, which may be a primary source of income after retirement. As each LifePath Fund approaches its target date, its asset allocation will shift so that each LifePath Fund invests a greater percentage of its assets in fixed income funds. The asset allocation targets are established by a committee of BlackRock investment professionals. The investment team, including the portfolio managers and this investment committee, meets

regularly to assess market conditions, review the asset allocation targets of each LifePath Fund, and determine whether any changes are required to enable each LifePath Fund to achieve its investment objective.

Although the asset allocation targets listed for the glide path are general, long-term targets, BlackRock investment professionals may periodically adjust the proportion of equity funds, securities and related derivatives and fixed income funds in the LifePath Fund, based on a strategic assessment of market conditions, including expected market volatility and BlackRock’s view on the equity markets. The adjustments will be no more than +/- 5% at retirement, with a lesser allowable adjustment for LifePath Funds further from retirement.

BLACKROCK FUNDS III DECEMBER 31, 2015 5

BlackRock LifePath 2025 Fund

Investment Objective

The investment objective of BlackRock LifePath^® 2025 Fund (“LifePath 2025 Fund” or the “LifePath Fund”) is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, LifePath 2025 Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time.

Effective March 31, 2015, the LifePath^® 2025 Portfolio changed its name to the BlackRock LifePath^® 2025 Fund.

Total Return Based on a $10,000 Investment

¹  Assuming maximum sales charges, transaction costs and other operating expenses, including advisory fees, if any. Institutional Shares do not have a sales charge.

²  The LifePath Fund compares its performance to that of a customized weighted index (the “LifePath 2025 Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment advisor’s changes to the benchmark’s weightings over time. The investment advisor adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

³  Commencement of operations.

LifePath Fund’s custom benchmark consists of the following:

Period	Barclays U.S. Aggregate Bond Index			Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series L)			Bloomberg Commodity Index4			FTSE EPRA/NAREIT Developed Real Estate Index			MSCI ACWI ex USA IMI Index			Russell 1000® Index			Russell 2000® Index			S&P MidCap 400® Index			S&P 500® Index			S&P SmallCap 600® Index
6/30/10 to 12/31/10		28.5	%		4.4	%		N/A			4.9	%		18.8	%		N/A			N/A			5.9	%		34.9	%		2.6	%
1/01/11 to 12/31/11		29.8			4.6			N/A			4.8			18.9			15.2	%		1.4	%		3.5			20.3			1.5
1/01/12 to 12/31/12		31.9			5.0			1.0	%		4.7			18.2			35.9			3.3			N/A			N/A			N/A
1/01/13 to 12/31/13		33.7			5.2			3.8			4.3			17.1			32.6			3.3			N/A			N/A			N/A
1/01/14 to 12/31/14		34.3			5.3			3.8			4.5			17.3			31.5			3.3			N/A			N/A			N/A
1/01/15 to 12/31/15		31.0			5.0			3.8			5.3			18.8			33.1			3.0			N/A			N/A			N/A

⁴  Prior to July 1, 2014, the Bloomberg Commodity Index was known as the Dow Jones-UBS Commodity Index.

See “About Fund Performance” on page 14 for descriptions of the indexes.

6 BLACKROCK FUNDS III DECEMBER 31, 2015

BlackRock LifePath 2025 Fund

Performance Summary for the Period Ended December 31, 2015

				Average Annual Total Returns
				1 Year						5 Year						Since  Inception1
	6-Month Total Returns			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge
Institutional		(3.18	)%		(1.92	)%		N/A			5.39	%		N/A			7.98	%		N/A
Investor A		(3.33	)		(2.17	)		(7.31	)%		5.11			3.98	%		7.70			6.65	%
Investor C		(3.63	)		(2.86	)		(3.80	)		4.33			4.33			6.90			6.90
Class K		(3.02	)		(1.64	)		N/A			5.58			N/A			8.19			N/A
Class R		(3.42	)		(2.36	)		N/A			4.86			N/A			7.44			N/A
LifePath 2025 Fund Custom Benchmark		(2.84	)		(1.45	)		N/A			5.77			N/A			8.24			N/A
Barclays U.S. Aggregate Bond Index		0.65			0.55			N/A			3.25			N/A			3.16			N/A
Barclays U.S. TIPS Index (Series L)		(1.78	)		(1.44	)		N/A			2.55			N/A			2.65			N/A
Bloomberg Commodity Index		(23.46	)		(24.66	)		N/A			(13.47	)		N/A			(8.13	)		N/A
FTSE EPRA/NAREIT Developed Real Estate Index		2.49			(0.79	)		N/A			7.17			N/A			10.96			N/A
MSCI ACWI ex USA IMI Index		(8.78	)		(4.60	)		N/A			1.27			N/A			5.46			N/A
Russell 1000® Index		(0.78	)		0.92			N/A			12.44			N/A			15.68			N/A
Russell 2000® Index		(8.75	)		(4.41	)		N/A			9.19			N/A			13.50			N/A

¹  The LifePath Fund commenced operations on June 30, 2010.

Past performance is not indicative of future results.

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

BLACKROCK FUNDS III DECEMBER 31, 2015 7

BlackRock LifePath 2035 Fund

Investment Objective

The investment objective of BlackRock LifePath^® 2035 Fund (“LifePath 2035 Fund” or the “LifePath Fund”) is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, LifePath 2035 Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time.

Effective March 31, 2015, the LifePath^® 2035 Portfolio changed its name to the BlackRock LifePath^® 2035 Fund.

Total Return Based on a $10,000 Investment

¹  Assuming maximum sales charges, transaction costs and other operating expenses, including advisory fees, if any. Institutional Shares do not have a sales charge.

²  The LifePath Fund compares its performance to that of a customized weighted index (the “LifePath 2035 Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment advisor’s changes to the benchmark’s weightings over time. The investment advisor adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

³ Commencement of operations.

The LifePath Fund’s custom benchmark consists of the following:

Period	Barclays U.S. Aggregate Bond Index			Barclays  U.S. Treasury Inflation Protected Securities (TIPS) Index (Series L)			Bloomberg Commodity Index4			FTSE EPRA/NAREIT Developed Real Estate Index			MSCI ACWI ex USA IMI Index			Russell 1000® Index			Russell 2000® Index			S&P MidCap 400® Index			S&P 500® Index			S&P SmallCap 600® Index
6/30/10 to 12/31/10		16.6	%		2.2	%		N/A			6.8	%		22.7	%		N/A			N/A			6.4	%		42.5	%		2.8	%
1/01/11 to 12/31/11		17.8			2.3			N/A			7.0			22.8			18.6	%		1.2	%		3.9			24.7			1.7
1/01/12 to 12/31/12		20.3			2.6			1.0	%		7.2			21.1			44.1			2.7			N/A			N/A			N/A
1/01/13 to 12/31/13		22.1			2.9			3.9			6.9			21.3			40.3			2.6			N/A			N/A			N/A
1/01/14 to 12/31/14		21.4			2.8			3.9			7.6			22.2			39.6			2.5			N/A			N/A			N/A
1/01/15 to 12/31/15		13.2			1.9			3.9			9.8			25.4			43.6			2.2			N/A			N/A			N/A

⁴  Prior to July 1, 2014, the Bloomberg Commodity Index was known as the Dow Jones-UBS Commodity Index.

See “About Fund Performance” on page 14 for descriptions of the indexes.

8 BLACKROCK FUNDS III DECEMBER 31, 2015

BlackRock LifePath 2035 Fund

Performance Summary for the Period Ended December 31, 2015

				Average Annual Total Returns
				1 Year						5 Year						Since  Inception1
	6-Month Total Returns			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge
Institutional		(3.74	)%		(2.15	)%		N/A			5.99	%		N/A			9.13	%		N/A
Investor A		(3.89	)		(2.40	)		(7.52	)%		5.73			4.60	%		8.85			7.79	%
Investor C		(4.20	)		(3.13	)		(4.06	)		4.94			4.94			8.04			8.04
Class K		(3.65	)		(1.83	)		N/A			6.45			N/A			9.60			N/A
Class R		(4.03	)		(2.65	)		N/A			5.46			N/A			8.59			N/A
LifePath 2035 Fund Custom Benchmark		(3.42	)		(1.77	)		N/A			6.39			N/A			9.38			N/A
Barclays U.S. Aggregate Bond Index		0.65			0.55			N/A			3.25			N/A			3.16			N/A
Barclays U.S. TIPS Index (Series L)		(1.78	)		(1.44	)		N/A			2.55			N/A			2.65			N/A
Bloomberg Commodity Index		(23.46	)		(24.66	)		N/A			(13.47	)		N/A			(8.13	)		N/A
FTSE EPRA/NAREIT Developed Real Estate Index		2.49			(0.79	)		N/A			7.17			N/A			10.96			N/A
MSCI ACWI ex USA IMI Index		(8.78	)		(4.60	)		N/A			1.27			N/A			5.46			N/A
Russell 1000® Index		(0.78	)		0.92			N/A			12.44			N/A			15.68			N/A
Russell 2000® Index		(8.75	)		(4.41	)		N/A			9.19			N/A			13.50			N/A

¹ The LifePath Fund commenced operations on June 30, 2010.

Past performance is not indicative of future results.

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

BLACKROCK FUNDS III DECEMBER 31, 2015 9

BlackRock LifePath 2045 Fund

Investment Objective

The investment objective of BlackRock LifePath^® 2045 Fund (“LifePath 2045 Fund” or the “LifePath Fund”) is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, LifePath 2045 Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time.

Effective March 31, 2015, the LifePath^® 2045 Portfolio changed its name to the BlackRock LifePath^® 2045 Fund.

Total Return Based on a $10,000 Investment

¹  Assuming maximum sales charges, transaction costs and other operating expenses, including advisory fees, if any. Institutional Shares do not have a sales charge.

²  The LifePath Fund compares its performance to that of a customized weighted index (the “LifePath 2045 Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment advisor’s changes to the benchmark’s weightings over time. The investment advisor adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

³  Commencement of operations.

The LifePath Fund’s custom benchmark consists of the following:

Period	Barclays U.S. Aggregate Bond Index			Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series L)			Bloomberg Commodity Index4			FTSE EPRA/NAREIT Developed Real Estate Index			MSCI ACWI ex USA IMI Index			Russell 1000® Index			Russell 2000® Index			S&P MidCap 400® Index			S&P 500® Index			S&P SmallCap 600® Index
6/30/10 to 12/31/10		6.8	%		N/A			N/A			8.5	%		25.9	%		N/A			N/A			6.8	%		49.0	%		3.0	%
1/01/11 to 12/31/11		8.2			N/A			N/A			8.7			26.1			21.5	%		1.1	%		4.2			28.4			1.8
1/01/12 to 12/31/12		11.2			N/A			1.0	%		9.2			25.3			51.0			2.3			N/A			N/A			N/A
1/01/13 to 12/31/13		13.5			N/A			3.9			9.1			24.8			46.7			2.0			N/A			N/A			N/A
1/01/14 to 12/31/14		12.5			N/A			3.9			10.1			25.9			45.6			2.0			N/A			N/A			N/A
1/01/15 to 12/31/15		1.8			0.2	%		4.2			13.4			29.6			48.8			2.0			N/A			N/A			N/A

⁴  Prior to July 1, 2014, the Bloomberg Commodity Index was known as the Dow Jones-UBS Commodity Index.

See “About Fund Performance” on page 14 for descriptions of the indexes.

10 BLACKROCK FUNDS III DECEMBER 31, 2015

BlackRock LifePath 2045 Fund

Performance Summary for the Period Ended December 31, 2015

				Average Annual Total Returns
				1 Year						5 Year						Since  Inception1
	6-Month Total Returns			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge
Institutional		(4.18	)%		(2.37	)%		N/A			6.58	%		N/A			10.18	%		N/A
Investor A		(4.32	)		(2.61	)		(7.73	)%		6.32			5.18	%		9.91			8.84	%
Investor C		(4.69	)		(3.43	)		(4.36	)		5.51			5.51			9.06			9.06
Class K		(4.02	)		(2.04	)		N/A			6.94			N/A			10.55			N/A
Class R		(4.42	)		(2.80	)		N/A			6.06			N/A			9.63			N/A
LifePath 2045 Fund Custom Benchmark		(3.88	)		(2.10	)		N/A			6.89			N/A			10.32			N/A
Barclays U.S. Aggregate Bond Index		0.65			0.55			N/A			3.25			N/A			3.16			N/A
Barclays U.S. TIPS Index (Series L)		(1.78	)		(1.44	)		N/A			2.55			N/A			2.65			N/A
Bloomberg Commodity Index		(23.46	)		(24.66	)		N/A			(13.47	)		N/A			(8.13	)		N/A
FTSE EPRA/NAREIT Developed Real Estate Index		2.49			(0.79	)		N/A			7.17			N/A			10.96			N/A
MSCI ACWI ex USA IMI Index		(8.78	)		(4.60	)		N/A			1.27			N/A			5.46			N/A
Russell 1000® Index		(0.78	)		0.92			N/A			12.44			N/A			15.68			N/A
Russell 2000® Index		(8.75	)		(4.41	)		N/A			9.19			N/A			13.50			N/A

¹ The LifePath Fund commenced operations on June 30, 2010.

Past performance is not indicative of future results.

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

BLACKROCK FUNDS III DECEMBER 31, 2015 11

BlackRock LifePath 2055 Fund

Investment Objective

The investment objective of BlackRock LifePath^® 2055 Fund (“LifePath 2055 Fund” or the “LifePath Fund”) is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, LifePath 2055 Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time.

Effective March 31, 2015, the LifePath^® 2055 Portfolio changed its name to the BlackRock LifePath^® 2055 Fund.

Total Return Based on a $10,000 Investment

¹  Assuming maximum sales charges, transaction costs and other operating expenses, including advisory fees, if any. Institutional Shares do not have a sales charge.

²  The LifePath Fund compares its performance to that of a customized weighted index (the “LifePath 2055 Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment advisor’s changes to the benchmark’s weightings over time. The investment advisor adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

³  Commencement of operations.

The LifePath Fund’s custom benchmark consists of the following:

Period	Barclays U.S. Aggregate Bond Index			Bloomberg Commodity Index4			FTSE EPRA/NAREIT Developed Real Estate Index			MSCI ACWI ex USA IMI Index			Russell 1000® Index			Russell 2000® Index			S&P MidCap 400® Index			S&P 500® Index			S&P SmallCap 600® Index
6/30/10 to 12/31/10		1.0	%		N/A			9.0	%		28.2	%		N/A			N/A			8.1	%		50.1	%		3.6	%
1/01/11 to 12/31/11		1.0			N/A			9.7			28.8			22.0	%		2.0	%		4.9			29.5			2.1
1/01/12 to 12/31/12		1.3			1.0	%		11.3			28.6			54.5			3.3			N/A			N/A			N/A
1/01/13 to 12/31/13		3.1			4.1			11.5			27.8			51.7			1.8			N/A			N/A			N/A
1/01/14 to 12/31/14		4.0			4.0			12.2			28.6			49.4			1.8			N/A			N/A			N/A
1/01/15 to 12/31/15		1.0			4.2			13.7			29.9			49.2			2.0			N/A			N/A			N/A

⁴  Prior to July 1, 2014, the Bloomberg Commodity Index was known as the Dow Jones-UBS Commodity Index.

See “About Fund Performance” on page 14 for descriptions of the indexes.

12 BLACKROCK FUNDS III DECEMBER 31, 2015

BlackRock LifePath 2055 Fund

Performance Summary for the Period Ended December 31, 2015

				Average Annual Total Returns
				1 Year						5 Year						Since Inception1
	6-Month Total Returns			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge
Institutional		(4.36	)%		(2.52	)%		N/A			6.90	%		N/A			10.73	%		N/A
Investor A		(4.42	)		(2.67	)		(7.78	)%		6.61			5.47	%		10.45			9.37	%
Investor C		(4.76	)		(3.48	)		(4.42	)		5.83			5.83			9.63			9.63
Class K		(4.14	)		(2.15	)		N/A			7.32			N/A			11.17			N/A
Class R		(4.52	)		(3.00	)		N/A			6.35			N/A			10.17			N/A
LifePath 2055 Fund Custom Benchmark		(3.91	)		(2.12	)		N/A			7.35			N/A			11.00			N/A
Barclays U.S. Aggregate Bond Index		0.65			0.55			N/A			3.25			N/A			3.16			N/A
Bloomberg Commodity Index		(23.46	)		(24.66	)		N/A			(13.47	)		N/A			(8.13	)		N/A
FTSE EPRA/NAREIT Developed Real Estate Index		2.49			(0.79	)		N/A			7.17			N/A			10.96			N/A
MSCI ACWI ex USA IMI Index		(8.78	)		(4.60	)		N/A			1.27			N/A			5.46			N/A
Russell 1000® Index		(0.78	)		0.92			N/A			12.44			N/A			15.68			N/A
Russell 2000® Index		(8.75	)		(4.41	)		N/A			9.19			N/A			13.50			N/A

¹ The LifePath Fund commenced operations on June 30, 2010.

Past performance is not indicative of future results.

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

BLACKROCK FUNDS III DECEMBER 31, 2015 13

About Fund Performance

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

• 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.

• 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 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.

Performance information reflects past performance and does not guarantee future results. Current performance may be lower or higher than the performance data quoted. Refer to www.blackrock.com/funds 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 LifePath Fund distributions or the redemption of LifePath Fund shares. Figures shown in each of the performance tables on the previous pages assume reinvestment of all distributions, if any, at net asset value (“NAV”) on the ex-dividend date. 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 administration and distribution fees applicable to each class, which are deducted from the income available to be paid to shareholders.

BlackRock Advisors, LLC (“BAL” or the “Administrator”), each LifePath Funds’ administrator, waived and/or reimbursed a portion of each LifePath Fund’s expenses. Without such waiver, each LifePath Fund’s performance would have been lower. The Administrator is under no

obligation to continue waiving and/or reimbursing its fees after the applicable termination date of such agreement. See Note 4 of the Notes to Financial Statements for additional information on waivers and/or reimbursements.

The LifePath Funds’ custom benchmarks are hypothetical representations of the performance of the respective LifePath Fund’s asset classes according to their weightings as of the most recent quarter-end. The weightings of the various indexes that are included in the LifePath Funds’ custom benchmarks are adjusted quarterly to reflect the LifePath Funds’ changing asset allocations over time. As of December 31, 2015, the following indexes are used to calculate the LifePath Funds’ custom benchmarks: Barclays U.S. Aggregate Bond Index, Barclays U.S. TIPS Index (Series L), Bloomberg Commodity Index, FTSE EPRA/NAREIT Developed Real Estate Index, MSCI ACWI ex USA IMI Index, Russell 1000^® Index and Russell 2000^® Index, as applicable.

The Barclays U.S. Aggregate Bond Index is 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. The Barclays U.S. TIPS Index (Series L) is an unmanaged index that measures the performance of the inflation-protected public obligations of the U.S. Treasury. The Bloomberg Commodity Index is a broadly diversified index that allows investors to track commodity futures through a single, simple measure. The FTSE EPRA/NAREIT Developed Real Estate Index is a global market capitalization weighted index composed of listed real estate securities from developed market countries in North America, Europe and Asia. The MSCI ACWI ex USA IMI Index is a free float-adjusted market capitalization weighted index that measures the equity market performance of the developed (excluding the U.S.) and emerging investable market universe. The Russell 1000^® Index is 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. The Russell 2000^® Index is an unmanaged index that is a subset of the Russell 3000^® Index representing approximately 10% of the total market capitalization of that index. It includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership.

14 BLACKROCK FUNDS III DECEMBER 31, 2015

Disclosure of Expenses

Shareholders of each LifePath 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, and other fund expenses. The expense examples shown below (which are based on a hypothetical investment of $1,000 invested on July 1, 2015 and held through December 31, 2015) are intended to assist shareholders both in calculating expenses based on an investment in a LifePath Fund and in comparing these expenses with similar costs of investing in other mutual funds.

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

The expense examples also provide information about hypothetical account values and hypothetical expenses based on each LifePath 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 a LifePath Fund and other funds, compare the 5% hypothetical examples with the 5% hypothetical examples that appear in shareholder reports of other funds.

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

Expense Examples

	Actual						Hypothetical2
	Beginning Account Value July 1, 2015		Ending Account Value December 31, 2015		Expenses Paid During the Period1		Beginning Account Value July 1, 2015		Ending Account Value December 31, 2015		Expenses Paid During the Period1		Annualized Expense Ratio
LifePath 2025 Fund
Institutional . . . . . . . .	$	1,000.00	$	967.40	$	3.47	$	1,000.00	$	1,021.68	$	3.57		0.70	%
Investor A . . . . . . . . . .	$	1,000.00	$	966.70	$	4.71	$	1,000.00	$	1,020.42	$	4.84		0.95	%
Investor C . . . . . . . . . .	$	1,000.00	$	963.70	$	8.46	$	1,000.00	$	1,016.59	$	8.69		1.71	%
Class K . . . . . . . . .	$	1,000.00	$	969.80	$	1.89	$	1,000.00	$	1,023.29	$	1.94		0.38	%
Class R . . . . . . . . . . . . .	$	1,000.00	$	965.80	$	5.90	$	1,000.00	$	1,019.21	$	6.06		1.19	%
LifePath 2035 Fund
Institutional . . . . . . . .	$	1,000.00	$	962.60	$	3.36	$	1,000.00	$	1,021.78	$	3.47		0.68	%
Investor A . . . . . . . . . .	$	1,000.00	$	961.10	$	4.60	$	1,000.00	$	1,020.52	$	4.74		0.93	%
Investor C . . . . . . . . . .	$	1,000.00	$	958.00	$	8.34	$	1,000.00	$	1,016.69	$	8.59		1.69	%
Class K . . . . . . . . .	$	1,000.00	$	963.50	$	1.78	$	1,000.00	$	1,023.39	$	1.84		0.36	%
Class R . . . . . . . . . . . . .	$	1,000.00	$	959.70	$	5.78	$	1,000.00	$	1,019.31	$	5.96		1.17	%
LifePath 2045 Fund
Institutional . . . . . . . .	$	1,000.00	$	958.20	$	3.21	$	1,000.00	$	1,021.93	$	3.31		0.65	%
Investor A . . . . . . . . . .	$	1,000.00	$	956.80	$	4.44	$	1,000.00	$	1,020.67	$	4.58		0.90	%
Investor C . . . . . . . . . .	$	1,000.00	$	953.10	$	8.17	$	1,000.00	$	1,016.84	$	8.44		1.66	%
Class K . . . . . . . . .	$	1,000.00	$	959.80	$	1.73	$	1,000.00	$	1,023.44	$	1.79		0.35	%
Class R . . . . . . . . . . . . .	$	1,000.00	$	955.80	$	5.62	$	1,000.00	$	1,019.46	$	5.80		1.14	%
LifePath 2055 Fund
Institutional . . . . . . . .	$	1,000.00	$	956.40	$	3.21	$	1,000.00	$	1,021.93	$	3.31		0.65	%
Investor A . . . . . . . . . .	$	1,000.00	$	955.80	$	4.44	$	1,000.00	$	1,020.67	$	4.58		0.90	%
Investor C . . . . . . . . . .	$	1,000.00	$	952.40	$	8.17	$	1,000.00	$	1,016.84	$	8.44		1.66	%
Class K . . . . . . . . .	$	1,000.00	$	958.60	$	1.63	$	1,000.00	$	1,023.54	$	1.68		0.33	%
Class R . . . . . . . . . . . . .	$	1,000.00	$	954.80	$	5.62	$	1,000.00	$	1,019.46	$	5.80		1.14	%

¹  For each class of the LifePath Fund, expenses are equal to the annualized net expense ratio for the class, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). Because each LifePath Fund invests all of its assets in a LifePath Master Portfolio, the expense examples reflect the net expenses of both the LifePath Fund and the LifePath Master Portfolio in which it invests.

²  Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365.

BLACKROCK FUNDS III DECEMBER 31, 2015 15

Derivative Financial Instruments

The LifePath Master Portfolios may invest in various derivative financial instruments. Derivative financial instruments are used to obtain exposure to a security, index and/or market without owning or taking physical custody of securities 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. Derivative financial instruments also 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 derivative financial instrument. The LifePath Master Portfolios’ ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a LifePath Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The LifePath Master Portfolios’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.

16 BLACKROCK FUNDS III DECEMBER 31, 2015

Statements of Assets and Liabilities BlackRock Funds III

December 31, 2015	BlackRock LifePath 2025 Fund			BlackRock LifePath 2035 Fund			BlackRock LifePath 2045 Fund			BlackRock LifePath 2055 Fund
Assets
Investments at value — from the applicable LifePath Master Portfolio1	$	65,089,814		$	56,083,428		$	34,499,328		$	15,832,403
Receivables:
Capital shares sold		276,998			144,554			156,431			123,002
From the administrator		—			—			4,038			9,560
Withdrawals from the LifePath Master Portfolio		16,305			86,820			—			—
Total assets		65,383,117			56,314,802			34,659,797			15,964,965
Liabilities
Payables:
Capital shares redeemed		293,303			231,374			153,900			59,504
Professional fees		12,012			12,013			12,017			11,998
Service and distribution fees		10,310			8,613			5,126			2,187
Administration fees		5,096			2,510			—			—
Contributions to the LifePath Master Portfolio		—			—			2,531			63,498
Total liabilities		320,721			254,510			173,574			137,187
Net Assets	$	65,062,396		$	56,060,292		$	34,486,223		$	15,827,778
Net Assets Consist of
Paid-in capital	$	66,561,285		$	57,442,011		$	35,379,587		$	16,192,784
Distributions in excess of net investment income		(153,490	)		(86,387	)		(24,976	)		(6,603	)
Accumulated net realized gain allocated from the LifePath Master Portfolio		571,924			354,368			153,200			63,629
Net unrealized appreciation (depreciation) allocated from the LifePath Master Portfolio		(1,917,323	)		(1,649,700	)		(1,021,588	)		(422,032	)
Net Assets	$	65,062,396		$	56,060,292		$	34,486,223		$	15,827,778
Net Asset Value
Institutional:
Net assets	$	27,821,457		$	22,071,399		$	15,105,053		$	7,380,634
Shares outstanding2		2,308,056			1,755,156			1,153,377			548,209
Net asset value	$	12.05		$	12.58		$	13.10		$	13.46
Investor A:
Net assets	$	30,373,377		$	30,358,781		$	16,743,981		$	7,560,557
Shares outstanding2		2,522,610			2,417,091			1,279,172			562,741
Net asset value	$	12.04		$	12.56		$	13.09		$	13.44
Maximum offering price per share (100/94.75 of net assets)	$	12.71		$	13.26		$	13.82		$	14.18
Investor C:
Net assets	$	2,899,694		$	2,006,649		$	1,420,396		$	542,647
Shares outstanding2		241,930			160,967			109,728			40,769
Net asset value	$	11.99		$	12.47		$	12.94		$	13.31
Class K:
Net assets	$	1,278,315		$	756,926		$	523,641		$	52,432
Shares outstanding2		106,261			59,414			39,610			3,849
Net asset value	$	12.03		$	12.74		$	13.22		$	13.62
Class R:
Net assets	$	2,689,553		$	866,537		$	693,152		$	291,508
Shares outstanding2		223,420			68,882			52,967			21,692
Net asset value	$	12.04		$	12.58		$	13.09		$	13.44
1    Investments at cost — from the applicable LifePath Master Portfolio	$	67,007,137		$	57,733,128		$	35,520,916		$	16,254,435
2    No par value, unlimited number of shares authorized.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	17

Statements of Operations BlackRock Funds III

Year Ended December 31, 2015	BlackRock LifePath 2025 Fund			BlackRock LifePath 2035 Fund			BlackRock LifePath 2045 Fund			BlackRock LifePath 2055 Fund
Investment Income
Net investment income allocated from the applicable LifePath Master Portfolio:
Dividends — unaffiliated	$	18,007		$	29,975		$	24,924		$	11,568
Dividends — affiliated		895,911			1,024,555			716,943			301,169
Interest — affiliated		607,011			247,778			31,513			9,386
Securities lending — affiliated — net		2,610			3,065			1,844			1,490
Income — affiliated		269			166			221			70
Foreign taxes withheld		(2,203	)		(3,668	)		(3,050	)		(1,415	)
Expenses		(426,752	)		(364,734	)		(230,885	)		(116,656	)
Fees waived		272,102			249,904			170,695			91,373
Total income		1,366,955			1,187,041			712,205			296,985
Fund Expenses
Administration — Institutional		136,503			113,315			75,933			34,041
Administration — Investor A		167,327			157,220			85,025			33,251
Administration — Investor C		18,306			9,794			7,898			2,714
Administration — Class K		910			277			87			48
Administration — Class R		8,695			3,311			2,580			903
Service — Investor A		85,666			80,658			43,639			17,157
Service and distribution — Investor C		37,303			19,979			16,099			5,534
Service and distribution — Class R		9,086			3,452			2,681			951
Professional		19,411			19,411			19,411			19,411
Miscellaneous		325			325			325			325
Total expenses		483,532			407,742			253,678			114,335
Less fees waived by the administrator		(19,411	)		(19,411	)		(19,411	)		(19,411	)
Total expenses after fees waived		464,121			388,331			234,267			94,924
Net investment income		902,834			798,710			477,938			202,061
Realized and Unrealized Gain (Loss) Allocated from the LifePath Master Portfolio
Net realized gain from investments, financial futures contracts, swaps, foreign currency transactions and in-kind redemptions1		2,035,397			1,954,281			1,285,632			470,460
Net change in unrealized appreciation (depreciation) on investments, financial futures contracts, swaps and foreign currency translations		(4,550,254	)		(4,206,454	)		(2,669,151	)		(1,101,709	)
Net realized and unrealized loss		(2,514,857	)		(2,252,173	)		(1,383,519	)		(631,249	)
Net Decrease in Net Assets Resulting from Operations	$	(1,612,023	)	$	(1,453,463	)	$	(905,581	)	$	(429,188	)
1    See Note 2 of the Notes to Financial Statements.

See Notes to Financial Statements.
18	BLACKROCK FUNDS III	DECEMBER 31, 2015

Statements of Changes in Net Assets

	BlackRock LifePath 2025 Fund						BlackRock LifePath 2035 Fund
	Year Ended December 31,						Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014			2015			2014
Operations
Net investment income	$	902,834		$	919,845		$	798,710		$	791,822
Net realized gain		2,035,397			3,053,636			1,954,281			2,767,003
Net change in unrealized appreciation (depreciation)		(4,550,254	)		(942,332	)		(4,206,454	)		(906,421	)
Net increase (decrease) in net assets resulting from operations		(1,612,023	)		3,031,149			(1,453,463	)		2,652,404
Distributions to Shareholders1
From net investment income:
Institutional		(457,154	)		(420,027	)		(370,041	)		(381,547	)
Investor A		(472,452	)		(467,797	)		(444,086	)		(401,365	)
Investor C		(23,600	)		(16,080	)		(14,029	)		(10,392	)
Class K		(16,121	)		(11,572	)		(7,088	)		(4,870	)
Class R		(29,082	)		(19,809	)		(8,944	)		(6,233	)
From net realized gain:
Institutional		(633,373	)		(1,420,337	)		(599,762	)		(1,405,216	)
Investor A		(702,920	)		(2,069,079	)		(829,270	)		(1,927,115	)
Investor C		(71,606	)		(166,033	)		(55,514	)		(110,090	)
Class K		(23,595	)		(26,416	)		(16,379	)		(12,538	)
Class R		(52,796	)		(97,886	)		(20,443	)		(36,835	)
From return of capital:
Institutional		(24,704	)		—			(7,657	)		—
Investor A		(30,201	)		—			(10,622	)		—
Investor C		(3,278	)		—			(657	)		—
Class K		(534	)		—			(62	)		—
Class R		(1,601	)		—			(227	)		—
Decrease in net assets resulting from distributions to shareholders		(2,543,017	)		(4,715,036	)		(2,384,781	)		(4,296,201	)
Capital Share Transactions
Net increase in net assets derived from capital share transactions		5,421,219			6,965,153			4,313,067			11,943,495
Net Assets
Total increase in net assets		1,266,179			5,281,266			474,823			10,299,698
Beginning of year		63,796,217			58,514,951			55,585,469			45,285,771
End of year	$	65,062,396		$	63,796,217		$	56,060,292		$	55,585,469
Distributions in excess of net investment income, end of year	$	(153,490	)	$	(57,915	)	$	(86,387	)	$	(40,909	)
1    Distributions for annual periods determined in accordance with federal income tax regulations.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	19

Statements of Changes in Net Assets

	BlackRock LifePath 2045 Fund						BlackRock LifePath 2055 Fund
	Year Ended December 31,						Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014			2015			2014
Operations
Net investment income	$	477,938		$	467,866		$	202,061		$	170,531
Net realized gain		1,285,632			1,650,581			470,460			592,753
Net change in unrealized appreciation (depreciation)		(2,669,151	)		(522,584	)		(1,101,709	)		(124,640	)
Net increase (decrease) in net assets resulting from operations		(905,581	)		1,595,863			(429,188	)		638,644
Distributions to Shareholders1
From net investment income:
Institutional		(237,262	)		(250,163	)		(104,375	)		(100,701	)
Investor A		(225,525	)		(207,777	)		(90,276	)		(68,668	)
Investor C		(9,617	)		(8,768	)		(3,186	)		(3,091	)
Class K		(3,515	)		(2,386	)		(700	)		(1,462	)
Class R		(6,511	)		(5,926	)		(2,224	)		(1,505	)
From net realized gain:
Institutional		(459,944	)		(982,819	)		(159,148	)		(417,600	)
Investor A		(510,798	)		(1,031,608	)		(163,009	)		(341,066	)
Investor C		(48,009	)		(94,176	)		(12,905	)		(32,641	)
Class K		(12,210	)		(5,442	)		(1,036	)		(3,653	)
Class R		(17,867	)		(33,305	)		(5,133	)		(8,089	)
Decrease in net assets resulting from distributions to shareholders		(1,531,258	)		(2,622,370	)		(541,992	)		(978,476	)
Capital Share Transactions
Net increase in net assets derived from capital share transactions		2,333,808			10,215,915			3,808,319			4,383,495
Net Assets
Total increase (decrease) in net assets		(103,031	)		9,189,408			2,837,139			4,043,663
Beginning of year		34,589,254			25,399,846			12,990,639			8,946,976
End of year	$	34,486,223		$	34,589,254		$	15,827,778		$	12,990,639
Distributions in excess of net investment income, end of year	$	(24,976	)	$	(20,484	)	$	(6,603	)	$	(7,903	)
1    Distributions for annual periods determined in accordance with federal income tax regulations.

See Notes to Financial Statements.
20	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights BlackRock LifePath 2025 Fund

	Institutional
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	12.80		$	13.11		$	12.19		$	11.07		$	11.21
Net investment income1		0.19			0.21			0.21			0.22			0.25
Net realized and unrealized gain (loss)		(0.44	)		0.48			1.22			1.11			(0.19	)
Net increase (decrease) from investment operations		(0.25	)		0.69			1.43			1.33			0.06
Distributions:2
From net investment income		(0.21	)		(0.21	)		(0.19	)		(0.21	)		(0.20	)
From net realized gain		(0.28	)		(0.79	)		(0.32	)		(0.00	)3		(0.00	)3
From return of capital		(0.01	)		—			—			—			—
Total distributions		(0.50	)		(1.00	)		(0.51	)		(0.21	)		(0.20	)
Net asset value, end of year	$	12.05		$	12.80		$	13.11		$	12.19		$	11.07
Total Return4
Based on net asset value		(1.92)%			5.23%			11.84%			12.07%			0.49%
Ratios to Average Net Assets5,6,7
Total expenses		0.74%			0.75%			0.79%			0.86%			1.06%
Total expenses after fees waived and/or reimbursed		0.71%			0.73%			0.75%			0.76%			0.74%
Net investment income		1.51%			1.53%			1.60%			1.85%			2.25%
Supplemental Data
Net assets, end of year (000)	$	27,821		$	23,625		$	25,882		$	15,816		$	3,233
Portfolio turnover rate of the LifePath Master Portfolio		51%	8		50%	9		30%	9		4%	10		24%	10

¹  Based on average shares outstanding.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Amount is greater than $(0.005) per share.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.40%, 0.40%, 0.40%, 0.48% and 0.82% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.13%		0.13%		0.10%		0.10%		0.12%

⁸  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁹  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

¹⁰  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 17% and 58% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	21

Financial Highlights (continued) BlackRock LifePath 2025 Fund

	Investor A
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	12.78		$	13.10		$	12.19		$	11.06		$	11.21
Net investment income1		0.16			0.17			0.18			0.18			0.21
Net realized and unrealized gain (loss)		(0.43	)		0.48			1.22			1.12			(0.19	)
Net increase (decrease) from investment operations		(0.27	)		0.65			1.40			1.30			0.02
Distributions:2
From net investment income		(0.18	)		(0.18	)		(0.17	)		(0.17	)		(0.17	)
From net realized gain		(0.28	)		(0.79	)		(0.32	)		(0.00	)3		(0.00	)3
From return of capital		(0.01	)		—			—			—			—
Total distributions		(0.47	)		(0.97	)		(0.49	)		(0.17	)		(0.17	)
Net asset value, end of year	$	12.04		$	12.78		$	13.10		$	12.19		$	11.06
Total Return4
Based on net asset value		(2.17)%			4.95%			11.52%			11.84%			0.18%
Ratios to Average Net Assets5,6,7
Total expenses		0.99%			1.00%			1.05%			1.11%			1.32%
Total expenses after fees waived and/or reimbursed		0.96%			0.98%			1.00%			1.01%			0.99%
Net investment income		1.26%			1.31%			1.37%			1.54%			1.87%
Supplemental Data
Net assets, end of year (000)	$	30,373		$	35,324		$	29,049		$	13,981		$	7,076
Portfolio turnover rate of the LifePath Master Portfolio		51%	8		50%	9		30%	9		4%	10		24%	10

¹ Based on average shares outstanding.

² Distributions for annual periods determined in accordance with federal income tax regulations.

³ Amount is greater than $(0.005) per share.

⁴ Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁵ Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶ Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.40%, 0.40%, 0.40%, 0.48% and 0.86% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷ Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.13%		0.13%		0.10%		0.10%		0.12%

⁸ Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁹ Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

¹⁰  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 17% and 58% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
22	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights (continued) BlackRock LifePath 2025 Fund

	Investor C
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	12.72		$	13.06		$	12.15		$	11.05		$	11.21
Net investment income1		0.06			0.07			0.07			0.10			0.14
Net realized and unrealized gain (loss)		(0.42	)		0.47			1.23			1.11			(0.20	)
Net increase (decrease) from investment operations		(0.36	)		0.54			1.30			1.21			(0.06	)
Distributions:2
From net investment income		(0.09	)		(0.09	)		(0.07	)		(0.11	)		(0.10	)
From net realized gain		(0.27	)		(0.79	)		(0.32	)		(0.00	)3		(0.00	)3
From return of capital		(0.01	)		—			—			—			—
Total distributions		(0.37	)		(0.88	)		(0.39	)		(0.11	)		(0.10	)
Net asset value, end of year	$	11.99		$	12.72		$	13.06		$	12.15		$	11.05
Total Return4
Based on net asset value		(2.86)%			4.08%			10.73%			10.99%			(0.54)%
Ratios to Average Net Assets5,6,7
Total expenses		1.75%			1.75%			1.80%			1.85%			2.10%
Total expenses after fees waived and/or reimbursed		1.72%			1.73%			1.76%			1.76%			1.75%
Net investment income		0.51%			0.56%			0.57%			0.87%			1.25%
Supplemental Data
Net assets, end of year (000)	$	2,900		$	2,849		$	1,997		$	992		$	245
Portfolio turnover rate of the LifePath Master Portfolio		51%	8		50%	9		30%	9		4%	10		24%	10

¹ Based on average shares outstanding.

² Distributions for annual periods determined in accordance with federal income tax regulations.

³ Amount is greater than $(0.005) per share.

⁴ Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁵ Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶ Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.40%, 0.40%, 0.40%, 0.48% and 0.82% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷ Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.13%		0.13%		0.10%		0.10%		0.12%

⁸ Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁹ Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

¹⁰  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 17% and 58% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	23

Financial Highlights (continued) BlackRock LifePath 2025 Fund

	Class K
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	12.78		$	13.10		$	12.22		$	11.09		$	11.21
Net investment income1		0.25			0.26			0.20			0.26			0.26
Net realized and unrealized gain (loss)		(0.45	)		0.46			1.20			1.11			(0.16	)
Net increase (decrease) from investment operations		(0.20	)		0.72			1.40			1.37			0.10
Distributions:2
From net investment income		(0.26	)		(0.25	)		(0.20	)		(0.24	)		(0.22	)
From net realized gain		(0.28	)		(0.79	)		(0.32	)		(0.00	)3		(0.00	)3
From return of capital		(0.01	)		—			—			—			—
Total distributions		(0.55	)		(1.04	)		(0.52	)		(0.24	)		(0.22	)
Net asset value, end of year	$	12.03		$	12.78		$	13.10		$	12.22		$	11.09
Total Return4
Based on net asset value		(1.64)%			5.51%			11.47%			12.44%			0.87%
Ratios to Average Net Assets5,6,7
Total expenses		0.41%			0.40%			0.44%			0.51%			0.71%
Total expenses after fees waived and/or reimbursed		0.38%			0.37%			0.40%			0.41%			0.38%
Net investment income		2.00%			1.91%			1.57%			2.20%			2.31%
Supplemental Data
Net assets, end of year (000)	$	1,278		$	317		$	102		$	1,941		$	1,590
Portfolio turnover rate of the LifePath Master Portfolio		51%	8		50%	9		30%	9		4%	10		24%	10

¹ Based on average shares outstanding.

² Distributions for annual periods determined in accordance with federal income tax regulations.

³ Amount is greater than $(0.005) per share.

⁴ Where applicable, assumes the reinvestment of distributions.

⁵ Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶ Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.40%, 0.40%, 0.40%, 0.49% and 0.89% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷ Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.13%		0.13%		0.10%		0.10%		0.12%

⁸ Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁹ Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

¹⁰  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 17% and 58% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
24	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights (concluded) BlackRock LifePath 2025 Fund

	Class R
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	12.79		$	13.11		$	12.19		$	11.09		$	11.21
Net investment income1		0.13			0.14			0.13			0.18			0.17
Net realized and unrealized gain (loss)		(0.43	)		0.48			1.24			1.08			(0.17	)
Net increase (decrease) from investment operations		(0.30	)		0.62			1.37			1.26			—
Distributions:2
From net investment income		(0.17	)		(0.15	)		(0.13	)		(0.16	)		(0.12	)
From net realized gain		(0.27	)		(0.79	)		(0.32	)		(0.00	)3		(0.00	)3
From return of capital		(0.01	)		—			—			—			—
Total distributions		(0.45	)		(0.94	)		(0.45	)		(0.16	)		(0.12	)
Net asset value, end of year	$	12.04		$	12.79		$	13.11		$	12.19		$	11.09
Total Return4
Based on net asset value		(2.36)%			4.69%			11.26%			11.45%			0.02%
Ratios to Average Net Assets5,6,7
Total expenses		1.24%			1.26%			1.30%			1.35%			1.57%
Total expenses after fees waived and/or reimbursed		1.21%			1.23%			1.25%			1.26%			1.23%
Net investment income		1.06%			1.04%			1.05%			1.54%			1.46%
Supplemental Data
Net assets, end of year (000)	$	2,690		$	1,682		$	1,484		$	1,282		$	22
Portfolio turnover rate of the LifePath Master Portfolio		51%	8		50%	9		30%	9		4%	10		24%	10

¹ Based on average shares outstanding.

² Distributions for annual periods determined in accordance with federal income tax regulations.

³ Amount is greater than $(0.005) per share.

⁴ Where applicable, assumes the reinvestment of distributions.

⁵ Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶ Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.40%, 0.40%, 0.40%, 0.48% and 0.91% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷ Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.13%		0.13%		0.10%		0.10%		0.12%

⁸ Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁹ Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

¹⁰  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 17% and 58% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	25

Financial Highlights BlackRock LifePath 2035 Fund

	Institutional
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	13.43		$	13.77		$	12.51		$	11.18		$	11.52
Net investment income1		0.21			0.22			0.24			0.24			0.24
Net realized and unrealized gain (loss)		(0.49	)		0.54			1.67			1.30			(0.39	)
Net increase (decrease) from investment operations		(0.28	)		0.76			1.91			1.54			(0.15	)
Distributions:2
From net investment income		(0.22	)		(0.22	)		(0.23	)		(0.21	)		(0.19	)
From net realized gain		(0.35	)		(0.88	)		(0.42	)		—			(0.00	)3
From return of capital		(0.00	)3		—			—			(0.00	)3		—
Total distributions		(0.57	)		(1.10	)		(0.65	)		(0.21	)		(0.19	)
Net asset value, end of year	$	12.58		$	13.43		$	13.77		$	12.51		$	11.18
Total Return4
Based on net asset value		(2.15)%			5.51%			15.33%			13.85%			(1.32)%
Ratios to Average Net Assets5,6,7
Total expenses		0.72%			0.74%			0.80%			0.89%			1.22%
Total expenses after fees waived and/or reimbursed		0.68%			0.71%			0.75%			0.75%			0.72%
Net investment income		1.54%			1.55%			1.78%			1.98%			2.13%
Supplemental Data
Net assets, end of year (000)	$	22,071		$	22,004		$	22,266		$	12,853		$	2,033
Portfolio turnover rate of the LifePath Master Portfolio		44%	8		54%	9		39%	9		4%	10		21%	10

¹ Based on average shares outstanding.

² Distributions for annual periods determined in accordance with federal income tax regulations.

³ Amount is greater than $(0.005) per share.

⁴ Where applicable, assumes the reinvestment of distributions.

⁵ Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶ Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.43%, 0.43%, 0.43%, 0.56% and 1.10% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷ Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.16%		0.15%		0.11%		0.11%		0.14%

⁸ Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁹ Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

¹⁰  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 13% and 47% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
26	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights (continued) BlackRock LifePath 2035 Fund

	Investor A
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	13.41		$	13.77		$	12.51		$	11.17		$	11.51
Net investment income1		0.17			0.19			0.21			0.20			0.20
Net realized and unrealized gain (loss)		(0.48	)		0.52			1.67			1.32			(0.37	)
Net increase (decrease) from investment operations		(0.31	)		0.71			1.88			1.52			(0.17	)
Distributions:2
From net investment income		(0.19	)		(0.19	)		(0.20	)		(0.18	)		(0.17	)
From net realized gain		(0.35	)		(0.88	)		(0.42	)		—			(0.00	)3
From return of capital		(0.00	)3		—			—			(0.00	)3		—
Total distributions		(0.54	)		(1.07	)		(0.62	)		(0.18	)		(0.17	)
Net asset value, end of year	$	12.56		$	13.41		$	13.77		$	12.51		$	11.17
Total Return4
Based on net asset value		(2.40)%			5.17%			15.08%			13.63%			(1.55)%
Ratios to Average Net Assets5,6,7
Total expenses		0.97%			0.99%			1.05%			1.14%			1.48%
Total expenses after fees waived and/or reimbursed		0.93%			0.96%			1.00%			1.00%			0.97%
Net investment income		1.30%			1.33%			1.55%			1.63%			1.77%
Supplemental Data
Net assets, end of year (000)	$	30,359		$	31,048		$	21,423		$	9,966		$	4,121
Portfolio turnover rate of the LifePath Master Portfolio		44%	8		54%	9		39%	9		4%	10		21%	10

¹ Based on average shares outstanding.

² Distributions for annual periods determined in accordance with federal income tax regulations.

³ Amount is greater than $(0.005) per share.

⁴ Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁵ Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶ Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.43%, 0.43%, 0.43%, 0.56% and 1.15% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷ Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.16%		0.15%		0.11%		0.11%		0.14%

⁸ Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁹ Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

¹⁰  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 13% and 47% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	27

Financial Highlights (continued) BlackRock LifePath 2035 Fund

	Investor C
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	13.32		$	13.69		$	12.45		$	11.14		$	11.49
Net investment income1		0.07			0.08			0.11			0.11			0.09
Net realized and unrealized gain (loss)		(0.48	)		0.53			1.66			1.30			(0.35	)
Net increase (decrease) from investment operations		(0.41	)		0.61			1.77			1.41			(0.26	)
Distributions:2
From net investment income		(0.09	)		(0.10	)		(0.11	)		(0.10	)		(0.09	)
From net realized gain		(0.35	)		(0.88	)		(0.42	)		—			(0.00	)3
From return of capital		(0.00	)3		—			—			(0.00	)3		—
Total distributions		(0.44	)		(0.98	)		(0.53	)		(0.10	)		(0.09	)
Net asset value, end of year	$	12.47		$	13.32		$	13.69		$	12.45		$	11.14
Total Return4
Based on net asset value		(3.13)%			4.43%			14.22%			12.70%			(2.28)%
Ratios to Average Net Assets5,6,7
Total expenses		1.72%			1.74%			1.81%			1.89%			2.24%
Total expenses after fees waived and/or reimbursed		1.69%			1.71%			1.75%			1.75%			1.72%
Net investment income		0.55%			0.58%			0.81%			0.92%			0.80%
Supplemental Data
Net assets, end of year (000)	$	2,007		$	1,816		$	1,028		$	533		$	190
Portfolio turnover rate of the LifePath Master Portfolio		44%	8		54%	9		39%	9		4%	10		21%	10

¹ Based on average shares outstanding.

² Distributions for annual periods determined in accordance with federal income tax regulations.

³ Amount is greater than $(0.005) per share.

⁴ Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁵ Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶ Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.43%, 0.43%, 0.43%, 0.56% and 1.09% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷ Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.16%		0.15%		0.11%		0.11%		0.14%

⁸ Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁹ Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

¹⁰  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 13% and 47% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
28	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights (continued) BlackRock LifePath 2035 Fund

	Class K
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	13.60		$	13.94		$	12.55		$	11.20		$	11.52
Net investment income1		0.30			0.23			0.22			0.27			0.25
Net realized and unrealized gain (loss)		(0.54	)		0.57			1.82			1.32			(0.35	)
Net increase (decrease) from investment operations		(0.24	)		0.80			2.04			1.59			(0.10	)
Distributions:2
From net investment income		(0.27	)		(0.26	)		(0.23	)		(0.24	)		(0.22	)
From net realized gain		(0.35	)		(0.88	)		(0.42	)		—			(0.00	)3
From return of capital		(0.00	)3		—			—			(0.00	)3		—
Total distributions		(0.62	)		(1.14	)		(0.65	)		(0.24	)		(0.22	)
Net asset value, end of year	$	12.74		$	13.60		$	13.94		$	12.55		$	11.20
Total Return4
Based on net asset value		(1.83)%			5.73%			16.32%			14.30%			(0.94)%
Ratios to Average Net Assets5,6,7
Total expenses		0.39%			0.38%			0.45%			0.55%			0.87%
Total expenses after fees waived and/or reimbursed		0.35%			0.35%			0.38%			0.40%			0.36%
Net investment income		2.30%			1.91%			1.65%			2.26%			2.17%
Supplemental Data
Net assets, end of year (000)	$	757		$	138		$	95		$	1,999		$	1,050
Portfolio turnover rate of the LifePath Master Portfolio		44%	8		54%	9		39%	9		4%	10		21%	10

¹ Based on average shares outstanding.

² Distributions for annual periods determined in accordance with federal income tax regulations.

³ Amount is greater than $(0.005) per share.

⁴ Where applicable, assumes the reinvestment of distributions.

⁵ Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶ Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.43%, 0.43%, 0.43%, 0.57% and 1.20% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷ Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.16%		0.15%		0.11%		0.11%		0.14%

⁸ Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁹ Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

¹⁰  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 13% and 47% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	29

Financial Highlights (concluded) BlackRock LifePath 2035 Fund

	Class R
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	13.44		$	13.78		$	12.52		$	11.19		$	11.52
Net investment income1		0.14			0.14			0.17			0.21			0.15
Net realized and unrealized gain (loss)		(0.49	)		0.54			1.67			1.28			(0.36	)
Net increase (decrease) from investment operations		(0.35	)		0.68			1.84			1.49			(0.21	)
Distributions:2
From net investment income		(0.16	)		(0.14	)		(0.16	)		(0.16	)		(0.12	)
From net realized gain		(0.35	)		(0.88	)		(0.42	)		—			(0.00	)3
From return of capital		(0.00	)3		—			—			(0.00	)3		—
Total distributions		(0.51	)		(1.02	)		(0.58	)		(0.16	)		(0.12	)
Net asset value, end of year	$	12.58		$	13.44		$	13.78		$	12.52		$	11.19
Total Return4
Based on net asset value		(2.65)%			4.96%			14.74%			13.37%			(1.85)%
Ratios to Average Net Assets5,6,7
Total expenses		1.21%			1.24%			1.30%			1.38%			1.72%
Total expenses after fees waived and/or reimbursed		1.18%			1.21%			1.25%			1.25%			1.21%
Net investment income		1.09%			1.03%			1.25%			1.71%			1.31%
Supplemental Data
Net assets, end of year (000)	$	867		$	579		$	474		$	359		$	22
Portfolio turnover rate of the LifePath Master Portfolio		44%	8		54%	9		39%	9		4%	10		21%	10

¹ Based on average shares outstanding.

² Distributions for annual periods determined in accordance with federal income tax regulations.

³ Amount is greater than $(0.005) per share.

⁴ Where applicable, assumes the reinvestment of distributions.

⁵ Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶ Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.43%, 0.43%, 0.43%, 0.55% and 1.19% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷ Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.16%		0.15%		0.11%		0.11%		0.14%

⁸ Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁹ Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

¹⁰  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 13% and 47% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
30	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights BlackRock LifePath 2045 Fund

	Institutional
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	14.05		$	14.39		$	12.74		$	11.24		$	11.70
Net investment income1		0.21			0.23			0.27			0.25			0.23
Net realized and unrealized gain (loss)		(0.54	)		0.58			2.07			1.47			(0.51	)
Net increase (decrease) from investment operations		(0.33	)		0.81			2.34			1.72			(0.28	)
Distributions:2
From net investment income		(0.21	)		(0.23	)		(0.25	)		(0.22	)		(0.18	)
From net realized gain		(0.41	)		(0.92	)		(0.44	)		—			—
From return of capital		—			—			—			(0.00	)3		—
Total distributions		(0.62	)		(1.15	)		(0.69	)		(0.22	)		(0.18	)
Net asset value, end of year	$	13.10		$	14.05		$	14.39		$	12.74		$	11.24
Total Return4
Based on net asset value		(2.37)%			5.66%			18.49%			15.34%			(2.46)%
Ratios to Average Net Assets5,6,7
Total expenses		0.71%			0.75%			0.85%			1.06%			2.00%
Total expenses after fees waived and/or reimbursed		0.66%			0.69%			0.74%			0.75%			0.70%
Net investment income		1.53%			1.57%			1.94%			2.04%			2.02%
Supplemental Data
Net assets, end of year (000)	$	15,105		$	15,678		$	12,832		$	7,066		$	1,646
Portfolio turnover rate of the LifePath Master Portfolio		50%	8		54%	9		38%	9		4%	10		35%	10

¹ Based on average shares outstanding.

² Distributions for annual periods determined in accordance with federal income tax regulations.

³ Amount is greater than $(0.005) per share.

⁴ Where applicable, assumes the reinvestment of distributions.

⁵ Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶ Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.48%, 0.49%, 0.51%, 0.83% and 2.51% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷ Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.18%		0.16%		0.11%		0.11%		0.16%

⁸ Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁹ Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

¹⁰  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 15% and 71% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	31

Financial Highlights (continued) BlackRock LifePath 2045 Fund

	Investor A
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	14.04		$	14.39		$	12.75		$	11.25		$	11.70
Net investment income1		0.18			0.20			0.25			0.21			0.19
Net realized and unrealized gain (loss)		(0.54	)		0.57			2.05			1.47			(0.49	)
Net increase (decrease) from investment operations		(0.36	)		0.77			2.30			1.68			(0.30	)
Distributions:2
From net investment income		(0.18	)		(0.20	)		(0.22	)		(0.18	)		(0.15	)
From net realized gain		(0.41	)		(0.92	)		(0.44	)		—			(0.00	)3
From return of capital		—			—			—			(0.00	)3		—
Total distributions		(0.59	)		(1.12	)		(0.66	)		(0.18	)		(0.15	)
Net asset value, end of year	$	13.09		$	14.04		$	14.39		$	12.75		$	11.25
Total Return4
Based on net asset value		(2.61)%			5.37%			18.17%			15.03%			(2.61)%
Ratios to Average Net Assets5,6,7
Total expenses		0.96%			1.00%			1.10%			1.31%			2.20%
Total expenses after fees waived and/or reimbursed		0.91%			0.94%			0.99%			0.99%			0.95%
Net investment income		1.28%			1.35%			1.77%			1.75%			1.65%
Supplemental Data
Net assets, end of year (000)	$	16,744		$	16,814		$	11,044		$	3,512		$	1,228
Portfolio turnover rate of the LifePath Master Portfolio		50%	8		54%	9		38%	9		4%	10		35%	10

¹ Based on average shares outstanding.

² Distributions for annual periods determined in accordance with federal income tax regulations.

³ Amount is greater than $(0.005) per share.

⁴ Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁵ Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶ Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.48%, 0.49%, 0.51%, 0.83% and 2.23% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷ Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.18%		0.16%		0.11%		0.11%		0.16%

⁸ Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁹ Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

¹⁰  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 15% and 71% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
32	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights (continued) BlackRock LifePath 2045 Fund

	Investor C
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	13.90		$	14.26		$	12.65		$	11.18		$	11.67
Net investment income1		0.07			0.09			0.13			0.13			0.11
Net realized and unrealized gain (loss)		(0.54	)		0.57			2.05			1.45			(0.50	)
Net increase (decrease) from investment operations		(0.47	)		0.66			2.18			1.58			(0.39	)
Distributions:2
From net investment income		(0.08	)		(0.10	)		(0.13	)		(0.11	)		(0.10	)
From net realized gain		(0.41	)		(0.92	)		(0.44	)		—			(0.00	)3
From return of capital		—			—			—			(0.00	)3		—
Total distributions		(0.49	)		(1.02	)		(0.57	)		(0.11	)		(0.10	)
Net asset value, end of year	$	12.94		$	13.90		$	14.26		$	12.65		$	11.18
Total Return4
Based on net asset value		(3.43)%			4.63%			17.31%			14.15%			(3.37)%
Ratios to Average Net Assets5,6,7
Total expenses		1.72%			1.75%			1.85%			2.04%			2.99%
Total expenses after fees waived and/or reimbursed		1.67%			1.69%			1.74%			1.75%			1.70%
Net investment income		0.53%			0.61%			0.97%			1.07%			0.94%
Supplemental Data
Net assets, end of year (000)	$	1,420		$	1,549		$	935		$	463		$	95
Portfolio turnover rate of the LifePath Master Portfolio		50%	8		54%	9		38%	9		4%	10		35%	10

¹ Based on average shares outstanding.

² Distributions for annual periods determined in accordance with federal income tax regulations.

³ Amount is greater than $(0.005) per share.

⁴ Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁵ Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶ Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.48%, 0.49%, 0.51%, 0.81% and 2.41% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷ Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.18%		0.16%		0.11%		0.11%		0.16%

⁸ Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁹ Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

¹⁰  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 15% and 71% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	33

Financial Highlights (continued) BlackRock LifePath 2045 Fund

	Class K
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	14.18		$	14.50		$	12.77		$	11.26		$	11.70
Net investment income1		0.40			0.29			0.21			0.30			0.24
Net realized and unrealized gain (loss)		(0.68	)		0.55			2.21			1.46			(0.48	)
Net increase (decrease) from investment operations		(0.28	)		0.84			2.42			1.76			(0.24	)
Distributions:2
From net investment income		(0.27	)		(0.24	)		(0.25	)		(0.25	)		(0.20	)
From net realized gain		(0.41	)		(0.92	)		(0.44	)		—			(0.00	)3
From return of capital		—			—			—			(0.00	)3		—
Total distributions		(0.68	)		(1.16	)		(0.69	)		(0.25	)		(0.20	)
Net asset value, end of year	$	13.22		$	14.18		$	14.50		$	12.77		$	11.26
Total Return4
Based on net asset value		(2.04)%			5.80%			19.11%			15.72%			(2.08)%
Ratios to Average Net Assets5,6,7
Total expenses		0.40%			0.38%			0.49%			0.70%			1.72%
Total expenses after fees waived and/or reimbursed		0.34%			0.33%			0.38%			0.39%			0.35%
Net investment income		3.08%			1.92%			1.60%			2.41%			2.04%
Supplemental Data
Net assets, end of year (000)	$	524		$	28		$	29		$	697		$	259
Portfolio turnover rate of the LifePath Master Portfolio		50%	8		54%	9		38%	9		4%	10		35%	10

¹ Based on average shares outstanding.

² Distributions for annual periods determined in accordance with federal income tax regulations.

³ Amount is greater than $(0.005) per share.

⁴ Where applicable, assumes the reinvestment of distributions.

⁵ Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶ Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.49%, 0.48%, 0.55%, 0.83% and 2.71% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷ Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.18%		0.16%		0.11%		0.11%		0.16%

⁸ Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁹ Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

¹⁰  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 15% and 71% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
34	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights (concluded) BlackRock LifePath 2045 Fund

	Class R
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	14.04		$	14.38		$	12.73		$	11.24		$	11.69
Net investment income1		0.15			0.15			0.19			0.23			0.14
Net realized and unrealized gain (loss)		(0.53	)		0.58			2.08			1.42			(0.48	)
Net increase (decrease) from investment operations		(0.38	)		0.73			2.27			1.65			(0.34	)
Distributions:2
From net investment income		(0.16	)		(0.15	)		(0.18	)		(0.16	)		(0.11	)
From net realized gain		(0.41	)		(0.92	)		(0.44	)		—			(0.00	)3
From return of capital		—			—			—			(0.00	)3		—
Total distributions		(0.57	)		(1.07	)		(0.62	)		(0.16	)		(0.11	)
Net asset value, end of year	$	13.09		$	14.04		$	14.38		$	12.73		$	11.24
Total Return4
Based on net asset value		(2.80)%			5.08%			17.91%			14.77%			(2.93)%
Ratios to Average Net Assets5,6,7
Total expenses		1.21%			1.25%			1.35%			1.55%			2.57%
Total expenses after fees waived and/or reimbursed		1.15%			1.19%			1.24%			1.25%			1.19%
Net investment income		1.09%			1.04%			1.36%			1.84%			1.17%
Supplemental Data
Net assets, end of year (000)	$	693		$	520		$	560		$	423		$	22
Portfolio turnover rate of the LifePath Master Portfolio		50%	8		54%	9		38%	9		4%	10		35%	10

¹ Based on average shares outstanding.

² Distributions for annual periods determined in accordance with federal income tax regulations.

³ Amount is greater than $(0.005) per share.

⁴ Where applicable, assumes the reinvestment of distributions.

⁵ Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁶ Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.48%, 0.49%, 0.52%, 0.82% and 2.71% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁷ Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.18%		0.16%		0.11%		0.11%		0.16%

⁸ Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁹ Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

¹⁰  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 15% and 71% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	35

Financial Highlights BlackRock LifePath 2055 Fund

	Institutional
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	14.33		$	14.64		$	12.74		$	11.13		$	11.85
Net investment income1		0.22			0.23			0.30			0.27			0.23
Net realized and unrealized gain (loss)		(0.57	)		0.63			2.36			1.56			(0.70	)
Net increase (decrease) from investment operations		(0.35	)		0.86			2.66			1.83			(0.47	)
Distributions:2
From net investment income		(0.21	)		(0.23	)		(0.26	)		(0.21	)		(0.16	)
From net realized gain		(0.31	)		(0.94	)		(0.50	)		(0.01	)		(0.09	)
Total distributions		(0.52	)		(1.17	)		(0.76	)		(0.22	)		(0.25	)
Net asset value, end of year	$	13.46		$	14.33		$	14.64		$	12.74		$	11.13
Total Return3
Based on net asset value		(2.52)%			5.90%			20.99%			16.46%			(4.02)%
Ratios to Average Net Assets4,5,6
Total expenses		0.79%			0.82%			1.05%			2.00%			9.82%
Total expenses after fees waived and/or reimbursed		0.66%			0.67%			0.74%			0.75%			0.69%
Net investment income		1.53%			1.54%			2.11%			2.17%			1.94%
Supplemental Data
Net assets, end of year (000)	$	7,381		$	6,773		$	4,546		$	1,981		$	164
Portfolio turnover rate of the LifePath Master Portfolio		49%	7		48%	8		67%	8		7%	9		51%	9

¹  Based on average shares outstanding.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Where applicable, assumes the reinvestment of distributions.

⁴  Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁵  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.62%, 0.66%, 0.83%, 2.22% and 15.11% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁶  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.18%		0.18%		0.12%		0.11%		0.17%

⁷  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁸  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

⁹  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 27% and 95% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
36	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights (continued) BlackRock LifePath 2055 Fund

	Investor A
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	14.30		$	14.62		$	12.73		$	11.13		$	11.85
Net investment income1		0.19			0.20			0.28			0.23			0.16
Net realized and unrealized gain (loss)		(0.56	)		0.62			2.34			1.56			(0.67	)
Net increase (decrease) from investment operations		(0.37	)		0.82			2.62			1.79			(0.51	)
Distributions:2
From net investment income		(0.18	)		(0.20	)		(0.23	)		(0.18	)		(0.12	)
From net realized gain		(0.31	)		(0.94	)		(0.50	)		(0.01	)		(0.09	)
Total distributions		(0.49	)		(1.14	)		(0.73	)		(0.19	)		(0.21	)
Net asset value, end of year	$	13.44		$	14.30		$	14.62		$	12.73		$	11.13
Total Return3
Based on net asset value		(2.67)%			5.60%			20.71%			16.09%			(4.35)%
Ratios to Average Net Assets4,5,6
Total expenses		1.04%			1.08%			1.30%			2.29%			8.94%
Total expenses after fees waived and/or reimbursed		0.91%			0.92%			0.99%			1.00%			0.94%
Net investment income		1.30%			1.32%			1.98%			1.88%			1.43%
Supplemental Data
Net assets, end of year (000)	$	7,561		$	5,543		$	3,951		$	1,043		$	163
Portfolio turnover rate of the LifePath Master Portfolio		49%	7		48%	8		67%	8		7%	9		51%	9

¹  Based on average shares outstanding.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁴  Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁵  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.62%, 0.66%, 0.82%, 2.28% and 12.56% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁶  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.18%		0.18%		0.12%		0.11%		0.17%

⁷  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁸  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

⁹  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 27% and 95% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	37

Financial Highlights (continued) BlackRock LifePath 2055 Fund

	Investor C
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	14.18		$	14.51		$	12.64		$	11.06		$	11.82
Net investment income1		0.08			0.08			0.15			0.13			0.10
Net realized and unrealized gain (loss)		(0.56	)		0.62			2.35			1.56			(0.69	)
Net increase (decrease) from investment operations		(0.48	)		0.70			2.50			1.69			(0.59	)
Distributions:2
From net investment income		(0.08	)		(0.09	)		(0.13	)		(0.10	)		(0.08	)
From net realized gain		(0.31	)		(0.94	)		(0.50	)		(0.01	)		(0.09	)
Total distributions		(0.39	)		(1.03	)		(0.63	)		(0.11	)		(0.17	)
Net asset value, end of year	$	13.31		$	14.18		$	14.51		$	12.64		$	11.06
Total Return3
Based on net asset value		(3.48)%			4.85%			19.81%			15.27%			(5.01)%
Ratios to Average Net Assets4,5,6
Total expenses		1.80%			1.83%			2.06%			3.12%			11.00%
Total expenses after fees waived and/or reimbursed		1.67%			1.67%			1.75%			1.75%			1.69%
Net investment income		0.54%			0.56%			1.07%			1.05%			0.88%
Supplemental Data
Net assets, end of year (000)	$	543		$	528		$	313		$	231		$	109
Portfolio turnover rate of the LifePath Master Portfolio		49%	7		48%	8		67%	8		7%	9		51%	9

¹  Based on average shares outstanding.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁴  Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁵  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.62%, 0.66%, 0.83%, 2.42% and 14.29% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁶  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.18%		0.18%		0.12%		0.11%		0.17%

⁷  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁸  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

⁹  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 27% and 95% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
38	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights (continued) BlackRock LifePath 2055 Fund

	Class K
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	14.49		$	14.77		$	12.77		$	11.15		$	11.86
Net investment income1		0.28			0.30			0.22			0.35			0.23
Net realized and unrealized gain (loss)		(0.58	)		0.62			2.54			1.52			(0.66	)
Net increase (decrease) from investment operations		(0.30	)		0.92			2.76			1.87			(0.43	)
Distributions:2
From net investment income		(0.26	)		(0.26	)		(0.26	)		(0.24	)		(0.19	)
From net realized gain		(0.31	)		(0.94	)		(0.50	)		(0.01	)		(0.09	)
Total distributions		(0.57	)		(1.20	)		(0.76	)		(0.25	)		(0.28	)
Net asset value, end of year	$	13.62		$	14.49		$	14.77		$	12.77		$	11.15
Total Return3
Based on net asset value		(2.15)%			6.26%			21.74%			16.83%			(3.71)%
Ratios to Average Net Assets4,5,6
Total expenses		0.46%			0.46%			0.75%			1.27%			9.68%
Total expenses after fees waived and/or reimbursed		0.32%			0.32%			0.38%			0.40%			0.33%
Net investment income		1.97%			1.93%			1.61%			2.80%			1.99%
Supplemental Data
Net assets, end of year (000)	$	52		$	29		$	30		$	448		$	22
Portfolio turnover rate of the LifePath Master Portfolio		49%	7		48%	8		67%	8		7%	9		51%	9

¹  Based on average shares outstanding.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Where applicable, assumes the reinvestment of distributions.

⁴  Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁵  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.63%, 0.65%, 0.95%, 1.71% and 16.23% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁶  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.18%		0.18%		0.12%		0.11%		0.17%

⁷  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁸  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

⁹  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 27% and 95% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	39

Financial Highlights (concluded) BlackRock LifePath 2055 Fund

	Class R
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	14.32		$	14.62		$	12.72		$	11.12		$	11.84
Net investment income1		0.15			0.15			0.22			0.19			0.13
Net realized and unrealized gain (loss)		(0.57	)		0.63			2.37			1.56			(0.66	)
Net increase (decrease) from investment operations		(0.42	)		0.78			2.59			1.75			(0.53	)
Distributions:2
From net investment income		(0.15	)		(0.14	)		(0.19	)		(0.14	)		(0.10	)
From net realized gain		(0.31	)		(0.94	)		(0.50	)		(0.01	)		(0.09	)
Total distributions		(0.46	)		(1.08	)		(0.69	)		(0.15	)		(0.19	)
Net asset value, end of year	$	13.44		$	14.32		$	14.62		$	12.72		$	11.12
Total Return3
Based on net asset value		(3.00)%			5.37%			20.44%			15.75%			(4.54)%
Ratios to Average Net Assets4,5,6
Total expenses		1.29%			1.32%			1.56%			2.75%			10.53%
Total expenses after fees waived and/or reimbursed		1.15%			1.17%			1.25%			1.25%			1.18%
Net investment income		1.07%			0.98%			1.58%			1.53%			1.14%
Supplemental Data
Net assets, end of year (000)	$	292		$	118		$	106		$	59		$	22
Portfolio turnover rate of the LifePath Master Portfolio		49%	7		48%	8		67%	8		7%	9		51%	9

¹  Based on average shares outstanding.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Where applicable, assumes the reinvestment of distributions.

⁴  Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁵  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.62%, 0.65%, 0.84%, 2.60% and 16.23% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁶  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.18%		0.18%		0.12%		0.11%		0.17%

⁷  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁸  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

⁹  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 27% and 95% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
40	BLACKROCK FUNDS III	DECEMBER 31, 2015

Notes to Financial Statements

1. Organization:

Blackrock Funds III (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), an open-end management investment company. The Trust is organized as a Delaware statutory trust. The following series of the Trust are referred to herein collectively as the “LifePath Funds” or individually, as a “LifePath Fund”:

Fund Name	Herein Referred To As	Diversification Classification
BlackRock LifePath® 2025 Fund	LifePath 2025 Fund		Diversified
BlackRock LifePath® 2035 Fund	LifePath 2035 Fund		Diversified
BlackRock LifePath® 2045 Fund	LifePath 2045 Fund		Diversified
BlackRock LifePath® 2055 Fund	LifePath 2055 Fund		Diversified

Each LifePath Fund seeks to achieve its investment objective by investing all of its assets in a corresponding series of the Master Investment Portfolio (“MIP”): LifePath^® 2025 Master Portfolio, LifePath^® 2035 Master Portfolio, LifePath^® 2045 Master Portfolio and LifePath^® 2055 Master Portfolio (each, a “LifePath Master Portfolio” and together, the “LifePath Master Portfolios”). MIP is an affiliate of the Trust. Each LifePath Master Portfolio has the same investment objective and strategies as its corresponding LifePath Fund. The value of each LifePath Fund’s investment in its corresponding LifePath Master Portfolio reflects the LifePath Fund’s proportionate interest in the net assets of the LifePath Master Portfolio. The performance of each LifePath Fund is directly affected by the performance of the corresponding LifePath Master Portfolio. At December 31, 2015, the percentage of the LifePath Master Portfolio owned by the corresponding LifePath Fund was 100.0%, for each LifePath 2025 Fund, LifePath 2035 Fund, LifePath 2045 Fund and 99.9% for LifePath 2055 Fund, respectively. As such, the financial statements of each corresponding LifePath Master Portfolio, including the Schedule of Investments, are included elsewhere in this report and should be read in conjunction with the LifePath Funds’ financial statements.

Each LifePath Fund offers multiple classes of shares. Institutional and Class K Shares are sold only to certain eligible investors. Investor A and Investor C Shares are generally available through financial intermediaries. Class R Shares are available 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. 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.

Share Class	Initial Sales Charge		CDSC			Conversion Privilege
Institutional, Class K and Class R		No		No			None
Investor A		Yes		No	1		None
Investor C		No		Yes			None

¹  Investor A Shares may be subject to a CDSC for certain redemptions where no initial sales charge was paid at the time of purchase.

The LifePath Funds, together with certain other registered investment companies advised by BlackRock Fund Advisors (“BFA” or the “Manager”) or its affiliates, are included in a complex of open end funds referred to as the Equity-Liquidity 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. Each LifePath 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 Investment Income: For financial reporting purposes, contributions to and withdrawals from each LifePath Master Portfolio are accounted on a trade date basis. Each LifePath Fund records daily its proportionate share of its LifePath Master Portfolio’s income, expenses and realized and unrealized gains and losses. Realized and unrealized gains and losses are adjusted utilizing partnership tax allocation rules. In addition, each LifePath Fund accrues its own expenses. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.

In-Kind Redemptions: The LifePath Master Portfolios satisfied certain redemptions in investors’ capital through an in-kind redemption of securities and cash. For financial reporting purposes, these transactions were treated as a sale of securities and the resulting gains and losses were recognized at the LifePath Master Portfolios based on the market value of the securities on the date of the redemption. For the year ended December 31, 2015, the LifePath Funds were allocated realized gain from the in-kind redemptions. For tax purposes, no gains or losses were recognized. Gains and losses resulting from such in-kind redemptions, which are included in the Statements of Operations were as follows:

LifePath 2025 Fund	LifePath 2035 Fund		LifePath 2045 Fund		LifePath 2055 Fund
$1,722,499	$	1,722,851	$	1,130,592	$	481,283

Distributions: Distributions from net investment income are declared and paid quarterly. Distributions of capital gains are recorded on the ex-dividend date. The portion of distributions, if any, that exceeds a LifePath Fund’s current and accumulated earnings and profits, as measured on a tax basis, constitute a non-taxable return of capital. The character and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.

BLACKROCK FUNDS III DECEMBER 31, 2015 41

Notes to Financial Statements (continued)

Indemnifications: In the normal course of business, a LifePath Fund enters into contracts that contain a variety of representations that provide general indemnification. A LifePath Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against a LifePath Fund, which cannot be predicted with any certainty.

Other: Expenses directly related to a LifePath Fund or its classes are charged to that LifePath Fund or the applicable class. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods. Expenses directly related to the LifePath Funds are allocated daily to each class based on its relative net assets or other appropriate methods.

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: The LifePath Funds’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the LifePath Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date.

The LifePath Funds’ policy is to fair value its financial instruments at market value. Each LifePath Fund records its investment in the LifePath Master Portfolio at fair value based on the LifePath Fund’s proportionate interest in the net assets of the LifePath Master Portfolio. Valuation of securities held by the LifePath Master Portfolio are discussed in Note 3 of the LifePath Master Portfolio’s Notes to Financial Statements, which are included elsewhere in this report.

4. Administration Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

The Trust, on behalf of the LifePath Funds, entered into an Administration Agreement with BlackRock Advisors, LLC (“BAL” or the “Administrator”), which has agreed to provide general administration services (other than investment advice and related portfolio activities). BAL, in consideration thereof, has agreed to bear all of the LifePath Funds’ ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by the LifePath Funds. BAL is entitled to receive for these administration services an annual fee of 0.35% based on the average daily net assets of each LifePath Fund’s Institutional and Investor A, 0.40% based on the average daily net assets of Investor C Shares, 0.30% based on the average daily net assets of Class R Shares and 0.15% based on average daily net assets of Class K Shares. Prior to November 30, 2015, the annual fees based on average daily net assets were 0.50% for each LifePath Fund’s Institutional, Investor A, Investor C and Class R Shares. The fee for Class K shares remains unchanged.

From time to time, BAL may waive such fees in whole or in part. Any such waiver will reduce the expenses of the LifePath Funds and, accordingly, have a favorable impact on their performance. BAL may delegate certain of its administration duties to sub-administrators.

The fees and expenses of the Trust’s trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and the Trust’s independent registered public accounting firm (together, the “independent expenses”) are paid directly by the LifePath Funds. BAL has contractually agreed to provide an offsetting credit against the administration fees paid by the LifePath Funds in an amount equal to the independent expenses through April 30, 2026. These amounts are included in fees waived by the administrator in the Statements of Operations.

The Trust, on behalf of the LifePath Funds, entered into a Distribution Agreement and a Distribution and Service Plan with BlackRock Investments, LLC (“BRIL”), an affiliate of the Administrator. Pursuant to the Distribution and Service Plan and in accordance with Rule 12b-1 under the 1940 Act, each LifePath Fund pays BRIL ongoing 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 each LifePath Fund as follows:

	Service Fee		Distribution Fee
Investor A		0.25%		—
Investor C		0.25%		0.75%
Class R		0.25%		0.25%

Pursuant to sub-agreements with BRIL, broker-dealers and BRIL provide shareholder servicing and distribution services to the LifePath Funds. The ongoing service and/or distribution fee compensates BRIL and each broker-dealer for providing shareholder servicing and/or distribution related services to the shareholders.

For the year ended December 31, 2015 affiliates earned underwriting discounts, direct commissions and dealer concessions on sales of the LifePath Funds’ Investor A Shares as follows:

	LifePath 2025 Fund		LifePath 2035 Fund		LifePath 2045 Fund		LifePath 2055 Fund
Investor A	$	453	$	1,297	$	530	$	241

42 BLACKROCK FUNDS III DECEMBER 31, 2015

Notes to Financial Statements (continued)

For the year ended December 31, 2015, affiliates received CDSCs as follows:

	LifePath 2025 Fund		LifePath 2035 Fund		LifePath 2045 Fund		LifePath 2045 Fund
Investor C	$	18	$	1,147	$	472	$	2

Certain officers and/or trustees of the Trust are officers and/or directors of BlackRock or its affiliates.

5. Income Tax Information:

It is the LifePath Funds’ 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 their taxable income to their shareholders. Therefore, no federal income tax provision is required.

Each LifePath 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 each LifePath Fund’s U.S. federal tax returns remains open for each of the four years ended December 31, 2015. The statutes of limitations on each LifePath 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 LifePath Funds as of December 31, 2015, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the LifePath Funds’ financial statements.

The tax character of distributions paid was as follows:

		LifePath 2025 Fund		LifePath 2035 Fund		LifePath 2045 Fund		LifePath 2055 Fund
Ordinary Income	12/31/15	$	1,146,932	$	924,943	$	514,964	$	203,965
	12/31/14	$	1,673,511	$	1,429,966	$	821,156	$	302,050
Long-term capital gains	12/31/15	$	1,335,767	$	1,440,613	$	1,016,294	$	338,027
	12/31/14	$	3,041,525	$	2,866,235	$	1,801,214	$	676,426
Tax return of capital	12/31/15	$	60,318	$	19,225		—		—
Total	12/31/15	$	2,543,017	$	2,384,781	$	1,531,258	$	541,992
	12/31/14	$	4,715,036	$	4,296,201	$	2,622,370	$	978,476

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

	LifePath 2025 Fund				LifePath 2035 Fund			LifePath 2045 Fund			LifePath 2055 Fund
Undistributed ordinary income			—			—		$	9,966		$	4,461
Net unrealized losses1		$	(1,340,409	)	$	(1,194,123	)		(745,414	)		(302,286	)
Qualified late-year losses2			(158,480	)		(187,596	)		(157,916	)		(67,181	)
Total		$	(1,498,889	)	$	(1,381,719	)	$	(893,364	)	$	(365,006	)

¹ The differences between book-basis and tax-basis net unrealized losses were attributable primarily to the timing and recognition of partnership income.

²  The LifePath Funds have elected to defer certain qualified late-year losses and recognize such losses in the next taxable year.

6. Capital Share Transactions:

Transactions in capital shares for each class were as follows:

	Year Ended December 31, 2015						Year Ended December 31, 2014
LifePath 2025 Fund	Shares			Amount			Shares			Amount
Institutional
Shares sold		1,695,717		$	22,026,427			901,653		$	12,046,203
Shares issued in reinvestment of distributions		90,453			1,115,230			141,562			1,840,363
Shares redeemed		(1,324,284	)		(17,169,467	)		(1,171,103	)		(15,610,001	)
Net increase (decrease)		461,886		$	5,972,190			(127,888	)	$	(1,723,435	)
Investor A
Shares sold		484,539		$	6,176,197			1,249,072		$	16,755,157
Shares issued in reinvestment of distributions		97,698			1,205,545			195,900			2,536,696
Shares redeemed		(823,014	)		(10,365,276	)		(898,439	)		(12,003,995	)
Net increase (decrease)		(240,777	)	$	(2,983,534	)		546,533		$	7,287,858

BLACKROCK FUNDS III DECEMBER 31, 2015 43

Notes to Financial Statements (continued)

	Year Ended December 31, 2015						Year Ended December 31, 2014
LifePath 2025 Fund (concluded)	Shares			Amount			Shares			Amount
Investor C
Shares sold		191,836		$	2,439,322			155,070		$	2,059,006
Shares issued in reinvestment of distributions		8,028			98,474			14,181			182,113
Shares redeemed		(181,855	)		(2,252,503	)		(98,326	)		(1,304,067	)
Net increase		18,009		$	285,293			70,925		$	937,052
Class K
Shares sold		135,809		$	1,698,832			98,832		$	1,339,988
Shares issued in reinvestment of distributions		3,199			39,154			2,723			35,904
Shares redeemed		(57,521	)		(713,464	)		(84,601	)		(1,143,088	)
Net increase		81,487		$	1,024,522			16,954		$	232,804
Class R
Shares sold		198,458		$	2,505,656			79,505		$	1,064,199
Shares issued in reinvestment of distributions		6,691			82,119			8,934			115,827
Shares redeemed		(113,165	)		(1,465,027	)		(70,180	)		(949,152	)
Net increase		91,984		$	1,122,748			18,259		$	230,874
Total Net Increase		412,589		$	5,421,219			524,783		$	6,965,153
LifePath 2035 Fund
Institutional
Shares sold		935,048		$	12,689,214			698,213		$	9,795,954
Shares issued in reinvestment of distributions		75,760			977,461			130,961			1,786,762
Shares redeemed		(894,648	)		(12,126,312	)		(806,981	)		(11,297,194	)
Net increase		116,160		$	1,540,363			22,193		$	285,522
Investor A
Shares sold		561,099		$	7,536,029			1,234,302		$	17,374,827
Shares issued in reinvestment of distributions		99,598			1,283,978			171,287			2,328,481
Shares redeemed		(558,814	)		(7,357,563	)		(646,590	)		(9,069,583	)
Net increase		101,883		$	1,462,444			758,999		$	10,633,725
Investor C
Shares sold		105,262		$	1,406,620			102,383		$	1,438,909
Shares issued in reinvestment of distributions		5,495			70,017			8,787			118,207
Shares redeemed		(86,166	)		(1,137,058	)		(49,907	)		(702,265	)
Net increase		24,591		$	339,579			61,263		$	854,851
Class K
Shares sold		48,795		$	636,575			38,968		$	566,459
Shares issued in reinvestment of distributions		1,730			22,287			1,074			15,129
Shares redeemed		(1,248	)		(17,127	)		(36,710	)		(531,744	)
Net increase		49,277		$	641,735			3,332		$	49,844
Class R
Shares sold		55,006		$	724,120			40,609		$	573,114
Shares issued in reinvestment of distributions		2,302			29,614			3,008			41,022
Shares redeemed		(31,541	)		(424,788	)		(34,879	)		(494,583	)
Net increase		25,767		$	328,946			8,738		$	119,553
Total Net Increase		317,678		$	4,313,067			854,525		$	11,943,495

44 BLACKROCK FUNDS III DECEMBER 31, 2015

Notes to Financial Statements (continued)

	Year Ended December 31, 2015						Year Ended December 31, 2014
LifePath 2045 Fund	Shares			Amount			Shares			Amount
Institutional
Shares sold		559,557		$	7,929,643			568,413		$	8,346,244
Shares issued in reinvestment of distributions		51,781			697,205			86,364			1,232,981
Shares redeemed		(573,820	)		(8,169,111	)		(430,563	)		(6,275,685	)
Net increase		37,518		$	457,737			224,214		$	3,303,540
Investor A
Shares sold		380,095		$	5,344,885			607,385		$	8,947,428
Shares issued in reinvestment of distributions		54,687			736,323			87,027			1,239,384
Shares redeemed		(352,998	)		(4,912,618	)		(264,546	)		(3,908,096	)
Net increase		81,784		$	1,168,590			429,866		$	6,278,716
Investor C
Shares sold		67,371		$	938,567			60,642		$	879,755
Shares issued in reinvestment of distributions		4,325			57,482			7,168			100,693
Shares redeemed		(73,452	)		(999,367	)		(21,880	)		(319,032	)
Net increase (decrease)		(1,756	)	$	(3,318	)		45,930		$	661,416
Class K
Shares sold		37,110		$	497,656			23,669		$	360,858
Shares issued in reinvestment of distributions		1,078			14,363			365			5,506
Shares redeemed		(581	)		(7,775	)		(24,034	)		(362,768	)
Net increase		37,607		$	504,244			—		$	3,596
Class R
Shares sold		46,692		$	642,929			22,356		$	328,462
Shares issued in reinvestment of distributions		1,810			24,378			2,594			37,089
Shares redeemed		(32,584	)		(460,752	)		(26,829	)		(396,904	)
Net increase (decrease)		15,918		$	206,555			(1,879	)	$	(31,353	)
Total Net Increase		171,071		$	2,333,808			698,131		$	10,215,915
LifePath 2055 Fund
Institutional
Shares sold		344,455		$	4,949,851			348,366		$	5,205,213
Shares issued in reinvestment of distributions		19,079			263,523			35,626			518,300
Shares redeemed		(287,976	)		(4,174,534	)		(221,931	)		(3,307,959	)
Net increase		75,558		$	1,038,840			162,061		$	2,415,554
Investor A
Shares sold		255,129		$	3,630,190			247,660		$	3,708,400
Shares issued in reinvestment of distributions		18,377			253,284			28,241			409,734
Shares redeemed		(98,266	)		(1,381,504	)		(158,705	)		(2,392,815	)
Net increase		175,240		$	2,501,970			117,196		$	1,725,319
Investor C
Shares sold		25,419		$	359,459			28,126		$	413,363
Shares issued in reinvestment of distributions		1,179			16,091			2,346			33,663
Shares redeemed		(23,073	)		(320,424	)		(14,822	)		(219,461	)
Net increase		3,525		$	55,126			15,650		$	227,565

BLACKROCK FUNDS III DECEMBER 31, 2015 45

Notes to Financial Statements (concluded)

	Year Ended December 31, 2015						Year Ended December 31, 2014
LifePath 2055 Fund (concluded)	Shares			Amount			Shares			Amount
Class K
Shares sold		1,965		$	27,326			11,181		$	174,276
Shares issued in reinvestment of distributions		43			600			176			2,712
Shares redeemed		(160	)		(2,412	)		(11,357	)		(175,350	)
Net increase		1,848		$	25,514			—		$	1,638
Class R
Shares sold		23,493		$	330,212			8,973		$	134,484
Shares issued in reinvestment of distributions		459			6,304			507			7,425
Shares redeemed		(10,535	)		(149,647	)		(8,476	)		(128,490	)
Net increase		13,417		$	186,869			1,004		$	13,419
Total Net Increase		269,588		$	3,808,319			295,911		$	4,383,495

At December 31, 2015, shares of the LifePath Funds were owned by BlackRock HoldCo 2, Inc., an affiliate of the LifePath Funds, as follows:.

	LifePath 2025 Fund		LifePath 2035 Fund		LifePath 2045 Fund		LifePath 2055 Fund
Class K		2,006		2,004		2,003		2,001
Class R		—		—		—		2,000

7. Subsequent Events:

Management has evaluated the impact of all subsequent events on the LifePath Funds 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.

46 BLACKROCK FUNDS III DECEMBER 31, 2015

Report of Independent Registered Public Accounting Firm BlackRock Funds III

To the Board of Trustees of BlackRock Funds III and the Shareholders of BlackRock LifePath^® 2025 Fund, BlackRock LifePath^® 2035 Fund, BlackRock LifePath^® 2045 Fund and BlackRock LifePath^® 2055 Fund:

In our opinion, the accompanying statements of assets and liabilities and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of BlackRock LifePath^® 2025 Fund, BlackRock LifePath^® 2035 Fund, BlackRock LifePath^® 2045 Fund and BlackRock LifePath^® 2055 Fund (the “Funds”), each a series of BlackRock Funds III, at December 31, 2015, the results of each of their operations for the year then ended, the changes in each of their 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. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 24, 2016

Important Tax Information (Unaudited)

The following information is provided with respect to the ordinary income distributions paid during the taxable year ended December 31, 2015:

	Payable Dates		LifePath 2025 Fund		LifePath 2035 Fund		LifePath 2045 Fund		LifePath 2055 Fund
Qualified Dividend Income for Individuals1		03/31/15 - 12/30/15		68.70%		96.18%		100%		100%
Dividends Qualifying for the Dividend Received Deduction for Corporations1		03/31/15 - 12/30/15		34.90%		47.81%		57.87%		60.33%
Federal Obligation Interest2		03/31/15 - 12/30/15		2.07%		1.11%		—		—
Interest-Related Dividends and Qualified Short-Term Capital Gains for Non-U.S. Residents3		03/31/15 - 12/30/15		45.43%		29.80%		18.22%		13.46%

¹  The LifePath Funds hereby designate the percentage indicated above or the maximum amount allowable by law.

² The law varies in each state as to whether and what percentage of dividend income attributable to federal obligations is exempt from state income tax. We recommend that you consult your tax advisor to determine if any portion of the dividends you received is exempt from state income taxes.

³ Represents the portion of the taxable ordinary income dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations.

Additionally, the LifePath Funds distributed long-term capital gains per share to shareholders of record on the following dates:

	Record Dates	June 29, 2015		December 29, 2015
LifePath 2025 Fund		$	0.046928	$	0.202168
LifePath 2035 Fund		$	0.063016	$	0.265970
LifePath 2045 Fund		$	0.088394	$	0.310592
LifePath 2055 Fund		$	0.078867	$	0.225471

BLACKROCK FUNDS III DECEMBER 31, 2015 47

Master Portfolio Information as of December 31, 2015 Master Investment Portfolio

LifePath^® 2025 Master Portfolio

Portfolio Composition Percent of
Total Net Assets

Equity Funds	57	%
Fixed Income Funds	38
Common Stocks	5

Ten Largest Holdings Percent of
Total Net Assets

CoreAlpha Bond Master Portfolio	34	%
Active Stock Master Portfolio	21
International Tilts Master Portfolio	13
Large Cap Index Master Portfolio	10
iShares TIPS Bond ETF	4
BlackRock Commodity Strategies Fund	3
BlackRock Emerging Markets Fund, Inc.	3
Master Small Cap Index Series	3
iShares MSCI EAFE Small-Cap ETF	2
iShares MSCI Canada ETF	1

LifePath^® 2035 Master Portfolio

Portfolio Composition Percent of
Total Net Assets

Equity Funds	74	%
Fixed Income Funds	16
Common Stocks	10

Ten Largest Holdings Percent of
Total Net Assets

Active Stock Master Portfolio	25	%
International Tilts Master Portfolio	17
Large Cap Index Master Portfolio	17
CoreAlpha Bond Master Portfolio	16
BlackRock Emerging Markets Fund, Inc.	4
BlackRock Commodity Strategies Fund	4
iShares MSCI EAFE Small-Cap ETF	2
Master Small Cap Index Series	2
iShares MSCI Canada ETF	1
Simon Property Group, Inc.	1

The LifePath Master Portfolios’ allocation and holdings listed above are current as of the report date. However, the LifePath Master Portfolios are regularly monitored and their composition may vary throughout various periods.

48 BLACKROCK FUNDS III DECEMBER 31, 2015

Master Portfolio Information as of December 31, 2015 (concluded) Master Investment Portfolio

LifePath^® 2045 Master Portfolio

Portfolio Composition Percent of Total Net Assets

Equity Funds	84	%
Common Stocks	13
Fixed Income Funds	3

Ten Largest Holdings Percent of Total Net Assets

Active Stock Master Portfolio	28	%
International Tilts Master Portfolio	21
Large Cap Index Master Portfolio	19
BlackRock Emerging Markets Fund, Inc.	5
BlackRock Commodity Strategies Fund	4
iShares MSCI EAFE Small-Cap ETF	3
CoreAlpha Bond Master Portfolio	3
Master Small Cap Index Series	2
iShares MSCI Canada ETF	2
Simon Property Group, Inc.	1

LifePath^® 2055 Master Portfolio

Portfolio Composition Percent of
Total Net Assets

Equity Funds	84	%
Common Stocks	13
Fixed Income Funds	2
Other Assets	1

Ten Largest Holdings Percent of
Total Net Assets

Active Stock Master Portfolio	33	%
International Tilts Master Portfolio	21
Large Cap Index Master Portfolio	14
BlackRock Emerging Markets Fund, Inc.	5
BlackRock Commodity Strategies Fund	4
iShares MSCI EAFE Small-Cap ETF	3
Master Small Cap Index Series	2
iShares MSCI Canada ETF	2
CoreAlpha Bond Master Portfolio	2
Simon Property Group, Inc.	1

The LifePath Master Portfolios’ allocation and holdings listed above are current as of the report date. However, the LifePath Master Portfolios are regularly monitored and their composition may vary throughout various periods.

BLACKROCK FUNDS III DECEMBER 31, 2015 49

Schedule of Investments December 31, 2015 LifePath 2025 Master Portfolio (Percentages shown are based on Net Assets)

Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 56.7%
Active Stock Master Portfolio	$	13,646,396	$	13,646,396
BlackRock Commodity Strategies Fund		366,318		2,227,211
BlackRock Emerging Markets Fund, Inc.		135,188		2,111,633
International Tilts Master Portfolio	$	8,424,203		8,424,203
iShares MSCI Canada ETF (b)		29,702		638,593
iShares MSCI EAFE Small-Cap ETF		24,094		1,203,495
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	6,667,009		6,667,009
Master Small Cap Index Series	$	1,989,173		1,989,173
				36,907,713
Fixed Income Funds — 37.7%
CoreAlpha Bond Master Portfolio	$	22,012,998		22,012,998
iShares TIPS Bond ETF		23,345		2,560,480
				24,573,478
Short-Term Securities — 0.0%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.38% (c)(d)		1,667		1,667
BlackRock Cash Funds: Prime, SL Agency Shares, 0.36% (c)(d)		1,261		1,261
				2,928
Total Affiliated Investment Companies — 94.4%				61,484,119
Common Stocks
Hotels, Restaurants & Leisure — 0.1%
Hilton Worldwide Holdings, Inc.		804		17,206
Pebblebrook Hotel Trust		865		24,237
RLJ Lodging Trust		1,224		26,475
				67,918
Real Estate Investment Trusts (REITs) — 4.0%
Alexandria Real Estate Equities, Inc.		555		50,150
Allied Properties Real Estate Investment Trust		2,295		52,362
AvalonBay Communities, Inc.		541		99,614
Beni Stabili SpA SIIQ		33,511		25,258
Boston Properties, Inc.		1,002		127,795
British Land Co. PLC		6,215		71,913
Cambridge Industrial Trust		86,000		34,269
CareTrust REIT, Inc.		3,439		37,657
CubeSmart		1,908		58,423
CyrusOne, Inc.		939		35,166
Derwent London PLC		779		42,134
Duke Realty Corp.		2,119		44,541
Empiric Student Property PLC		15,463		25,873
EPR Properties		652		38,109
Equity One, Inc.		1,584		43,006
Equity Residential		1,310		106,883
Essex Property Trust, Inc.		315		75,414
Extra Space Storage, Inc.		842		74,273
Federal Realty Investment Trust		90		13,149
General Growth Properties, Inc.		628		17,088
Goodman Group		21,527		97,548

Common Stocks	Shares		Value
Real Estate Investment Trusts (REITs) (continued)
Gramercy Property Trust		3,229	$	24,924
Japan Rental Housing Investments, Inc.		46		32,503
Kenedix Retail REIT Corp.		23		48,689
Kilroy Realty Corp.		961		60,812
Kimco Realty Corp.		1,359		35,959
Land Securities Group PLC		4,434		76,864
Link REIT		9,500		56,638
Macerich Co.		561		45,267
Merlin Properties Socimi SA		2,080		26,057
National Health Investors, Inc.		590		35,913
Parkway Properties, Inc.		2,163		33,808
Physicians Realty Trust		227		3,827
Prologis, Inc.		2,057		88,286
Retail Properties of America, Inc., Class A		4,498		66,435
Sekisui House REIT, Inc.		17		18,525
Simon Property Group, Inc.		1,077		209,412
SL Green Realty Corp.		396		44,740
STAG Industrial, Inc.		2,032		37,490
STORE Capital Corp.		821		19,047
Sunstone Hotel Investors, Inc.		3,599		44,952
Taubman Centers, Inc.		165		12,659
UDR, Inc.		1,344		50,494
Vastned Retail NV		980		45,022
Vicinity Centres		45,237		91,771
Welltower, Inc.		1,516		103,134
Wereldhave NV		677		37,976
Westfield Corp.		10,440		71,826
				2,593,655
Real Estate Management & Development — 1.1%
Castellum AB		2,878		40,986
Cheung Kong Property Holdings Ltd.		12,000		77,628
Deutsche Wohnen AG, Bearer Shares		1,830		50,603
First Capital Realty, Inc.		1,880		24,932
Heiwa Real Estate Co., Ltd.		4,200		45,958
Howard Hughes Corp. (e)		145		16,408
Kennedy Wilson Europe Real Estate PLC		953		16,948
Kungsleden AB		3,651		26,088
KWG Property Holding Ltd.		45,500		33,541
LEG Immobilien AG		217		17,686
Leopalace21 Corp. (e)		2,900		15,697
Nomura Real Estate Holdings, Inc.		1,900		35,249
Sumitomo Realty & Development Co., Ltd.		3,000		85,628
Sun Hung Kai Properties Ltd.		7,000		84,137
VIB Vermoegen AG		1,250		23,222
Vonovia SE		1,356		41,891
Wharf Holdings Ltd.		10,000		55,135
				691,737
Total Common Stocks — 5.2%				3,353,310
Total Investments (Cost — $66,733,365) — 99.6%				64,837,429
Other Assets Less Liabilities — 0.4%				267,993
Net Assets — 100.0%			$	65,105,422

Portfolio Abbreviations

AUD	Australian Dollar	HKD	Hong Kong Dollar	SEK	Swedish Krona
CAD	Canadian Dollar	ILS	Israeli New Shekel	SGD	Singapore Dollar
CHF	Swiss Franc	JPY	Japanese Yen	USD	U.S. Dollar
EUR	Euro	NOK	Norwegian Krone
GBP	British Pound	NZD	New Zealand Dollar

See Notes to Financial Statements.

50 BLACKROCK FUNDS III DECEMBER 31, 2015

Schedule of Investments (continued) LifePath 2025 Master Portfolio

Notes to Schedule of Investments

(a) During the year ended December 31, 2015, investments in issuers considered to be affiliates of LifePath Master Portfolio for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/ Beneficial Interest Held at December 31, 2014		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at December 31, 2015		Value at December 31, 2015		Net Income			Realized Gain (Loss)
Active Stock Master Portfolio	$	15,992,282		—		$	(2,345,886	)1	$	13,646,396	$	13,646,396	$	247,500		$	1,873,881	2
BlackRock Cash Funds: Institutional, SL Agency Shares		39,034		—			(37,367	)1		1,667	$	1,667	$	1,743	3		—
BlackRock Cash Funds: Prime, SL Agency Shares		—		1,261	4		—			1,261	$	1,261	$	1,138	3		—
BlackRock Commodity Strategies Fund		297,619		135,663			(66,964	)		366,318	$	2,227,211		—		$	(183,053	)
BlackRock Emerging Markets Fund, Inc.		125,241		45,894			(35,947	)		135,188	$	2,111,633	$	27,911		$	(40,475	)
CoreAlpha Bond Master Portfolio	$	19,692,253	$	2,320,745	4		—		$	22,012,998	$	22,012,998	$	547,960		$	95,610	2
International Tilts Master Portfolio	$	7,554,212	$	869,991	4		—		$	8,424,203	$	8,424,203	$	231,346		$	(430,610	)2
iShares Cohen & Steers REIT ETF5		19,497		6,594			(26,091	)		—		—	$	44,059		$	286,788
iShares International Developed Real Estate ETF5		53,688		17,360			(71,048	)		—		—	$	48,543		$	(162,282	)
iShares MSCI Canada ETF		27,681		8,411			(6,390	)		29,702	$	638,593	$	14,658		$	(28,306	)
iShares MSCI EAFE Small-Cap ETF		24,879		4,364			(5,149	)		24,094	$	1,203,495	$	25,372		$	5,239
iShares TIPS Bond ETF		25,680		9,498			(11,833	)		23,345	$	2,560,480	$	10,819		$	(56,226	)
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	5,483,712	$	1,183,297	4		—		$	6,667,009	$	6,667,009	$	156,192		$	326,873	2
Master Small Cap Index Series	$	1,907,031	$	82,142	4		—		$	1,989,173	$	1,989,173	$	31,117		$	349,209	2
1   Represents net shares/beneficial interest sold.
2   Includes the following gains and (losses) from in-kind redemptions from affiliated holdings. See Note 2 of the Notes to Financial Statements.

Active Stock Master Portfolio		CoreAlpha Bond Master Portfolio		International Tilts Master Portfolio			Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)		Master Small Cap Index Series
$	715,452	$	81,662	$	(160,901	)	$	697,910	$	388,786

³   Represents all or a portion of 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.

⁴   Represents net shares/beneficial interest purchased.

⁵   No longer held by LifePath Master Portfolio as of report date.

(b) Security, or a portion of security, is on loan.

(c) Current yield as of period end.

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

(e) Non-income producing security.

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
CAD	10,000	USD	7,227	Morgan Stanley & Co. International PLC		1/21/16	$	(28	)
CAD	8,000	USD	5,823	Northern Trust Co.		1/21/16		(64	)
CHF	27,000	USD	27,280	Goldman Sachs International		1/21/16		(288	)
CHF	3,000	USD	3,013	Morgan Stanley & Co. International PLC		1/21/16		(14	)
EUR	65,000	USD	71,027	Goldman Sachs International		1/21/16		(389	)
EUR	13,000	USD	14,141	Morgan Stanley & Co. International PLC		1/21/16		(13	)
GBP	11,000	USD	16,213	Morgan Stanley & Co. International PLC		1/21/16		1
ILS	13,000	USD	3,358	Deutsche Bank AG		1/21/16		(16	)
JPY	9,298,000	USD	76,518	Standard Chartered Bank		1/21/16		804
JPY	2,547,000	USD	21,209	UBS AG		1/21/16		(28	)
NOK	17,000	USD	1,957	Morgan Stanley & Co. International PLC		1/21/16		(37	)
NZD	4,300	USD	2,895	Goldman Sachs International		1/21/16		46
SEK	25,000	USD	2,962	Northern Trust Co.		1/21/16		5
SGD	70,000	USD	49,662	Barclays Bank PLC		1/21/16		(348	)

See Notes to Financial Statements.

BLACKROCK FUNDS III DECEMBER 31, 2015 51

Schedule of Investments (continued) LifePath 2025 Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
SGD	6,000	USD	4,232	Morgan Stanley & Co. International PLC		1/21/16	$	(5	)
USD	4,327	AUD	6,000	Barclays Bank PLC		1/21/16		(35	)
USD	6,582	AUD	9,000	Goldman Sachs International		1/21/16		40
USD	55,966	AUD	78,000	Royal Bank of Canada		1/21/16		(739	)
USD	1,089	EUR	1,000	Goldman Sachs International		1/21/16		2
USD	6,493	EUR	6,000	Goldman Sachs International		1/21/16		(28	)
USD	32,557	EUR	30,000	Royal Bank of Scotland PLC		1/21/16		(45	)
USD	5,463	EUR	5,000	Royal Bank of Scotland PLC		1/21/16		29
USD	14,885	GBP	10,000	Bank of America N.A.		1/21/16		145
USD	7,525	GBP	5,000	Morgan Stanley & Co. International PLC		1/21/16		155
USD	5,960	GBP	4,000	Royal Bank of Scotland PLC		1/21/16		64
USD	60,780	HKD	471,000	Goldman Sachs International		1/21/16		(2	)
USD	15,528	SEK	133,000	Bank of America N.A.		1/21/16		(255	)
USD	12,828	SEK	109,000	HSBC Bank PLC		1/21/16		(107	)
USD	11,339	SGD	16,000	Citibank N.A.		1/21/16		67
USD	9,185	SGD	13,000	Standard Chartered Bank		1/21/16		26
Total							$	(1,057	)

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

Assets — Derivative Financial Instruments		Commodity Contracts	Credit Contracts		Equity Contracts	Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Forward foreign currency exchange contracts	Net unrealized appreciation on forward currency exchange contracts	—		—	—	$	1,384		—		—	$	1,384
Liabilities — Derivative Financial Instruments
Forward foreign currency exchange contracts	Net unrealized depreciation on forward currency exchange contracts	—		—	—	$	2,441		—		—	$	2,441

For the year ended December 31, 2015, the effect of derivative financial instruments in the Statements of Operations was as follows:

Net Change in Unrealized Appreciation (Depreciation) on:	Commodity Contracts		Credit Contracts	Equity Contracts		Foreign Currency Exchange Contracts	Interest Rate Contracts		Other Contracts		Total
Forward foreign currency exchange contracts		—	—		—	$(1,057)		—		—	$	(1,057	)

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Forward foreign currency exchange contracts:
Average amounts purchased — in USD	$	62,627
Average amounts sold — in USD	$	76,879

For more information about the LifePath 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 LifePath Master Portfolio’s derivative assets and liabilities (by type) were as follows:

	Assets		Liabilities
Derivative Financial Instruments:
Forward foreign currency exchange contracts	$	1,384	$	2,441
Total derivative assets and liabilities in the Statements of Assets and Liabilities	$	1,384	$	2,441
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		—		—
Total derivative assets and liabilities subject to an MNA	$	1,384	$	2,441

See Notes to Financial Statements.

52 BLACKROCK FUNDS III DECEMBER 31, 2015

Schedule of Investments (continued) LifePath 2025 Master Portfolio

The following table presents the LifePath Master Portfolio’s derivative assets and liabilities by counterparty net of amounts available for offset under an Master Netting Agreement (“MNA”) and net of the related collateral received and pledged by the LifePath Master Portfolio:

Counterparty	Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset1			Non-cash Collateral Received		Cash Collateral Received		Net Amount of Derivative Assets2
Bank of America N.A.	$	145	$	(145	)		—		—		—
Citibank N.A.		67		—			—		—	$	67
Goldman Sachs International		88		(88	)		—		—		—
Morgan Stanley & Co. International PLC		156		(97	)		—		—		59
Northern Trust Co.		5		(5	)		—		—		—
Royal Bank of Scotland PLC		93		(45	)		—		—		48
Standard Chartered Bank		830		—			—		—		830
Total	$	1,384	$	(380	)		—		—	$	1,004
Counterparty	Derivative Liabilities Subject to an MNA by Counterparty		Derivatives Available for Offset1			Non-cash Collateral Pledged		Cash Collateral Pledged		Net Amount of Derivative Liabilities3
Bank of America N.A.	$	255	$	(145	)		—		—	$	110
Barclays Bank PLC		383		—			—		—		383
Deutsche Bank AG		16		—			—		—		16
Goldman Sachs International		707		(88	)		—		—		619
HSBC Bank PLC		107		—			—		—		107
Morgan Stanley & Co. International PLC		97		(97	)		—		—		—
Northern Trust Co.		64		(5	)		—		—		59
Royal Bank of Canada		739		—			—		—		739
Royal Bank of Scotland PLC		45		(45	)		—		—		—
UBS AG		28		—			—		—		28
Total	$	2,441	$	(380	)		—		—	$	2,061
1    The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.
2    Net amount represents the net amount receivable from the counterparty in the event of default.
3    Net amount represents the net amount payable due to the counterparty in the event of default.

Fair Value Hierarchy as of Period End

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

The following tables summarize LifePath Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy:

	Level 1		Level 2			Level 3		Total
Assets:
Investments:
Affiliated Investment Companies:
Equity Funds	$	6,180,932	$	30,726,781			—	$	36,907,713
Fixed Income Funds		2,560,480		22,012,998			—		24,573,478
Short-Term Securities		2,928		—			—		2,928
Common Stocks:
Hotels, Restaurants & Leisure		67,918		—			—		67,918
Real Estate Investment Trusts (REITs)		1,850,931		742,724			—		2,593,655
Real Estate Management & Development		64,562		627,175			—		691,737
Total	$	10,727,751	$	54,109,678			—	$	64,837,429
	Level 1		Level 2			Level 3		Total
Derivative Financial Instruments 1
Assets:
Forward foreign currency exchange contracts		—	$	1,384			—	$	1,384
Liabilities:
Forward foreign currency exchange contracts		—		(2,441	)		—		(2,441	)
Total		—	$	(1,057	)		—	$	(1,057	)
1    Derivative financial instruments are forward foreign currency exchange contracts that are valued at the unrealized appreciation (depreciation) on the instrument.

See Notes to Financial Statements.

BLACKROCK FUNDS III DECEMBER 31, 2015 53

Schedule of Investments (concluded) LifePath 2025 Master Portfolio

The LifePath Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

	Level 1		Level 2			Level 3		Total
Assets:
Cash	$	65,981		—			—	$	65,981
Foreign currency at value		18,216		—			—		18,216
Liabilities:
Collateral on securities loaned at value		—	$	(2,895	)		—		(2,895	)
Total	$	84,197	$	(2,895	)		—	$	81,302

During the year ended December 31, 2015, there were no transfers between levels.

See Notes to Financial Statements.

54 BLACKROCK FUNDS III DECEMBER 31, 2015

Schedule of Investments December 31, 2015 LifePath 2035 Master Portfolio (Percentages shown are based on Net Assets)

Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 73.4%
Active Stock Master Portfolio	$	14,054,616	$	14,054,616
BlackRock Commodity Strategies Fund		335,825		2,041,815
BlackRock Emerging Markets Fund, Inc.		159,122		2,485,481
International Tilts Master Portfolio	$	9,806,167		9,806,167
iShares MSCI Canada ETF		34,847		749,210
iShares MSCI EAFE Small-Cap ETF		27,791		1,388,160
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	9,308,017		9,308,017
Master Small Cap Index Series	$	1,323,109		1,323,109
				41,156,575
Fixed Income Fund — 16.4%
CoreAlpha Bond Master Portfolio	$	9,231,410		9,231,410
Short-Term Securities — 0.2%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.38% (b)		114,578		114,578
Total Affiliated Investment Companies — 90.0%				50,502,563
Common Stocks
Hotels, Restaurants & Leisure — 0.2%
Hilton Worldwide Holdings, Inc.		1,338		28,633
Pebblebrook Hotel Trust		1,394		39,060
RLJ Lodging Trust		1,971		42,633
				110,326
Real Estate Investment Trusts (REITs) — 7.4%
Alexandria Real Estate Equities, Inc.		895		80,872
Allied Properties Real Estate Investment Trust		3,671		83,756
AvalonBay Communities, Inc.		870		160,193
Beni Stabili SpA SIIQ		55,800		42,058
Boston Properties, Inc.		1,614		205,850
British Land Co. PLC		10,009		115,813
Cambridge Industrial Trust		138,600		55,229
CubeSmart		3,072		94,065
CyrusOne, Inc.		1,509		56,512
Derwent London PLC		1,254		67,826
Duke Realty Corp.		3,413		71,741
Empiric Student Property PLC		25,500		42,667
EPR Properties		1,048		61,256
Equity One, Inc.		2,551		69,260
Equity Residential		2,111		172,236
Essex Property Trust, Inc.		507		121,381
Extra Space Storage, Inc.		1,356		119,613
Federal Realty Investment Trust		139		20,308
General Growth Properties, Inc.		1,000		27,210
Goodman Group		34,670		157,105
Gramercy Property Trust		5,053		39,006
Japan Rental Housing Investments, Inc.		77		54,407
Kenedix Retail REIT Corp.		39		82,560
Kilroy Realty Corp.		1,548		97,957
Kimco Realty Corp.		2,172		57,471
Land Securities Group PLC		7,141		123,789
Link REIT		15,000		89,428
Macerich Co.		901		72,702
Merlin Properties Socimi SA		3,350		41,966
National Health Investors, Inc.		950		57,827
Parkway Properties, Inc.		3,484		54,455
Physicians Realty Trust		377		6,356
Prologis, Inc.		3,313		142,194
Retail Properties of America, Inc., Class A		7,245		107,009
Sekisui House REIT, Inc.		28		30,511
Simon Property Group, Inc.		1,734		337,159
SL Green Realty Corp.		637		71,968
STAG Industrial, Inc.		3,273		60,387

Common Stocks	Shares		Value
Real Estate Investment Trusts (REITs) (continued)
STORE Capital Corp.		1,274	$	29,557
Sunstone Hotel Investors, Inc.		5,727		71,530
Taubman Centers, Inc.		262		20,101
UDR, Inc.		2,164		81,301
Vastned Retail NV		1,586		72,863
Vicinity Centres		72,857		147,803
Welltower, Inc.		2,456		167,082
Wereldhave NV		1,090		61,142
Westfield Corp.		16,815		115,686
				4,119,168
Real Estate Management & Development — 2.1%
CareTrust REIT, Inc.		5,472		59,918
Castellum AB		4,793		68,258
Cheung Kong Property Holdings Ltd.		19,000		122,911
Deutsche Wohnen AG, Bearer Shares		3,048		84,283
First Capital Realty, Inc.		3,028		40,156
Heiwa Real Estate Co., Ltd.		7,000		76,596
Howard Hughes Corp. (c)		234		26,479
Kennedy Wilson Europe Real Estate PLC		1,536		27,316
Kungsleden AB		6,079		43,437
KWG Property Holding Ltd.		72,500		53,444
LEG Immobilien AG		361		29,422
Leopalace21 Corp. (c)		4,800		25,981
Nomura Real Estate Holdings, Inc.		3,100		57,512
Sumitomo Realty & Development Co., Ltd.		5,000		142,713
Sun Hung Kai Properties Ltd.		12,000		144,235
VIB Vermoegen AG		2,081		38,661
Vonovia SE		2,257		69,726
Wharf Holdings Ltd.		16,000		88,216
				1,199,264
Total Common Stocks — 9.7%				5,428,758
Total Investments (Cost — $57,578,516) — 99.7%				55,931,321
Other Assets Less Liabilities — 0.3%				168,648
Net Assets — 100.0%			$	56,099,969

See Notes to Financial Statements.

BLACKROCK FUNDS III DECEMBER 31, 2015 55

Schedule of Investments (continued) LifePath 2035 Master Portfolio

Notes to Schedule of Investments

(a) During the year ended December 31, 2015, investments in issuers considered to be affiliates of LifePath Master Portfolio for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/ Beneficial Interest Held at December 31, 2014		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at December 31, 2015		Value at December 31, 2015		Net Income			Realized Gain (Loss)
Active Stock Master Portfolio	$	15,858,279		—		$	(1,803,663	)1	$	14,054,616	$	14,054,616	$	255,739		$	1,813,850	2
BlackRock Cash Funds: Institutional, SL Agency Shares		105,615		8,963	3		—			114,578	$	114,578	$	166			—
BlackRock Cash Funds: Prime, SL Agency Shares4		—		—			—			—		—	$	3,066	5		—
BlackRock Commodity Strategies Fund		266,087		121,130			(51,392	)		335,825	$	2,041,815		—		$	(152,128	)
BlackRock Emerging Markets Fund, Inc.		147,219		47,380			(35,477	)		159,122	$	2,485,481	$	32,852		$	(42,852	)
CoreAlpha Bond Master Portfolio	$	7,576,096	$	1,655,314	3		—		$	9,231,410	$	9,231,410	$	216,586		$	84,691	2
International Tilts Master Portfolio	$	8,798,849	$	1,007,318	3		—		$	9,806,167	$	9,806,167	$	259,152		$	(480,680	)2
iShares Cohen & Steers REIT ETF4		30,677		10,288			(40,965	)		—		—	$	70,648		$	410,996
iShares International Developed Real Estate ETF4		84,556		25,726			(110,282	)		—		—	$	77,242		$	(288,924	)
iShares MSCI Canada ETF		32,043		7,375			(4,571	)		34,847	$	749,210	$	17,150		$	(18,493	)
iShares MSCI EAFE Small-Cap ETF		28,911		4,879			(5,999	)		27,791	$	1,388,160	$	29,128		$	(2,938	)
iShares TIPS Bond ETF4		3,848		200			(4,048	)		—		—	$	1,310		$	(12,616	)
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	8,787,621	$	520,396	3		—		$	9,308,017	$	9,308,017	$	200,607		$	423,183	2
Master Small Cap Index Series	$	1,338,461		—		$	(15,352	)1	$	1,323,109	$	1,323,109	$	20,130		$	221,619	2
1   Represents net shares/beneficial interest sold.
2   Includes the following gains and (losses) from in-kind redemptions from affiliated holdings. See Note 2 of the Notes to Financial Statements.

Active Stock Master Portfolio		CoreAlpha Bond Master Portfolio		International Tilts Master Portfolio			Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)		Master Small Cap Index Series
$	762,647	$	33,848	$	(183,669	)	$	864,887	$	245,638

³   Represents net shares/beneficial interest purchased.

⁴   No longer held by LifePath Master Portfolio as of report date.

⁵   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.

(b) Current yield as of period end.

(c) Non-income producing security.

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
CAD	9,000	USD	6,504	Morgan Stanley & Co. International PLC		1/21/16	$	(25	)
CAD	14,000	USD	10,190	Northern Trust Co.		1/21/16		(112	)
CHF	45,000	USD	45,466	Goldman Sachs International		1/21/16		(480	)
CHF	4,000	USD	4,018	Morgan Stanley & Co. International PLC		1/21/16		(19	)
EUR	109,000	USD	119,105	HSBC Bank PLC		1/21/16		(651	)
EUR	13,000	USD	14,141	Morgan Stanley & Co. International PLC		1/21/16		(13	)
GBP	10,000	USD	14,739	Morgan Stanley & Co. International PLC		1/21/16		1
HKD	65,000	USD	8,388	Barclays Bank PLC		1/21/16		—
ILS	22,000	USD	5,682	Deutsche Bank AG		1/21/16		(27	)
JPY	1,714,000	USD	14,272	Goldman Sachs International		1/21/16		(19	)
JPY	15,454,000	USD	127,179	Standard Chartered Bank		1/21/16		1,336
NOK	29,000	USD	3,339	Morgan Stanley & Co. International PLC		1/21/16		(64	)
NZD	8,000	USD	5,386	Goldman Sachs International		1/21/16		86
SEK	23,000	USD	2,725	Northern Trust Co.		1/21/16		5
SGD	117,000	USD	83,007	Barclays Bank PLC		1/21/16		(581	)
SGD	8,000	USD	5,643	Morgan Stanley & Co. International PLC		1/21/16		(7	)

See Notes to Financial Statements.

56 BLACKROCK FUNDS III DECEMBER 31, 2015

Schedule of Investments (continued) LifePath 2035 Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	7,314	AUD	10,000	Goldman Sachs International		1/21/16	$	44
USD	7,932	AUD	11,000	Morgan Stanley & Co. International PLC		1/21/16		(65	)
USD	93,277	AUD	130,000	Royal Bank of Canada		1/21/16		(1,232	)
USD	11,903	EUR	11,000	Goldman Sachs International		1/21/16		(51	)
USD	2,177	EUR	2,000	Goldman Sachs International		1/21/16		4
USD	54,261	EUR	50,000	Royal Bank of Scotland PLC		1/21/16		(75	)
USD	8,741	EUR	8,000	Royal Bank of Scotland PLC		1/21/16		47
USD	23,816	GBP	16,000	Bank of America N.A.		1/21/16		232
USD	13,545	GBP	9,000	Morgan Stanley & Co. International PLC		1/21/16		279
USD	10,430	GBP	7,000	Royal Bank of Scotland PLC		1/21/16		112
USD	103,236	HKD	800,000	Goldman Sachs International		1/21/16		(4	)
USD	6,194	HKD	48,000	Northern Trust Co.		1/21/16		—
USD	25,803	SEK	221,000	Bank of America N.A.		1/21/16		(423	)
USD	21,420	SEK	182,000	HSBC Bank PLC		1/21/16		(178	)
USD	18,419	SGD	26,000	Northern Trust Co.		1/21/16		102
USD	15,544	SGD	22,000	Standard Chartered Bank		1/21/16		45
Total							$	(1,733	)

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

Assets — Derivative Financial Instruments		Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Forward foreign currency exchange contracts	Net unrealized appreciation on forward currency exchange contracts		—		—		—	$	2,293		—		—	$	2,293
Liabilities — Derivative Financial Instruments
Forward foreign currency exchange contracts	Net unrealized depreciation on forward currency exchange contracts		—		—		—	$	4,026		—		—	$	4,026

For the year ended December 31, 2015, the effect of derivative financial instruments in the Statements of Operations was as follows:

Net Change in Unrealized Appreciation (Depreciation) on:	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts			Interest Rate Contracts		Other Contracts		Total
Forward foreign currency exchange contracts		—		—		—	$	(1,733	)		—		—	$	(1,733	)

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Forward foreign currency exchange contracts:
Average amounts purchased — in USD	$	106,003
Average amounts sold — in USD	$	117,446

For more information about the LifePath 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 LifePath Master Portfolio’s derivative assets and liabilities (by type) were as follows:

	Assets		Liabilities
Derivative Financial Instruments:
Forward foreign currency exchange contracts	$	2,293	$	4,026
Total derivative assets and liabilities in the Statements of Assets and Liabilities	$	2,293	$	4,026
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		—		—
Total derivative assets and liabilities subject to an MNA	$	2,293	$	4,026

See Notes to Financial Statements.

BLACKROCK FUNDS III DECEMBER 31, 2015 57

Schedule of Investments (concluded) LifePath 2035 Master Portfolio

The following table presents the LifePath Master Portfolio’s derivative assets and liabilities by counterparty net of amounts available for offset under an Master Netting Agreement (“MNA”) and net of the related collateral received and pledged by the LifePath Master Portfolio:

Counterparty	Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset1			Non-cash Collateral Received		Cash Collateral Received		Net Amount of Derivative Assets2
Bank of America N.A.	$	232	$	(232	)		—		—		—
Goldman Sachs International		134		(134	)		—		—		—
Morgan Stanley & Co. International PLC		280		(193	)		—		—	$	87
Northern Trust Co.		107		(107	)		—		—		—
Royal Bank of Scotland PLC		159		(75	)		—		—		84
Standard Chartered Bank		1,381		—			—		—		1,381
Total	$	2,293	$	(741	)		—		—	$	1,552
Counterparty	Derivative Liabilities Subject to an MNA by Counterparty		Derivatives Available for Offset1			Non-cash Collateral Pledged		Cash Collateral Pledged		Net Amount of Derivative Liabilities3
Bank of America N.A.	$	423	$	(232	)		—		—	$	191
Barclays Bank PLC		581		—			—		—		581
Deutsche Bank AG		27		—			—		—		27
Goldman Sachs International		554		(134	)		—		—		420
HSBC Bank PLC		829		—			—		—		829
Morgan Stanley & Co. International PLC		193		(193	)		—		—		—
Northern Trust Co.		112		(107	)		—		—		5
Royal Bank of Canada		1,232		—			—		—		1,232
Royal Bank of Scotland PLC		75		(75	)		—		—		—
Total	$	4,026	$	(741	)		—		—	$	3,285
1    The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.
2    Net amount represents the net amount receivable from the counterparty in the event of default.
3    Net amount represents the net amount payable due to the counterparty in the event of default.

Fair Value Hierarchy as of Period End

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

The following tables summarize LifePath Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy:

	Level 1		Level 2			Level 3		Total
Assets:
Investments:
Affiliated Investment Companies:
Equity Funds	$	6,664,666	$	34,491,909			—	$	41,156,575
Fixed Income Fund		—		9,231,410			—		9,231,410
Short-Term Securities		114,578		—			—		114,578
Common Stocks:
Hotels, Restaurants & Leisure		110,326		—			—		110,326
Real Estate Investment Trusts (REITs)		2,916,210		1,202,958			—		4,119,168
Real Estate Management & Development		165,215		1,034,049			—		1,199,264
Total	$	9,970,995	$	45,960,326			—	$	55,931,321
	Level 1		Level 2			Level 3		Total
Derivative Financial Instruments 1
Assets:
Forward foreign currency exchange contracts		—	$	2,293			—	$	2,293
Liabilities:
Forward foreign currency exchange contracts		—		(4,026	)		—		(4,026	)
Total		—	$	(1,733	)		—	$	(1,733	)
1    Derivative financial instruments are forward foreign currency exchange contracts that are valued at the unrealized appreciation (depreciation) on the instrument.

The LifePath Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

	Level 1		Level 2		Level 3		Total
Assets:
Cash	$	88,258		—		—	$	88,258
Foreign currency at value		29,679		—		—		29,679
Total	$	117,937		—		—	$	117,937

During the year ended December 31, 2015, there were no transfers between levels.

See Notes to Financial Statements.

58 BLACKROCK FUNDS III DECEMBER 31, 2015

Schedule of Investments December 31, 2015 LifePath 2045 Master Portfolio (Percentages shown are based on Net Assets)

Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 83.5%
Active Stock Master Portfolio	$	9,661,693	$	9,661,693
BlackRock Commodity Strategies Fund		218,114		1,326,135
BlackRock Emerging Markets Fund, Inc.		115,074		1,797,459
International Tilts Master Portfolio	$	7,130,177		7,130,177
iShares MSCI Canada ETF		25,466		547,519
iShares MSCI EAFE Small-Cap ETF		20,165		1,007,242
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	6,622,730		6,622,730
Master Small Cap Index Series	$	739,657		739,657
				28,832,612
Fixed Income Fund — 2.7%
CoreAlpha Bond Master Portfolio	$	919,479		919,479
Short-Term Securities — 0.2%
BlackRock Cash Funds: Institutional, SL Agency Share, 0.38% (b)		69,510		69,510
Total Affiliated Investment Companies — 86.4%				29,821,601
Common Stocks
Hotels, Restaurants & Leisure — 0.3%
Hilton Worldwide Holdings, Inc.		1,113		23,818
Pebblebrook Hotel Trust		1,156		32,391
RLJ Lodging Trust		1,635		35,365
				91,574
Real Estate Investment Trusts (REITs) — 9.9%
Alexandria Real Estate Equities, Inc.		742		67,047
Allied Properties Real Estate Investment Trust		3,052		69,633
AvalonBay Communities, Inc.		724		133,310
Beni Stabili SpA SIIQ		46,397		34,970
Boston Properties, Inc.		1,339		170,776
British Land Co. PLC		8,303		96,073
Cambridge Industrial Trust		112,800		44,948
CareTrust REIT, Inc.		4,550		49,823
CubeSmart		2,549		78,050
CyrusOne, Inc.		1,255		47,000
Derwent London PLC		1,040		56,251
Duke Realty Corp.		2,831		59,508
Empiric Student Property PLC		21,189		35,454
EPR Properties		871		50,910
Equity One, Inc.		2,078		56,418
Equity Residential		1,751		142,864
Essex Property Trust, Inc.		420		100,552
Extra Space Storage, Inc.		1,125		99,236
Federal Realty Investment Trust		116		16,948
General Growth Properties, Inc.		832		22,639
Goodman Group		28,762		130,333
Gramercy Property Trust		4,201		32,431
Japan Rental Housing Investments, Inc.		64		45,222
Kenedix Retail REIT Corp.		32		67,742
Kilroy Realty Corp.		1,284		81,252
Kimco Realty Corp.		1,806		47,787
Land Securities Group PLC		5,924		102,693
Link REIT		12,500		74,524
Macerich Co.		749		60,437
Merlin Properties Socimi SA		2,779		34,813
National Health Investors, Inc.		788		47,966
Parkway Properties, Inc.		2,890		45,171
Physicians Realty Trust		314		5,294
Prologis, Inc.		2,748		117,944
Retail Properties of America, Inc., Class A		6,010		88,768
Sekisui House REIT, Inc.		24		26,152
Simon Property Group, Inc.		1,439		279,799
SL Green Realty Corp.		529		59,766

Common Stocks	Shares		Value
Real Estate Investment Trusts (REITs) (continued)
STAG Industrial, Inc.		2,716	$	50,110
STORE Capital Corp.		1,059		24,569
Sunstone Hotel Investors, Inc.		4,762		59,477
Taubman Centers, Inc.		218		16,725
UDR, Inc.		1,795		67,438
Vastned Retail NV		1,318		60,550
Vicinity Centres		60,440		122,613
Welltower, Inc.		2,043		138,985
Wereldhave NV		885		49,643
Westfield Corp.		13,949		95,968
				3,466,582
Real Estate Management & Development — 2.8%
Castellum AB		3,985		56,751
Cheung Kong Property Holdings Ltd.		15,500		100,269
Deutsche Wohnen AG, Bearer Shares		2,534		70,070
First Capital Realty, Inc.		2,435		32,292
Heiwa Real Estate Co., Ltd.		5,800		63,466
Howard Hughes Corp. (c)		184		20,822
Kennedy Wilson Europe Real Estate PLC		1,214		21,589
Kungsleden AB		5,055		36,120
KWG Property Holding Ltd.		60,500		44,598
LEG Immobilien AG		300		24,450
Leopalace21 Corp. (c)		4,000		21,651
Nomura Real Estate Holdings, Inc.		2,600		48,236
Sumitomo Realty & Development Co. Ltd.		4,000		114,171
Sun Hung Kai Properties Ltd.		10,000		120,196
VIB Vermoegen AG		1,730		32,140
Vonovia SE		1,877		57,986
Wharf Holdings Ltd.		13,000		71,675
				936,482
Total Common Stocks — 13.0%				4,494,638
Total Investments (Cost — $35,335,254) — 99.4%			$	34,316,239
Other Assets Less Liabilities — 0.6%				200,531
Net Assets — 100.0%			$	34,516,770

See Notes to Financial Statements.

BLACKROCK FUNDS III DECEMBER 31, 2015 59

Schedule of Investments (continued) LifePath 2045 Master Portfolio

Notes to Schedule of Investments

(a) During the year ended December 31, 2015, investments in issuers considered to be affiliates of LifePath Master Portfolio for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/ Beneficial Interest Held at December 31, 2014		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at December 31, 2015		Value at December 31, 2015		Net Income			Realized Gain (Loss)
Active Stock Master Portfolio	$	10,880,891		—		$	(1,219,198	)1	$	9,661,693	$	9,661,693	$	172,676		$	1,197,533	2
BlackRock Cash Funds: Institutional, SL Agency Shares		75,058		—			(5,548	)1		69,510	$	69,510	$	221			—
BlackRock Cash Funds: Prime, SL Agency Shares3		—		—			—			—		—	$	1,845	4		—
BlackRock Commodity Strategies Fund		178,939		79,410			(40,235	)		218,114	$	1,326,135		—		$	(108,972	)
BlackRock Emerging Markets Fund, Inc.		104,984		39,932			(29,842	)		115,074	$	1,797,459	$	23,559		$	(32,257	)
CoreAlpha Bond Master Portfolio	$	644,004	$	275,475	5		—		$	919,479	$	919,479	$	20,935		$	43,883	2
International Tilts Master Portfolio	$	6,367,614	$	762,563	5		—		$	7,130,177	$	7,130,177	$	180,493		$	(326,538	)2
iShares Cohen & Steers REIT ETF3		25,214		9,472			(34,686	)		—		—	$	57,157		$	315,846
iShares International Developed Real Estate ETF3		69,082		22,438			(91,520	)		—		—	$	62,285		$	(236,652	)
iShares MSCI Canada ETF		23,208		5,439			(3,181	)		25,466	$	547,519	$	12,273		$	(6,986	)
iShares MSCI EAFE Small-Cap ETF		20,569		3,702			(4,106	)		20,165	$	1,007,242	$	20,433		$	7,303
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	6,174,176	$	448,554	5		—		$	6,622,730	$	6,622,730	$	135,844		$	338,528	2
Master Small Cap Index Series	$	865,739		—		$	(126,082	)1	$	739,657	$	739,657	$	11,834		$	95,949	2
1   Represents net shares/beneficial interest sold.
2   Includes the following gains and (losses) from in-kind redemptions from affiliated holdings. See Note 2 of the Notes to Financial Statements.

Active Stock Master Portfolio		CoreAlpha Bond Master Portfolio		International Tilts Master Portfolio			Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)		Master Small Cap Index Series
$	523,278	$	3,501	$	(131,856	)	$	592,252	$	143,983

³   No longer held by LifePath Master Portfolio as of report date.

⁴   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.

⁵   Represents net shares/beneficial interest purchased.

(b) Current yield as of period end.

(c) Non-income producing security.

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
CAD	7,000	USD	5,059	Morgan Stanley & Co. International PLC		1/21/16	$	(19	)
CAD	12,000	USD	8,735	Northern Trust Co.		1/21/16		(96	)
CHF	38,000	USD	38,394	Goldman Sachs International		1/21/16		(405	)
CHF	3,000	USD	3,013	Morgan Stanley & Co. International PLC		1/21/16		(14	)
EUR	90,000	USD	98,343	HSBC Bank PLC		1/21/16		(538	)
EUR	10,000	USD	10,877	Morgan Stanley & Co. International PLC		1/21/16		(10	)
GBP	5,000	USD	7,370	Morgan Stanley & Co. International PLC		1/21/16		—
GBP	3,000	USD	4,463	Royal Bank of Scotland PLC		1/21/16		(41	)
HKD	30,000	USD	3,872	Barclays Bank PLC		1/21/16		—
ILS	18,000	USD	4,649	Deutsche Bank AG		1/21/16		(22	)
JPY	1,278,000	USD	10,642	Goldman Sachs International		1/21/16		(14	)
JPY	13,389,000	USD	110,185	Standard Chartered Bank		1/21/16		1,157
NOK	24,000	USD	2,763	Morgan Stanley & Co. International PLC		1/21/16		(52	)
NZD	6,000	USD	4,039	Goldman Sachs International		1/21/16		64
SEK	19,000	USD	2,251	Northern Trust Co.		1/21/16		4
SGD	97,000	USD	68,818	Barclays Bank PLC		1/21/16		(482	)
SGD	8,000	USD	5,643	Morgan Stanley & Co. International PLC		1/21/16		(7	)
USD	5,769	AUD	8,000	Barclays Bank PLC		1/21/16		(47	)

See Notes to Financial Statements.

60 BLACKROCK FUNDS III DECEMBER 31, 2015

Schedule of Investments (continued) LifePath 2045 Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	5,120	AUD	7,000	Goldman Sachs International		1/21/16	$	31
USD	77,491	AUD	108,000	Royal Bank of Canada		1/21/16		(1,023	)
USD	10,821	EUR	10,000	Goldman Sachs International		1/21/16		(46	)
USD	44,494	EUR	41,000	Royal Bank of Scotland PLC		1/21/16		(62	)
USD	7,648	EUR	7,000	Royal Bank of Scotland PLC		1/21/16		41
USD	19,350	GBP	13,000	Bank of America N.A.		1/21/16		189
USD	12,040	GBP	8,000	Morgan Stanley & Co. International PLC		1/21/16		248
USD	8,940	GBP	6,000	Royal Bank of Scotland PLC		1/21/16		96
USD	85,686	HKD	664,000	Goldman Sachs International		1/21/16		(3	)
USD	21,483	SEK	184,000	Bank of America N.A.		1/21/16		(353	)
USD	17,772	SEK	151,000	HSBC Bank PLC		1/21/16		(148	)
USD	14,882	SGD	21,000	Citibank N.A.		1/21/16		88
USD	13,424	SGD	19,000	Standard Chartered Bank		1/21/16		39
Total							$	(1,425	)

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

Assets — Derivative Financial Instruments		Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Forward foreign currency exchange contracts	Net unrealized appreciation on forward currency exchange contracts		—		—		—	$	1,957		—		—	$	1,957
Liabilities — Derivative Financial Instruments
Forward foreign currency exchange contracts	Net unrealized depreciation on forward currency exchange contracts		—		—		—	$	3,382		—		—	$	3,382

For the year ended December 31, 2015, the effect of derivative financial instruments in the Statements of Operations was as follows:

Net Change in Unrealized Appreciation (Depreciation) on:	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts			Interest Rate Contracts		Other Contracts		Total
Forward foreign currency exchange contracts		—		—		—	$	(1,425	)		—		—	$	(1,425	)

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Forward foreign currency exchange contracts:
Average amounts purchased — in USD	$	86,230
Average amounts sold — in USD	$	97,279

For more information about the LifePath 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 LifePath Master Portfolio’s derivative assets and liabilities (by type) were as follows:

	Assets		Liabilities
Derivative Financial Instruments:
Forward foreign currency exchange contracts	$	1,957	$	3,382
Total derivative assets and liabilities in the Statements of Assets and Liabilities	$	1,957	$	3,382
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		—		—
Total derivative assets and liabilities subject to an MNA	$	1,957	$	3,382

See Notes to Financial Statements.

BLACKROCK FUNDS III DECEMBER 31, 2015 61

Schedule of Investments (concluded) LifePath 2045 Master Portfolio

The following table presents the LifePath Master Portfolio’s derivative assets and liabilities by counterparty net of amounts available for offset under an Master Netting Agreement (“MNA”) and net of the related collateral received and pledged by the LifePath Master Portfolio:

Counterparty	Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset1			Non-cash Collateral Received		Cash Collateral Received		Net Amount of Derivative Assets2
Bank of America N.A.	$	189	$	(189	)		—		—		—
Citibank N.A.		88		—			—		—	$	88
Goldman Sachs International		95		(95	)		—		—		—
Morgan Stanley & Co. International PLC		248		(102	)		—		—		146
Northern Trust Co.		4		(4	)		—		—		—
Royal Bank of Scotland PLC		137		(103	)		—		—		34
Standard Chartered Bank		1,196		—			—		—		1,196
Total	$	1,957	$	(493	)		—		—	$	1,464
Counterparty	Derivative Liabilities Subject to an MNA by Counterparty		Derivatives Available for Offset1			Non-cash Collateral Pledged		Cash Collateral Pledged		Net Amount of Derivative Liabilities3
Bank of America N.A.	$	353	$	(189	)		—		—	$	164
Barclays Bank PLC		529		—			—		—		529
Deutsche Bank AG		22		—			—		—		22
Goldman Sachs International		468		(95	)		—		—		373
HSBC Bank PLC		686		—			—		—		686
Morgan Stanley & Co. International PLC		102		(102	)		—		—		—
Northern Trust Co.		96		(4	)		—		—		92
Royal Bank of Canada		1,023		—			—		—		1,023
Royal Bank of Scotland PLC		103		(103	)		—		—		—
Total	$	3,382	$	(493	)		—		—	$	2,889
1    The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.
2    Net amount represents the net amount receivable from the counterparty in the event of default.
3    Net amount represents the net amount payable due to the counterparty in the event of default.

Fair Value Hierarchy as of Period End

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

The following tables summarize LifePath Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy:

	Level 1		Level 2			Level 3		Total
Assets:
Investments:
Affiliated Investment Companies:
Equity Funds	$	4,678,355	$	24,154,257			—	$	28,832,612
Fixed Income Fund		—		919,479			—		919,479
Short-Term Securities		69,510		—			—		69,510
Common Stocks:
Hotels, Restaurants & Leisure		91,574		—			—		91,574
Real Estate Investment Trusts (REITs)		2,469,035		997,547			—		3,466,582
Real Estate Management & Development		85,254		851,228			—		936,482
Total	$	7,393,728	$	26,922,511			—	$	34,316,239
	Level 1		Level 2			Level 3		Total
Derivative Financial Instruments 1
Assets:
Forward foreign currency exchange contracts		—	$	1,957			—	$	1,957
Liabilities:
Forward foreign currency exchange contracts		—		(3,382	)		—		(3,382	)
Total		—	$	(1,425	)		—	$	(1,425	)
1    Derivative financial instruments are forward foreign currency exchange contracts that are valued at the unrealized appreciation (depreciation) on the instrument.

The LifePath Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

	Level 1		Level 2		Level 3		Total
Assets:
Cash	$	106,066		—		—	$	106,066
Foreign currency at value		25,224		—		—		25,224
Total	$	131,290		—		—	$	131,290

During the year ended December 31, 2015, there were no transfers between levels.

See Notes to Financial Statements.

62 BLACKROCK FUNDS III DECEMBER 31, 2015

Schedule of Investments December 31, 2015 LifePath 2055 Master Portfolio (Percentages shown are based on Net Assets)

Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 84.2%
Active Stock Master Portfolio	$	5,262,393	$	5,262,393
BlackRock Commodity Strategies Fund		98,531		599,069
BlackRock Emerging Markets Fund, Inc.		54,081		844,751
International Tilts Master Portfolio	$	3,333,398		3,333,398
iShares MSCI Canada ETF		11,738		252,367
iShares MSCI EAFE Small-Cap ETF		9,332		466,134
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	2,261,152		2,261,152
Master Small Cap Index Series	$	327,450		327,450
				13,346,714
Fixed Income Fund — 1.5%
CoreAlpha Bond Master Portfolio	$	239,880		239,880
Short-Term Securities — 0.2%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.38% (b)		35,783		35,783
Total Affiliated Investment Companies — 85.9%				13,622,377
Common Stocks
Hotels, Restaurants & Leisure — 0.3%
Hilton Worldwide Holdings, Inc.		517		11,064
Pebblebrook Hotel Trust		543		15,215
RLJ Lodging Trust		768		16,612
				42,891
Real Estate Investment Trusts (REITs) — 10.1%
Alexandria Real Estate Equities, Inc.		349		31,536
Allied Properties Real Estate Investment Trust		1,440		32,854
AvalonBay Communities, Inc.		340		62,604
Beni Stabili SpA SIIQ		21,545		16,239
Boston Properties, Inc.		629		80,223
British Land Co. PLC		3,900		45,126
Cambridge Industrial Trust		54,000		21,518
CareTrust REIT, Inc.		2,158		23,630
CubeSmart		1,197		36,652
CyrusOne, Inc.		583		21,833
Derwent London PLC		489		26,449
Duke Realty Corp.		1,330		27,957
Empiric Student Property PLC		9,871		16,516
EPR Properties		405		23,672
Equity One, Inc.		994		26,987
Equity Residential		822		67,067
Essex Property Trust, Inc.		197		47,164
Extra Space Storage, Inc.		528		46,575
Federal Realty Investment Trust		54		7,889
General Growth Properties, Inc.		386		10,503
Goodman Group		13,508		61,211
Gramercy Property Trust		2,025		15,634
Japan Rental Housing Investments, Inc.		30		21,198
Kenedix Retail REIT Corp.		15		31,754
Kilroy Realty Corp.		603		38,158
Kimco Realty Corp.		839		22,200
Land Securities Group PLC		2,782		48,226
Link REIT		6,000		35,771
Macerich Co.		348		28,080
Merlin Properties Socimi SA		1,305		16,348
National Health Investors, Inc.		370		22,522
Parkway Properties, Inc.		1,357		21,210
Physicians Realty Trust		146		2,462
Prologis, Inc.		1,291		55,410
Retail Properties of America, Inc., Class A		2,823		41,696
Sekisui House REIT, Inc.		11		11,987
Simon Property Group, Inc.		676		131,441
SL Green Realty Corp.		248		28,019

Common Stocks	Shares		Value
Real Estate Investment Trusts (REITs) (continued)
STAG Industrial, Inc.		1,275	$	23,524
STORE Capital Corp.		515		11,948
Sunstone Hotel Investors, Inc.		2,256		28,177
Taubman Centers, Inc.		101		7,749
UDR, Inc.		843		31,671
Vastned Retail NV		612		28,116
Vicinity Centres		28,385		57,584
Welltower, Inc.		948		64,492
Wereldhave NV		425		23,840
Westfield Corp.		6,551		45,070
				1,628,492
Real Estate Management & Development — 3.0%
Castellum AB		1,851		26,360
Cheung Kong Property Holdings Ltd.		7,500		48,517
Deutsche Wohnen AG, Bearer Shares		1,177		32,546
First Capital Realty, Inc.		1,180		15,649
Heiwa Real Estate Co., Ltd.		2,700		29,544
Howard Hughes Corp. (c)		91		10,298
Kennedy Wilson Europe Real Estate PLC		598		10,635
Kungsleden AB		2,347		16,770
KWG Property Holding Ltd.		28,000		20,641
LEG Immobilien AG		139		11,329
Leopalace21 Corp. (c)		1,900		10,284
Nomura Real Estate Holdings, Inc.		1,200		22,263
Sumitomo Realty & Development Co., Ltd.		2,000		57,085
Sun Hung Kai Properties Ltd.		5,000		60,098
VIB Vermoegen AG		803		14,918
Vonovia SE		872		26,939
Wharf Holdings Ltd.		6,000		33,081
				446,957
Total Common Stocks — 13.4%				2,118,340
Total Investments (Cost — $16,161,635) — 99.3%				15,740,717
Other Assets Less Liabilities — 0.7%				109,593
Net Assets — 100.0%			$	15,850,310

See Notes to Financial Statements.

BLACKROCK FUNDS III DECEMBER 31, 2015 63

Schedule of Investments (continued) LifePath 2055 Master Portfolio

Notes to Schedule of investments

(a) During the year ended December 31, 2015, investments in issuers considered to be affiliates of LifePath Master Portfolio for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/ Beneficial Interest Held at December 31, 2014		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at December 31, 2015		Value at December 31, 2015		Net Income			Realized Gain (Loss)
Active Stock Master Portfolio	$	4,678,399	$	583,994	1		—		$	5,262,393	$	5,262,393	$	82,084		$	474,040	2
BlackRock Cash Funds: Institutional, SL Agency Shares		25,991		9,792	1		—			35,783	$	35,783	$	70			—
BlackRock Cash Funds: Prime, SL Agency Shares3		—		—			—			—		—	$	1,492	4		—
BlackRock Commodity Strategies Fund		68,577		49,311			(19,357	)		98,531	$	599,069		—		$	(46,777	)
BlackRock Emerging Markets Fund, Inc.		40,487		26,459			(12,865	)		54,081	$	844,751	$	11,039		$	(12,430	)
CoreAlpha Bond Master Portfolio	$	115,070	$	124,810	1		—		$	239,880	$	239,880	$	5,198		$	3,854	2
International Tilts Master Portfolio	$	2,416,757	$	916,641	1		—		$	3,333,398	$	3,333,398	$	75,843		$	(145,075	)2
iShares Cohen & Steers REIT ETF3		9,602		5,233			(14,835	)		—		—	$	23,837		$	136,600
iShares International Developed Real Estate ETF3		26,550		13,097			(39,647	)		—		—	$	25,951		$	(114,903	)
iShares MSCI Canada ETF		8,714		4,224			(1,200	)		11,738	$	252,367	$	5,429		$	(1,866	)
iShares MSCI EAFE Small-Cap ETF		7,943		2,889			(1,500	)		9,332	$	466,134	$	8,772		$	(2,120	)
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	1,751,127	$	510,025	1		—		$	2,261,152	$	2,261,152	$	45,801		$	153,232	2
Master Small Cap Index Series	$	342,105		—		$	(14,655	)5	$	327,450	$	327,450	$	5,103		$	28,339	2
1   Represents net shares/beneficial interest purchased.
2   Includes the following gains and (losses) from in-kind redemptions from affiliated holdings. See Note 2 of the Notes to Financial Statements.

Active Stock Master Portfolio		CoreAlpha Bond Master Portfolio		International Tilts Master Portfolio			Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)		Master Small Cap Index Series
$	261,557	$	918	$	(59,189	)	$	213,993	$	64,567

³   No longer held by LifePath Master Portfolio as of report date.

⁴   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.

⁵   Represents net shares/beneficial interest sold.

(b) Current yield as of period end.

(c) Non-income producing security.

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
CAD	5,000	USD	3,613	Morgan Stanley & Co. International PLC		1/21/16	$	(14	)
CAD	5,000	USD	3,639	Northern Trust Co.		1/21/16		(40	)
CHF	17,400	USD	17,580	Goldman Sachs International		1/21/16		(186	)
CHF	2,000	USD	2,009	Morgan Stanley & Co. International PLC		1/21/16		(9	)
EUR	42,000	USD	45,895	Morgan Stanley & Co. International PLC		1/21/16		(252	)
EUR	6,000	USD	6,526	Morgan Stanley & Co. International PLC		1/21/16		(6	)
GBP	3,000	USD	4,422	Morgan Stanley & Co. International PLC		1/21/16		—
GBP	2,000	USD	2,975	Northern Trust Co.		1/21/16		(27	)
ILS	9,000	USD	2,325	Deutsche Bank AG		1/21/16		(11	)
JPY	924,000	USD	7,694	Citibank N.A.		1/21/16		(10	)
JPY	5,657,000	USD	46,554	Standard Chartered Bank		1/21/16		489
NOK	11,000	USD	1,267	Morgan Stanley & Co. International PLC		1/21/16		(24	)
NZD	3,000	USD	2,020	Goldman Sachs International		1/21/16		32
SEK	11,000	USD	1,303	Northern Trust Co.		1/21/16		2
SGD	45,000	USD	31,926	Barclays Bank PLC		1/21/16		(223	)
SGD	3,000	USD	2,116	Morgan Stanley & Co. International PLC		1/21/16		(2	)
USD	2,163	AUD	3,000	Goldman Sachs International		1/21/16		(18	)
USD	4,388	AUD	6,000	Goldman Sachs International		1/21/16		26

See Notes to Financial Statements.

64 BLACKROCK FUNDS III DECEMBER 31, 2015

Schedule of Investments (continued) LifePath 2055 Master Portfolio

Forward Foreign Currency Exchange Contracts (continued):

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	35,876	AUD	50,000	Royal Bank of Canada		1/21/16	$	(474	)
USD	5,411	EUR	5,000	Goldman Sachs International		1/21/16		(23	)
USD	20,619	EUR	19,000	Royal Bank of Scotland PLC		1/21/16		(29	)
USD	3,278	EUR	3,000	Royal Bank of Scotland PLC		1/21/16		18
USD	8,931	GBP	6,000	Bank of America N.A.		1/21/16		87
USD	6,020	GBP	4,000	Morgan Stanley & Co. International PLC		1/21/16		124
USD	4,470	GBP	3,000	Royal Bank of Scotland PLC		1/21/16		48
USD	28,648	HKD	222,000	Goldman Sachs International		1/21/16		(1	)
USD	14,840	HKD	115,000	UBS AG		1/21/16		—
USD	9,924	SEK	85,000	Bank of America N.A.		1/21/16		(163	)
USD	8,353	SEK	71,000	Northern Trust Co.		1/21/16		(73	)
USD	7,087	SGD	10,000	Citibank N.A.		1/21/16		42
USD	6,359	SGD	9,000	Standard Chartered Bank		1/21/16		18
Total							$	(699	)

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

Assets — Derivative Financial Instruments		Commodity Contracts	Credit Contracts		Equity Contracts	Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Forward foreign currency exchange contracts	Net unrealized appreciation on forward currency exchange contracts	—		—	—	$	886		—		—	$	886
Liabilities — Derivative Financial Instruments
Forward foreign currency exchange contracts	Net unrealized depreciation on forward currency exchange contracts	—		—	—	$	1,585		—		—	$	1,585

For the year ended December 31, 2015, the effect of derivative financial instruments in the Statements of Operations was as follows:

Net Change in Unrealized Appreciation (Depreciation) on:	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts			Interest Rate Contracts		Other Contracts		Total
Forward foreign currency exchange contracts		—		—		—	$	(699	)		—		—	$	(699	)

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Forward foreign currency exchange contracts:
Average amounts purchased — in USD	$	41,592
Average amounts sold — in USD	$	45,466

For more information about the LifePath 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 LifePath Master Portfolio’s derivative assets and liabilities (by type) were as follows:

	Assets		Liabilities
Derivative Financial Instruments:
Forward foreign currency exchange contracts	$	886	$	1,585
Total derivative assets and liabilities in the Statements of Assets and Liabilities	$	886	$	1,585
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		—		—
Total derivative assets and liabilities subject to an MNA	$	886	$	1,585

See Notes to Financial Statements.

BLACKROCK FUNDS III DECEMBER 31, 2015 65

Schedule of Investments (concluded) LifePath 2055 Master Portfolio

The following table presents the LifePath Master Portfolio’s derivative assets and liabilities by counterparty net of amounts available for offset under an Master Netting Agreement (“MNA”) and net of the related collateral received and pledged by the LifePath Master Portfolio:

Counterparty	Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset1			Non-cash Collateral Received		Cash Collateral Received		Net Amount of Derivative Assets2
Bank of America N.A.	$	87	$	(87	)		—		—		—
Citibank N.A.		42		(10	)		—		—	$	32
Goldman Sachs International		58		(58	)		—		—		—
Morgan Stanley & Co. International PLC		124		(124	)		—		—		—
Northern Trust Co.		2		(2	)		—		—		—
Royal Bank of Scotland PLC		66		(29	)		—		—		37
Standard Chartered Bank		507		—			—		—		507
Total	$	886	$	(310	)		—		—	$	576
Counterparty	Derivative Liabilities Subject to an MNA by Counterparty		Derivatives Available for Offset1			Non-cash Collateral Pledged		Cash Collateral Pledged		Net Amount of Derivative Liabilities3
Bank of America N.A.	$	163	$	(87	)		—		—	$	76
Barclays Bank PLC		223		—			—		—		223
Citibank N.A.		10		(10	)		—		—		—
Deutsche Bank AG		11		—			—		—		11
Goldman Sachs International		228		(58	)		—		—		170
Morgan Stanley & Co. International PLC		307		(124	)		—		—		183
Northern Trust Co.		140		(2	)		—		—		138
Royal Bank of Canada		474		—			—		—		474
Royal Bank of Scotland PLC		29		(29	)		—		—		—
UBS AG		—		—			—		—		—
Total	$	1,585	$	(310	)		—		—	$	1,275
1    The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.
2    Net amount represents the net amount receivable from the counterparty in the event of default.
3    Net amount represents the net amount payable due to the counterparty in the event of default.

Fair Value Hierarchy as of Period End

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

The following tables summarize LifePath Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy:

	Level 1		Level 2			Level 3		Total
Assets:
Investments:
Affiliated Investment Companies:
Equity Funds	$	2,162,321	$	11,184,393			—	$	13,346,714
Fixed Income Fund		—		239,880			—		239,880
Short-Term Securities		35,783		—			—		35,783
Common Stocks:
Hotels, Restaurants & Leisure		42,891		—			—		42,891
Real Estate Investment Trusts (REITs)		1,159,574		468,918			—		1,628,492
Real Estate Management & Development		40,864		406,093			—		446,957
Total	$	3,441,433	$	12,299,284			—	$	15,740,717
	Level 1		Level 2			Level 3		Total
Derivative Financial Instruments 1
Assets:
Forward foreign currency exchange contracts		—	$	886			—	$	886
Liabilities:
Forward foreign currency exchange contracts		—		(1,585	)		—		(1,585	)
Total		—	$	(699	)		—	$	(699	)
1    Derivative financial instruments are forward foreign currency exchange contracts that are valued at the unrealized appreciation (depreciation) on the instrument.

The LifePath Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

	Level 1		Level 2		Level 3		Total
Assets:
Cash	$	62,504		—		—	$	62,504
Foreign currency at value		13,202		—		—		13,202
Total	$	75,706		—		—	$	75,706

During the year ended December 31, 2015, there were no transfers between levels.

See Notes to Financial Statements.

66 BLACKROCK FUNDS III DECEMBER 31, 2015

Statements of Assets and Liabilities Master Investment Portfolio

December 31, 2015	LifePath 2025 Master Portfolio			LifePath 2035 Master Portfolio			LifePath 2045 Master Portfolio			LifePath 2055 Master Portfolio
Assets
Investments at value — unaffiliated1	$	3,353,310		$	5,428,758		$	4,494,638		$	2,118,340
Investments at value — affiliated2,3		61,484,119			50,502,563			29,821,601			13,622,377
Cash		65,981			88,258			106,066			62,504
Foreign currency at value4		18,216			29,679			25,224			13,202
Receivables:
Contributions from investors		—			—			2,531			63,498
Dividends — unaffiliated		15,806			26,319			21,886			10,164
From the Manager		20,615			20,635			21,544			22,423
Investments sold — unaffiliated		80,986			10,197			8,639			3,652
Investments sold — affiliated		1,774,763			1,141,194			368,000			358,000
Securities lending income — affiliated		270			349			250			113
Unrealized appreciation on forward foreign currency exchange contracts		1,384			2,293			1,957			886
Total assets		66,815,450			57,250,245			34,872,336			16,275,159
Liabilities
Collateral on securities loaned at value		2,895			—			—			—
Payables:
Investments purchased — unaffiliated		149,589			94,725			63,520			66,881
Investments purchased — affiliated		1,521,000			947,000			271,100			338,946
Withdrawals to investors		16,305			86,820			—			—
Professional fees		16,201			16,175			16,181			16,165
Independent Trustees’ fees		1,597			1,530			1,383			1,272
Unrealized depreciation on forward foreign currency exchange contracts		2,441			4,026			3,382			1,585
Total liabilities		1,710,028			1,150,276			355,566			424,849
Net Assets	$	65,105,422		$	56,099,969		$	34,516,770		$	15,850,310
Net Assets Consist of
Investors’ capital	$	67,002,581		$	57,749,084		$	35,537,371		$	16,272,023
Net unrealized appreciation (depreciation)		(1,897,159	)		(1,649,115	)		(1,020,601	)		(421,713	)
Net Assets	$	65,105,422		$	56,099,969		$	34,516,770		$	15,850,310
1    Investments at cost — unaffiliated	$	3,316,732		$	5,367,358		$	4,443,500		$	2,094,739
2    Investments at cost — affiliated	$	63,416,633		$	52,211,158		$	30,891,754		$	14,066,896
3    Securities loaned at value	$	2,817			—			—			—
4    Foreign currency at cost	$	18,316		$	29,824		$	25,355		$	13,275

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	67

Statements of Operations Master Investment Portfolio

Year Ended December 31, 2015	LifePath 2025 Master Portfolio			LifePath 2035 Master Portfolio			LifePath 2045 Master Portfolio			LifePath 2055 Master Portfolio
Investment Income
Dividends — affiliated	$	171,362		$	228,330		$	175,707		$	75,028
Dividends — unaffiliated		18,011			29,990			24,939			11,582
Securities lending — affiliated — net		2,612			3,066			1,845			1,492
Income — affiliated		269			166			221			70
Foreign taxes withheld		(2,204	)		(3,669	)		(3,051	)		(1,417	)
Net investment income allocated from the applicable Underlying Master Portfolios:
Dividends		724,758			796,517			541,599			226,519
Interest		607,154			247,849			31,527			9,398
Expenses		(151,480	)		(126,037	)		(73,897	)		(32,502	)
Fees waived		33,683			33,885			22,553			10,614
Total income		1,404,165			1,210,097			721,443			300,784
Expenses
Investment advisory		239,906			204,589			123,515			51,295
Professional		26,993			25,950			25,903			25,831
Independent Trustees		8,465			8,253			7,673			7,159
Total expenses		275,364			238,792			157,091			84,285
Less fees waived and/or reimbursed by the Manager		(238,476	)		(216,082	)		(148,219	)		(80,860	)
Total expenses after fees waived and/or reimbursed		36,888			22,710			8,872			3,425
Net investment income		1,367,277			1,187,387			712,571			297,359
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments — unaffiliated		58			(21	)		(31	)		(1	)
Investments — affiliated		(178,315	)		(106,955	)		(61,718	)		(41,496	)
Foreign currency transactions		584			973			808			384
Allocation from the applicable Underlying Master Portfolios from investments, financial futures contracts, swaps and foreign currency transactions		492,054			339,312			218,197			32,544
Allocation from the applicable Underlying Master Portfolios from in-kind redemptions1		1,722,909			1,723,351			1,131,158			481,846
		2,037,290			1,956,660			1,288,414			473,277
Net change in unrealized appreciation (depreciation) on:
Investments — unaffiliated		36,578			61,400			51,138			23,600
Investments — affiliated		(1,299,585	)		(1,380,969	)		(959,208	)		(399,963	)
Foreign currency translations		(1,223	)		(1,920	)		(1,586	)		(795	)
Allocation from the applicable Underlying Master Portfolios from investments, financial futures contracts, swaps and foreign currency translations		(3,288,472	)		(2,887,971	)		(1,762,982	)		(728,109	)
		(4,552,702	)		(4,209,460	)		(2,672,638	)		(1,105,267	)
Net realized and unrealized loss		(2,515,412	)		(2,252,800	)		(1,384,224	)		(631,990	)
Net Decrease in Net Assets Resulting from Operations	$	(1,148,135	)	$	(1,065,413	)	$	(671,653	)	$	(334,631	)
1   See Note 2 of the Notes to Financial Statements.

See Notes to Financial Statements.
68	BLACKROCK FUNDS III	DECEMBER 31, 2015

Statements of Changes in Net Assets Master Investment Portfolio

	LifePath 2025 Master Portfolio						LifePath 2035 Master Portfolio
	Year Ended December 31,						Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014			2015			2014
Operations
Net investment income	$	1,367,277		$	1,371,375		$	1,187,387		$	1,161,183
Net realized gain		2,037,290			3,054,668			1,956,660			2,768,344
Net change in unrealized appreciation (depreciation)		(4,552,702	)		(942,823	)		(4,209,460	)		(907,150	)
Net increase (decrease) in net assets resulting from operations		(1,148,135	)		3,483,220			(1,065,413	)		3,022,377
Capital Transactions
Proceeds from contributions		34,846,434			26,135,006			22,992,558			24,161,049
Value of withdrawals		(32,667,282	)		(24,205,432	)		(21,589,751	)		(16,783,453	)
Net increase in net assets derived from capital transactions		2,179,152			1,929,574			1,402,807			7,377,596
Net Assets
Total increase in net assets		1,031,017			5,412,794			337,394			10,399,973
Beginning of year		64,074,405			58,661,611			55,762,575			45,362,602
End of year	$	65,105,422		$	64,074,405		$	56,099,969		$	55,762,575

	LifePath 2045 Master Portfolio						LifePath 2055 Master Portfolio
	Year Ended December 31,						Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014			2015			2014
Operations
Net investment income	$	712,571		$	684,393		$	297,359		$	249,641
Net realized gain		1,288,414			1,652,212			473,277			594,792
Net change in unrealized appreciation (depreciation)		(2,672,638	)		(523,538	)		(1,105,267	)		(125,941	)
Net increase (decrease) in net assets resulting from operations		(671,653	)		1,813,067			(334,631	)		718,492
Capital Transactions
Proceeds from contributions		15,353,680			15,976,732			9,297,038			7,680,460
Value of withdrawals		(14,907,021	)		(8,526,879	)		(6,168,994	)		(4,319,994	)
Net increase in net assets derived from capital transactions		446,659			7,449,853			3,128,044			3,360,466
Net Assets
Total increase (decrease) in net assets		(224,994	)		9,262,920			2,793,413			4,078,958
Beginning of year		34,741,764			25,478,844			13,056,897			8,977,939
End of year	$	34,516,770		$	34,741,764		$	15,850,310		$	13,056,897

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	69

Financial Highlights Master Investment Portfolio

	LifePath 2025 Master Portfolio
	Year Ended December 31,
	2015			2014			2013			2012			2011
Total Return
Total return		(1.50)%			5.73%			12.34%			12.57%			0.99%
Ratios to Average Net Assets
Total expenses		0.57%	1,2,3		0.58%	4,5,6		0.61%	4,5,6		0.69%	7,8,9		1.07%	7,8,9
Total expenses after fees waived and/or reimbursed		0.23%	1,2,3		0.22%	4,5,6		0.25%	4,5,6		0.26%	7,8,9		0.24%	7,8,9
Net investment income10		1.98%	1,2,3		2.05%	4,5,6		2.11%	4,5,6		2.32%	7,8,9		2.62%	7,8,9
Supplemental Data
Net assets, end of year (000)		$   65,105			$   64,074			$   58,662			$   34,044			$   12,178
Portfolio turnover rate		51%	11		50%	12		30%	12		4%	13		24%	13

¹  Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

²  Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated fees waived of 0.05% for the year ended December 31, 2015.

³  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.13% for the year ended December 31, 2015, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated expenses and/or net investment income.

⁴  Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

⁵  Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.05% and 0.04% for the years ended December 31, 2014 and December 31, 2013, respectively.

⁶  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.13% and 0.10% for the years ended December 31, 2014 and December 31, 2013, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated expenses and/or net investment income.

⁷  Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series, and Total International ex U.S. Index Master Portfolio. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds

⁸  Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.04% and 0.03% for the years ended December 31, 2012 and December 31, 2011, respectively.

⁹  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.10% and 0.12% for the years ended December 31, 2012 and December 31, 2011, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated expenses and/or net investment income.

¹⁰  Includes the LifePath Master Portfolio’s share of the allocated net investment income from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio, except for the years ended December 31, 2015, December 31, 2014 and December 31, 2013, which also includes International Tilts Master Portfolio. For the year ended December 31, 2015, the ratio does not include Total International ex U.S. Index Master Portfolio, which is no longer held by the LifePath Master Portfolio.

¹¹  Includes the purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

¹²  Includes the purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

¹³  Excludes purchases and sales of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series, and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 17% and 58% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
70	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights Master Investment Portfolio

	LifePath 2035 Master Portfolio
	Year Ended December 31,
	2015			2014			2013			2012			2011
Total Return
Total return		(1.65)%			6.01%			15.83%			14.35%			(0.82)%
Ratios to Average Net Assets
Total expenses		0.57%	1,2,3		0.58%	4,5,6		0.63%	4,5,6		0.76%	7,8,9		1.34%	7,8,9
Total expenses after fees waived and/or reimbursed		0.20%	1,2,3		0.20%	4,5,6		0.25%	4,5,6		0.25%	7,8,9		0.22%	7,8,9
Net investment income10		2.02%	1,2,3		2.06%	4,5,6		2.29%	4,5,6		2.42%	7,8,9		2.50%	7,8,9
Supplemental Data
Net assets, end of year (000)		$   56,100			$   55,763			$   45,363			$   25,732			$     7,426
Portfolio turnover rate		44%	11		54%	12		39%	12		4%	13		21%	13

¹  Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

²  Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated fees waived of 0.06% for the year ended December 31, 2015.

³  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.16% for the year ended December 31, 2015, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated expenses and/or net investment income.

⁴  Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

⁵  Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.06% and 0.05% for the years ended December 31, 2014 and December 31, 2013, respectively.

⁶  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.15% and 0.11% for the years ended December 31, 2014 and December 31, 2013, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated expenses and/or net investment income.

⁷  Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series, and Total International ex U.S. Index Master Portfolio. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds

⁸  Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.05% and 0.04% for the years ended December 31, 2012 and December 31, 2011, respectively.

⁹  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.11% and 0.14% for the years ended December 31, 2012 and December 31, 2011, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated expenses and/or net investment income.

¹⁰  Includes the LifePath Master Portfolio’s share of the allocated net investment income from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio, except for the years ended December 31, 2015, December 31, 2014 and December 31, 2013, which also includes International Tilts Master Portfolio. For the year ended December 31, 2015, the ratio does not include Total International ex U.S. Index Master Portfolio, which is no longer held by the LifePath Master Portfolio.

¹¹  Includes the purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

¹²  Includes the purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

¹³  Excludes purchases and sales of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series, and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 13% and 47% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	71

Financial Highlights Master Investment Portfolio

	LifePath 2045 Master Portfolio
	Year Ended December 31,
	2015			2014			2013			2012			2011
Total Return
Total return		(1.87)%			6.16%			18.99%			15.84%			(1.96)%
Ratios to Average Net Assets
Total expenses		0.59%	1,2,3		0.61%	4,5,6		0.70%	4,5,6		1.01%	7,8,9		2.58%	7,8,9
Total expenses after fees waived and/or reimbursed		0.17%	1,2,3		0.19%	4,5,6		0.24%	4,5,6		0.24%	7,8,9		0.20%	7,8,9
Net investment income10		2.02%	1,2,3		2.08%	4,5,6		2.47%	4,5,6		2.54%	7,8,9		2.43%	7,8,9
Supplemental Data
Net assets, end of year (000)		$   34,517			$   34,742			$   25,479			$   12,178			$     3,249
Portfolio turnover rate		50%	11		54%	12		38%	12		4%	13		35%	13

¹  Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

²  Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated fees waived of 0.06% for the year ended December 31, 2015.

³  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.18% for the year ended December 31, 2015, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated expenses and/or net investment income.

⁴  Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

⁵  Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.06% and 0.05% for the years ended December 31, 2014 and December 31, 2013, respectively.

⁶  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.16% and 0.11% for the years ended December 31, 2014 and December 31, 2013, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated expenses and/or net investment income.

⁷  Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series, and Total International ex U.S. Index Master Portfolio. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds

⁸  Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.06% and 0.03% for the years ended December 31, 2012 and December 31, 2011, respectively.

⁹  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.11% and 0.16% for the years ended December 31, 2012 and December 31, 2011, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated expenses and/or net investment income.

¹⁰  Includes the LifePath Master Portfolio’s share of the allocated net investment income from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio, except for the years ended December 31, 2015, December 31, 2014 and December 31, 2013, which also includes International Tilts Master Portfolio. For the year ended December 31, 2015, the ratio does not include Total International ex U.S. Index Master Portfolio, which is no longer held by the LifePath Master Portfolio.

¹¹  Includes the purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

¹²  Includes the purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

¹³  Excludes purchases and sales of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series, and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 15% and 71% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
72	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights Master Investment Portfolio

	LifePath 2055 Master Portfolio
	Year Ended December 31,
	2015			2014			2013			2012			2011
Total Return
Total return		(2.02)%			6.40%			21.49%			16.96%			(3.52)%
Ratios to Average Net Assets
Total expenses		0.72%	1,2,3		0.76%	4,5,6		1.01%	4,5,6		2.41%	7,8,9		14.66%	7,8,9
Total expenses after fees waived and/or reimbursed		0.17%	1,2,3		0.17%	4,5,6		0.24%	4,5,6		0.25%	7,8,9		0.19%	7,8,9
Net investment income10		2.03%	1,2,3		2.06%	4,5,6		2.65%	4,5,6		2.66%	7,8,9		2.30%	7,8,9
Supplemental Data
Net assets, end of year (000)		$   15,850			$   13,057			$   8,978			$      3,775			$      494
Portfolio turnover rate		49%	11		48%	12		67%	12		7%	13		51%	13

¹  Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

²  Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated fees waived of 0.07 for the year ended December 31, 2015.

³  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.18% for the year ended December 31, 2015, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated expenses and/or net investment income.

⁴  Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

⁵  Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.07% and 0.06% for the years ended December 31, 2014 and December 31, 2013, respectively.

⁶  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.18%, and 0.12% for the years ended December 31, 2014 and December 31, 2013, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated expenses and/or net investment income.

⁷  Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series, and Total International ex U.S. Index Master Portfolio. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds

⁸  Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.07% and 0.06% for the years ended December 31, 2012 and December 31, 2011, respectively.

⁹  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.11% and 0.17% for the years ended December 31, 2012 and December 31, 2011, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated expenses and/or net investment income.

¹⁰  Includes the LifePath Master Portfolio’s share of the allocated net investment income from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio, except for the years ended December 31, 2015, December 31, 2014 and December 31, 2013, which also includes International Tilts Master Portfolio. For the year ended December 31, 2015, the ratio does not include Total International ex U.S. Index Master Portfolio, which is no longer held by the LifePath Master Portfolio.

¹¹  Includes the purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

¹²  Includes the purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

¹³  Excludes purchases and sales of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series, and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 27% and 95% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	73

Notes to Financial Statements Master Investment Portfolio

1. Organization:

Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a diversified, open-end management investment company. MIP is organized as a Delaware statutory trust. The financial statements and these accompanying notes relate to four series of MIP: LifePath^® 2025 Master Portfolio, LifePath^® 2035 Master Portfolio, LifePath^® 2045 Master Portfolio and LifePath^® 2055 Master Portfolio (each, a “LifePath Master Portfolio” and collectively, the “LifePath Master Portfolios”).

As of period end, the investment of LifePath 2035 Master Portfolio, LifePath 2045 Master Portfolio and LifePath 2055 Master Portfolio in the Active Stock Master Portfolio represented 25.0%, 28.0% and 33.2%, respectively, of net assets. The investment of LifePath 2025 Master Portfolio in CoreAlpha Bond Master Portfolio represented 33.8% of net assets. As such, financial statements of Active Stock Master Portfolio and CoreAlpha Bond Master Portfolio, including the Schedules of Investments, should be read in conjunction with each respective LifePath Master Portfolio’s financial statements. Active Stock Master Portfolio and CoreAlpha Bond Master Portfolio financial statements are available, without charge, on the U.S. Securities and Exchange Commission’s (“SEC’s”) website at http://www.sec.gov.

The LifePath Master Portfolios will generally invest in other registered investment companies (each, an “Underlying Fund” and collectively the “Underlying Funds”) that are managed by subsidiaries of BlackRock, Inc. (“BlackRock”) and its affiliates and affiliates of the LifePath Master Portfolios. The LifePath Master Portfolios may also invest in other master portfolios (“Underlying Master Portfolios”) that are managed by subsidiaries of BlackRock.

The value of a LifePath Master Portfolio’s investment in each of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series reflects that LifePath Master Portfolio’s proportionate interest in the net assets of that master portfolio. As of period end, the LifePath Master Portfolios held interests in Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series as follows:

	Active Stock Master Portfolio		CoreAlpha Bond Master Portfolio		International Tilts Master Portfolio		Large Cap Index Master Portfolio		Master Small Cap Index Series
LifePath 2025 Master Portfolio		3.06%		2.70%		2.76%		0.26%		0.43%
LifePath 2035 Master Portfolio		3.15%		1.13%		3.22%		0.37%		0.28%
LifePath 2045 Master Portfolio		2.17%		0.11%		2.34%		0.26%		0.16%
LifePath 2055 Master Portfolio		1.18%		0.03%		1.09%		0.09%		0.07%

The LifePath Master Portfolios, together with certain other registered investment companies advised by BlackRock Fund Advisors (“BFA” or the “Manager”) or its affiliates, are included in a complex of open-end funds referred to as the Equity-Liquidity 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. Each LifePath 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:

Foreign Currency: Each LifePath Master Portfolio’s books and records are maintained in U.S. dollars. 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.

Each LifePath Master Portfolio does not isolate changes in the exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements 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. Each LifePath 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 federal income tax purposes.

Segregation and Collateralization: In cases where a LifePath Master Portfolio enters into certain investments (e.g., forward foreign currency exchange contracts) that would be treated as “senior securities” for 1940 Act purposes, a LifePath 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 LifePath Master Portfolios 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.

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is

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recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the LifePath Master Portfolios are 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, some 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 the accrual basis.

Each LifePath Master Portfolio records daily its proportionate share of the Underlying Master Portfolios’ income, expenses and realized and unrealized gains and losses.

In-Kind Redemptions: Certain underlying investments in the LifePath Master Portfolios satisfied redemptions in investors’ capital through an in-kind redemption of securities and cash received from the Master Portfolios upon their redemptions from the Master Portfolios. For financial reporting purposes, these transactions were treated as a sale of securities and the resulting gains and losses were recognized based on the market value of the securities on the date of the redemption. Gains and losses resulting from such redemptions in-kind are included in allocation from the applicable Underlying Master Portfolios from in-kind redemptions in the Statement of Operations. For tax purposes, no gains or losses were recognized.

Indemnifications: In the normal course of business, each LifePath Master Portfolio enters into contracts that contain a variety of representations that provide general indemnification. Each LifePath Master Portfolio’s maximum exposure under these arrangements is unknown because it involves future potential claims against each LifePath Master Portfolio, which cannot be predicted with any certainty.

Other: Expenses directly related to a LifePath Master Portfolio are charged to that LifePath 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 LifePath Master Portfolios have an arrangement with their custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statements of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges. Effective September 2015, the arrangement with their custodian for earning credits on uninvested cash balances has ceased and the custodian will be imposing fees on certain uninvested cash balances.

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: The LifePath Master Portfolios’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the LifePath Master Portfolios would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The LifePath Master Portfolios determine the fair values of their financial instruments using independent dealers or pricing services under policies approved by the Board of Trustees of MIP (the “Board”). The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to provide oversight of the pricing function for the LifePath Master Portfolios for all financial instruments.

Fair Value Inputs and Methodologies: The following methods (or “techniques”) and inputs are used to establish the fair value of each LifePath Master Portfolio’s assets and liabilities:

• Equity investments traded on a recognized securities exchange are valued at the official close price each day, if available. For equity investments traded on more than one exchange, the official close price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price. Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of the LifePath Master Portfolios’ net assets. Each business day, the LifePath Master Portfolios use 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 business on the NYSE, which follows the close of the local markets.

• The market value of the LifePath Master Portfolios’ investments in the underlying open-end mutual funds is based on the published net asset value (“NAV”) of each fund computed as of the close of regular trading on the NYSE on days when the NYSE is open.

• 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 business on the NYSE. Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

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If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such instruments, 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”). When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each LifePath 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 consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:

• Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each LifePath 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 each LifePath Master Portfolio’s own assumptions used in determining the fair value of investments and derivative financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as Level 3. The fair value hierarchy for each LifePath Master Portfolio’s investments and derivative financial instruments have been included in the Schedules of Investments.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with each LifePath Master Portfolio’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

4. Securities and Other Investments:

Securities Lending: Certain LifePath Master Portfolios may lend their securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the LifePath Master Portfolios 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 each LifePath Master Portfolio are 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 LifePath Master Portfolios and any additional required collateral is delivered to the LifePath Master Portfolio, or excess collateral returned by the LifePath Master Portfolio, on the next business day. During the term of the loan, the LifePath Master Portfolios are entitled to all distributions made on or in respect of the loaned securities. 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 or affiliated investments in the LifePath Master Portfolios’ Schedules of Investments, and the value of any related collateral are shown separately in the Statements 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. The cash collateral invested by the securities lending agent, BlackRock Institutional Trust Company, N.A. (“BTC”), if any, is disclosed in the Schedules of Investments.

Securities lending transactions are entered into by the LifePath Master Portfolios 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 LifePath Master Portfolios, 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

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insolvency. Under the MSLA, absent an event of default the borrower can resell or re-pledge the loaned securities, and the LifePath 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 LifePath 2025 Master Portfolio’s securities lending agreements by counterparty which are subject to offset under an MSLA:

Counterparty	Securities Loaned at Value		Cash Collateral Received1			Net Amount
Credit Suisse Securities (USA) LLC	$	2,817	$	(2,817	)		—

¹  Collateral with a value of $2,895 has been received in connection with securities lending agreements. Collateral received in excess of the value of securities loaned from the individual counterparty is not shown for financial reporting purposes in the table above.

The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the LifePath Master Portfolios benefits from a borrower default indemnity provided by BlackRock. BlackRock’s indemnity allows for full replacement of the securities loaned if the collateral received does not cover the value on the securities loaned in the event of borrower default. Each LifePath Master Portfolio could suffer a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received.

5. Derivative Financial Instruments:

The LifePath Master Portfolios engage in various portfolio investment strategies using derivative contracts both to increase the returns of the LifePath Master Portfolios and/or to manage economically their exposure to certain risks such as foreign currency exchange rate risk. These contracts may be transacted on an exchange or OTC.

Forward Foreign Currency Exchange Contracts: Certain LifePath Master Portfolios enter into forward foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to, or hedge exposure away from, 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 future date. Forward foreign currency exchange contracts, when used by the LifePath Master Portfolios help to manage the overall exposure to the currencies in which some of the investments held by the LifePath Master Portfolios are denominated. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The contract is marked-to-market daily and the change in market value is recorded by the LifePath Master Portfolios as an unrealized gain or loss. When the contract is closed, the LifePath Master Portfolios record a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. 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.

Master Netting Arrangements: In order to better define their contractual rights and to secure rights that will help them mitigate their counterparty risk, the LifePath Master Portfolios may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their counterparties. An ISDA Master Agreement is a bilateral agreement between each LifePath 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, each LifePath 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. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event the LifePath Master Portfolios’ net assets decline by a stated percentage or the LifePath Master Portfolios fail to meet the terms of their ISDA Master Agreements. The result would cause the LifePath Master Portfolios to accelerate payment of any net liability owed to the counterparty.

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 LifePath Master Portfolios and the counterparty.

Cash collateral that has been pledged to cover obligations of the LifePath Master Portfolios and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the LifePath Master Portfolios, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (typically either $250,000 or $500,000) before a transfer is required, which is determined at

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the close of business of the LifePath Master Portfolios. Any additional required collateral is delivered to/pledged by the LifePath Master Portfolios on the next business day. Typically, a the LifePath Master Portfolio’s counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A LifePath 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, a LifePath Master Portfolio may pay interest pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the LifePath Master Portfolios from their counterparties are not fully collateralized, the LifePath Master Portfolios bear the risk of loss from counterparty non-performance. Likewise, to the extent the LifePath Master Portfolios have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, the LifePath Master Portfolios bear 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 to all derivative contracts.

6. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock for 1940 Act purposes.

MIP, on behalf of the LifePath Master Portfolios, entered into an Investment Advisory Agreement with BFA, the LifePath Master Portfolios’ investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory services. The Manager is responsible for the management of each LifePath Master Portfolios and provides the personnel, facilities, equipment and certain other services necessary to the operations of each LifePath Master Portfolio. For such services, each LifePath Master Portfolio pays BFA a monthly fee based on a percentage of each LifePath Master Portfolio’s average daily net assets at an annual rate of 0.35%.

MIP, with respect to LifePath Master Portfolios, entered into a sub-advisory agreement with BlackRock International Limited (“BIL”) and BlackRock (Singapore) Limited (“BRS”), affiliates of the Manager. The Manager pays BIL and BRS, for services they provide, a monthly fee that is a percentage of the investment advisory fees paid by each LifePath Master Portfolio to the Manager.

MIP, on behalf of the LifePath Master Portfolios, entered into an Administration Agreement with BlackRock Advisors, LLC (“BAL”), which has agreed to provide general administration services (other than investment advice and related portfolio activities). BAL, in consideration thereof, has agreed to bear all of the LifePath Master Portfolios’ ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by the LifePath Master Portfolios.

From time to time, BAL may waive such fees in whole or in part. Any such waiver will reduce the expenses of a LifePath Master Portfolio and, accordingly, have a favorable impact on its performance. BAL may delegate certain of its administration duties to sub-administrators.

BAL is not entitled to compensation for providing administration service to the LifePath Master Portfolios, for so long as BAL is entitled to compensation for providing administration services to corresponding feeder funds that invest substantially all of their assets in the LifePath Master Portfolios, or BAL (or an affiliate) receives investment advisory fees from the LifePath Master Portfolios.

Effective November 30, 2015, the Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the LifePath Master Portfolios pay to the Manager indirectly through their investments in affiliated money market funds. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with the LifePath Master Portfolios’ investment in other affiliated investment companies, if any. These amounts, if any, are included in fees waived by the Manager in the Statements of Operations. For the year ended December 31, 2015, there were no waivers on the LifePath Master Portfolios.

The fees and expenses of MIP’s trustees who are not “interested persons” of MIP, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and MIP’s independent registered public accounting firm (together, the “independent expenses”) are paid directly by the LifePath Master Portfolios. BFA has also contractually agreed to reimburse the LifePath Master Portfolios or provide an offsetting credit against the investment advisory fees paid by the LifePath Master Portfolios in an amount equal to the independent expenses. These contractual waivers are effective through April 30, 2026. For the year ended December 31, 2015, the amounts waived are included in fees waived by the Manager in the Statements of Operations as follows:

LifePath 2025 Master Portfolio	LifePath 2035 Master Portfolio		LifePath 2045 Master Portfolio		LifePath 2055 Master Portfolio
$35,458	$	34,203	$	33,576	$	32,990

Prior to November 30, 2015, BFA had contractually agreed to waive investment advisory fees charged to each LifePath Master Portfolio in an amount equal to investment advisory fees and administration fees, if any, received by BFA or BAL, from each affiliated investment company in which the LifePath Master Portfolios invest. For the year ended December 31, 2015, the amounts waived are included in fees waived by the Manager in the Statements of Operations as follows:

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LifePath 2025 Master Portfolio	LifePath 2035 Master Portfolio		LifePath 2045 Master Portfolio		LifePath 2055 Master Portfolio
$185,698	$	166,991	$	105,575	$	43,733

Effective November 30, 2015, BFA has agreed to contractually waive 0.30% of its advisory fees through April 30, 2017. For the year ended December 31, 2015, the amounts waived are included in fees waived by the Manager in the Statements of Operations as follows:

LifePath 2025 Master Portfolio	LifePath 2035 Master Portfolio		LifePath 2045 Master Portfolio		LifePath 2055 Master Portfolio
$17,320	$	14,888	$	9,068	$	4,137

The SEC has issued an exemptive order which permits BTC, an affiliate of the Manager, to serve as securities lending agent for the LifePath Master Portfolios, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending. The LifePath Master Portfolios are responsible for fees in connection with the investment of cash collateral received for securities on loan in a money market fund managed by the Manager or its affiliates, however, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees the LifePath Master Portfolios bear to an annual rate of 0.04% (the “collateral investment fees”).

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 fees. Each LifePath Master Portfolio retains a portion of securities lending income and remits a remaining portion to BTC as compensation for its services as securities lending agent.

Pursuant to a securities lending agreement, each LifePath Master Portfolio retain 80% of securities lending income, and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees. In addition, commencing the business day following the date that the aggregate securities lending income earned across certain funds in the Equity-Liquidity Complex in a calendar year exceeds a specified threshold, each LifePath Master Portfolio, pursuant to the securities lending agreement, will retain for the remainder of the calendar year securities lending income in an amount equal to 85% of securities lending income, and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

The share of securities lending income earned by each LifePath Master Portfolio is shown as securities lending — affiliated – net in the Statements of Operations. For the year ended December 31, 2015, each LifePath Master Portfolio paid BTC the following amounts in total for securities lending agent services and collateral investment fees:

LifePath 2025 Master Portfolio	LifePath 2035 Master Portfolio		LifePath 2045 Master Portfolio		LifePath 2055 Master Portfolio
$564	$	666	$	391	$	342

Each LifePath Master Portfolio may invest its positive cash balances in certain money market funds managed by the Manager or an affiliate. The income earned on these temporary cash investments is shown as income-affiliated in the Statements of Operations.

Certain officers and/or trustees of the MIP are officers and/or directors of BlackRock or its affiliates.

7. Purchases and Sales:

For the year ended December 31, 2015, purchases and sales of investments in the Underlying Funds and Master Portfolios, excluding short-term securities, were as follows:

	LifePath 2025 Master Portfolio		LifePath 2035 Master Portfolio		LifePath 2045 Master Portfolio		LifePath 2055 Master Portfolio
Purchases	$	36,490,324	$	27,009,824	$	17,839,932	$	10,217,539
Sales	$	34,174,588	$	25,494,383	$	17,307,011	$	7,093,001

8. Income Tax Information:

The LifePath Master Portfolios are classified as a partnership for federal income tax purposes. As such, each investor in the LifePath Master Portfolios is treated as the owner of their proportionate share of net assets, income, expenses and realized and unrealized gains and losses of the LifePath Master Portfolios. Therefore, no federal income tax provision is required. It is intended that the LifePath Master Portfolios’ assets will be managed so an investor in the LifePath Master Portfolios can satisfy the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended.

Each LifePath 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 each LifePath Master Portfolio’s U.S. federal tax returns remains open for each of the four years ended December 31, 2015. The statutes of limitations on each LifePath Master Portfolio’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

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Management has analyzed tax laws and regulations and their application to the LifePath Master Portfolios’ as of December 31, 2015, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the LifePath Master Portfolios’ financial statements.

As of period end, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

	LifePath 2025 Master Portfolio			LifePath 2035 Master Portfolio			LifePath 2045 Master Portfolio			LifePath 2055 Master Portfolio
Tax cost	$	66,259,193		$	57,243,375		$	35,192,539		$	16,118,747
Gross unrealized appreciation	$	3,128,059		$	3,952,946		$	2,543,944		$	1,605,295
Gross unrealized depreciation		(4,549,823	)		(5,265,000	)		(3,420,244	)		(1,983,325	)
Net unrealized depreciation	$	(1,421,764	)	$	(1,312,054	)	$	(876,300	)	$	(378,030	)

9. Bank Borrowings:

MIP, on behalf of the LifePath Master Portfolios, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is a party to a 364-day, $2.1 billion credit agreement with a group of lenders, under which the LifePath Master Portfolios may borrow to fund shareholder redemptions. Excluding commitments designated for certain funds, the Participating Funds, including the LifePath Master Portfolios, can borrow up to an aggregate commitment amount of $1.6 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 0.06% 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 2016 unless extended or renewed. Participating Funds paid administration, legal and arrangement fees, which, if applicable, are included in miscellaneous expenses in the Statements of Operations, and along with commitment 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 December 31, 2015, the LifePath Master Portfolios did not borrow under the credit agreement.

10. Principal Risks:

In the normal course of business, certain LifePath Master Portfolios invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities held by the LifePath Master Portfolios may decline in response to certain events, including those directly involving the issuers of securities owned by the LifePath Master Portfolios. Changes arising from the general economy, the overall market and local, regional or global political or/and social instability, as well as currency, interest rate and price fluctuations, may also affect the securities’ value.

Counterparty Credit Risk: Similar to issuer credit risk, the LifePath Master Portfolios may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The LifePath Master Portfolios manage 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 LifePath Master Portfolios to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the LifePath Master Portfolios’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the LifePath Master Portfolios.

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.

The LifePath Master Portfolios’ risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by such LifePath Master Portfolios.

11. Subsequent Events:

Management has evaluated the impact of all subsequent events on the LifePath Master Portfolios 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.

80 BLACKROCK FUNDS III DECEMBER 31, 2015

Report of Independent Registered Public Accounting Firm Master Investment Portfolio

To the Board of Trustees of Master Investment Portfolio and the Interestholders of LifePath^® 2025 Master Portfolio, LifePath^® 2035 Master Portfolio, LifePath^® 2045 Master Portfolio and LifePath^® 2055 Master Portfolio:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of LifePath^® 2025 Master Portfolio, LifePath^® 2035 Master Portfolio, LifePath^® 2045 Master Portfolio and LifePath^® 2055 Master Portfolio (the “Master Portfolios”), each a series of Master Investment Portfolio, at December 31, 2015, the results of each of their operations for the year then ended, the changes in each of their 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. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Master Portfolios’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2015 by correspondence with the custodian, brokers and transfer agent, provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 24, 2016

BLACKROCK FUNDS III DECEMBER 31, 2015 81

Disclosure of Sub-Advisory Agreement

The Board of Trustees of Master Investment Portfolio (the “Master Fund”) met in person on November 18-20, 2015 (the “November Meeting”) to consider the initial approval of (a) the sub-advisory agreement between BlackRock Fund Advisors (the “Manager”), the Master Fund’s investment advisor, and BlackRock International Limited (“BIL”) with respect to LifePath^® 2025 Master Portfolio, LifePath^® 2035 Master Portfolio, LifePath^® 2045 Master Portfolio and LifePath^® 2055 Master Portfolio (each, a “Master Portfolio” and collectively, the “Master Portfolios”), each a series of the Master Fund (the “BIL Sub-Advisory Agreement”) and (b) the sub-advisory agreement between the Manager and BlackRock (Singapore) Limited (“BRS”) with respect to each of the Master Portfolios (the “BRS Sub-Advisory Agreement,” and together with the BIL Sub-Advisory Agreement, the “Sub-Advisory Agreements”). Each of BlackRock LifePath^® 2025 Fund, BlackRock LifePath^® 2035 Fund, BlackRock LifePath^® 2045 Fund and BlackRock LifePath^® 2055 Fund (each, a “Portfolio” and collectively, the “Portfolios”), each a series of BlackRock Funds III (the “Fund”), is a “feeder” fund that invests all of its investable assets in the corresponding Master Portfolio. Accordingly, the Board of Trustees of the Fund also considered the approval of each Sub-Advisory Agreement with respect to each Master Portfolio. For simplicity, as pertinent, the Board of Trustees of the Master Fund and the Board of Trustees of the Fund are referred to herein collectively as the “Board,” and the members are referred to as “Board Members.”

On the date of the Meeting, the Board consisted of fifteen individuals, thirteen of whom were not “interested persons” of the Master Fund or the Fund as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). Pursuant to the 1940 Act, the Board is required to consider the initial approval of the Sub-Advisory Agreements.

At the November Meeting, the Board reviewed materials relating to its consideration of the proposed Sub-Advisory Agreements. The Master Fund’s investment advisory agreement (the “Advisory Agreement”) with the Manager on behalf of each Master Portfolio was most recently approved by the Board of the Master Fund at an in-person meeting on May 18-20, 2015 (the “May Meeting”). A discussion of the basis for the Board of the Master Fund’s approval and the Board of the Fund’s consideration of the Advisory Agreement at the May Meeting is included in the Portfolios’ shareholder report for the period ended June 30, 2015. The factors considered by the Board at the November Meeting in connection with approval of the proposed Sub-Advisory Agreements were substantially the same as the factors considered at the May Meeting.

Following discussion, all the Board Members of the Master Fund present at the November Meeting, including all the Independent Board Members present, approved the BIL Sub-Advisory Agreement between the Manager and BIL with respect to each Master Portfolio and the BRS Sub-Advisory Agreement between the Manager and BRS with respect to each Master Portfolio, each for a two-year term beginning on the effective date of the pertinent Sub-Advisory Agreement. Based upon its evaluation of all of the aforementioned factors in their totality, the Board of the Master Fund, including the Independent Board Members, was satisfied that the terms of the Sub-Advisory Agreements were fair and reasonable and in the best interest of each Master Portfolio and its interest holders. The Board of the Fund, including the Independent Board Members, also considered each Sub-Advisory Agreement with respect to each Master Portfolio and found the Sub-Advisory Agreements to be satisfactory. In arriving at its decision to approve the Sub-Advisory Agreements, the Board of the Master Fund 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.

82 BLACKROCK FUNDS III DECEMBER 31, 2015

Officers and Trustees

Name, Address1 and Year of Birth	Position(s) Held with the Trust/MIP	Length of Time Served as a Trustee3	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Independent Trustees2
Rodney D. Johnson 1941	Chair of the Board and Trustee	Since 2009	President, Fairmount Capital Advisors, Inc. from 1987 to 2013; Member of the Archdiocesan Investment Committee of the Archdiocese of Philadelphia from 2004 to 2012; Director, The Committee of Seventy (civic) from 2006 to 2012; Director, Fox Chase Cancer Center from 2004 to 2011.	33 RICs consisting of 155 Portfolios	None
David O. Beim 1940	Trustee	Since 2009	Professor of Professional Practice at the Columbia University Graduate School of Business since 1991; Trustee, Phillips Exeter Academy from 2002 to 2012; Chairman, Wave Hill, Inc. (public garden and cultural center) from 1990 to 2006.	33 RICs consisting of 155 Portfolios	None
Collette Chilton 1958	Trustee	Since 2015	Chief Investment Officer, Williams College since 2006; Chief Investment Officer, Lucent Asset Management Corporation from 1998 to 2006.	33 RICs consisting of 155 Portfolios	None
Frank J. Fabozzi 1948	Trustee	Since 2014	Editor of and Consultant for The Journal of Portfolio Management since 2006; Professor of Finance, EDHEC Business School since 2011; Visiting Professor, Princeton University from 2013 to 2014; Professor in the Practice of Finance and Becton Fellow, Yale University School of Management from 2006 to 2011.	108 RICs consisting of 230 Portfolios	None
Dr. Matina S. Horner 1939	Trustee	Since 2009	Executive Vice President, Teachers Insurance and Annuity Association and College Retirement Equities Fund from 1989 to 2003.	33 RICs consisting of 155 Portfolios	NSTAR (electric and gas utility)
Herbert I. London 1939	Trustee	Since 2009	Professor Emeritus, New York University since 2005; President, London Center for Policy Research since 2012; John M. Olin Professor of Humanities, New York University from 1993 to 2005 and Professor thereof from 1980 to 2005; President Emeritus, Hudson Institute (policy research organization) from 2011 to 2012, President thereof from 1997 to 2011 and Trustee from 1980 to 2012; Chairman of the Board of Trustees for Grantham University since 2006; Director, InnoCentive, Inc. (global internet service) since 2005; Director, Cerego, LLC (educational software) since 2005; Director, Cybersettle (online adjudication) since 2009; Director, AIMS Worldwide, Inc. (marketing) from 2007 to 2012.	33 RICs consisting of 155 Portfolios	None
Cynthia A. Montgomery 1952	Trustee	Since 2009	Professor, Harvard Business School since 1989; Director, McLean Hospital from 2005 to 2012; Director, Harvard Business School Publishing from 2005 to 2010.	33 RICs consisting of 155 Portfolios	Newell Rubbermaid, Inc. (manufacturing)
Joseph P. Platt 1947	Trustee	Since 2009	Director, Jones and Brown (Canadian insurance broker) since 1998; General Partner, Thorn Partners, LP (private investments) since 1998; Director, WQED Multi-Media (public broadcasting not-for-profit) since 2001; Director, The West Penn Allegheny Health System (a not-for-profit health system) from 2008 to 2013; Partner, Amarna Corporation, LLC (private investment company) from 2002 to 2008.	33 RICs consisting of 155 Portfolios	Greenlight Capital Re, Ltd. (reinsurance company)
Robert C. Robb, Jr. 1945	Trustee	Since 2009	Partner, Lewis, Eckert, Robb and Company (management and financial consulting firm) since 1981.	33 RICs consisting of 155 Portfolios	None
Toby Rosenblatt 1938	Trustee	Since 2009	President, Founders Investments Ltd. (private investments) since 1999; Director, Forward Management, LLC since 2007; Director, College Futures Foundation (philanthropic foundation) since 2009; Director, The James Irvine Foundation (philanthropic foundation) from 1998 to 2008.	33 RICs consisting of 155 Portfolios	None

BLACKROCK FUNDS III DECEMBER 31, 2015 83

Officers and Trustees (continued)

Name, Address1 and Year of Birth	Position(s) Held with the Trust/MIP	Length of Time Served as a Trustee3	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Independent Trustees2 (concluded)
Mark Stalnecker 1951	Trustee	Since 2015	Chief Investment Officer, University of Delaware from 1999 to 2013; Trustee, Winterthur Museum and Country Estate since 2001; Member of the Investment Committee, Delaware Public Employees’ Retirement System since 2002; Member of the Investment Committee, Christiana Care Health System since 2009; Member of the Investment Committee, Delaware Community Foundation from 2013 to 2014.	33 RICs consisting of 155 Portfolios	None
Kenneth L. Urish 1951	Trustee	Since 2009	Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Immediate 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 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.	33 RICs consisting of 155 Portfolios	None
Frederick W. Winter 1945	Trustee	Since 2009	Director, Alkon Corporation (pneumatics) since 1992; Professor and Dean Emeritus of the Joseph M. Katz School of Business, University of Pittsburgh from 2005 to 2013 and Dean thereof from 1997 to 2005; Director, Tippman Sports (recreation) from 2005 to 2013; Director, Indotronix International (IT services) from 2004 to 2008.	33 RICs consisting of 155 Portfolios	None
	1    The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.
	2    Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board has determined to extend the terms of Independent Trustees on a case-by-case basis, as appropriate. The Board has unanimously approved extending the mandatory retirement age for David O. Beim and Dr. Matina S. Horner until December 31, 2016, which the Board believes is in the best interests of shareholders of the Trust/MIP.
	3    Date shown is the earliest date a person has served for the Trust/MIP. In connection with the acquisition of Barclay’s Global Investors by BlackRock, Inc. (“BlackRock”) in December 2009, the Trustees were elected to the Trust/MIP’s Board. As a result, although the chart shows certain Independent Trustees as joining the Trust/MIP’s board in 2009, those Independent Trustees first became members of the boards of other funds advised by BlackRock Advisors, LLC or its affiliates as follows: David O. Beim, 1998; Dr. Matina S. Horner, 2004; Rodney D. Johnson, 1995; Herbert I. London, 1987; Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Robert C. Robb, Jr., 1998; Toby Rosenblatt, 2005; Kenneth L. Urish, 1999; and Frederick W. Winter, 1999. Frank J. Fabozzi first became a member of the boards of other funds advised by BlackRock Advisors, LLC or its affiliates in 1988.
Interested Trustees4
Barbara G. Novick 1960	Trustee	Since 2015	Vice Chairman of BlackRock since 2006; Chair of BlackRock’s Government Relations Steering Committee since 2009; Head of the Global Client Group of BlackRock from 1988 to 2008.	108 RICs consisting of 230 Portfolios	None
John M. Perlowski 1964	Trustee, President, and Chief Executive Officer	Since 2015 (Trustee); Since 2010 (President and Chief Executive Officer)	Managing Director of BlackRock since 2009; Head of BlackRock Global Fund Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.	136 RICs consisting of 328 Portfolios	None
	4    Mr. Perlowski and Ms. Novick are both “interested persons,” as defined in the 1940 Act, of the Trust/MIP based on their positions with BlackRock and its affiliates. Mr. Perlowski and Ms. Novick are also board members of a complex of BlackRock registered open-end funds. Mr. Perlowski is also a board member of the BlackRock Equity-Bond Complex and the BlackRock Equity-Liquidity Complex, and Ms. Novick is also a board member of the BlackRock Equity-Liquidity Complex. Interested Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The maximum age limitation may be waived as to any Trustee by action of a majority of the Trustees upon a finding of good cause therefor.

84 BLACKROCK FUNDS III DECEMBER 31, 2015

Officers and Trustees (concluded)

Name, Address1 and Year of Birth	Position(s) Held with the Trust/MIP	Length of Time Served as an Officer	Principal Occupation(s) During Past Five Years
Officers2
John M. Perlowski 1964	Trustee, President and Chief Executive Officer	Since 2015 (Trustee); Since 2010 (President and Chief Executive Officer)	Managing Director of BlackRock since 2009; Head of BlackRock Global Fund Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.
Richard Hoerner, CFA 1958	Vice President	Since 2009	Managing Director of BlackRock since 2000; Head of the Global Cash Group since 2013; Co-head of the Global Cash and Securities Lending Group from 2010 to 2013; Member of the Cash Management Group Executive Committee since 2005.
Jennifer McGovern 1977	Vice President	Since 2014	Director of BlackRock since 2011; Head of Product Structure and Oversight for BlackRock’s U.S. Wealth Advisory Group since 2013; Vice President of BlackRock from 2008 to 2010.
Neal Andrews 1966	Chief Financial Officer	Since 2009	Managing Director of BlackRock since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.
Jay Fife 1970	Treasurer	Since 2009	Managing Director of BlackRock since 2007; Director of BlackRock in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.
Charles Park 1967	Chief Compliance Officer	Since 2014	Anti-Money Laundering Compliance Officer for the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End Complex from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End 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.
Fernanda Piedra 1969	Anti-Money Laundering Compliance Officer	Since 2015	Director of BlackRock since 2014; Anti-Money Laundering Compliance Officer and Regional Head of Financial Crime for the Americas at BlackRock since 2014; Head of Regulatory Changes and Remediation for the Asset Wealth Management Division of Deutsche Bank from 2010 to 2014; Vice President of Goldman Sachs (Anti-Money Laundering/Suspicious Activities Group) from 2004 to 2010.
Benjamin Archibald 1975	Secretary	Since 2012	Managing Director of BlackRock since 2014; Director of BlackRock from 2010 to 2013; Secretary of the iShares exchange traded funds since 2015; Secretary of the BlackRock-advised mutual funds since 2012.
	1    The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.
	2    Officers of the Trust/MIP serve at the pleasure of the Board.
	Further information about the Trust/MIP’s Officers and Trustees is available in the LifePath Fund’s Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762.

Effective September 25, 2015, John M. Perlowski was appointed to serve as a Trustee of the Trust/MIP.

Effective December 31, 2015, Herbert I. London and Toby Rosenblatt retired as Trustees of the Trust/MIP.

Investment Advisor BlackRock Fund Advisors San Francisco, CA 94105	Custodian and Accounting Agent State Street Bank and Trust Company Boston, MA 02110	Distributor BlackRock Investments, LLC New York, NY 10022	Legal Counsel Sidley Austin LLP New York, NY 10019
Sub-Advisors BlackRock International Limited Edinburgh, United Kingdom BlackRock (Singapore) Limited Singapore	Transfer Agent BNY Mellon Investment Servicing (US) Inc. Wilmington, DE 19809	Independent Registered Public Accounting Firm PricewaterhouseCoopers LLP Philadelphia, PA 19103	Address of the Trust/MIP 400 Howard Street San Francisco, CA 94105
Administrator BlackRock Advisors, LLC Wilmington, DE 19809

BLACKROCK FUNDS III DECEMBER 31, 2015 85

Additional Information

General Information

Householding

The LifePath Funds 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 LifePath Funds at (800) 441-7762.

Availability of Quarterly Schedule of Investments

The LifePath Funds/LifePath Master Portfolios file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The LifePath Funds’/LifePath Master Portfolios’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The LifePath Funds’/LifePath Master Portfolios’ Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the LifePath Funds/LifePath Master Portfolios 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 http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how each LifePath Fund/LifePath Master Portfolio voted proxies relating to securities held in each LifePath Fund’s/LifePath Master Portfolio’s portfolio during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC’s website at http://www.sec.gov.

BlackRock’s Mutual Fund Family

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

Shareholder Privileges

Account Information

Call us at (800) 441-7762 from 8:00 AM to 6:00 PM EST on any business day to get information about your account balances, recent transactions and share prices. You can also reach us on the Web at http://www.blackrock.com/funds.

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.

86 BLACKROCK FUNDS III DECEMBER 31, 2015

Additional Information (concluded)

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.

BLACKROCK FUNDS III DECEMBER 31, 2015 87

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 a LifePath Fund unless preceded or accompanied by that LifePath 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.

LPincre-12/15-AR

DECEMBER 31, 2015

  ANNUAL REPORT  

BlackRock Funds III

^Ø   BlackRock LifePath^® Retirement Fund

^Ø   BlackRock LifePath^® 2020 Fund

^Ø   BlackRock LifePath^® 2030 Fund

^Ø   BlackRock LifePath^® 2040 Fund

^Ø   BlackRock LifePath^® 2050 Fund

Not FDIC Insured • May Lose Value • No Bank Guarantee

Table of Contents

	Page
The Markets in Review		3
Annual Report:
Fund Summaries		4
About Fund Performance		16
Disclosure of Expenses		17
Derivative Financial Instruments		18
Fund Financial Statements:
Statements of Assets and Liabilities		19
Statements of Operations		20
Statements of Changes in Net Assets		21
Fund Financial Highlights		24
Fund Notes to Financial Statements		49
Fund Report of Independent Registered Public Accounting Firm		56
Important Tax Information		56
Master Portfolio Information		57
Master Portfolio Financial Statements:
Schedules of Investments		59
Statements of Assets and Liabilities		82
Statements of Operations		83
Statements of Changes in Net Assets		84
Master Portfolio Financial Highlights		87
Master Portfolio Notes to Financial Statements		92
Master Portfolio Report of Independent Registered Public Accounting Firm		99
Disclosure of Sub-Advisory Agreements		100
Officers and Trustees		101
Additional Information		104

2 BLACKROCK FUNDS III DECEMBER 31, 2015

The Markets in Review

Dear Shareholder,

Diverging monetary policies and shifting economic outlooks across regions have been the overarching themes driving financial markets over the past couple of years. With U.S. growth outpacing the global economic recovery in 2015 while inflationary pressures remained low, investors spent most of the year anticipating a short-term rate hike from the Federal Reserve (the “Fed”), which ultimately came to fruition in December. In contrast, the European Central Bank (“ECB”) and the Bank of Japan moved to a more accommodative stance during the year. In this environment, the U.S. dollar strengthened considerably, causing profit challenges for U.S. exporters and high levels of volatility in emerging market currencies and commodities. Oil prices were particularly volatile and below the historical norm due to an ongoing imbalance in global supply and demand.

Market volatility broadly increased in the middle of 2015, beginning with a sharp, but temporary, selloff in June as Greece’s long-brewing debt troubles came to an impasse. Just as these concerns abated, Chinese equities tumbled amid weakness in the country’s economy. This, combined with a depreciation of the yuan and declining confidence in China’s policymakers, stoked worries about the potential impact to the broader world economy, causing heightened volatility to spread throughout markets globally. Given a dearth of meaningful growth across most of the world, financial markets became more reliant on central bank policies to drive performance. In that vein, risk assets (such as equities and high yield bonds) rallied in October when China’s central bank provided more stimulus, the ECB hinted at further easing, and soft U.S. data pushed back expectations for a Fed rate hike. As the period came to a close, however, the ECB disappointed investors with its subdued policy changes. The Fed’s December rate hike had a positive impact on the markets as it removed a source of uncertainty, but this was counteracted by the dampening effect of a stronger U.S. dollar, falling oil prices and tighter credit conditions.

At BlackRock, we believe investors need to think globally, extend their scope across a broad array of asset classes and be prepared to move freely as market conditions change over time. 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 December 31, 2015
	6-month			12-month
U.S. large cap equities (S&P 500® Index)		0.15	%		1.38	%
U.S. small cap equities (Russell 2000® Index)		(8.75	)		(4.41	)
International equities (MSCI Europe, Australasia, Far East Index)		(6.01	)		(0.81	)
Emerging market equities (MSCI Emerging Markets Index)		(17.35	)		(14.92	)
3-month Treasury bills (BofA Merrill Lynch 3-Month U.S. Treasury Bill Index)		0.04			0.05
U.S. Treasury securities (BofA Merrill Lynch 10-Year U.S. Treasury Index)		1.43			0.91
U.S. investment-grade bonds (Barclays U.S. Aggregate Bond Index)		0.65			0.55
Tax-exempt municipal bonds (S&P Municipal Bond Index)		3.31			3.32
U.S. high yield bonds (Barclays U.S. Corporate High Yield 2% Issuer Capped Index)		(6.79	)		(4.43	)
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

THIS PAGE NOT PART OF YOUR FUND REPORT 3

Fund Summary as of December 31, 2015 BlackRock LifePath Funds

Portfolio Management Commentary

How did each Fund perform?

• The BlackRock LifePath Funds with target dates of 2020, 2030, 2040 and 2050 and the LifePath Retirement Fund (altogether, the “LifePath Funds”) invest in their respective LifePath Master Portfolio.

• Effective as of December 14, 2015, each LifePath Fund has the ability to adjust its equity allocation along the glide path, based on a strategic assessment of market conditions among other factors as described below. Effective as of December 14, 2015, each LifePath Fund’s principal investment strategy was amended to permit each LifePath Fund to invest directly, through each LifePath Fund’s corresponding LifePath Master Portfolio, in equity securities and related derivatives of issuers that are primarily engaged in or related to the real estate industry.

• For the 12-month period ended December 31, 2015, the LifePath Funds underperformed the custom benchmark across various LifePath Fund target dates, with the exception of LifePath 2050 Class K Shares, which outperformed the custom benchmark. The returns for the LifePath Funds include fund expenses. The custom benchmarks have no expenses associated with performance.

What factors influenced performance?

• The underperformance of Active Stock Master Portfolio was the largest detractor from performance relative to the benchmark. The allocation to BlackRock Basic Value Fund, Inc. drove the largest proportion of the underperformance, which was due to poor stock selection in the consumer discretionary, financials and utilities sectors, that overshadowed strong results in health care and consumer staples, as well as positive sector allocation.

• In replicating the asset classes within the custom benchmark, there are some cases where benchmark mismatches occur, either due to the underlying security selection within the fund or to the vehicles/funds that are available to gain that asset class exposure. In 2015, given additional market volatility, there were mismatches relative to the Global Real Estate (REIT) benchmark and the Global International Equity benchmark, which resulted in positive contributions to relative performance, where the differences were more positive in the farther-dated funds than in the near-dated funds.

Describe recent portfolio activity.

• Each LifePath Fund has its own time horizon, which affects its acceptable level of risk and, the strategic allocation of its holdings across asset classes. On a quarterly basis, the strategic allocation of each LifePath Fund is systematically adjusted to reflect the shareholders’ remaining investment time horizon. During the period, the LifePath Funds were rebalanced in accordance with their updated strategic allocations, and daily cash flows were allocated to the underlying funds and instruments as appropriate. On December 14, 2015, the LifePath Funds moved from an index (passive) exposure to Global REITs to an actively managed World Real Estate Securities strategy. While the benchmark of the REIT exposure remains unchanged and is still the FTSE EPRA/NAREIT Developed Real Estate Index, the underlying strategy is being actively managed.

Describe portfolio positioning at period end.

• At period end, each of the LifePath Funds was invested according to its respective strategic allocation benchmark within tolerance limits.

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 BLACKROCK FUNDS III DECEMBER 31, 2015

BlackRock LifePath Funds

Glide Path Evolution

Under normal circumstances, the asset allocation of each LifePath Fund will change over time according to a glide path as each LifePath Fund approaches its respective target date. The glide path represents the shifting of asset classes over time, as well as potential adjustments. Each LifePath Fund’s asset mix becomes more conservative prior to retirement as time elapses. This reflects the need for reduced investment risks as retirement approaches and the need for lower volatility of each LifePath Fund, which may be a primary source of income after retirement. As each LifePath Fund approaches its target date, its asset allocation will shift so that each LifePath Fund invests a greater percentage of its assets in fixed income funds. The asset allocation targets are established by a committee of BlackRock investment professionals. The investment team, including the portfolio managers and this investment committee, meets regularly to assess market conditions, review the asset allocation targets of each LifePath Fund, and determine whether any changes are required to enable each LifePath Fund to achieve its investment objective.

Although the asset allocation targets listed for the glide path are general, long-term targets, BlackRock investment professionals may periodically adjust the proportion of equity funds, securities and related derivatives and fixed income funds in the LifePath Fund, based on a strategic assessment of market conditions, including expected market volatility and BlackRock’s view on the equity markets. The adjustments will be no more than +/- 5% at retirement, with a lesser allowable adjustment for LifePath Funds further from retirement.

BLACKROCK FUNDS III DECEMBER 31, 2015 5

BlackRock LifePath Retirement Fund

Investment Objective

The investment objective of BlackRock LifePath^® Retirement Fund (“LifePath Retirement Fund” or the “LifePath Fund”) is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, LifePath Retirement Fund will be broadly diversified across global asset classes.

Effective March 31, 2015, the LifePath^® Retirement Portfolio changed its name to the BlackRock LifePath^® Retirement Fund.

Total Return Based on a $10,000 Investment

¹  Assuming maximum sales charges, transaction costs and other operating expenses, including advisory fees, if any. Institutional Shares do not have a sales charge.

²  The LifePath Fund compares its performance to that of a customized weighted index (the “LifePath Retirement Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment advisor’s changes to the benchmark’s weightings over time. The investment advisor adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

LifePath Fund’s custom benchmark consists of the following:

Period	Barclays U.S. Aggregate Bond Index			Barclays U.S.  Treasury Inflation Protected Securities (TIPS) Index			Cohen & Steers Realty Majors Index			Bloomberg Commodity Index3			FTSE EPRA/NAREIT Developed Real Estate Index			MSCI ACWI ex USA IMI Index			MSCI EAFE Index			Russell 1000® Index			Russell 2000® Index			S&P MidCap 400® Index			S&P 500® Index			S&P SmallCap 600® Index
1/01/06 to 12/31/06		52.0	%		10.2	%		2.7	%		N/A			N/A			N/A			9.9	%		N/A			N/A			3.3	%		20.2	%		1.7	%
1/01/07 to 12/31/07		52.6			9.6			2.8			N/A			N/A			2.7	%		7.7			N/A			N/A			3.6			19.2			1.8
1/01/08 to 12/31/08		53.0			9.0			1.3			N/A			1.3	%		11.4			N/A			N/A			N/A			4.1			18			1.9
1/01/09 to 12/31/09		52.9			9.1			N/A			N/A			1.6			10.8			N/A			N/A			N/A			4.7			18.7			2.2
1/01/10 to 12/31/10		52.9			9.1			N/A			N/A			1.1			10.8			N/A			N/A			N/A			5.0			18.9			2.2
1/01/11 to 12/31/11		52.9			9.1			N/A			N/A			0.8			11.3			N/A			8.6	%		1.7	%		2.8			11.6			1.2
1/01/12 to 12/31/12		52.9			9.1			N/A			1.0	%		0.3			11.3			N/A			21.2			4.2			N/A			N/A			N/A
1/01/13 to 12/31/13		52.9			9.1			N/A			3.7			0.1			10.1			N/A			19.7			4.4			N/A			N/A			N/A
1/01/14 to 12/31/14		52.6			9.0			N/A			3.8			0.2			10.2			N/A			19.9			4.3			N/A			N/A			N/A
1/01/15 to 12/31/15		51.2			8.8			N/A			3.8			0.5			11.0			N/A			21.0			3.8			N/A			N/A			N/A

³  Prior to July 1, 2014, the Bloomberg Commodity Index was known as the Dow Jones-UBS Commodity Index.

See “About Fund Performance” on page 16 for descriptions of the indexes.

6 BLACKROCK FUNDS III DECEMBER 31, 2015

BlackRock LifePath Retirement Fund

Performance Summary for the Period Ended December 31, 2015

				Average Annual Total Returns
				1 Year						5 Years						10 Years
	6-Month Total Returns			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge
Institutional		(2.34	)%		(1.52	)%		N/A			4.36	%		N/A			4.45	%		N/A
Investor A		(2.50	)		(1.78	)		(6.94	)%		4.10			2.98	%		4.19			3.63	%
Investor C		(2.96	)		(2.56	)		(3.49	)		3.28			3.28			3.43			3.43
Class K		(2.29	)		(1.28	)		N/A			4.70			N/A			4.76			N/A
Class R		(2.69	)		(2.10	)		N/A			3.81			N/A			3.92			N/A
LifePath Retirement Fund Custom Benchmark		(2.16	)		(1.14	)		N/A			4.69			N/A			5.01			N/A
Barclays U.S. Aggregate Bond Index		0.65			0.55			N/A			3.25			N/A			4.51			N/A
Barclays U.S. TIPS Index		(1.78	)		(1.44	)		N/A			2.55			N/A			3.93			N/A
Bloomberg Commodity Index		(23.46	)		(24.66	)		N/A			(13.47	)		N/A			(6.43	)		N/A
FTSE EPRA/NAREIT Developed Real Estate Index		2.49			(0.79	)		N/A			7.17			N/A			4.67			N/A
MSCI ACWI ex USA IMI Index		(8.78	)		(4.60	)		N/A			1.27			N/A			3.18			N/A
Russell 1000® Index		(0.78	)		0.92			N/A			12.44			N/A			7.40			N/A
Russell 2000® Index		(8.75	)		(4.41	)		N/A			9.19			N/A			6.80			N/A

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

Past performance is not indicative of future results.

Performance results do not include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles and may differ from amounts reported in the financial highlights.

BLACKROCK FUNDS III DECEMBER 31, 2015 7

BlackRock LifePath 2020 Fund

Investment Objective

The investment objective of BlackRock LifePath^® 2020 Fund (“LifePath 2020 Fund” or the “LifePath Fund”) is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, LifePath 2020 Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time.

Effective March 31, 2015, the LifePath^® 2020 Portfolio changed its name to the BlackRock LifePath^® 2020 Fund.

Total Return Based on a $10,000 Investment

¹  Assuming maximum sales charges, transaction costs and other operating expenses, including advisory fees, if any. Institutional Shares do not have a sales charge.

²  The LifePath Fund compares its performance to that of a customized weighted index (the “LifePath 2020 Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment advisor’s changes to the benchmark’s weightings over time. The investment advisor adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

LifePath Fund’s custom benchmark consists of the following:

Period	Barclays U.S. Aggregate Bond Index			Barclays U.S.  Treasury Inflation Protected Securities (TIPS) Index			Cohen & Steers Realty Majors Index			Bloomberg Commodity Index3			FTSE EPRA/NAREIT Developed Real Estate Index			MSCI ACWI ex USA IMI Index			MSCI EAFE Index			Russell 1000® Index			Russell 2000® Index			S&P MidCap 400® Index			S&P 500® Index			S&P SmallCap 600® Index
1/01/06 to 12/31/06		29.0	%		5.2	%		4.3	%		N/A			N/A			N/A			16.8	%		N/A			N/A			5.1	%		37.5	%		2.6	%
1/01/07 to 12/31/07		29.7			5.0			4.5			N/A			N/A			17.2	%		N/A			N/A			N/A			5.4			35.4			2.8
1/01/08 to 12/31/08		31.6			5.1			2.2			N/A			2.2	%		18.4			N/A			N/A			N/A			5.8			32.0			2.7
1/01/09 to 12/31/09		33.8			5.5			N/A			N/A			4.8			16.9			N/A			N/A			N/A			5.8			30.4			2.8
1/01/10 to 12/31/10		35.2			5.7			N/A			N/A			4.0			16.5			N/A			N/A			N/A			5.8			30.2			2.6
1/01/11 to 12/31/11		36.9			6.0			N/A			N/A			3.6			16.6			N/A			13.1	%		1.5	%		3.3			17.6			1.4
1/01/12 to 12/31/12		39.0			6.3			N/A			1.0	%		3.2			15.9			N/A			31.0			3.6			N/A			N/A			N/A
1/01/13 to 12/31/13		40.8			6.6			N/A			3.8			2.8			14.5			N/A			27.8			3.7			N/A			N/A			N/A
1/01/14 to 12/31/14		42.0			6.8			N/A			3.8			2.6			14.4			N/A			26.7			3.7			N/A			N/A			N/A
1/01/15 to 12/31/15		40.4			6.7			N/A			3.8			2.9			15.3			N/A			27.5			3.4			N/A			N/A			N/A

³  Prior to July 1, 2014, the Bloomberg Commodity Index was known as the Dow Jones-UBS Commodity Index.

See “About Fund Performance” on page 16 for descriptions of the indexes.

8 BLACKROCK FUNDS III DECEMBER 31, 2015

BlackRock LifePath 2020 Fund

Performance Summary for the Period Ended December 31, 2015

				Average Annual Total Returns
				1 Year						5 Years						10 Years
	6-Month Total Returns			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge
Institutional		(2.85	)%		(1.78	)%		N/A			4.97	%		N/A			4.21	%		N/A
Investor A		(3.01	)		(2.03	)		(7.17	)%		4.71			3.58	%		3.95			3.39	%
Investor C		(3.41	)		(2.77	)		(3.68	)		3.92			3.92			3.15			3.15
Class K		(2.73	)		(1.46	)		N/A			5.32			N/A			4.52			N/A
Class R		(3.08	)		(2.25	)		N/A			4.46			N/A			3.66			N/A
LifePath 2020 Fund Custom Benchmark		(2.55	)		(1.31	)		N/A			5.37			N/A			4.98			N/A
Barclays U.S. Aggregate Bond Index		0.65			0.55			N/A			3.25			N/A			4.51			N/A
Barclays U.S. TIPS Index		(1.78	)		(1.44	)		N/A			2.55			N/A			3.93			N/A
Bloomberg Commodity Index		(23.46	)		(24.66	)		N/A			(13.47	)		N/A			(6.43	)		N/A
FTSE EPRA/NAREIT Developed Real Estate Index		2.49			(0.79	)		N/A			7.17			N/A			4.67			N/A
MSCI ACWI ex USA IMI Index		(8.78	)		(4.60	)		N/A			1.27			N/A			3.18			N/A
Russell 1000® Index		(0.78	)		0.92			N/A			12.44			N/A			7.40			N/A
Russell 2000® Index		(8.75	)		(4.41	)		N/A			9.19			N/A			6.80			N/A

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

Past performance is not indicative of future results.

BLACKROCK FUNDS III DECEMBER 31, 2015 9

BlackRock LifePath 2030 Fund

Investment Objective

The investment objective of BlackRock LifePath^® 2030 Fund (“LifePath 2030 Fund” or the “LifePath Fund”) is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, LifePath 2030 Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time.

Effective March 31, 2015, the LifePath^® 2030 Portfolio changed its name to the BlackRock LifePath^® 2030 Fund.

Total Return Based on a $10,000 Investment

¹  Assuming maximum sales charges, transaction costs and other operating expenses, including advisory fees, if any. Institutional Shares do not have a sales charge.

²  The LifePath Fund compares its performance to that of a customized weighted index (the “LifePath 2030 Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment advisor’s changes to the benchmark’s weightings over time. The investment advisor adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

LifePath Fund’s custom benchmark consists of the following:

Period	Barclays U.S. Aggregate Bond Index			Barclays U.S.  Treasury Inflation Protected Securities (TIPS) Index			Cohen & Steers Realty Majors Index			Bloomberg Commodity Index3			FTSE EPRA/NAREIT Developed Real Estate Index			MSCI ACWI ex USA IMI Index			MSCI EAFE Index			Russell 1000® Index			Russell 2000® Index			S&P MidCap 400® Index			S&P 500® Index			S&P SmallCap 600® Index
1/01/06 to 12/31/06		16.7	%		2.7	%		5.1	%		N/A			N/A			N/A			20.3	%		N/A			N/A			6.0	%		46.2	%		3.0	%
1/01/07 to 12/31/07		17.4			2.6			5.4			N/A			N/A			20.9	%		N/A			N/A			N/A			6.4			44.1			3.2
1/01/08 to 12/31/08		19.0			2.8			5.5			N/A			N/A			22.4			N/A			N/A			N/A			6.9			40.2			3.2
1/01/09 to 12/31/09		21.0			3.1			N/A			N/A			7.0	%		21.0			N/A			N/A			N/A			6.6			38.2			3.1
1/01/10 to 12/31/10		22.0			3.2			N/A			N/A			6.3			20.7			N/A			N/A			N/A			6.4			38.6			2.8
1/01/11 to 12/31/11		23.5			3.4			N/A			N/A			6.0			20.9			N/A			17.0	%		1.3	%		3.7			22.6			1.6
1/01/12 to 12/31/12		25.8			3.8			N/A			1.0	%		6.0			20.2			N/A			40.2			3.0			N/A			N/A			N/A
1/01/13 to 12/31/13		27.6			4.0			N/A			3.9			5.7			19.3			N/A			36.6			2.9			N/A			N/A			N/A
1/01/14 to 12/31/14		27.5			4.0			N/A			3.9			6.1			19.8			N/A			35.8			2.9			N/A			N/A			N/A
1/01/15 to 12/31/15		21.8			3.4			N/A			3.9			7.7			22.2			N/A			38.5			2.5			N/A			N/A			N/A

³  Prior to July 1, 2014, the Bloomberg Commodity Index was known as the Dow Jones-UBS Commodity Index.

See “About Fund Performance” on page 16 for descriptions of the indexes.

10 BLACKROCK FUNDS III DECEMBER 31, 2015

BlackRock LifePath 2030 Fund

Performance Summary for the Period Ended December 31, 2015

				Average Annual Total Returns
				1 Year						5 Years						10 Years
	6-Month Total Returns			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge
Institutional		(3.52	)%		(2.05	)%		N/A			5.67	%		N/A			4.21	%		N/A
Investor A		(3.59	)		(2.25	)		(7.38	)%		5.41			4.28	%		3.95			3.39	%
Investor C		(4.01	)		(3.01	)		(3.90	)		4.62			4.62			3.11			3.11
Class K		(3.33	)		(1.66	)		N/A			6.05			N/A			4.54			N/A
Class R		(3.74	)		(2.50	)		N/A			5.14			N/A			3.62			N/A
LifePath 2030 Fund Custom Benchmark		(3.14	)		(1.61	)		N/A			6.10			N/A			5.11			N/A
Barclays U.S. Aggregate Bond Index		0.65			0.55			N/A			3.25			N/A			4.51			N/A
Barclays U.S. TIPS Index		(1.78	)		(1.44	)		N/A			2.55			N/A			3.93			N/A
Bloomberg Commodity Index		(23.46	)		(24.66	)		N/A			(13.47	)		N/A			(6.43	)		N/A
FTSE EPRA/NAREIT Developed Real Estate Index		2.49			(0.79	)		N/A			7.17			N/A			4.67			N/A
MSCI ACWI ex USA IMI Index		(8.78	)		(4.60	)		N/A			1.27			N/A			3.18			N/A
Russell 1000® Index		(0.78	)		0.92			N/A			12.44			N/A			7.40			N/A
Russell 2000® Index		(8.75	)		(4.41	)		N/A			9.19			N/A			6.80			N/A

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

Past performance is not indicative of future results.

BLACKROCK FUNDS III DECEMBER 31, 2015 11

BlackRock LifePath 2040 Fund

Investment Objective

The investment objective of BlackRock LifePath^® 2040 Fund (“LifePath 2040 Fund” or the “LifePath Fund”) is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, LifePath 2040 Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time.

Effective March 31, 2015, the LifePath^® 2040 Portfolio changed its name to the BlackRock LifePath^® 2040 Fund.

Total Return Based on a $10,000 Investment

¹  Assuming maximum sales charges, transaction costs and other operating expenses, including advisory fees, if any. Institutional Shares do not have a sales charge.

²  The LifePath Fund compares its performance to that of a customized weighted index (the “LifePath 2040 Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment advisor’s changes to the benchmark’s weightings over time. The investment advisor adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

LifePath Fund’s custom benchmark consists of the following:

Period	Barclays U.S. Aggregate Bond Index			Barclays U.S.  Treasury Inflation Protected Securities (TIPS) Index			Cohen & Steers Realty Majors Index			Bloomberg Commodity Index3			FTSE EPRA/NAREIT Developed Real Estate Index			MSCI ACWI ex USA IMI Index			MSCI EAFE Index			Russell 1000® Index			Russell 2000® Index			S&P MidCap 400® Index			S&P 500® Index			S&P SmallCap 600® Index
1/01/06 to 12/31/06		7.4	%		N/A			5.8	%		N/A			N/A			N/A			23.2	%		N/A			N/A			6.8	%		53.4	%		3.4	%
1/01/07 to 12/31/07		7.7			N/A			5.9			N/A			N/A			N/A			23.5			N/A			N/A			7.2			51.9			3.7
1/01/08 to 12/31/08		9.1			0.5	%		3.2			N/A			3.2	%		25.8	%		N/A			N/A			N/A			7.7			46.9			3.6
1/01/09 to 12/31/09		10.4			1.1			N/A			N/A			8.8			24.5			N/A			N/A			N/A			7.2			44.6			3.4
1/01/10 to 12/31/10		11.2			1.1			N/A			N/A			8.1			24.2			N/A			N/A			N/A			6.9			45.5			3.0
1/01/11 to 12/31/11		12.7			1.3			N/A			N/A			7.9			24.5			N/A			20.1	%		1.2	%		4.0			26.6			1.7
1/01/12 to 12/31/12		15.3			1.6			N/A			1.0	%		8.2			23.7			N/A			47.7			2.5			N/A			N/A			N/A
1/01/13 to 12/31/13		17.3			1.7			N/A			3.9			8.1			23.1			N/A			43.6			2.3			N/A			N/A			N/A
1/01/14 to 12/31/14		16.1			1.6			N/A			3.9			9.0			24.2			N/A			42.9			2.3			N/A			N/A			N/A
1/01/15 to 12/31/15		5.7			0.7			N/A			4.1			12.1			28.1			N/A			47.3			2.0			N/A			N/A			N/A

³  Prior to July 1, 2014, the Bloomberg Commodity Index was known as the Dow Jones-UBS Commodity Index.

See “About Fund Performance” on page 16 for descriptions of the indexes.

12 BLACKROCK FUNDS III DECEMBER 31, 2015

BlackRock LifePath 2040 Fund

Performance Summary for the Period Ended December 31, 2015

				Average Annual Total Returns
				1 Year						5 Years						10 Years
	6-Month Total Returns			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge
Institutional		(4.07	)%		(2.29	)%		N/A			6.18	%		N/A			4.15	%		N/A
Investor A		(4.19	)		(2.57	)		(7.69	)%		5.91			4.77	%		3.89			3.33	%
Investor C		(4.58	)		(3.28	)		(4.16	)		5.13			5.13			3.02			3.02
Class K		(3.90	)		(1.98	)		N/A			6.57			N/A			4.48			N/A
Class R		(4.28	)		(2.75	)		N/A			5.66			N/A			3.54			N/A
LifePath 2040 Fund Custom Benchmark		(3.71	)		(1.96	)		N/A			6.63			N/A			5.15			N/A
Barclays U.S. Aggregate Bond Index		0.65			0.55			N/A			3.25			N/A			4.51			N/A
Barclays U.S. TIPS Index		(1.78	)		(1.44	)		N/A			2.55			N/A			3.93			N/A
Bloomberg Commodity Index		(23.46	)		(24.66	)		N/A			(13.47	)		N/A			(6.43	)		N/A
FTSE EPRA/NAREIT Developed Real Estate Index		2.49			(0.79	)		N/A			7.17			N/A			4.67			N/A
MSCI ACWI ex USA IMI Index		(8.78	)		(4.60	)		N/A			1.27			N/A			3.18			N/A
Russell 1000® Index		(0.78	)		0.92			N/A			12.44			N/A			7.40			N/A
Russell 2000® Index		(8.75	)		(4.41	)		N/A			9.19			N/A			6.80			N/A

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

Past performance is not indicative of future results.

BLACKROCK FUNDS III DECEMBER 31, 2015 13

BlackRock LifePath 2050 Fund

Investment Objective

The investment objective of BlackRock LifePath^® 2050 Fund (“LifePath 2050 Fund” or the “LifePath Fund”) is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, LifePath 2050 Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time.

Effective March 31, 2015, the LifePath^® 2050 Portfolio changed its name to the BlackRock LifePath^® 2050 Fund.

Total Return Based on a $10,000 Investment

¹  Assuming maximum sales charges, transaction costs and other operating expenses, including advisory fees, if any. Institutional Shares do not have a sales charge.

²  The LifePath Fund compares its performance to that of a customized weighted index (the “LifePath 2050 Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment advisor’s changes to the benchmark’s weightings over time. The investment advisor adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

³  Commencement of operations.

LifePath Fund’s custom benchmark consists of the following:

Period	Barclays U.S. Aggregate Bond Index			Bloomberg Commodity Index4			FTSE EPRA/NAREIT Developed Real Estate Index			MSCI ACWI ex USA IMI Index			Russell 1000® Index			Russell 2000® Index			S&P MidCap 400® Index			S&P 500® Index			S&P SmallCap 600® Index
1/01/08 to 12/31/08		1.0	%		N/A			3.6	%		30.4	%		N/A			N/A			10.5	%		49.7	%		4.8	%
1/01/09 to 12/31/09		1.0			N/A			9.1			28.3			N/A			N/A			9.5			47.5			4.6
1/01/10 to 12/31/10		1.1			N/A			9.8			27.4			N/A			N/A			7.6			50.7			3.4
1/01/11 to 12/31/11		2.7			N/A			9.7			27.6			22.8	%		1.1	%		4.4			29.9			1.8
1/01/12 to 12/31/12		5.9			1.0	%		10.2			26.8			54.0			2.1			N/A			N/A			N/A
1/01/13 to 12/31/13		8.2			4.0			10.1			26.3			49.6			1.8			N/A			N/A			N/A
1/01/14 to 12/31/14		8.2			3.9			11.0			27.3			47.8			1.8			N/A			N/A			N/A
1/01/15 to 12/31/15		1.0			4.2			13.7			29.9			49.2			2.0			N/A			N/A			N/A

⁴  Prior to July 1, 2014, the Bloomberg Commodity Index was known as the Dow Jones-UBS Commodity Index.

See “About Fund Performance” on page 16 for descriptions of the indexes.

14 BLACKROCK FUNDS III DECEMBER 31, 2015

BlackRock LifePath 2050 Fund

Performance Summary for the Period Ended December 31, 2015

				Average Annual Total Returns
				1 Year						5 Years						Since Inception1
	6-Month Total Returns			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge
Institutional		(4.33	)%		(2.46	)%		N/A			6.65	%		N/A			4.42	%		N/A
Investor A		(4.40	)		(2.65	)		(7.76	)%		6.39			5.25	%		4.17			3.42	%
Investor C		(5.66	)		(3.41	)		(4.30	)		5.59			5.59			3.21			3.21
Class K		(4.14	)		(2.10	)		N/A			7.03			N/A			4.78			N/A
Class R		(4.51	)		(2.92	)		N/A			6.13			N/A			3.75			N/A
LifePath 2050 Fund Custom Benchmark		(3.91	)		(2.12	)		N/A			7.14			N/A			5.40			N/A
Barclays U.S. Aggregate Bond Index		0.65			0.55			N/A			3.25			N/A			4.37			N/A
Bloomberg Commodity Index		(23.46	)		(24.66	)		N/A			(13.47	)		N/A			(13.36	)		N/A
FTSE EPRA/NAREIT Developed Real Estate Index		2.49			(0.79	)		N/A			7.17			N/A			4.57			N/A
MSCI ACWI ex USA IMI Index		(8.78	)		(4.60	)		N/A			1.27			N/A			0.50			N/A
Russell 1000® Index		(0.78	)		0.92			N/A			12.44			N/A			8.80			N/A
Russell 2000® Index		(8.75	)		(4.41	)		N/A			9.19			N/A			8.38			N/A

¹  The LifePath Fund commenced operations on June 30, 2008.

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

Past performance is not indicative of future results.

BLACKROCK FUNDS III DECEMBER 31, 2015 15

About Fund Performance

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

• 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. Prior to May 3, 2010, Investor C Shares’ performance results are those of Institutional Shares restated to reflect Investor C Shares’ fees.

• 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. Prior to May 30, 2008 for LifePath Retirement, LifePath 2020, LifePath 2030 and LifePath 2040 Funds, Class K Shares’ performance results are those of Institutional Shares restated to reflect Class K Shares’ fees.

• 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. Prior to May 3, 2010, Class R Shares’ performance results are those of Institutional Shares restated to reflect Class R Shares’ fees.

Performance information reflects past performance and does not guarantee future results. Current performance may be lower or higher than the performance data quoted. Refer to www.blackrock.com/funds 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 LifePath Fund distributions or the redemption of LifePath Fund shares. Figures shown in the performance tables on the previous pages assume reinvestment of all distributions, if any, at net asset value (“NAV”) on the ex-dividend date. 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 administration and distribution fees applicable to each class, which are deducted from the income available to be paid to shareholders.

BlackRock Advisors, LLC (“BAL” or the “Administrator”), each LifePath Funds’ administrator, waived and/or reimbursed a portion of each LifePath Fund’s expenses. Without such waivers, each LifePath Fund’s performance would have been lower. The Administrator is under no obligation to continue waiving and/or reimbursing its fees after the applicable termination date of such agreement. See Note 4 of the Notes to Financial Statements for additional information on waivers and/or reimbursements.

The LifePath Funds’ custom benchmarks are hypothetical representations of the performance of the respective LifePath Fund’s asset classes according to their weightings as of the most recent quarter-end. The weightings of the various indexes that are included in the LifePath Funds’ custom benchmarks are adjusted quarterly to reflect the LifePath Funds’ changing asset allocations over time. As of December 31, 2015, the following indexes are used to calculate the LifePath Fund’s custom benchmarks: Barclays U.S. Aggregate Bond Index, Barclays U.S. TIPS Index, (Series L), Bloomberg Commodity Index, FTSE EPRA/NAREIT Developed Real Estate Index, MSCI ACWI ex USA IMI Index, Russell 1000^® Index and Russell 2000^® Index, as applicable.

The Barclays U.S. Aggregate Bond Index is 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. The Barclays U.S. TIPS Index (Series L) is an unmanaged index that measures the performance of the inflation-protected public obligations of the U.S. Treasury. The Bloomberg Commodity Index is a broadly diversified index that allows investors to track commodity futures through a single, simple measure. The FTSE EPRA/NAREIT Developed Real Estate Index is a global market capitalization weighted index composed of listed real estate securities from developed market countries in North America, Europe, and Asia. The MSCI ACWI ex USA IMI Index is a free float-adjusted market capitalization index designed to measure the combined equity market performance of developed and emerging market countries, excluding the United States. The Russell 1000^® Index is 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. The Russell 2000^® Index is an unmanaged index that is a subset of the Russell 3000^® Index representing approximately 10% of the total market capitalization of that index. It includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership.

16 BLACKROCK FUNDS III DECEMBER 31, 2015

Disclosure of Expenses

Shareholders of each LifePath 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, and other fund expenses. The expense examples shown below (which are based on a hypothetical investment of $1,000 invested on July 1, 2015 and held through December 31, 2015) are intended to assist shareholders both in calculating expenses based on an investment in a LifePath Fund and in comparing these expenses with similar costs of investing in other mutual funds.

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

The expense examples also provide information about hypothetical account values and hypothetical expenses based on each LifePath 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 a LifePath Fund and other funds, compare the 5% hypothetical examples with the 5% hypothetical examples that appear in other funds’ shareholder reports.

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

Expense Examples

	Actual						Hypothetical2
	Beginning Account Value July 1, 2015		Ending Account Value December 31, 2015		Expenses Paid During the Period1		Beginning Account Value July 1, 2015		Ending Account Value December 31, 2015		Expenses Paid During the Period1		Annualized Expense Ratio
LifePath Retirement Fund
Institutional	$	1,000.00	$	976.60	$	3.49	$	1,000.00	$	1,021.98	$	3.57		0.70	%
Investor A	$	1,000.00	$	975.00	$	4.73	$	1,000.00	$	1,020.72	$	4.84		0.95	%
Investor C	$	1,000.00	$	970.40	$	8.49	$	1,000.00	$	1,016.84	$	8.69		1.71	%
Class K	$	1,000.00	$	977.10	$	2.09	$	1,000.00	$	1,023.09	$	2.14		0.42	%
Class R	$	1,000.00	$	973.10	$	5.87	$	1,000.00	$	1,019.51	$	6.01		1.18	%
LifePath 2020 Fund
Institutional	$	1,000.00	$	971.50	$	3.53	$	1,000.00	$	1,021.63	$	3.62		0.71	%
Investor A	$	1,000.00	$	969.90	$	4.82	$	1,000.00	$	1,020.32	$	4.94		0.97	%
Investor C	$	1,000.00	$	965.90	$	8.57	$	1,000.00	$	1,016.48	$	8.79		1.73	%
Class K	$	1,000.00	$	972.70	$	2.04	$	1,000.00	$	1,023.14	$	2.09		0.41	%
Class R	$	1,000.00	$	969.20	$	6.01	$	1,000.00	$	1,019.11	$	6.16		1.21	%
LifePath 2030 Fund
Institutional	$	1,000.00	$	964.80	$	3.42	$	1,000.00	$	1,021.73	$	3.52		0.69	%
Investor A	$	1,000.00	$	964.10	$	4.65	$	1,000.00	$	1,020.47	$	4.79		0.94	%
Investor C	$	1,000.00	$	959.90	$	8.40	$	1,000.00	$	1,016.64	$	8.64		1.70	%
Class K	$	1,000.00	$	966.70	$	1.88	$	1,000.00	$	1,023.29	$	1.94		0.38	%
Class R	$	1,000.00	$	962.60	$	5.84	$	1,000.00	$	1,019.26	$	6.01		1.18	%
LifePath 2040 Fund
Institutional	$	1,000.00	$	959.30	$	3.26	$	1,000.00	$	1,021.88	$	3.36		0.66	%
Investor A	$	1,000.00	$	958.10	$	4.54	$	1,000.00	$	1,020.57	$	4.69		0.92	%
Investor C	$	1,000.00	$	954.20	$	8.28	$	1,000.00	$	1,016.74	$	8.54		1.68	%
Class K	$	1,000.00	$	961.00	$	1.78	$	1,000.00	$	1,023.39	$	1.84		0.36	%
Class R	$	1,000.00	$	957.20	$	5.72	$	1,000.00	$	1,019.36	$	5.90		1.16	%
LifePath 2050 Fund
Institutional	$	1,000.00	$	956.70	$	3.11	$	1,000.00	$	1,022.03	$	3.21		0.63	%
Investor A	$	1,000.00	$	956.00	$	4.49	$	1,000.00	$	1,020.62	$	4.63		0.91	%
Investor C	$	1,000.00	$	943.40	$	8.18	$	1,000.00	$	1,016.79	$	8.49		1.67	%
Class K	$	1,000.00	$	958.60	$	1.68	$	1,000.00	$	1,023.49	$	1.73		0.34	%
Class R	$	1,000.00	$	954.90	$	5.67	$	1,000.00	$	1,019.41	$	5.85		1.15	%

¹  For each class of the LifePath Fund, expenses are equal to the annualized net expense ratio for the class, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). Because each LifePath Fund invests all of its assets in a LifePath Master Portfolio, the expense examples reflect the net expenses of both the LifePath Fund and the LifePath Master Portfolio in which it invests.

²  Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365.

BLACKROCK FUNDS III DECEMBER 31, 2015 17

Derivative Financial Instruments

The LifePath Master Portfolios may invest in various derivative financial instruments. Derivative financial instruments are used to obtain exposure to a security, index and/or market without owning or taking physical custody of securities 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. Derivative financial instruments also 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 derivative financial instrument. The LifePath Master Portfolios’ ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a LifePath Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The LifePath Master Portfolios’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.

18 BLACKROCK FUNDS III DECEMBER 31, 2015

Statements of Assets and Liabilities

December 31, 2015	BlackRock LifePath Retirement Fund			BlackRock LifePath 2020 Fund			BlackRock LifePath 2030 Fund			BlackRock LifePath 2040 Fund			BlackRock LifePath 2050 Fund
Assets
Investments at value — from the applicable LifePath Master Portfolio1	$	254,157,504		$	580,794,718		$	543,837,045		$	425,945,889		$	114,893,763
Receivables:
Withdrawals from the LifePath Master Portfolio		1,864,523			2,133,300			2,698,718			1,990,400			2,151,233
Capital shares sold		40,623			639,669			573,087			403,165			280,436
Total assets		256,062,650			583,567,687			547,108,850			428,339,454			117,325,432
Liabilities
Payables:
Capital shares redeemed		1,905,146			2,772,969			3,271,805			2,393,565			2,431,669
Administration fees		74,889			174,979			164,531			127,756			32,564
Service and distribution fees		23,697			68,036			68,789			50,320			16,749
Professional fees		12,005			12,017			11,997			12,014			12,004
Total liabilities		2,015,737			3,028,001			3,517,122			2,583,655			2,492,986
Net Assets	$	254,046,913		$	580,539,686		$	543,591,728		$	425,755,799		$	114,832,446
Net Assets Consist of
Paid-in capital	$	233,761,436		$	540,692,355		$	537,303,089		$	383,547,386		$	113,292,448
Distributions in excess of net investment income		(2,100,390	)		(3,946,086	)		(2,400,446	)		(1,128,714	)		(143,774	)
Accumulated net realized gain (loss) allocated from the LifePath Master Portfolio		(6,053,617	)		(22,073,134	)		(22,711,532	)		(13,732,427	)		(2,495,855	)
Net unrealized appreciation (depreciation) allocated from the LifePath Master Portfolio		28,439,484			65,866,551			31,400,617			57,069,554			4,179,627
Net Assets	$	254,046,913		$	580,539,686		$	543,591,728		$	425,755,799		$	114,832,446
Net Asset Value
Institutional:
Net assets	$	141,033,970		$	259,410,915		$	222,490,958		$	186,356,969		$	40,444,090
Shares outstanding2		13,654,063			18,260,940			16,854,124			11,473,360			2,307,549
Net asset value	$	10.33		$	14.21		$	13.20		$	16.24		$	17.53
Investor A:
Net assets	$	102,206,825		$	297,027,431		$	298,579,221		$	221,048,022		$	70,473,438
Shares outstanding2		11,043,596			22,537,866			23,365,214			14,635,487			4,029,795
Net asset value	$	9.25		$	13.18		$	12.78		$	15.10		$	17.49
Investor C:
Net assets	$	1,572,775		$	2,232,882		$	3,173,105		$	2,491,830		$	717,339
Shares outstanding2		153,839			158,886			243,910			155,252			41,355
Net asset value	$	10.22		$	14.05		$	13.01		$	16.05		$	17.35
Class K:
Net assets	$	8,577,078		$	18,411,629		$	16,170,807		$	14,469,924		$	1,647,438
Shares outstanding2		832,748			1,300,079			1,226,198			886,648			93,720
Net asset value	$	10.30		$	14.16		$	13.19		$	16.32		$	17.58
Class R:
Net assets	$	656,265		$	3,456,829		$	3,177,637		$	1,389,054		$	1,550,141
Shares outstanding2		63,943			244,541			242,734			86,013			88,844
Net asset value	$	10.26		$	14.14		$	13.09		$	16.15		$	17.45
1    Investments at cost — from the applicable LifePath Master Portfolio	$	225,718,020		$	514,928,167		$	512,436,428		$	368,876,335		$	110,714,136
2    No par value, unlimited number of shares authorized.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	19

Statements of Operations

Year Ended December 31, 2015	BlackRock LifePath Retirement Fund			BlackRock LifePath 2020 Fund			BlackRock LifePath 2030 Fund			BlackRock LifePath 2040 Fund			BlackRock LifePath 2050 Fund
Investment Income
Net investment income allocated from the applicable LifePath Master Portfolio:
Interest — affiliated	$	4,480,683		$	8,218,647		$	4,467,826		$	1,187,479		$	101,189
Dividends — affiliated		2,532,768			7,758,198			10,587,257			11,345,133			3,413,733
Dividends — unaffiliated		5,161			82,905			224,830			278,845			86,597
Securities lending — affiliated — net		13,116			32,778			49,264			45,796			15,321
Income — affiliated		3,592			6,279			6,917			5,283			1,610
Expenses		(1,820,235	)		(4,208,113	)		(4,000,927	)		(3,320,670	)		(956,007	)
Fees waived		1,005,719			2,454,200			2,538,423			2,262,315			680,829
Foreign taxes withheld		(651	)		(10,579	)		(28,744	)		(35,811	)		(10,600	)
Total income		6,220,153			14,334,315			13,844,846			11,768,370			3,332,672
Fund Expenses
Administration — Institutional		925,936			1,828,346			1,674,066			1,581,439			436,170
Administration — Investor A		606,056			1,652,304			1,631,038			1,224,817			360,797
Administration — Investor C		7,530			13,776			16,802			12,477			3,565
Administration — Class K		8,912			22,780			21,343			16,203			2,184
Administration — Class R		3,637			14,882			13,183			6,180			6,109
Service — Investor A		309,489			845,604			835,463			627,058			185,386
Service and distribution — Investor C		15,357			27,973			34,183			25,401			7,280
Service and distribution — Class R		3,742			15,459			13,721			6,403			6,385
Professional		19,777			19,868			19,839			19,839			19,746
Miscellaneous		325			325			325			325			325
Total expenses		1,900,761			4,441,317			4,259,963			3,520,142			1,027,947
Less fees waived by the administrator		(164,451	)		(19,868	)		(19,839	)		(19,839	)		(19,746	)
Total expenses after fees waived		1,736,310			4,421,449			4,240,124			3,500,303			1,008,201
Net investment income		4,483,843			9,912,866			9,604,722			8,268,067			2,324,471
Realized and Unrealized Gain (Loss) Allocated from the LifePath Master Portfolio
Net realized gain from investments, financial futures contracts, swaps, foreign currency transactions and in-kind redemptions1		6,260,131			37,234,799			42,635,544			39,968,484			5,287,562
Net change in unrealized appreciation (depreciation) on investments, financial futures contracts, swaps and foreign currency translations		(14,207,577	)		(55,072,147	)		(60,423,454	)		(53,419,747	)		(9,113,775	)
Net realized and unrealized loss		(7,947,446	)		(17,837,348	)		(17,787,910	)		(13,451,263	)		(3,826,213	)
Net Decrease in Net Assets Resulting from Operations	$	(3,463,603	)	$	(7,924,482	)	$	(8,183,188	)	$	(5,183,196	)	$	(1,501,742	)
1    See Note 2 of the Notes to Financial Statements.

See Notes to Financial Statements.
20	BLACKROCK FUNDS III	DECEMBER 31, 2015

Statements of Changes in Net Assets

	BlackRock LifePath Retirement Fund						BlackRock LifePath 2020 Fund
	Year Ended December 31,						Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014			2015			2014
Operations
Net investment income	$	4,483,843		$	6,420,547		$	9,912,866		$	14,100,507
Net realized gain		6,260,131			30,328,592			37,234,799			82,240,605
Net change in unrealized appreciation (depreciation)		(14,207,577	)		(15,887,725	)		(55,072,147	)		(48,739,044	)
Net increase (decrease) in net assets resulting from operations		(3,463,603	)		20,861,414			(7,924,482	)		47,602,068
Distributions to Shareholders1
From net investment income:
Institutional		(3,127,076	)		(4,404,816	)		(5,744,451	)		(8,895,767	)
Investor A		(2,150,315	)		(2,300,181	)		(5,423,081	)		(5,462,819	)
Investor C		(14,652	)		(8,193	)		(20,432	)		(17,875	)
Class K		(162,220	)		(75,012	)		(374,112	)		(191,706	)
Class R		(9,953	)		(16,034	)		(43,593	)		(36,574	)
From net realized gain:
Institutional		(5,334,035	)		(20,795,931	)		(16,437,737	)		(51,643,775	)
Investor A		(4,072,705	)		(13,315,477	)		(19,138,626	)		(38,760,115	)
Investor C		(53,135	)		(110,551	)		(151,851	)		(293,404	)
Class K		(286,046	)		(275,163	)		(1,094,350	)		(973,553	)
Class R		(24,096	)		(89,990	)		(192,139	)		(274,368	)
From return of capital:
Institutional		(229,822	)		—			(414,898	)		—
Investor A		(150,783	)		—			(376,514	)		—
Investor C		(1,865	)		—			(3,113	)		—
Class K		(7,227	)		—			(16,893	)		—
Class R		(912	)		—			(3,437	)		—
Decrease in net assets resulting from distributions to shareholders		(15,624,842	)		(41,391,348	)		(49,435,227	)		(106,549,956	)
Capital Share Transactions
Net decrease in net assets derived from capital shares transactions		(106,205,622	)		(104,392,035	)		(234,934,031	)		(168,709,426	)
Net Assets
Total decrease in net assets		(125,294,067	)		(124,921,969	)		(292,293,740	)		(227,657,314	)
Beginning of year		379,340,980			504,262,949			872,833,426			1,100,490,740
End of year	$	254,046,913		$	379,340,980		$	580,539,686		$	872,833,426
Distributions in excess of net investment income, end of year	$	(2,100,390	)	$	(1,120,017	)	$	(3,946,086	)	$	(2,253,283	)
1    Distributions for annual periods determined in accordance with federal income tax regulations.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	21

Statements of Changes in Net Assets

	BlackRock LifePath 2030 Fund						BlackRock LifePath 2040 Fund
	Year Ended December 31,						Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014			2015			2014
Operations
Net investment income	$	9,604,722		$	13,273,261		$	8,268,067		$	11,459,541
Net realized gain		42,635,544			89,981,059			39,968,484			84,054,967
Net change in unrealized appreciation (depreciation)		(60,423,454	)		(56,323,113	)		(53,419,747	)		(54,209,797	)
Net increase (decrease) in net assets resulting from operations		(8,183,188	)		46,931,207			(5,183,196	)		41,304,711
Distributions to Shareholders1
From net investment income:
Institutional		(5,245,965	)		(8,716,567	)		(4,627,517	)		(7,938,976	)
Investor A		(5,139,428	)		(5,155,801	)		(3,769,172	)		(3,937,683	)
Investor C		(28,327	)		(19,700	)		(18,841	)		(13,501	)
Class K		(347,476	)		(210,259	)		(276,680	)		(110,778	)
Class R		(37,723	)		(38,613	)		(16,799	)		(15,968	)
From net realized gain:
Institutional		(16,480,125	)		(55,632,148	)		(16,944,291	)		(55,495,147	)
Investor A		(21,374,712	)		(42,009,267	)		(19,564,019	)		(33,978,812	)
Investor C		(229,534	)		(348,719	)		(207,034	)		(269,943	)
Class K		(1,118,319	)		(1,143,468	)		(1,178,255	)		(629,230	)��
Class R		(206,273	)		(361,514	)		(112,003	)		(149,272	)
From return of capital:
Institutional		(153,051	)		—			—			—
Investor A		(149,932	)		—			—			—
Investor C		(1,533	)		—			—			—
Class K		(6,383	)		—			—			—
Class R		(1,230	)		—			—			—
Decrease in net assets resulting from distributions to shareholders		(50,520,011	)		(113,636,056	)		(46,714,611	)		(102,539,310	)
Capital Share Transactions
Net decrease in net assets derived from capital share transactions		(212,874,136	)		(163,153,810	)		(229,125,964	)		(119,373,132	)
Net Assets
Total decrease in net assets		(271,577,335	)		(229,858,659	)		(281,023,771	)		(180,607,731	)
Beginning of year		815,169,063			1,045,027,722			706,779,570			887,387,301
End of year	$	543,591,728		$	815,169,063		$	425,755,799		$	706,779,570
Distributions in excess of net investment income, end of year	$	(2,400,446	)	$	(1,206,249	)	$	(1,128,714	)	$	(687,772	)
1    Distributions for annual periods determined in accordance with federal income tax regulations.

See Notes to Financial Statements.
22	BLACKROCK FUNDS III	DECEMBER 31, 2015

Statements of Changes in Net Assets

	BlackRock LifePath 2050 Fund
	Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014
Operations
Net investment income	$	2,324,471		$	2,706,534
Net realized gain		5,287,562			18,096,514
Net change in unrealized appreciation (depreciation)		(9,113,775	)		(12,262,296	)
Net increase (decrease) in net assets resulting from operations		(1,501,742	)		8,540,752
Distributions to Shareholders1
From net investment income:
Institutional		(1,220,284	)		(1,788,582	)
Investor A		(1,059,368	)		(928,790	)
Investor C		(5,625	)		(3,293	)
Class K		(31,254	)		(22,890	)
Class R		(16,286	)		(16,004	)
From net realized gain:
Institutional		(3,318,877	)		(13,592,448	)
Investor A		(5,011,499	)		(8,614,787	)
Investor C		(50,455	)		(72,196	)
Class K		(110,679	)		(152,131	)
Class R		(103,788	)		(147,025	)
Decrease in net assets resulting from distributions to shareholders		(10,928,115	)		(25,338,146	)
Capital Share Transactions
Net decrease in net assets derived from capital share transactions		(54,874,122	)		(32,842,244	)
Net Assets
Total decrease in net assets		(67,303,979	)		(49,639,638	)
Beginning of year		182,136,425			231,776,063
End of year	$	114,832,446		$	182,136,425
Distributions in excess of net investment income, end of year	$	(143,774	)	$	(135,428	)
1    Distributions for annual periods determined in accordance with federal income tax regulations.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	23

Financial Highlights BlackRock LifePath Retirement Fund

	Institutional
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	11.07		$	11.72		$	11.80		$	11.39		$	11.55
Net investment income1		0.16			0.18			0.16			0.20			0.27
Net realized and unrealized gain (loss)		(0.33	)		0.38			0.57			0.77			0.18
Net increase (decrease) from investment operations		(0.17	)		0.56			0.73			0.97			0.45
Distributions:2
From net investment income		(0.20	)		(0.19	)		(0.16	)		(0.21	)		(0.26	)
From net realized gain		(0.36	)		(1.02	)		(0.65	)		(0.35	)		(0.35	)
From return of capital		(0.01	)		—			—			—			—
Total distributions		(0.57	)		(1.21	)		(0.81	)		(0.56	)		(0.61	)
Net asset value, end of year	$	10.33		$	11.07		$	11.72		$	11.80		$	11.39
Total Return3
Based on net asset value		(1.52)%			4.75%			6.25%			8.61%			3.96%
Ratios to Average Net Assets4,5,6
Total expenses		0.75%			0.75%			0.76%			0.78%			0.77%
Total expenses after fees waived and/or reimbursed		0.70%			0.75%			0.75%			0.78%			0.77%
Net investment income		1.48%			1.52%			1.34%			1.70%			2.27%
Supplemental Data
Net assets, end of year (000)	$	141,034		$	234,280		$	342,615		$	390,150		$	431,982
Portfolio turnover rate of the LifePath Master Portfolio		21%	7		14%	8		17%	8		4%	9		4%	9

¹  Based on average shares outstanding.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Where applicable, assumes the reinvestment of distributions.

⁴  Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁵  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.31%, 0.31%, 0.30%, 0.29% and 0.30% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁶  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.09%		0.10%		0.10%		0.08%		0.08%

⁷  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁸  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

⁹  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 13% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
24	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights (continued) BlackRock LifePath Retirement Fund

	Investor A
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	9.99		$	10.69		$	10.84		$	10.50		$	10.71
Net investment income1		0.12			0.14			0.12			0.16			0.22
Net realized and unrealized gain (loss)		(0.30	)		0.35			0.51			0.72			0.16
Net increase (decrease) from investment operations		(0.18	)		0.49			0.63			0.88			0.38
Distributions:2
From net investment income		(0.19	)		(0.17	)		(0.13	)		(0.19	)		(0.24	)
From net realized gain		(0.36	)		(1.02	)		(0.65	)		(0.35	)		(0.35	)
From return of capital		(0.01	)		—			—			—			—
Total distributions		(0.56	)		(1.19	)		(0.78	)		(0.54	)		(0.59	)
Net asset value, end of year	$	9.25		$	9.99		$	10.69		$	10.84		$	10.50
Total Return3
Based on net asset value		(1.89)%			4.56%			5.94%			8.46%			3.60%
Ratios to Average Net Assets4,5,6
Total expenses		1.00%		��	1.01%			1.01%			1.03%			1.02%
Total expenses after fees waived and/or reimbursed		0.95%			1.00%			1.00%			1.03%			1.02%
Net investment income		1.25%			1.27%			1.08%			1.47%			2.03%
Supplemental Data
Net assets, end of year (000)	$	102,207		$	139,853		$	155,402		$	189,898		$	183,967
Portfolio turnover rate of the LifePath Master Portfolio		21%	7		14%	8		17%	8		4%	9		4%	9

¹  Based on average shares outstanding.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁴  Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁵  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.31%, 0.33%, 0.30%, 0.29% and 0.30% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁶  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.09%		0.10%		0.10%		0.08%		0.08%

⁷  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁸  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

⁹  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 13% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	25

Financial Highlights (continued) BlackRock LifePath Retirement Fund

	Investor C
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	10.97		$	11.64		$	11.76		$	11.36		$	11.55
Net investment income1		0.06			0.07			0.04			0.08			0.17
Net realized and unrealized gain (loss)		(0.34	)		0.36			0.56			0.77			0.16
Net increase (decrease) from investment operations		(0.28	)		0.43			0.60			0.85			0.33
Distributions:2
From net investment income		(0.10	)		(0.08	)		(0.07	)		(0.10	)		(0.17	)
From net realized gain		(0.36	)		(1.02	)		(0.65	)		(0.35	)		(0.35	)
From return of capital		(0.01	)		—			—			—			—
Total distributions		(0.47	)		(1.10	)		(0.72	)		(0.45	)		(0.52	)
Net asset value, end of year	$	10.22		$	10.97		$	11.64		$	11.76		$	11.36
Total Return3
Based on net asset value		(2.56)%			3.70%			5.12%			7.55%			2.86%
Ratios to Average Net Assets4,5,6
Total expenses		1.76%			1.76%			1.77%			1.78%			1.78%
Total expenses after fees waived and/or reimbursed		1.70%			1.75%			1.76%			1.78%			1.78%
Net investment income		0.56%			0.56%			0.33%			0.70%			1.42%
Supplemental Data
Net assets, end of year (000)	$	1,573		$	1,295		$	511		$	135		$	55
Portfolio turnover rate of the LifePath Master Portfolio		21%	7		14%	8		17%	8		4%	9		4%	9

¹  Based on average shares outstanding.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁴  Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁵  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.31%, 0.33%, 0.30%, 0.29% and 0.30% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁶  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.09%		0.10%		0.10%		0.08%		0.08%

⁷  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁸  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

⁹  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 13% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
26	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights (continued) BlackRock LifePath Retirement Fund

	Class K
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	11.05		$	11.69		$	11.78		$	11.37		$	11.54
Net investment income1		0.21			0.22			0.20			0.25			0.32
Net realized and unrealized gain (loss)		(0.35	)		0.39			0.56			0.77			0.17
Net increase (decrease) from investment operations		(0.14	)		0.61			0.76			1.02			0.49
Distributions:2
From net investment income		(0.24	)		(0.23	)		(0.20	)		(0.26	)		(0.31	)
From net realized gain		(0.36	)		(1.02	)		(0.65	)		(0.35	)		(0.35	)
From return of capital		(0.01	)		—			—			—			—
Total distributions		(0.61	)		(1.25	)		(0.85	)		(0.61	)		(0.66	)
Net asset value, end of year	$	10.30		$	11.05		$	11.69		$	11.78		$	11.37
Total Return3
Based on net asset value		(1.28)%			5.24%			6.54%			9.03%			4.27%
Ratios to Average Net Assets4,5,6
Total expenses		0.42%			0.40%			0.40%			0.43%			0.44%
Total expenses after fees waived and/or reimbursed		0.42%			0.40%			0.40%			0.43%			0.43%
Net investment income		1.96%			1.86%			1.67%			2.07%			2.69%
Supplemental Data
Net assets, end of year (000)	$	8,577		$	3,019		$	3,675		$	7,378		$	4,309
Portfolio turnover rate of the LifePath Master Portfolio		21%	7		14%	8		17%	8		4%	9		4%	9

¹  Based on average shares outstanding.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Where applicable, assumes the reinvestment of distributions.

⁴  Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁵  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.30%, 0.33%, 0.30%, 0.30% and 0.29% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁶  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.09%		0.10%		0.10%		0.08%		0.08%

⁷  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁸  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

⁹  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 13% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	27

Financial Highlights (concluded) BlackRock LifePath Retirement Fund

	Class R
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	11.01		$	11.65		$	11.75		$	11.36		$	11.54
Net investment income1		0.10			0.12			0.10			0.17			0.21
Net realized and unrealized gain (loss)		(0.33	)		0.38			0.55			0.76			0.17
Net increase (decrease) from investment operations		(0.23	)		0.50			0.65			0.93			0.38
Distributions:2
From net investment income		(0.15	)		(0.12	)		(0.10	)		(0.19	)		(0.21	)
From net realized gain		(0.36	)		(1.02	)		(0.65	)		(0.35	)		(0.35	)
From return of capital		(0.01	)		—			—			—			—
Total distributions		(0.52	)		(1.14	)		(0.75	)		(0.54	)		(0.56	)
Net asset value, end of year	$	10.26		$	11.01		$	11.65		$	11.75		$	11.36
Total Return3
Based on net asset value		(2.10)%			4.25%			5.61%			8.26%			3.32%
Ratios to Average Net Assets4,5,6
Total expenses		1.25%			1.25%			1.26%			1.27%			1.28%
Total expenses after fees waived and/or reimbursed		1.19%			1.25%			1.25%			1.26%			1.27%
Net investment income		0.99%			0.98%			0.85%			1.38%			1.76%
Supplemental Data
Net assets, end of year (000)	$	656		$	895		$	2,060		$	2,609		$	41
Portfolio turnover rate of the LifePath Master Portfolio		21%	7		14%	8		17%	8		4%	9		4%	9

¹  Based on average shares outstanding.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Where applicable, assumes the reinvestment of distributions.

⁴  Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁵  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.31%, 0.31%, 0.30%, 0.32% and 0.29% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁶  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.09%		0.10%		0.10%		0.08%		0.08%

⁷  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁸  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

⁹  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 13% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
28	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights BlackRock LifePath 2020 Fund

	Institutional
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	15.65		$	16.75		$	16.42		$	15.22		$	15.92
Net investment income1		0.23			0.26			0.25			0.29			0.33
Net realized and unrealized gain (loss)		(0.49	)		0.58			1.32			1.38			(0.09	)
Net increase (decrease) from investment operations		(0.26	)		0.84			1.57			1.67			0.24
Distributions:2
From net investment income		(0.27	)		(0.26	)		(0.26	)		(0.29	)		(0.33	)
From net realized gain		(0.89	)		(1.68	)		(0.98	)		(0.18	)		(0.61	)
From return of capital		(0.02	)		—			—			—			—
Total distributions		(1.18	)		(1.94	)		(1.24	)		(0.47	)		(0.94	)
Net asset value, end of year	$	14.21		$	15.65		$	16.75		$	16.42		$	15.22
Total Return3
Based on net asset value		(1.78)%			5.06%			9.67%			10.99%			1.46%
Ratios to Average Net Assets4,5,6
Total expenses		0.73%			0.74%			0.73%			0.75%			0.75%
Total expenses after fees waived and/or reimbursed		0.73%			0.74%			0.73%			0.75%			0.74%
Net investment income		1.44%			1.50%			1.47%			1.77%			2.05%
Supplemental Data
Net assets, end of year (000)	$	259,411		$	490,447		$	698,251		$	688,545		$	752,092
Portfolio turnover rate of the LifePath Master Portfolio		18%	7		21%	8		19%	8		5%	9		5%	9

¹  Based on average shares outstanding.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Where applicable, assumes the reinvestment of distributions.

⁴  Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁵  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.34%, 0.34%, 0.32%, 0.32% and 0.32% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁶  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.11%		0.11%		0.12%		0.11%		0.11%

⁷  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁸  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

⁹  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 15% and 23% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	29

Financial Highlights (continued) BlackRock LifePath 2020 Fund

	Investor A
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	14.61		$	15.77		$	15.53		$	14.43		$	15.14
Net investment income1		0.18			0.20			0.19			0.24			0.28
Net realized and unrealized gain (loss)		(0.46	)		0.55			1.25			1.30			(0.09	)
Net increase (decrease) from investment operations		(0.28	)		0.75			1.44			1.54			0.19
Distributions:2
From net investment income		(0.24	)		(0.23	)		(0.22	)		(0.26	)		(0.29	)
From net realized gain		(0.89	)		(1.68	)		(0.98	)		(0.18	)		(0.61	)
From return of capital		(0.02	)		—			—			—			—
Total distributions		(1.15	)		(1.91	)		(1.20	)		(0.44	)		(0.90	)
Net asset value, end of year	$	13.18		$	14.61		$	15.77		$	15.53		$	14.43
Total Return3
Based on net asset value		(2.03)%			4.79%			9.39%			10.67%			1.26%
Ratios to Average Net Assets4,5,6
Total expenses		0.98%			0.99%			0.98%			1.00%			1.00%
Total expenses after fees waived and/or reimbursed		0.98%			0.98%			0.98%			1.00%			1.00%
Net investment income		1.24%			1.26%			1.21%			1.55%			1.82%
Supplemental Data
Net assets, end of year (000)	$	297,027		$	367,281		$	390,380		$	410,926		$	401,477
Portfolio turnover rate of the LifePath Master Portfolio		18%	7		21%	8		19%	8		5%	9		5%	9

¹  Based on average shares outstanding.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁴  Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁵  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.33%, 0.35%, 0.32%, 0.32% and 0.32% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁶  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.11%		0.11%		0.12%		0.11%		0.11%

⁷  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁸  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

⁹  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 15% and 23% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
30	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights (continued) BlackRock LifePath 2020 Fund

	Investor C
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	15.49		$	16.62		$	16.32		$	15.16		$	15.89
Net investment income1		0.08			0.09			0.09			0.14			0.17
Net realized and unrealized gain (loss)		(0.50	)		0.57			1.30			1.36			(0.09	)
Net increase (decrease) from investment operations		(0.42	)		0.66			1.39			1.50			0.08
Distributions:2
From net investment income		(0.11	)		(0.11	)		(0.11	)		(0.16	)		(0.20	)
From net realized gain		(0.89	)		(1.68	)		(0.98	)		(0.18	)		(0.61	)
From return of capital		(0.02	)		—			—			—			—
Total distributions		(1.02	)		(1.79	)		(1.09	)		(0.34	)		(0.81	)
Net asset value, end of year	$	14.05		$	15.49		$	16.62		$	16.32		$	15.16
Total Return3
Based on net asset value		(2.77)%			3.98%			8.58%			9.87%			0.47%
Ratios to Average Net Assets4,5,6
Total expenses		1.74%			1.74%			1.73%			1.75%			1.75%
Total expenses after fees waived and/or reimbursed		1.73%			1.73%			1.73%			1.75%			1.75%
Net investment income		0.49%			0.54%			0.51%			0.87%			1.05%
Supplemental Data
Net assets, end of year (000)	$	2,233		$	2,981		$	2,193		$	1,262		$	301
Portfolio turnover rate of the LifePath Master Portfolio		18%	7		21%	8		19%	8		5%	9		5%	9

¹  Based on average shares outstanding.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁴  Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁵  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.33%, 0.36%, 0.32%, 0.32% and 0.32% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁶  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.11%		0.11%		0.12%		0.11%		0.11%

⁷  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁸  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

⁹  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 15% and 23% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	31

Financial Highlights (continued) BlackRock LifePath 2020 Fund

	Class K
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	15.61		$	16.73		$	16.39		$	15.20		$	15.91
Net investment income1		0.30			0.32			0.30			0.35			0.40
Net realized and unrealized gain (loss)		(0.51	)		0.57			1.33			1.37			(0.12	)
Net increase (decrease) from investment operations		(0.21	)		0.89			1.63			1.72			0.28
Distributions:2
From net investment income		(0.33	)		(0.33	)		(0.31	)		(0.35	)		(0.38	)
From net realized gain		(0.89	)		(1.68	)		(0.98	)		(0.18	)		(0.61	)
From return of capital		(0.02	)		—			—			—			—
Total distributions		(1.24	)		(2.01	)		(1.29	)		(0.53	)		(0.99	)
Net asset value, end of year	$	14.16		$	15.61		$	16.73		$	16.39		$	15.20
Total Return3
Based on net asset value		(1.46)%			5.35%			10.11%			11.36%			1.78%
Ratios to Average Net Assets4,5,6
Total expenses		0.40%			0.39%			0.38%			0.40%			0.40%
Total expenses after fees waived and/or reimbursed		0.40%			0.38%			0.37%			0.40%			0.40%
Net investment income		1.96%			1.90%			1.77%			2.18%			2.47%
Supplemental Data
Net assets, end of year (000)	$	18,412		$	9,545		$	6,500		$	11,609		$	6,224
Portfolio turnover rate of the LifePath Master Portfolio		18%	7		21%	8		19%	8		5%	9		5%	9

¹  Based on average shares outstanding.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Where applicable, assumes the reinvestment of distributions.

⁴  Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁵  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.33%, 0.36%, 0.32%, 0.32% and 0.32% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁶  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.11%		0.11%		0.12%		0.11%		0.11%

⁷  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series .

⁸  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

⁹  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 15% and 23% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
32	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights (concluded) BlackRock LifePath 2020 Fund

	Class R
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	15.59		$	16.70		$	16.36		$	15.20		$	15.88
Net investment income1		0.16			0.17			0.16			0.25			0.24
Net realized and unrealized gain (loss)		(0.50	)		0.58			1.33			1.32			(0.07	)
Net increase (decrease) from investment operations		(0.34	)		0.75			1.49			1.57			0.17
Distributions:2
From net investment income		(0.20	)		(0.18	)		(0.17	)		(0.23	)		(0.24	)
From net realized gain		(0.89	)		(1.68	)		(0.98	)		(0.18	)		(0.61	)
From return of capital		(0.02	)		—			—			—			—
Total distributions		(1.11	)		(1.86	)		(1.15	)		(0.41	)		(0.85	)
Net asset value, end of year	$	14.14		$	15.59		$	16.70		$	16.36		$	15.20
Total Return3
Based on net asset value		(2.25)%			4.49%			9.20%			10.36%			1.06%
Ratios to Average Net Assets4,5,6
Total expenses		1.23%			1.24%			1.23%			1.25%			1.25%
Total expenses after fees waived and/or reimbursed		1.23%			1.23%			1.23%			1.25%			1.25%
Net investment income		1.04%			1.01%			0.94%			1.53%			1.51%
Supplemental Data
Net assets, end of year (000)	$	3,457		$	2,580		$	3,167		$	2,862		$	161
Portfolio turnover rate of the LifePath Master Portfolio		18%	7		21%	8		19%	8		5%	9		5%	9

¹  Based on average shares outstanding.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Where applicable, assumes the reinvestment of distributions.

⁴  Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁵  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.33%, 0.35%, 0.32%, 0.33% and 0.32% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁶  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.11%		0.11%		0.12%		0.11%		0.11%

⁷  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁸  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

⁹  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 15% and 23% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	33

Financial Highlights BlackRock LifePath 2030 Fund

	Institutional
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	14.71		$	16.01		$	15.25		$	14.11		$	14.63
Net investment income1		0.22			0.24			0.26			0.28			0.28
Net realized and unrealized gain (loss)		(0.51	)		0.61			1.80			1.56			(0.37	)
Net increase (decrease) from investment operations		(0.29	)		0.85			2.06			1.84			(0.09	)
Distributions:2
From net investment income		(0.25	)		(0.26	)		(0.26	)		(0.28	)		(0.27	)
From net realized gain		(0.96	)		(1.89	)		(1.04	)		(0.42	)		(0.16	)
From return of capital		(0.01	)		—			—			—			—
Total distributions		(1.22	)		(2.15	)		(1.30	)		(0.70	)		(0.43	)
Net asset value, end of year	$	13.20		$	14.71		$	16.01		$	15.25		$	14.11
Total Return3
Based on net asset value		(2.05)%			5.32%			13.66%			13.09%			(0.63)%
Ratios to Average Net Assets4,5,6
Total expenses		0.70%			0.71%			0.70%			0.73%			0.73%
Total expenses after fees waived and/or reimbursed		0.70%			0.71%			0.70%			0.73%			0.72%
Net investment income		1.46%			1.50%			1.62%			1.84%			1.88%
Supplemental Data
Net assets, end of year (000)	$	222,491		$	449,354		$	674,558		$	630,131		$	642,867
Portfolio turnover rate of the LifePath Master Portfolio		21%	7		33%	8		22%	8		5%	9		7%	9

¹  Based on average shares outstanding.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Where applicable, assumes the reinvestment of distributions.

⁴  Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁵  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.37%, 0.37%, 0.33%, 0.34% and 0.34% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁶  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.14%		0.14%		0.15%		0.13%		0.13%

⁷  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁸  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

⁹  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 16% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
34	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights (continued) BlackRock LifePath 2030 Fund

		Investor A
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	14.28		$	15.62		$	14.90		$	13.81		$	14.33
Net investment income1		0.18			0.20			0.21			0.24			0.24
Net realized and unrealized gain (loss)		(0.49	)		0.58			1.77			1.52			(0.36	)
Net increase (decrease) from investment operations		(0.31	)		0.78			1.98			1.76			(0.12	)
Distributions:2
From net investment income		(0.22	)		(0.23	)		(0.22	)		(0.25	)		(0.24	)
From net realized gain		(0.96	)		(1.89	)		(1.04	)		(0.42	)		(0.16	)
From return of capital		(0.01	)		—			—			—			—
Total distributions		(1.19	)		(2.12	)		(1.26	)		(0.67	)		(0.40	)
Net asset value, end of year	$	12.78		$	14.28		$	15.62		$	14.90		$	13.81
Total Return3
Based on net asset value		(2.25)%			4.98%			13.44%			12.75%			(0.87)%
Ratios to Average Net Assets4,5,6
Total expenses		0.95%			0.96%			0.95%			0.98%			0.98%
Total expenses after fees waived and/or reimbursed		0.95%			0.96%			0.95%			0.98%			0.97%
Net investment income		1.28%			1.28%			1.36%			1.62%			1.65%
Supplemental Data
Net assets, end of year (000)	$	298,579		$	350,201		$	356,117		$	343,885		$	339,249
Portfolio turnover rate of the LifePath Master Portfolio		21%	7		33%	8		22%	8		5%	9		7%	9

¹  Based on average shares outstanding.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁴  Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁵  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.36%, 0.37%, 0.33%, 0.34% and 0.34% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁶  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.14%		0.14%		0.15%		0.13%		0.13%

⁷  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁸  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

⁹  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 16% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	35

Financial Highlights (continued) BlackRock LifePath 2030 Fund

		Investor C
		Year Ended December 31,
		2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year		$	14.52		$	15.85		$	15.13		$	14.05		$	14.62
Net investment income1			0.08			0.09			0.13			0.16			0.14
Net realized and unrealized gain (loss)			(0.51	)		0.58			1.76			1.51			(0.38	)
Net increase (decrease) from investment operations			(0.43	)		0.67			1.89			1.67			(0.24	)
Distributions:2
From net investment income			(0.11	)		(0.11	)		(0.13	)		(0.17	)		(0.17	)
From net realized gain			(0.96	)		(1.89	)		(1.04	)		(0.42	)		(0.16	)
From return of capital			(0.01	)		—			—			—			—
Total distributions			(1.08	)		(2.00	)		(1.17	)		(0.59	)		(0.33	)
Net asset value, end of year		$	13.01		$	14.52		$	15.85		$	15.13		$	14.05
Total Return3
Based on net asset value			(3.01)%			4.23%			12.59%			11.92%			(1.63)%
Ratios to Average Net Assets4,5,6
Total expenses			1.71%			1.71%			1.71%			1.72%			1.74%
Total expenses after fees waived and/or reimbursed			1.71%			1.71%			1.71%			1.72%			1.74%
Net investment income			0.56%			0.55%			0.79%			1.05%			1.01%
Supplemental Data
Net assets, end of year (000)	��	$	3,173		$	3,053		$	2,531		$	1,010		$	154
Portfolio turnover rate of the LifePath Master Portfolio			21%	7		33%	8		22%	8		5%	9		7%	9

¹  Based on average shares outstanding.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁴  Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁵  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.36%, 0.38%, 0.34%, 0.35% and 0.34% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁶  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.14%		0.14%		0.15%		0.13%		0.13%

⁷  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁸  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

⁹  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 16% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
36	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights (continued) BlackRock LifePath 2030 Fund

	Class K
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	14.70		$	16.01		$	15.25		$	14.12		$	14.63
Net investment income1		0.29			0.31			0.31			0.34			0.35
Net realized and unrealized gain (loss)		(0.52	)		0.60			1.81			1.55			(0.37	)
Net increase (decrease) from investment operations		(0.23	)		0.91			2.12			1.89			(0.02	)
Distributions:2
From net investment income		(0.31	)		(0.33	)		(0.32	)		(0.34	)		(0.33	)
From net realized gain		(0.96	)		(1.89	)		(1.04	)		(0.42	)		(0.16	)
From return of capital		(0.01	)		—			—			—			—
Total distributions		(1.28	)		(2.22	)		(1.36	)		(0.76	)		(0.49	)
Net asset value, end of year	$	13.19		$	14.70		$	16.01		$	15.25		$	14.12
Total Return3
Based on net asset value		(1.66)%			5.66%			14.05%			13.43%			(0.20)%
Ratios to Average Net Assets4,5,6
Total expenses		0.37%			0.36%			0.35%			0.38%			0.38%
Total expenses after fees waived and/or reimbursed		0.37%			0.36%			0.35%			0.38%			0.38%
Net investment income		2.01%			1.89%			1.95%			2.26%			2.41%
Supplemental Data
Net assets, end of year (000)	$	16,171		$	9,518		$	8,666		$	11,077		$	6,448
Portfolio turnover rate of the LifePath Master Portfolio		21%	7		33%	8		22%	8		5%	9		7%	9

¹  Based on average shares outstanding.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Where applicable, assumes the reinvestment of distributions.

⁴  Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁵  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.36%, 0.36%, 0.34%, 0.35% and 0.34% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁶  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013			2012		2011
Investments in underlying funds		0.14%		0.14%		0.15%	��		0.13%		0.13%

⁷  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁸  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

⁹  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 16% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	37

Financial Highlights (concluded) BlackRock LifePath 2030 Fund

	Class R
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	14.60		$	15.92		$	15.17		$	14.08		$	14.60
Net investment income1		0.15			0.17			0.18			0.28			0.20
Net realized and unrealized gain (loss)		(0.50	)		0.59			1.80			1.47			(0.36	)
Net increase (decrease) from investment operations		(0.35	)		0.76			1.98			1.75			(0.16	)
Distributions:2
From net investment income		(0.19	)		(0.19	)		(0.19	)		(0.24	)		(0.20	)
From net realized gain		(0.96	)		(1.89	)		(1.04	)		(0.42	)		(0.16	)
From return of capital		(0.01	)		—			—			—			—
Total distributions		(1.16	)		(2.08	)		(1.23	)		(0.66	)		(0.36	)
Net asset value, end of year	$	13.09		$	14.60		$	15.92		$	15.17		$	14.08
Total Return3
Based on net asset value		(2.50)%			4.73%			13.14%			12.48%			(1.12)%
Ratios to Average Net Assets4,5,6
Total expenses		1.20%			1.21%			1.21%			1.22%			1.23%
Total expenses after fees waived and/or reimbursed		1.20%			1.21%			1.21%			1.22%			1.23%
Net investment income		1.07%			1.02%			1.15%			1.84%			1.41%
Supplemental Data
Net assets, end of year (000)	$	3,178		$	3,044		$	3,155		$	2,088		$	188
Portfolio turnover rate of the LifePath Master Portfolio		21%	7		33%	8		22%	8		5%	9		7%	9

¹  Based on average shares outstanding.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Where applicable, assumes the reinvestment of distributions.

⁴  Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁵  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.36%, 0.34%, 0.34%, 0.35% and 0.34% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁶  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.14%		0.14%		0.15%		0.13%		0.13%

⁷  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁸  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

⁹  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 16% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
38	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights BlackRock LifePath 2040 Fund

	Institutional
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	18.37		$	20.06		$	18.62		$	16.98		$	17.78
Net investment income1		0.27			0.31			0.35			0.35			0.31
Net realized and unrealized gain (loss)		(0.67	)		0.79			2.77			2.14			(0.73	)
Net increase (decrease) from investment operations		(0.40	)		1.10			3.12			2.49			(0.42	)
Distributions:2
From net investment income		(0.30	)		(0.32	)		(0.34	)		(0.36	)		(0.30	)
From net realized gain		(1.43	)		(2.47	)		(1.34	)		(0.49	)		(0.08	)
Total distributions		(1.73	)		(2.79	)		(1.68	)		(0.85	)		(0.38	)
Net asset value, end of year	$	16.24		$	18.37		$	20.06		$	18.62		$	16.98
Total Return3
Based on net asset value		(2.29)%			5.48%			16.92%			14.73%			(2.38)%
Ratios to Average Net Assets4,5,6
Total expenses		0.67%			0.69%			0.69%			0.71%			0.71%
Total expenses after fees waived and/or reimbursed		0.67%			0.69%			0.68%			0.71%			0.70%
Net investment income		1.46%			1.51%			1.75%			1.91%			1.73%
Supplemental Data
Net assets, end of year (000)	$	186,357		$	434,049		$	615,699		$	536,902		$	528,655
Portfolio turnover rate of the LifePath Master Portfolio		19%	7		42%	8		26%	8		4%	9		8%	9

¹  Based on average shares outstanding.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Where applicable, assumes the reinvestment of distributions.

⁴  Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁵  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.39%, 0.39%, 0.35%, 0.36% and 0.35% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁶  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.17%		0.16%		0.17%		0.15%		0.15%

⁷  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁸  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

⁹  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 14% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	39

Financial Highlights (continued) BlackRock LifePath 2040 Fund

	Investor A
	Year Ended December 31,
	2015			2014			2013				2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	17.22		$	18.98		$	17.69			$	16.18		$	16.97
Net investment income1		0.23			0.25			0.28				0.30			0.25
Net realized and unrealized gain (loss)		(0.65	)		0.75			2.64				2.02			(0.70	)
Net increase (decrease) from investment operations		(0.42	)		1.00			2.92				2.32			(0.45	)
Distributions:2
From net investment income		(0.27	)		(0.29	)		(0.29	)			(0.32	)		(0.26	)
From net realized gain		(1.43	)		(2.47	)		(1.34	)			(0.49	)		(0.08	)
Total distributions		(1.70	)		(2.76	)		(1.63	)			(0.81	)		(0.34	)
Net asset value, end of year	$	15.10		$	17.22		$	18.98			$	17.69		$	16.18
Total Return3
Based on net asset value		(2.57)%			5.23%			16.70%				14.41%			(2.65)%
										��
Ratios to Average Net Assets4,5,6
Total expenses		0.93%			0.94%			0.94%				0.96%			0.96%
Total expenses after fees waived and/or reimbursed		0.92%			0.94%			0.93%				0.96%			0.95%
Net investment income		1.31%			1.30%			1.48%				1.69%			1.50%
Supplemental Data
Net assets, end of year (000)	$	221,048		$	264,312		$	262,573			$	247,317		$	233,427
Portfolio turnover rate of the LifePath Master Portfolio		19%	7		42%	8		26%	8			4%	9		8%	9

¹  Based on average shares outstanding.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁴  Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁵  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.38%, 0.40%, 0.35%, 0.36% and 0.35% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁶  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.17%		0.16%		0.17%		0.15%		0.15%

⁷  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁸  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

⁹  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 14% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
40	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights (continued) BlackRock LifePath 2040 Fund

	Investor C
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	18.19		$	19.89		$	18.49		$	16.92		$	17.77
Net investment income1		0.11			0.11			0.17			0.21			0.13
Net realized and unrealized gain (loss)		(0.69	)		0.79			2.73			2.08			(0.73	)
Net increase (decrease) from investment operations		(0.58	)		0.90			2.90			2.29			(0.60	)
Distributions:2
From net investment income		(0.13	)		(0.13	)		(0.16	)		(0.23	)		(0.17	)
From net realized gain		(1.43	)		(2.47	)		(1.34	)		(0.49	)		(0.08	)
Total distributions		(1.56	)		(2.60	)		(1.50	)		(0.72	)		(0.25	)
Net asset value, end of year	$	16.05		$	18.19		$	19.89		$	18.49		$	16.92
Total Return3
Based on net asset value		(3.28)%			4.49%			15.80%			13.59%			(3.39)%
Ratios to Average Net Assets4,5,6
Total expenses		1.68%			1.69%			1.69%			1.71%			1.72%
Total expenses after fees waived and/or reimbursed		1.68%			1.69%			1.69%			1.71%			1.71%
Net investment income		0.61%			0.55%			0.85%			1.12%			0.72%
Supplemental Data
Net assets, end of year (000)	$	2,492		$	2,277		$	1,944		$	1,185		$	98
Portfolio turnover rate of the LifePath Master Portfolio		19%	7		42%	8		26%	8		4%	9		8%	9

¹  Based on average shares outstanding.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁴  Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁵  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.38%, 0.41%, 0.35%, 0.36% and 0.35% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁶  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.17%		0.16%		0.17%		0.15%		0.15%

⁷  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁸  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

⁹  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 14% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	41

Financial Highlights (continued) BlackRock LifePath 2040 Fund

	Class K
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	18.47		$	20.16		$	18.69		$	17.05		$	17.84
Net investment income1		0.40			0.39			0.41			0.44			0.46
Net realized and unrealized gain (loss)		(0.75	)		0.79			2.81			2.12			(0.80	)
Net increase (decrease) from investment operations		(0.35	)		1.18			3.22			2.56			(0.34	)
Distributions:2
From net investment income		(0.37	)		(0.40	)		(0.41	)		(0.43	)		(0.37	)
From net realized gain		(1.43	)		(2.47	)		(1.34	)		(0.49	)		(0.08	)
Total distributions		(1.80	)		(2.87	)		(1.75	)		(0.92	)		(0.45	)
Net asset value, end of year	$	16.32		$	18.47		$	20.16		$	18.69		$	17.05
Total Return3
Based on net asset value		(1.98)%			5.85%			17.41%			15.08%			(1.95)%
Ratios to Average Net Assets4,5,6
Total expenses		0.36%			0.34%			0.33%			0.36%			0.37%
Total expenses after fees waived and/or reimbursed		0.35%			0.34%			0.33%			0.36%			0.36%
Net investment income		2.21%			1.90%			2.05%			2.36%	,		2.60%
Supplemental Data
Net assets, end of year (000)	$	14,470		$	4,980		$	5,733		$	8,038		$	4,749
Portfolio turnover rate of the LifePath Master Portfolio		19%	7		42%	8		26%	8		4%	9		8%	9

¹  Based on average shares outstanding.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Where applicable, assumes the reinvestment of distributions.

⁴  Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁵  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.38%, 0.40%, 0.35%, 0.36% and 0.35% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁶  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.17%		0.16%		0.17%		0.15%		0.15%

⁷  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁸  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

⁹  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 14% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
42	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights (concluded) BlackRock LifePath 2040 Fund

	Class R
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	18.29		$	19.98		$	18.54		$	16.93		$	17.74
Net investment income1		0.21			0.20			0.22			0.34			0.23
Net realized and unrealized gain (loss)		(0.69	)		0.80			2.78			2.05			(0.74	)
Net increase (decrease) from investment operations		(0.48	)		1.00			3.00			2.39			(0.51	)
Distributions:2
From net investment income		(0.23	)		(0.22	)		(0.22	)		(0.29	)		(0.22	)
From net realized gain		(1.43	)		(2.47	)		(1.34	)		(0.49	)		(0.08	)
Total distributions		(1.66	)		(2.69	)		(1.56	)		(0.78	)		(0.30	)
Net asset value, end of year	$	16.15		$	18.29		$	19.98		$	18.54		$	16.93
Total Return3
Based on net asset value		(2.75)%			4.96%			16.33%			14.19%			(2.88)%
Ratios to Average Net Assets4,5,6
Total expenses		1.17%			1.19%			1.19%			1.21%			1.22%
Total expenses after fees waived and/or reimbursed		1.17%			1.19%			1.18%			1.21%			1.22%
Net investment income		1.13%			1.01%			1.12%			1.83%			1.35%
Supplemental Data
Net assets, end of year (000)	$	1,389		$	1,162		$	1,438		$	1,917		$	460
Portfolio turnover rate of the LifePath Master Portfolio		19%	7		42%	8		26%	8		4%	9		8%	9

¹  Based on average shares outstanding.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Where applicable, assumes the reinvestment of distributions.

⁴  Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁵  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.38%, 0.39%, 0.35%, 0.37% and 0.35% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁶  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.17%		0.16%		0.17%		0.15%		0.15%

⁷  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁸  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

⁹  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 14% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	43

Financial Highlights BlackRock LifePath 2050 Fund

	Institutional
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	19.59		$	21.37		$	19.18		$	17.16		$	18.58
Net investment income1		0.28			0.33			0.41			0.37			0.31
Net realized and unrealized gain (loss)		(0.74	)		0.89			3.36			2.37			(0.99	)
Net increase (decrease) from investment operations		(0.46	)		1.22			3.77			2.74			(0.68	)
Distributions:2
From net investment income		(0.30	)		(0.34	)		(0.39	)		(0.37	)		(0.29	)
From net realized gain		(1.30	)		(2.66	)		(1.19	)		(0.35	)		(0.45	)
Total distributions		(1.60	)		(3.00	)		(1.58	)		(0.72	)		(0.74	)
Net asset value, end of year	$	17.53		$	19.59		$	21.37		$	19.18		$	17.16
Total Return3
Based on net asset value		(2.46)%			5.73%			19.82%			16.05%			(3.78)%
Ratios to Average Net Assets4,5,6
Total expenses		0.66%			0.68%			0.71%			0.72%			0.71%
Total expenses after fees waived and/or reimbursed		0.65%			0.67%			0.70%			0.71%			0.68%
Net investment income		1.42%			1.51%			1.97%			1.99%			1.69%
Supplemental Data
Net assets, end of year (000)	$	40,444		$	108,741		$	166,385		$	106,813		$	70,555
Portfolio turnover rate of the LifePath Master Portfolio		36%	7		48%	8		28%	8		5%	9		13%	9

¹  Based on average shares outstanding.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Where applicable, assumes the reinvestment of distributions.

⁴  Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁵  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.42%, 0.41%, 0.36%, 0.39% and 0.40% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁶  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.19%		0.17%		0.15%		0.15%		0.17%

⁷  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁸  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

⁹  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 15% and 19% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
44	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights (continued) BlackRock LifePath 2050 Fund

	Investor A
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	19.56		$	21.35		$	19.17		$	17.15		$	18.58
Net investment income1		0.27			0.28			0.35			0.33			0.26
Net realized and unrealized gain (loss)		(0.77	)		0.89			3.36			2.36			(0.99	)
Net increase (decrease) from investment operations		(0.50	)		1.17			3.71			2.69			(0.73	)
Distributions:2
From net investment income		(0.27	)		(0.30	)		(0.34	)		(0.32	)		(0.25	)
From net realized gain		(1.30	)		(2.66	)		(1.19	)		(0.35	)		(0.45	)
Total distributions		(1.57	)		(2.96	)		(1.53	)		(0.67	)		(0.70	)
Net asset value, end of year	$	17.49		$	19.56		$	21.35		$	19.17		$	17.15
Total Return3
Based on net asset value		(2.65)%			5.47%			19.48%			15.80%			(4.06)%
Ratios to Average Net Assets4,5,6
Total expenses		0.92%			0.93%			0.96%			0.97%			0.96%
Total expenses after fees waived and/or reimbursed		0.91%			0.92%			0.95%			0.96%			0.94%
Net investment income		1.38%			1.30%			1.67%			1.77%			1.44%
Supplemental Data
Net assets, end of year (000)	$	70,473		$	70,442		$	62,891		$	46,189		$	32,617
Portfolio turnover rate of the LifePath Master Portfolio		36%	7		48%	8		28%	8		5%	9		13%	9

¹  Based on average shares outstanding.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁴  Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁵  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.40%, 0.42%, 0.36%, 0.39% and 0.40% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁶  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.19%		0.17%		0.15%		0.15%		0.17%

⁷  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁸  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

⁹  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 15% and 19% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	45

Financial Highlights (continued) BlackRock LifePath 2050 Fund

	Investor C
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	19.43		$	21.23		$	19.10		$	17.10		$	18.57
Net investment income1		0.13			0.12			0.24			0.17			0.12
Net realized and unrealized gain (loss)		(0.77	)		0.87			3.30			2.37			(0.99	)
Net increase (decrease) from investment operations		(0.64	)		0.99			3.54			2.54			(0.87	)
Distributions:2
From net investment income		(0.14	)		(0.13	)		(0.22	)		(0.19	)		(0.15	)
From net realized gain		(1.30	)		(2.66	)		(1.19	)		(0.35	)		(0.45	)
Total distributions		(1.44	)		(2.79	)		(1.41	)		(0.54	)		(0.60	)
Net asset value, end of year	$	17.35		$	19.43		$	21.23		$	19.10		$	17.10
Total Return3
Based on net asset value		(3.41)%			4.67%			18.60%			14.93%			(4.76)%
Ratios to Average Net Assets4,5,6
Total expenses		1.68%			1.69%			1.72%			1.72%			1.71%
Total expenses after fees waived and/or reimbursed		1.67%			1.68%			1.71%			1.70%			1.69%
Net investment income		0.66%			0.55%			1.14%			0.91%			0.63%
Supplemental Data
Net assets, end of year (000)	$	717		$	605		$	553		$	118		$	39
Portfolio turnover rate of the LifePath Master Portfolio		36%	7		48%	8		28%	8		5%	9		13%	9

¹  Based on average shares outstanding.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁴  Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁵  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.40%, 0.42%, 0.36%, 0.39% and 0.40% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁶  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.19%		0.17%		0.15%		0.15%		0.17%

⁷  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁸  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

⁹  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 15% and 19% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
46	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights (continued) BlackRock LifePath 2050 Fund

	Class K
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	19.66		$	21.44		$	19.24		$	17.20		$	18.63
Net investment income1		0.39			0.42			0.46			0.45			0.47
Net realized and unrealized gain (loss)		(0.78	)		0.89			3.39			2.37			(1.10	)
Net increase (decrease) from investment operations		(0.39	)		1.31			3.85			2.82			(0.63	)
Distributions:2
From net investment income		(0.39	)		(0.43	)		(0.46	)		(0.43	)		(0.35	)
From net realized gain		(1.30	)		(2.66	)		(1.19	)		(0.35	)		(0.45	)
Total distributions		(1.69	)		(3.09	)		(1.65	)		(0.78	)		(0.80	)
Net asset value, end of year	$	17.58		$	19.66		$	21.44		$	19.24		$	17.20
Total Return3
Based on net asset value		(2.10)%			6.12%			20.19%			16.53%			(3.48)%
Ratios to Average Net Assets4,5,6
Total expenses		0.34%			0.33%			0.36%			0.37%			0.36%
Total expenses after fees waived and/or reimbursed		0.33%			0.32%			0.35%			0.36%			0.34%
Net investment income		2.01%			1.95%			2.22%			2.38%			2.56%
Supplemental Data
Net assets, end of year (000)	$	1,647		$	1,257		$	821		$	1,018		$	625
Portfolio turnover rate of the LifePath Master Portfolio		36%	7		48%	8		28%	8		5%	9		13%	9

¹  Based on average shares outstanding.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Where applicable, assumes the reinvestment of distributions.

⁴  Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁵  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.40%, 0.43%, 0.36%, 0.39% and 0.40% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁶  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.19%		0.17%		0.15%		0.15%		0.17%

⁷  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁸  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

⁹  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 15% and 19% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	47

Financial Highlights (concluded) BlackRock LifePath 2050 Fund

	Class R
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	19.53		$	21.31		$	19.14		$	17.13		$	18.56
Net investment income1		0.23			0.22			0.30			0.37			0.22
Net realized and unrealized gain (loss)		(0.78	)		0.89			3.35			2.29			(1.00	)
Net increase (decrease) from investment operations		(0.55	)		1.11			3.65			2.66			(0.78	)
Distributions:2
From net investment income		(0.23	)		(0.23	)		(0.29	)		(0.30	)		(0.20	)
From net realized gain		(1.30	)		(2.66	)		(1.19	)		(0.35	)		(0.45	)
Total distributions		(1.53	)		(2.89	)		(1.48	)		(0.65	)		(0.65	)
Net asset value, end of year	$	17.45		$	19.53		$	21.31		$	19.14		$	17.13
Total Return3
Based on net asset value		(2.92)%			5.21%			19.19%			15.59%			(4.29)%
Ratios to Average Net Assets4,5,6
Total expenses		1.17%			1.18%			1.21%			1.22%			1.21%
Total expenses after fees waived and/or reimbursed		1.16%			1.17%			1.20%			1.20%			1.19%
Net investment income		1.20%			1.01%			1.42%			1.98%			1.18%
Supplemental Data
Net assets, end of year (000)	$	1,550		$	1,091		$	1,126		$	796		$	53
Portfolio turnover rate of the LifePath Master Portfolio		36%	7		48%	8		28%	8		5%	9		13%	9

¹  Based on average shares outstanding.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Where applicable, assumes the reinvestment of distributions.

⁴  Includes the LifePath Fund’s share of its corresponding LifePath Master Portfolio’s allocated net expenses and/or net investment income.

⁵  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated fees waived of 0.40%, 0.40%, 0.36%, 0.39% and 0.40% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012 and December 31, 2011, respectively.

⁶  Includes the LifePath Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Investments in underlying funds		0.19%		0.17%		0.15%		0.15%		0.17%

⁷  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

⁸  Includes the LifePath Master Portfolio’s purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

⁹  Excludes the LifePath Master Portfolio’s purchases and sales of the Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 15% and 19% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
48	BLACKROCK FUNDS III	DECEMBER 31, 2015

Notes to Financial Statements

1. Organization:

BlackRock Funds III (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust is organized as a Delaware statutory trust. The following series of the Trust are referred to herein collectively as the “LifePath Funds” or individually, as a “LifePath Fund”:

Fund Name	Herein Referred To As	Diversification Classification
BlackRock LifePath® Retirement Fund	LifePath Retirement Fund	Diversified
BlackRock LifePath® 2020 Fund	LifePath 2020 Fund	Diversified
BlackRock LifePath® 2030 Fund	LifePath 2030 Fund	Diversified
BlackRock LifePath® 2040 Fund	LifePath 2040 Fund	Diversified
BlackRock LifePath® 2050 Fund	LifePath 2050 Fund	Diversified

Each LifePath Fund seeks to achieve its investment objective by investing all of its assets in a corresponding series of Master Investment Portfolio (“MIP”): LifePath^® Retirement Master Portfolio, LifePath^® 2020 Master Portfolio, LifePath^® 2030 Master Portfolio, LifePath^® 2040 Master Portfolio and LifePath^® 2050 Master Portfolio (each, a “LifePath Master Portfolio” and together, the “LifePath Master Portfolios”). MIP is an affiliate of the Trust. Each LifePath Master Portfolio has the same investment objective and strategies as its corresponding LifePath Fund. The value of each LifePath Fund’s investment in its corresponding LifePath Master Portfolio reflects the LifePath Fund’s proportionate interest in the net assets of the LifePath Master Portfolio. The performance of each LifePath Fund is directly affected by the performance of the corresponding LifePath Master Portfolio. At December 31, 2015, the percentage of the LifePath Master Portfolio owned by the corresponding LifePath Fund was 100.0% for all Funds. As such, the financial statements of each corresponding LifePath Master Portfolio, including the Schedule of Investments, are included elsewhere in this report and should be read in conjunction with the LifePath Funds’ financial statements.

Each LifePath Fund offers multiple classes of shares. Institutional and Class K Shares are sold only to certain eligible investors. Investor A and Investor C Shares are generally available through financial intermediaries. Class R Shares are available 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. 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.

Share Class	Initial Sales Charge	CDSC			Conversion Privilege
Institutional, Class K and Class R	No		No			None
Investor A	Yes		No	1		None
Investor C	No		Yes			None

¹  Investor A Shares may be subject to a CDSC for certain redemptions where no initial sales charge was paid at the time of purchase.

The LifePath Funds, together with certain other registered investment companies advised by BlackRock Fund Advisors (“BFA” or the “Manager”) or its affiliates, are included in a complex of open end funds referred to as the Equity-Liquidity 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. Each LifePath 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 Investment Income: For financial reporting purposes, contributions to and withdrawals from each LifePath Master Portfolio are accounted on a trade date basis. Each LifePath Fund records daily its proportionate share of its LifePath Master Portfolio’s income, expenses and realized and unrealized gains and losses. Realized and unrealized gains and losses are adjusted utilizing partnership tax allocation rules. In addition, each LifePath Fund accrues its own expenses. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.

In-Kind Redemptions: The LifePath Master Portfolios satisfied certain redemptions in investors’ capital through an in-kind redemption of securities and cash. For financial reporting purposes, these transactions were treated as a sale of securities and the resulting gains and losses were recognized at the LifePath Master Portfolios based on the market value of the securities on the date of the redemption. For the year ended December 31, 2015, the LifePath Funds were allocated realized gain from the in-kind redemptions. For tax purposes, no gains or losses were recognized. Gains and losses resulting from such in-kind redemptions, which are included in the Statements of Operations, were as follows:

LifePath Retirement Fund	LifePath 2020 Fund		LifePath 2030 Fund		LifePath 2040 Fund		LifePath 2050 Fund
$8,250,633	$	25,934,769	$	30,933,600	$	28,098,726	$	5,702,859

BLACKROCK FUNDS III DECEMBER 31, 2015 49

Notes to Financial Statements (continued)

Distributions: Distributions from net investment income are declared and paid quarterly. Distributions of capital gains are recorded on the ex-dividend date. The portion of distributions, if any, that exceeds a LifePath Index Fund’s current and accumulated earnings and profits, as measured on a tax basis, constitute a non-taxable return of capital. The character and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.

Indemnifications: In the normal course of business, a LifePath Fund enters into contracts that contain a variety of representations that provide general indemnification. A LifePath Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against a LifePath Fund, which cannot be predicted with any certainty.

Other: Expenses directly related to a LifePath Fund or its classes are charged to that LifePath Fund or the applicable class. Other operating expenses shared by several funds, including other funds managed by BlackRock Fund Advisors (“BFA” or the “Manager”), are prorated among those funds on the basis of relative net assets or other appropriate methods. Expenses directly related to the LifePath Funds and other shared expenses prorated to the LifePath Funds are allocated daily to each class based on its relative net assets or other appropriate methods.

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: The LifePath Funds’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the LifePath Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date.

The LifePath Funds’ policy is to fair value its financial instruments at market value. Each LifePath Fund records its investment in the LifePath Master Portfolio at fair value based on the LifePath Funds’ proportionate interest in the net assets of the LifePath Master Portfolio. Valuation of securities held by the LifePath Master Portfolio is discussed in Note 3 of the LifePath Master Portfolio’s Notes to Financial Statements, which are included elsewhere in this report.

4. Administration Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

The Trust, on behalf of the LifePath Funds, entered into an Administration Agreement with BAL, an indirect wholly owned subsidiary of BlackRock, which has agreed to provide general administration services (other than investment advice and related portfolio activities). BAL, in consideration thereof, has agreed to bear all of the LifePath Funds’ ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by the LifePath Funds. BAL is entitled to receive for these administration services an annual fee of 0.35% based on the average daily net assets of each LifePath Fund’s Institutional and Investor A Shares, 0.40% based on the average daily net assets of each LifePath Fund’s Investor C Shares, 0.30% based on the average daily net assets of each LifePath Fund’s Class R Shares and 0.15% based on the average daily net assets of the Class K Shares. Prior to November 30, 2015, the annual fees based on average daily net assets were 0.50% for each LifePath Fund’s Institutional, Investor A, Investor C and Class R Shares. The fee for Class K shares remains unchanged.

From time to time, BAL may waive such fees in whole or in part. Any such waiver will reduce the expenses of the LifePath Funds and, accordingly, have a favorable impact on their performance. BAL may delegate certain of its administration duties to sub-administrators.

Effective June 1, 2015, BAL had voluntarily agreed to waive 0.10% of the administration fee payable with respect to the LifePath Retirement Fund’s Institutional, Investor A, Investor C and Class R Shares. These amounts are included in the fees waived by the administrator in the Statements of Operations. For the year ended December 31, 2015, the amount waived was $144,674. As of November 30, 2015, the agreement was terminated.

The fees and expenses of the Trust’s trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and the Trust’s independent registered public accounting firm (together, the “independent expenses”) are paid directly by the LifePath Funds. BAL has contractually agreed to provide an offsetting credit against the administration fees paid by the LifePath Funds in an amount equal to the independent expenses through April 30, 2026. These amounts are included in fees waived by the administrator in the Statements of Operations.

The Trust, on behalf of the LifePath Funds, entered into a Distribution Agreement and a Distribution and Service Plan with BlackRock Investments, LLC (“BRIL”), an affiliate of the Administrator. Pursuant to the Distribution and Service Plan and in accordance with Rule 12b-1 under the 1940 Act, each LifePath Fund pays BRIL ongoing 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 each LifePath Fund as follows:

	Service Fee		Distribution Fee
Investor A		0.25%		—
Investor C		0.25%		0.75%
Class R		0.25%		0.25%

50 BLACKROCK FUNDS III DECEMBER 31, 2015

Notes to Financial Statements (continued)

Pursuant to sub-agreements with BRIL, broker-dealers and BRIL provide shareholder servicing and distribution services to the LifePath Funds. The ongoing service and/or distribution fee compensates BRIL and each broker-dealer for providing shareholder servicing and/or distribution related services to the shareholders.

For the year ended December 31, 2015, affiliates earned underwriting discounts, direct commissions and dealer concessions on sales of the LifePath Funds’ Investor A Shares as follows:

	LifePath Retirement Fund			LifePath 2020 Fund		LifePath 2030 Fund		LifePath 2040 Fund		LifePath 2050 Fund
Investor A		$	1,200	$	1,635	$	1,368	$	3,026	$	371

For the year ended December 31, 2015, affiliates received CDSCs as follows:

	LifePath Retirement Fund		LifePath 2020 Fund		LifePath 2030 Fund		LifePath 2050 Fund
Investor A	$	10,162		—		—		—
Investor C	$	97	$	16	$	38	$	114

Certain officers and/or trustees of the Trust are officers and/or directors of BlackRock or its affiliates.

5. Income Tax Information:

It is the LifePath Funds’ 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 their taxable income to their shareholders. Therefore, no federal income tax provision is required.

Each LifePath 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 each LifePath Fund’s U.S. federal tax returns remains open for each of the four years ended December 31, 2015. The statutes of limitations on each LifePath 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 LifePath Funds as of December 31, 2015, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the LifePath Funds’ financial statements.

The tax character of distributions paid was as follows:

		LifePath Retirement Fund		LifePath 2020 Fund		LifePath 2030 Fund		LifePath 2040 Fund		LifePath 2050 Fund
Ordinary Income	12/31/15	$	10,594,975	$	26,990,403	$	25,665,726	$	21,220,128	$	4,442,571
	12/31/14	$	14,474,026	$	33,847,124	$	34,515,112	$	30,444,900	$	7,024,025
Long-term capital gains	12/31/15	$	4,639,258	$	21,629,969	$	24,542,156	$	25,494,483	$	6,485,544
	12/31/14	$	26,917,322	$	72,702,832	$	79,120,944	$	72,094,410	$	18,314,121
Tax return of capital	12/31/15	$	390,609	$	814,855	$	312,129		—		—
Total	12/31/15	$	15,624,842	$	49,435,227	$	50,520,011	$	46,714,611	$	10,928,115
	12/31/14	$	41,391,348	$	106,549,956	$	113,636,056	$	102,539,310	$	25,338,146

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

	LifePath Retirement Fund			LifePath 2020 Fund			LifePath 2030 Fund			LifePath 2040 Fund			LifePath 2050 Fund
Undistributed ordinary income		—			—			—		$	2,806,790		$	38,352
Net unrealized gains1	$	24,429,854		$	46,301,582		$	7,473,918			40,678,175			4,131,449
Qualified late-year losses2		(4,144,378	)		(6,454,251	)		(1,185,279	)		(1,276,552	)		(2,629,803	)
Total	$	20,285,476		$	39,847,331		$	6,288,639		$	42,208,413		$	1,539,998

¹  The differences between book-basis and tax-basis net unrealized gains were attributable primarily to the timing and recognition of partnership income.

²  The LifePath Funds have elected to defer certain qualified late-year losses and recognize such losses in the next taxable year.

BLACKROCK FUNDS III DECEMBER 31, 2015 51

Notes to Financial Statements (continued)

6. Capital Share Transactions:

Transactions in capital shares for each class were as follows:

	Year Ended December 31, 2015						Year Ended December 31, 2014
LifePath Retirement Fund	Shares			Amount			Shares			Amount
Institutional
Shares sold		3,082,419		$	34,185,070			3,901,030		$	46,463,867
Shares issued in reinvestment of distributions		816,982			8,689,281			2,226,827			25,197,554
Shares redeemed		(11,402,092	)		(125,957,082	)		(14,214,774	)		(168,660,124	)
Net decrease		(7,502,691	)	$	(83,082,731	)		(8,086,917	)	$	(96,998,703	)
Investor A
Shares sold		1,024,947		$	10,156,190			2,530,337		$	27,559,878
Shares issued in reinvestment of distributions		668,737			6,373,801			1,531,174			15,615,397
Shares redeemed		(4,653,270	)		(46,034,385	)		(4,600,164	)		(49,794,241	)
Net decrease		(2,959,586	)	$	(29,504,394	)		(538,653	)	$	(6,618,966	)
Investor C
Shares sold		81,259		$	877,768			93,516		$	1,101,560
Shares issued in reinvestment of distributions		6,687			69,832			10,491			116,780
Shares redeemed		(52,089	)		(558,971	)		(29,952	)		(354,613	)
Net increase		35,857		$	388,629			74,055		$	863,727
Class K
Shares sold		600,351		$	6,640,487			244,334		$	2,914,944
Shares issued in reinvestment of distributions		43,257			455,494			30,903			350,175
Shares redeemed		(84,046	)		(908,724	)		(316,285	)		(3,759,750	)
Net increase (decrease)		559,562		$	6,187,257			(41,048	)	$	(494,631	)
Class R
Shares sold		21,123		$	228,653			9,270		$	109,704
Shares issued in reinvestment of distributions		3,314			34,961			9,360			106,023
Shares redeemed		(41,754	)		(457,997	)		(114,241	)		(1,359,189	)
Net decrease		(17,317	)	$	(194,383	)		(95,611	)	$	(1,143,462	)
Total Net Decrease		(9,884,175	)	$	(106,205,622	)		(8,688,174	)	$	(104,392,035	)
LifePath 2020 Fund
Institutional
Shares sold		4,215,109		$	66,252,877			5,490,343		$	93,369,522
Shares issued in reinvestment of distributions		1,538,593			22,595,121			3,770,681			60,533,779
Shares redeemed		(18,834,441	)		(295,907,148	)		(19,597,685	)		(330,407,643	)
Net decrease		(13,080,739	)	$	(207,059,150	)		(10,336,661	)	$	(176,504,342	)
Investor A
Shares sold		1,338,679		$	19,437,877			2,783,548		$	44,566,411
Shares issued in reinvestment of distributions		1,838,939			24,938,220			2,956,438			44,222,933
Shares redeemed		(5,778,076	)		(83,791,873	)		(5,348,859	)		(85,352,258	)
Net increase (decrease)		(2,600,458	)	$	(39,415,776	)		391,127		$	3,437,086
Investor C
Shares sold		51,355		$	790,022			92,681		$	1,568,498
Shares issued in reinvestment of distributions		12,177			175,330			19,730			311,205
Shares redeemed		(97,038	)		(1,455,576	)		(51,937	)		(874,902	)
Net increase (decrease)		(33,506	)	$	(490,224	)		60,474		$	1,004,801

52 BLACKROCK FUNDS III DECEMBER 31, 2015

Notes to Financial Statements (continued)

	Year Ended December 31, 2015						Year Ended December 31, 2014
LifePath 2020 Fund (concluded)	Shares			Amount			Shares			Amount
Class K
Shares sold		906,154		$	14,234,945			460,561		$	7,894,629
Shares issued in reinvestment of distributions		102,104			1,485,355			72,788			1,165,258
Shares redeemed		(319,506	)		(4,878,569	)		(310,592	)		(5,281,867	)
Net increase		688,752		$	10,841,731			222,757		$	3,778,020
Class R
Shares sold		153,240		$	2,359,038			91,690		$	1,556,487
Shares issued in reinvestment of distributions		16,501			239,167			19,412			310,941
Shares redeemed		(90,678	)		(1,408,817	)		(135,284	)		(2,292,419	)
Net increase (decrease)		79,063		$	1,189,388			(24,182	)	$	(424,991	)
Total Net Decrease		(14,946,888	)	$	(234,934,031	)		(9,686,485	)	$	(168,709,426	)
LifePath 2030 Fund
Institutional
Shares sold		5,213,448		$	76,881,977			6,018,990		$	97,829,378
Shares issued in reinvestment of distributions		1,593,135			21,846,676			4,245,327			64,286,433
Shares redeemed		(20,505,711	)		(303,358,679	)		(21,840,580	)		(351,719,418	)
Net decrease		(13,699,128	)	$	(204,630,026	)		(11,576,263	)	$	(189,603,607	)
Investor A
Shares sold		1,856,330		$	26,432,452			3,382,841		$	53,696,141
Shares issued in reinvestment of distributions		2,024,081			26,664,070			3,223,542			47,165,061
Shares redeemed		(5,033,944	)		(70,961,535	)		(4,890,982	)		(77,053,211	)
Net increase (decrease)		(1,153,533	)	$	(17,865,013	)		1,715,401		$	23,807,991
Investor C
Shares sold		138,615		$	2,028,091			66,718		$	1,073,462
Shares issued in reinvestment of distributions		19,359			258,835			24,898			368,390
Shares redeemed		(124,341	)		(1,774,867	)		(41,087	)		(653,792	)
Net increase		33,633		$	512,059			50,529		$	788,060
Class K
Shares sold		857,844		$	12,732,460			490,402		$	8,085,095
Shares issued in reinvestment of distributions		108,207			1,472,178			89,430			1,353,726
Shares redeemed		(387,243	)		(5,532,178	)		(473,630	)		(7,722,039	)
Net increase		578,808		$	8,672,460			106,202		$	1,716,782
Class R
Shares sold		104,545		$	1,486,750			56,385		$	909,776
Shares issued in reinvestment of distributions		18,287			245,226			26,691			399,574
Shares redeemed		(88,538	)		(1,295,592	)		(72,822	)		(1,172,386	)
Net increase		34,294		$	436,384			10,254		$	136,964
Total Net Decrease		(14,205,926	)	$	(212,874,136	)		(9,693,877	)	$	(163,153,810	)
LifePath 2040 Fund
Institutional
Shares sold		3,838,975		$	71,051,113			4,547,603		$	92,415,386
Shares issued in reinvestment of distributions		1,271,130			21,570,928			3,351,708			63,432,704
Shares redeemed		(17,261,307	)		(319,896,632	)		(14,960,406	)		(301,406,787	)
Net decrease		(12,151,202	)	$	(227,274,591	)		(7,061,095	)	$	(145,558,697	)

BLACKROCK FUNDS III DECEMBER 31, 2015 53

Notes to Financial Statements (continued)

	Year Ended December 31, 2015						Year Ended December 31, 2014
LifePath 2040 Fund (concluded)	Shares			Amount			Shares			Amount
Investor A
Shares sold		1,308,200		$	22,522,484			2,109,212		$	40,550,132
Shares issued in reinvestment of distributions		1,495,264			23,333,183			2,145,088			37,916,491
Shares redeemed		(3,519,184	)		(60,270,739	)		(2,736,990	)		(52,332,409	)
Net increase (decrease)		(715,720	)	$	(14,415,072	)		1,517,310		$	26,134,214
Investor C
Shares sold		80,026		$	1,463,438			45,298		$	908,758
Shares issued in reinvestment of distributions		13,679			225,450			15,261			283,251
Shares redeemed		(63,608	)		(1,156,085	)		(33,165	)		(673,789	)
Net increase		30,097		$	532,803			27,394		$	518,220
Class K
Shares sold		787,006		$	14,765,461			209,407		$	4,362,508
Shares issued in reinvestment of distributions		86,454			1,454,936			38,807			740,009
Shares redeemed		(256,507	)		(4,573,411	)		(262,901	)		(5,382,812	)
Net increase (decrease)		616,953		$	11,646,986			(14,687	)	$	(280,295	)
Class R
Shares sold		55,743		$	1,007,207			46,362		$	942,164
Shares issued in reinvestment of distributions		7,749			128,802			8,593			162,063
Shares redeemed		(40,978	)		(752,099	)		(63,404	)		(1,290,801	)
Net increase (decrease)		22,514		$	383,910			(8,449	)	$	(186,574	)
Total Net Decrease		(12,197,358	)	$	(229,125,964	)		(5,539,527	)	$	(119,373,132	)
LifePath 2050 Fund
Institutional
Shares sold		2,156,166		$	42,661,367			2,138,402		$	46,251,744
Shares issued in reinvestment of distributions		246,435			4,538,084			762,452			15,338,372
Shares redeemed		(5,646,501	)		(111,606,012	)		(5,137,073	)		(108,715,541	)
Net decrease		(3,243,900	)	$	(64,406,561	)		(2,236,219	)	$	(47,125,425	)
Investor A
Shares sold		822,426		$	16,036,796			890,323		$	19,351,097
Shares issued in reinvestment of distributions		338,012			6,070,846			475,626			9,543,129
Shares redeemed		(731,224	)		(13,958,447	)		(710,551	)		(15,312,160	)
Net increase		429,214		$	8,149,195			655,398		$	13,582,066
Investor C
Shares sold		30,293		$	584,184			17,404		$	372,119
Shares issued in reinvestment of distributions		3,156			56,080			3,648			72,339
Shares redeemed		(23,249	)		(440,677	)		(15,969	)		(341,292	)
Net increase		10,200		$	199,587			5,083		$	103,166
Class K
Shares sold		39,619		$	760,896			37,882		$	794,194
Shares issued in reinvestment of distributions		7,855			141,933			8,661			214,902
Shares redeemed		(17,717	)		(338,992	)		(20,895	)		(453,493	)
Net increase		29,757		$	563,837			25,648		$	555,603

54 BLACKROCK FUNDS III DECEMBER 31, 2015

Notes to Financial Statements (concluded)

	Year Ended December 31, 2015						Year Ended December 31, 2014
LifePath 2050 Fund (concluded)	Shares			Amount			Shares			Amount
Class R
Shares sold		37,131		$	712,379			41,449		$	891,512
Shares issued in reinvestment of distributions		6,733			120,074			7,899			159,772
Shares redeemed		(10,892	)		(212,633	)		(46,310	)		(1,008,938	)
Net increase		32,972		$	619,820			3,038		$	42,346
Total Net Decrease		(2,741,757	)	$	(54,874,122	)		(1,547,052	)	$	(32,842,244	)

7. Subsequent Events:

Management has evaluated the impact of all subsequent events on the LifePath Funds 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.

BLACKROCK FUNDS III DECEMBER 31, 2015 55

Report of Independent Registered Public Accounting Firm BlackRock Funds III

To the Board of Trustees of BlackRock Funds III and the Shareholders of BlackRock LifePath^® Retirement Fund, BlackRock LifePath^® 2020 Fund, BlackRock LifePath^® 2030 Fund, BlackRock LifePath^® 2040 Fund and BlackRock LifePath^® 2050 Fund:

In our opinion, the accompanying statements of assets and liabilities and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of BlackRock LifePath^® Retirement Fund, BlackRock LifePath^® 2020 Fund, BlackRock LifePath^® 2030 Fund, BlackRock LifePath^® 2040 Fund and BlackRock LifePath^® 2050 Fund (the “Funds”), each a series of BlackRock Funds III, at December 31, 2015, the results of each of their operations for the year then ended, the changes in each of their 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. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 24, 2016

Important Tax Information (Unaudited)

The following information is provided with respect to the ordinary income distributions paid during the tax year ended December 31, 2015.

	Payable Dates	LifePath Retirement Fund		LifePath 2020 Fund		LifePath 2030 Fund		LifePath 2040 Fund		LifePath 2050 Fund
Qualified Dividend Income for Individuals1	3/31/15 - 12/30/15		21.74%		26.57%		34.92%		45.37%		64.67%
Dividends Qualifying for the Dividend Received Deduction for Corporations1	3/31/15 - 12/30/15		12.50%		13.48%		17.95%		22.61%		31.15%
Federal Obligation Interest2	3/31/15 - 12/30/15		1.76%		1.25%		—		—		—
Interest Related Dividends and Short-Term Capital Gains for Non-U.S. Residents3	3/31/15 - 12/30/15		68.61%		72.53%		67.58%		65.08%		54.06%

¹  The LifePath Funds hereby designate the percentages indicated above or the maximum amount allowable by law.

²  The law varies in each state as to whether and what percentage of dividend income attributable to federal obligations is exempt from state income tax. We recommend that you consult your tax advisor to determine if any portion of the dividends you received is exempt from state income taxes.

³  Represents the portion of the taxable ordinary income dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations.

Additionally, the LifePath Funds distributed long-term capital gains per share to shareholders of record on the following dates:

	Record Dates:	June 29, 2015		December 29, 2015
LifePath Retirement Fund		$	0.057433	$	0.113625
LifePath 2020 Fund		$	0.093470	$	0.425383
LifePath 2030 Fund		$	0.107287	$	0.491691
LifePath 2040 Fund		$	0.139285	$	0.821577
LifePath 2050 Fund		$	0.111624	$	0.865017

56 BLACKROCK FUNDS III DECEMBER 31, 2015

Master Portfolio Information as of December 31, 2015 Master Investment Portfolio

LifePath^® Retirement Master Portfolio

Portfolio Composition Percent of
Total Net Assets

Fixed Income Funds	60	%
Equity Funds	39
Common Stocks	1

Ten Largest Holdings Percent of
Total Net Assets

CoreAlpha Bond Master Portfolio	51	%
Active Stock Master Portfolio	11
Large Cap Index Master Portfolio	10
iShares TIPS Bond ETF	9
International Tilts Master Portfolio	8
Master Small Cap Index Series	4
BlackRock Commodity Strategies Fund	3
BlackRock Emerging Markets Fund, Inc.	2
iShares MSCI EAFE Small-Cap ETF	1
iShares MSCI Canada ETF	1

LifePath^® 2020 Master Portfolio

Portfolio Composition Percent of
Total Net Assets

Fixed Income Funds	49	%
Equity Funds	48
Common Stocks	3
Short-Term Securities	1
Liabilities in excess of Other Assets	(1	)

Ten Largest Holdings Percent of
Total Net Assets

CoreAlpha Bond Master Portfolio	42	%
Active Stock Master Portfolio	17
International Tilts Master Portfolio	11
Large Cap Index Master Portfolio	9
iShares TIPS Bond ETF	6
Master Small Cap Index Series	4
BlackRock Commodity Strategies Fund	3
BlackRock Emerging Markets Fund, Inc.	3
iShares MSCI EAFE Small-Cap ETF	1
iShares MSCI Canada ETF	1

LifePath^® 2030 Master Portfolio

Portfolio Composition Percent of
Total Net Assets

Equity Funds	65	%
Fixed Income Funds	27
Common Stocks	8

Ten Largest Holdings Percent of
Total Net Assets

CoreAlpha Bond Master Portfolio	25	%
Active Stock Master Portfolio	23
International Tilts Master Portfolio	15
Large Cap Index Master Portfolio	13
BlackRock Emerging Markets Fund, Inc.	4
BlackRock Commodity Strategies Fund	4
Master Small Cap Index Series	3
iShares MSCI EAFE Small-Cap ETF	2
iShares TIPS Bond ETF	2
iShares MSCI Canada ETF	1

The LifePath Master Portfolios’ allocation and holdings listed above are current as of the report date. However, the LifePath Master Portfolios are regularly monitored and their composition may vary throughout various periods.

BLACKROCK FUNDS III DECEMBER 31, 2015 57

Master Portfolio Information as of December 31, 2015 (concluded) Master Investment Portfolio

LifePath^® 2040 Master Portfolio

Portfolio Composition Percent of
Total Net Assets

Equity Funds	80	%
Common Stocks	12
Fixed Income Funds	7
Other Assets	1

Ten Largest Holdings Percent of
Total Net Assets

Active Stock Master Portfolio	27	%
International Tilts Master Portfolio	19
Large Cap Index Master Portfolio	19
CoreAlpha Bond Master Portfolio	7
BlackRock Emerging Markets Fund, Inc.	5
BlackRock Commodity Strategies Fund	4
iShares MSCI EAFE Small-Cap ETF	3
Master Small Cap Index Series	2
iShares MSCI Canada ETF	1
Simon Property Group, Inc.	1

LifePath^® 2050 Master Portfolio

Portfolio Composition Percent of
Total Net Assets

Equity Funds	85	%
Common Stocks	14
Short-Term Securities	1
Fixed Income Funds	1
Liabilities in excess of Other Assets	(1	)

Ten Largest Holdings Percent of
Total Net Assets

Active Stock Master Portfolio	31	%
International Tilts Master Portfolio	21
Large Cap Index Master Portfolio	17
BlackRock Emerging Markets Fund, Inc.	5
BlackRock Commodity Strategies Fund	4
iShares MSCI EAFE Small-Cap ETF	3
Master Small Cap Index Series	2
iShares MSCI Canada ETF	2
CoreAlpha Bond Master Portfolio	2
BlackRock Cash Funds: Prime, SL Agency Shares	1

The LifePath Master Portfolios’ allocation and holdings listed above are current as of the report date. However, the LifePath Master Portfolios are regularly monitored and their composition may vary throughout various periods.

58 BLACKROCK FUNDS III DECEMBER 31, 2015

Schedule of Investments December 31, 2015 LifePath Retirement Master Portfolio (Percentages shown are based on Net Assets)

Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 39.3%
Active Stock Master Portfolio	$	28,411,425	$	28,411,425
BlackRock Commodity Strategies Fund		1,399,391		8,508,296
BlackRock Emerging Markets Fund, Inc.		325,916		5,090,805
International Tilts Master Portfolio	$	20,042,535		20,042,535
iShares MSCI Canada ETF		68,752		1,478,168
iShares MSCI EAFE Small-Cap ETF		53,861		2,690,357
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	24,159,652		24,159,652
Master Small Cap Index Series	$	9,573,489		9,573,489
				99,954,727
Fixed Income Funds — 59.9%
CoreAlpha Bond Master Portfolio	$	129,362,345		129,362,345
iShares TIPS Bond ETF		208,795		22,900,636
				152,262,981
Short-Term Securities — 0.2%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.38% (b)		517,747		517,747
Total Affiliated Investment Companies — 99.4%				252,735,455
Common Stocks
Hotels, Restaurants & Leisure — 0.0%
Hilton Worldwide Holdings, Inc.		428		9,159
Pebblebrook Hotel Trust		467		13,085
RLJ Lodging Trust		655		14,168
				36,412
Real Estate Investment Trusts (REITs) — 0.6%
Alexandria Real Estate Equities, Inc.		299		27,018
Allied Properties Real Estate Investment Trust		1,235		28,177
AvalonBay Communities, Inc.		291		53,582
Beni Stabili SpA SIIQ		9,899		7,461
Boston Properties, Inc.		539		68,744
British Land Co. PLC		3,343		38,681
Cambridge Industrial Trust		46,300		18,449
CareTrust REIT, Inc.		1,849		20,247
CubeSmart		1,026		31,416
CyrusOne, Inc.		505		18,912
Derwent London PLC		419		22,663
Duke Realty Corp.		1,140		23,963
Empiric Student Property PLC		5,668		9,484
EPR Properties		351		20,516
Equity One, Inc.		852		23,132
Equity Residential		705		57,521
Essex Property Trust, Inc.		169		40,460
Extra Space Storage, Inc.		453		39,959
Federal Realty Investment Trust		49		7,159
General Growth Properties, Inc.		338		9,197
Goodman Group		11,579		52,470
Gramercy Property Trust		1,736		13,405
Japan Rental Housing Investments, Inc.		14		9,892
Kenedix Retail REIT Corp.		6		12,702
Kilroy Realty Corp.		517		32,716
Kimco Realty Corp.		731		19,342
Land Securities Group PLC		2,385		41,344
Link REIT		5,000		29,809

Common Stocks	Shares		Value
Real Estate Investment Trusts (REITs) (continued)
Macerich Co.		302	$	24,368
Merlin Properties Socimi SA		1,119		14,018
National Health Investors, Inc.		317		19,296
Parkway Properties, Inc.		1,164		18,193
Physicians Realty Trust		124		2,091
Prologis, Inc.		1,106		47,470
Retail Properties of America, Inc., Class A		2,420		35,743
Sekisui House REIT, Inc.		5		5,448
Simon Property Group, Inc.		579		112,581
SL Green Realty Corp.		213		24,065
STAG Industrial, Inc.		1,093		20,166
STORE Capital Corp.		441		10,231
Sunstone Hotel Investors, Inc.		1,959		24,468
Taubman Centers, Inc.		89		6,828
UDR, Inc.		723		27,163
Vastned Retail NV		527		24,211
Vicinity Centres		24,332		49,362
Welltower, Inc.		816		55,512
Wereldhave NV		364		20,418
Westfield Corp.		5,615		38,631
				1,358,684
Real Estate Management & Development — 0.1%
Castellum AB		850		12,105
Cheung Kong Property Holdings Ltd.		6,500		42,048
Deutsche Wohnen AG, Bearer Shares		541		14,960
First Capital Realty, Inc.		1,011		13,407
Heiwa Real Estate Co., Ltd.		1,200		13,131
Howard Hughes Corp. (c)		78		8,827
Kennedy Wilson Europe Real Estate PLC		513		9,123
Kungsleden AB		1,078		7,703
KWG Property Holding Ltd.		24,500		18,061
LEG Immobilien AG		64		5,216
Leopalace21 Corp. (c)		900		4,871
Nomura Real Estate Holdings, Inc.		500		9,276
Sumitomo Realty & Development Co., Ltd.		1,000		28,543
Sun Hung Kai Properties Ltd.		4,000		48,078
VIB Vermoegen AG		369		6,855
Vonovia SE		400		12,357
Wharf Holdings Ltd.		5,000		27,567
				282,128
Total Common Stocks — 0.7%				1,677,224
Total Investments (Cost — $240,622,741) — 100.1%				254,412,679
Liabilities in Excess of Other Assets — (0.1)%				(245,329	)
Net Assets — 100.0%			$	254,167,350

Portfolio Abbreviations

AUD	Australian Dollar
CAD	Canadian Dollar
CHF	Swiss Franc
EUR	Euro
GBP	British Pound

HKD	Hong Kong Dollar
ILS	Israeli New Shekel
JPY	Japanese Yen
NOK	Norwegian Krone

NZD	New Zealand Dollar
SEK	Swedish Krona
SGD	Singapore Dollar
USD	U.S. Dollar

See Notes to Financial Statements.

BLACKROCK FUNDS III DECEMBER 31, 2015 59

Schedule of Investments (continued) LifePath Retirement Master Portfolio

Notes to Schedule of investments

(a) During the year ended December 31, 2015, investments in issuers considered to be affiliates of LifePath Master Portfolio for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/ Beneficial Interest Held at December 31, 2014		Shares/ Beneficial Interest Purchased		Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at December 31, 2015		Value at December 31, 2015		Net Income			Realized Gain (Loss)
Active Stock Master Portfolio	$	261,549,322		—	$	(233,137,897	)1	$	28,411,425	$	28,411,425	$	2,558,673		$	31,691,861	2
BlackRock Cash Funds: Institutional, SL Agency Shares		3,367,223		—		(2,849,476	)1		517,747	$	517,747	$	3,592			—
BlackRock Cash Funds: Prime, SL Agency Shares3		—		—		—			—		—	$	49,600	4		—
BlackRock Commodity Strategies Fund		6,449,996		1,684,292		(6,734,897	)		1,399,391	$	8,508,296		—		$	(22,647,161	)
BlackRock Emerging Markets Fund, Inc.		1,751,608		366,189		(1,791,881	)		325,916	$	5,090,805	$	67,288		$	(4,616,821	)
CoreAlpha Bond Master Portfolio	$	808,534,591		—	$	(679,172,246	)1	$	129,362,345	$	129,362,345	$	17,183,546		$	4,391,501	2
International Tilts Master Portfolio	$	113,464,710		—	$	(93,422,175	)1	$	20,042,535	$	20,042,535	$	2,796,615		$	(3,313,595	)2
iShares Cohen & Steers REIT ETF3		45,789		485		(46,274	)		—		—	$	96,690		$	561,915
iShares International Developed Real Estate ETF3		71,776		2,576		(74,352	)		—		—	$	63,113		$	(138,100	)2
iShares MSCI Canada ETF		369,599		60,518		(361,365	)		68,752	$	1,478,168	$	101,878		$	(688,329	)2
iShares MSCI EAFE Small-Cap ETF		338,648		19,907		(304,694	)		53,861	$	2,690,357	$	223,835		$	3,646,344	2
iShares TIPS Bond ETF		1,328,000		77,462		(1,196,667	)		208,795	$	22,900,636	$	488,717		$	6,918,847	2
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	71,857,425		—	$	(47,697,773	)1	$	24,159,652	$	24,159,652	$	2,506,011		$	3,073,751	2
Master Small Cap Index Series	$	61,149,952		—	$	(51,576,463	)1	$	9,573,489	$	9,573,489	$	680,524		$	19,422,298	2
1   Represents net shares/beneficial interest sold.
2   Includes the following gains and (losses) from in-kind redemptions from affiliated holdings. See Note 2 of the Notes to Financial Statements.

Active Stock Master Portfolio		CoreAlpha Bond Master Portfolio		International Tilts Master Portfolio			iShares Cohen & Steers REIT ETF		iShares International Developed Real Estate  ETF			iShares MSCI Canada ETF			iShares MSCI EAFE Small- Cap ETF		iShares TIPS Bond ETF		Large Cap Index Master Portfolio (fka Russell  1000® Index Master Portfolio)		Master Small Cap Index Series
	$7,656,041	$	2,999,197	$	(2,278,297	)	$	431,930	$	(87,433	)	$	(607,746	)	$	3,446,265	$	6,993,161	$	16,008,976	$	11,063,702

³   No longer held by LifePath Master Portfolio as of period end.

⁴   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.

(b) Current yield as of period end.

(c) Non-income producing security.

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
CAD	33,000	USD	23,849	Morgan Stanley & Co. International PLC		1/21/16	$	(92	)
CAD	2,000	USD	1,456	Northern Trust Co.		1/21/16		(16	)
CHF	8,000	USD	8,083	Goldman Sachs International		1/21/16		(85	)
CHF	8,000	USD	8,035	Morgan Stanley & Co. International PLC		1/21/16		(38	)
EUR	50,000	USD	54,387	Morgan Stanley & Co. International PLC		1/21/16		(50	)
EUR	19,000	USD	20,762	Morgan Stanley & Co. International PLC		1/21/16		(114	)
GBP	4,000	USD	5,896	Morgan Stanley & Co. International PLC		1/21/16		—
ILS	4,000	USD	1,033	Deutsche Bank AG		1/21/16		(5	)
ILS	4,000	USD	1,028	UBS AG		1/21/16		—
JPY	12,237,000	USD	101,897	Goldman Sachs International		1/21/16		(135	)
JPY	2,680,000	USD	22,055	Standard Chartered Bank		1/21/16		232
NOK	5,000	USD	576	Morgan Stanley & Co. International PLC		1/21/16		(11	)
NZD	1,300	USD	875	Goldman Sachs International		1/21/16		14
NZD	1,000	USD	685	Northern Trust Co.		1/21/16		(1	)
SEK	92,000	USD	10,899	Northern Trust Co.		1/21/16		19
SGD	21,000	USD	14,899	Barclays Bank PLC		1/21/16		(104	)
SGD	13,000	USD	9,169	Morgan Stanley & Co. International PLC		1/21/16		(11	)
USD	1,442	AUD	2,000	Goldman Sachs International		1/21/16		(12	)
USD	16,090	AUD	22,000	Goldman Sachs International		1/21/16		96

See Notes to Financial Statements.

60 BLACKROCK FUNDS III DECEMBER 31, 2015

Schedule of Investments (continued) LifePath Retirement Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	1,450	AUD	2,000	Northern Trust Co.		1/21/16	$	(4	)
USD	16,503	AUD	23,000	Royal Bank of Canada		1/21/16		(218	)
USD	2,164	EUR	2,000	Goldman Sachs International		1/21/16		(9	)
USD	1,089	EUR	1,000	Goldman Sachs International		1/21/16		2
USD	1,098	EUR	1,000	Morgan Stanley & Co. International PLC		1/21/16		12
USD	9,767	EUR	9,000	Royal Bank of Scotland PLC		1/21/16		(13	)
USD	1,093	EUR	1,000	Royal Bank of Scotland PLC		1/21/16		6
USD	4,465	GBP	3,000	Bank of America N.A.		1/21/16		44
USD	3,010	GBP	2,000	Morgan Stanley & Co. International PLC		1/21/16		62
USD	1,490	GBP	1,000	Royal Bank of Scotland PLC		1/21/16		16
USD	18,195	HKD	141,000	Goldman Sachs International		1/21/16		(1	)
USD	1,291	HKD	10,000	Northern Trust Co.		1/21/16		—
USD	1,548	HKD	12,000	UBS AG		1/21/16		—
USD	11,743	HKD	91,000	UBS AG		1/21/16		—
USD	2,345	JPY	282,000	Morgan Stanley & Co. International PLC		1/21/16		(1	)
USD	4,553	SEK	39,000	Bank of America N.A.		1/21/16		(75	)
USD	3,765	SEK	32,000	Northern Trust Co.		1/21/16		(32	)
USD	3,543	SGD	5,000	Citibank N.A.		1/21/16		20
USD	2,826	SGD	4,000	Standard Chartered Bank		1/21/16		8
Total							$	(496	)

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

Assets — Derivative Financial Instruments		Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Forward foreign currency exchange contracts	Net unrealized appreciation on forward currency exchange contracts		—		—		—	$	531		—		—	$	531
Liabilities — Derivative Financial Instruments
Forward foreign currency exchange contracts	Net unrealized depreciation on forward currency exchange contracts		—		—		—	$	1,027		—		—	$	1,027

For the year ended December 31, 2015, the effect of derivative financial instruments in the Statements of Operations was as follows:

Net Change in Unrealized Appreciation (Depreciation) on:	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts			Interest Rate Contracts		Other Contracts		Total
Forward foreign currency exchange contracts		—		—		—	$	(496	)		—		—	$	(496	)

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Forward foreign currency exchange contracts:
Average amounts purchased — in USD	$	27,368
Average amounts sold — in USD	$	71,396

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

Derivative Financial Instruments — Offsetting as of Period End

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

	Assets		Liabilities
Derivative Financial Instruments:
Forward foreign currency exchange contracts	$	531	$	1,027
Total derivative assets and liabilities in the Statements of Assets and Liabilities	$	531	$	1,027
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		—		—
Total derivative assets and liabilities subject to an MNA	$	531	$	1,027

See Notes to Financial Statements.

BLACKROCK FUNDS III DECEMBER 31, 2015 61

Schedule of Investments (concluded) LifePath Retirement Master Portfolio

The following table presents the LifePath Master Portfolio’s derivative assets and liabilities by counterparty net of amounts available for offset under an Master Netting Agreement (“MNA”) and net of the related collateral received and pledged by the LifePath Master Portfolio:

Counterparty	Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset1			Non-cash Collateral Received			Cash Collateral Received		Net Amount of Derivative Assets2
Bank of America N.A.	$	44	$	(44	)		—			—		—
Citibank N.A.		20		—			—			—	$	20
Goldman Sachs International		112		(112	)		—			—		—
Morgan Stanley & Co. International PLC		74		(74	)		—			—		—
Northern Trust Co.		19		(19	)		—			—		—
Royal Bank of Scotland PLC		22		(13	)		—			—		9
Standard Chartered Bank		240		—			—			—		240
Total	$	531	$	(262	)		—			—	$	269
Counterparty	Derivative Liabilities Subject to an MNA by Counterparty		Derivatives Available for Offset1			Non-cash Collateral Pledged		��	Cash Collateral Pledged		Net Amount of Derivative Liabilities3
Bank of America N.A.	$	75	$	(44	)		—			—	$	31
Barclays Bank PLC		104		—			—			—		104
Deutsche Bank AG		5		—			—			—		5
Goldman Sachs International		242		(112	)		—			—		130
Morgan Stanley & Co. International PLC		317		(74	)		—			—		243
Northern Trust Co.		53		(19	)		—			—		34
Royal Bank of Canada		218		—			—			—		218
Royal Bank of Scotland PLC		13		(13	)		—			—		—
Total	$	1,027	$	(262	)		—			—	$	765
1    The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.
2    Net amount represents the net amount receivable from the counterparty in the event of default.
3    Net amount represents the net amount payable due to the counterparty in the event of default.

Fair Value Hierarchy as of Period End

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

The following tables summarize LifePath Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy:

	Level 1		Level 2		Level 3	Total
Assets:
Investments:
Affiliated Investment Companies:
Equity Funds	$	17,767,626	$	82,187,101	—	$	99,954,727
Fixed Income Funds		22,900,636		129,362,345	—		152,262,981
Short-Term Securities		517,747		—	—		517,747
Common Stocks:
Hotels, Restaurants & Leisure		36,412		—	—		36,412
Real Estate Investment Trusts (REITs)		991,574		367,110	—		1,358,684
Real Estate Management & Development		29,089		253,039	—		282,128
Total	$	42,243,084	$	212,169,595	—	$	254,412,679

	Level 1	Level 2			Level 3	Total
Derivative Financial Instruments1
Assets:
Forward foreign currency exchange contracts	—	$	531		—	$	531
Liabilities:
Forward foreign currency exchange contracts	—		(1,027	)	—		(1,027	)
Total	—	$	(496	)	—	$	(496	)
1    Derivative financial instruments are forward foreign currency exchange contracts that are valued at the unrealized appreciation (depreciation) on the instrument.

The LifePath Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

	Level 1		Level 2	Level 3	Total
Assets:
Cash	$	1,447	—	—	$	1,447
Foreign currency at value		7,500	—	—		7,500
Total	$	8,947	—	—	$	8,947

During the year ended December 31, 2015, there were no transfers between levels.

See Notes to Financial Statements.

62 BLACKROCK FUNDS III DECEMBER 31, 2015

Schedule of Investments December 31, 2015 LifePath 2020 Master Portfolio (Percentages shown are based on Net Assets)

Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 48.3%
Active Stock Master Portfolio	$	98,938,953	$	98,938,953
BlackRock Commodity Strategies Fund		3,062,221		18,618,302
BlackRock Emerging Markets Fund, Inc.		1,006,837		15,726,791
International Tilts Master Portfolio	$	61,723,700		61,723,700
iShares MSCI Canada ETF		220,099		4,732,128
iShares MSCI EAFE Small-Cap ETF		172,841		8,633,408
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	51,535,999		51,535,999
Master Small Cap Index Series	$	20,833,677		20,833,677
				280,742,958
Fixed Income Funds — 48.9%
CoreAlpha Bond Master Portfolio	$	246,301,565		246,301,565
iShares TIPS Bond ETF (b)		342,392		37,553,555
				283,855,120
Short-Term Securities — 0.7%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.38% (c)(d)		2,831,794		2,831,794
BlackRock Cash Funds: Prime, SL Agency Shares, 0.36% (c)(d)		1,196,918		1,196,918
				4,028,712
Total Affiliated Investment Companies — 97.9%				568,626,790
Common Stocks
Hotels, Restaurants & Leisure — 0.1%
Hilton Worldwide Holdings, Inc.		3,857		82,540
Pebblebrook Hotel Trust		4,001		112,108
RLJ Lodging Trust		5,614		121,431
				316,079
Real Estate Investment Trusts (REITs) — 2.0%
Alexandria Real Estate Equities, Inc.		2,561		231,412
Allied Properties Real Estate Investment Trust		10,582		241,435
AvalonBay Communities, Inc.		2,496		459,588
Beni Stabili SpA SIIQ		160,870		121,251
Boston Properties, Inc.		4,620		589,235
British Land Co. PLC		28,651		331,517
Cambridge Industrial Trust		391,100		155,844
CareTrust REIT, Inc.		15,774		172,725
CubeSmart		8,696		266,271
CyrusOne, Inc.		4,351		162,945
Derwent London PLC		3,590		194,174
Duke Realty Corp.		9,770		205,365
Empiric Student Property PLC		73,367		122,759
EPR Properties		3,020		176,519
Equity One, Inc.		7,203		195,561
Equity Residential		6,041		492,885
Essex Property Trust, Inc.		1,450		347,144
Extra Space Storage, Inc.		3,881		342,343
Federal Realty Investment Trust		401		58,586
General Growth Properties, Inc.		2,884		78,474
Goodman Group		99,244		449,719
Gramercy Property Trust		14,568		112,464
Japan Rental Housing Investments, Inc.		222		156,862
Kenedix Retail REIT Corp.		111		234,979
Kilroy Realty Corp.		4,431		280,394
Kimco Realty Corp.		6,263		165,719
Land Securities Group PLC		20,440		354,328
Link REIT		43,000		256,361
Macerich Co.		2,598		209,633
Merlin Properties Socimi SA		9,590		120,136
National Health Investors, Inc.		2,719		165,506
Parkway Properties, Inc.		9,973		155,878
Physicians Realty Trust		1,088		18,344

Common Stocks	Shares		Value
Real Estate Investment Trusts (REITs) (continued)
Prologis, Inc.		9,483	$	407,010
Retail Properties of America, Inc., Class A		20,739		306,315
Sekisui House REIT, Inc.		82		89,354
Simon Property Group, Inc.		4,965		965,395
SL Green Realty Corp.		1,824		206,075
STAG Industrial, Inc.		9,370		172,876
STORE Capital Corp.		3,672		85,190
Sunstone Hotel Investors, Inc.		16,617		207,546
Taubman Centers, Inc.		756		58,000
UDR, Inc.		6,194		232,709
Vastned Retail NV		4,571		209,997
Vicinity Centres		208,554		423,089
Welltower, Inc.		6,990		475,530
Wereldhave NV		3,069		172,152
Westfield Corp.		48,132		331,144
				11,968,738
Real Estate Management & Development — 0.6%
Castellum AB		13,817		196,771
Cheung Kong Property Holdings Ltd.		54,500		352,560
Deutsche Wohnen AG, Bearer Shares		8,787		242,977
First Capital Realty, Inc.		8,442		111,954
Heiwa Real Estate Co., Ltd.		20,300		222,130
Howard Hughes Corp. (e)		670		75,817
Kennedy Wilson Europe Real Estate PLC		4,396		78,177
Kungsleden AB		17,525		125,224
KWG Property Holding Ltd.		209,000		154,067
LEG Immobilien AG		1,041		84,842
Leopalace21 Corp. (e)		13,800		74,696
Nomura Real Estate Holdings, Inc.		9,100		168,825
Sumitomo Realty & Development Co., Ltd.		13,000		371,055
Sun Hung Kai Properties Ltd.		34,000		408,666
VIB Vermoegen AG		5,999		111,449
Vonovia SE		6,508		201,052
Wharf Holdings Ltd.		46,000		253,620
				3,233,882
Total Common Stocks — 2.7%				15,518,699
Total Investments (Cost — $578,667,496) — 100.6%				584,145,489
Liabilities in Excess of Other Assets — (0.6)%				(3,340,935	)
Net Assets — 100.0%			$	580,804,554

See Notes to Financial Statements.

BLACKROCK FUNDS III DECEMBER 31, 2015 63

Schedule of Investments (continued) LifePath 2020 Master Portfolio

Notes to Schedule of Investments

(a) During the year ended December 31, 2015, investments in issuers considered to be affiliates of LifePath Master Portfolio for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/ Beneficial Interest Held at December 31, 2014		Shares/ Beneficial Interest Purchased		Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at December 31, 2015		Value at December 31, 2015		Net Income			Realized Gain (Loss)
Active Stock Master Portfolio	$	627,945,748		—	$	(529,006,795	)1	$	98,938,953	$	98,938,953	$	7,205,225		$	77,345,798	2
BlackRock Cash Funds: Institutional, SL Agency Shares		5,279,010		—		(2,447,216	)1		2,831,794	$	2,831,794	$	65,770	3		—
BlackRock Cash Funds: Prime, SL Agency Shares		6,776,550		—		(5,579,632	)1		1,196,918	$	1,196,918	$	45,935	3		—
BlackRock Commodity Strategies Fund		12,567,336		1,751,133		(11,256,248	)		3,062,221	$	18,618,302		—		$	(38,057,247	)
BlackRock Emerging Markets Fund, Inc.		4,505,579		758,250		(4,256,992	)		1,006,837	$	15,726,791	$	217,718		$	(10,617,069	)
CoreAlpha Bond Master Portfolio	$	1,143,592,277		—	$	(897,290,712	)1	$	246,301,565	$	246,301,565	$	24,806,322		$	7,630,171	2
International Tilts Master Portfolio	$	282,798,820		—	$	(221,075,120	)1	$	61,723,700	$	61,723,700	$	6,998,481		$	(7,417,034	)2
iShares Cohen & Steers REIT ETF4		498,805		9,721		(508,526	)		—		—	$	1,008,201		$	22,608,887	2
iShares International Developed Real Estate ETF4		1,382,421		28,766		(1,411,187	)		—		—	$	1,099,969		$	8,846,974	2
iShares MSCI Canada ETF		967,873		83,363		(831,137	)		220,099	$	4,732,128	$	265,321		$	(2,649,290	)2
iShares MSCI EAFE Small-Cap ETF		881,531		26,229		(734,919	)		172,841	$	8,633,408	$	570,217		$	9,871,027	2
iShares TIPS Bond ETF		1,673,332		107,283		(1,438,223	)		342,392	$	37,553,555	$	618,880		$	9,645,757
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	176,865,168		—	$	(125,329,169	)1	$	51,535,999	$	51,535,999	$	4,446,427		$	(610,852	)2
Master Small Cap Index Series	$	99,172,892		—	$	(78,339,215	)1	$	20,833,677	$	20,833,677	$	1,144,038		$	36,048,448	2
1   Represents net shares/beneficial interest sold.
2   Includes the following gains and (losses) from in-kind redemptions from affiliated holdings. See Note 2 of the Notes to Financial Statements.

Active Stock Master Portfolio		CoreAlpha Bond Master Portfolio		International Tilts Master Portfolio			iShares Cohen & Steers REIT ETF		iShares International Developed Real Estate  ETF		iShares MSCI Canada ETF			iShares MSCI EAFE Small- Cap ETF		iShares TIPS Bond ETF		Large Cap Index Master Portfolio (fka Russell  1000® Index Master Portfolio)		Master Small Cap Index Series
	$23,054,941	$	4,296,866	$	(5,471,472	)	$	18,601,069	$	8,468,823	$	(2,267,584	)	$	9,239,022	$	10,188,462	$	25,594,178	$	18,237,204

³   Represents all or a portion of 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.

⁴  No longer held by LifePath Master Portfolio as of period end.

(b) Security, or a portion of security, is on loan.

(c) Current yield as of period end.

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

(e) Non-income producing security.

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
AUD	23,000	USD	16,823	Northern Trust Co.		1/21/16	$	(102	)
CAD	34,000	USD	24,571	Morgan Stanley & Co. International PLC		1/21/16		(94	)
CAD	43,000	USD	31,299	Northern Trust Co.		1/21/16		(342	)
CHF	130,000	USD	131,346	Goldman Sachs International		1/21/16		(1,387	)
CHF	10,000	USD	10,044	Morgan Stanley & Co. International PLC		1/21/16		(47	)
EUR	315,000	USD	344,201	HSBC Bank PLC		1/21/16		(1,882	)
EUR	70,000	USD	76,141	Morgan Stanley & Co. International PLC		1/21/16		(70	)
GBP	42,000	USD	61,904	Morgan Stanley & Co. International PLC		1/21/16		2
HKD	480,000	USD	61,946	Barclays Bank PLC		1/21/16		(2	)
ILS	64,000	USD	16,531	Deutsche Bank AG		1/21/16		(79	)
JPY	49,206,000	USD	404,942	Standard Chartered Bank		1/21/16		4,254
JPY	11,304,000	USD	94,126	UBS AG		1/21/16		(122	)
NOK	84,000	USD	9,672	Morgan Stanley & Co. International PLC		1/21/16		(184	)
NZD	22,000	USD	14,810	Goldman Sachs International		1/21/16		236
SEK	111,000	USD	13,150	Northern Trust Co.		1/21/16		23

See Notes to Financial Statements.

64 BLACKROCK FUNDS III DECEMBER 31, 2015

Schedule of Investments (continued) LifePath 2020 Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
SGD	339,000	USD	240,508	Barclays Bank PLC		1/21/16	$	(1,683	)
SGD	25,000	USD	17,633	Morgan Stanley & Co. International PLC		1/21/16		(21	)
USD	29,565	AUD	41,000	Goldman Sachs International		1/21/16		(242	)
USD	28,992	AUD	40,000	Northern Trust Co.		1/21/16		(87	)
USD	267,632	AUD	373,000	Royal Bank of Canada		1/21/16		(3,534	)
USD	7,918	CAD	11,000	Northern Trust Co.		1/21/16		(1	)
USD	35,710	EUR	33,000	Goldman Sachs International		1/21/16		(153	)
USD	15,240	EUR	14,000	Goldman Sachs International		1/21/16		26
USD	31,849	EUR	29,000	Morgan Stanley & Co. International PLC		1/21/16		334
USD	154,102	EUR	142,000	Royal Bank of Scotland PLC		1/21/16		(213	)
USD	27,315	EUR	25,000	Royal Bank of Scotland PLC		1/21/16		147
USD	68,470	GBP	46,000	Bank of America N.A.		1/21/16		668
USD	37,624	GBP	25,000	Morgan Stanley & Co. International PLC		1/21/16		774
USD	26,797	GBP	18,000	Northern Trust Co.		1/21/16		265
USD	31,290	GBP	21,000	Royal Bank of Scotland PLC		1/21/16		337
USD	286,221	HKD	2,218,000	Goldman Sachs International		1/21/16		(10	)
USD	25,939	HKD	201,000	Northern Trust Co.		1/21/16		—
USD	38,066	HKD	295,000	UBS AG		1/21/16		(3	)
USD	43,473	JPY	5,229,000	Morgan Stanley & Co. International PLC		1/21/16		(11	)
USD	22,239	JPY	2,688,000	Royal Bank of Scotland PLC		1/21/16		(114	)
USD	74,373	SEK	637,000	Bank of America N.A.		1/21/16		(1,220	)
USD	61,671	SEK	524,000	HSBC Bank PLC		1/21/16		(513	)
USD	6,699	SEK	56,000	Royal Bank of Scotland PLC		1/21/16		53
USD	52,423	SGD	74,000	Northern Trust Co.		1/21/16		290
USD	45,924	SGD	65,000	Standard Chartered Bank		1/21/16		132
Total							$	(4,575	)

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

Assets — Derivative Financial Instruments		Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Forward foreign currency exchange contracts	Net unrealized appreciation on forward currency exchange contracts		—		—		—	$	7,541		—		—	$	7,541
Liabilities — Derivative Financial Instruments
Forward foreign currency exchange contracts	Net unrealized depreciation on forward currency exchange contracts		—		—		—	$	12,116		—		—	$	12,116

For the year ended December 31, 2015, the effect of derivative financial instruments in the Statements of Operations was as follows:

Net Change in Unrealized Appreciation (Depreciation) on:	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts			Interest Rate Contracts		Other Contracts		Total
Forward foreign currency exchange contracts		—		—		—	$	(4,575	)		—		—	$	(4,575	)

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Forward foreign currency exchange contracts:
Average amounts purchased — in USD	$	354,883
Average amounts sold — in USD	$	392,412

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

See Notes to Financial Statements.

BLACKROCK FUNDS III DECEMBER 31, 2015 65

Schedule of Investments (continued) LifePath 2020 Master Portfolio

Derivative Financial Instruments — Offsetting as of Period End

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

	Assets		Liabilities
Derivative Financial Instruments:
Forward foreign currency exchange contracts	$	7,541	$	12,116
Total derivative assets and liabilities in the Statements of Assets and Liabilities	$	7,541	$	12,116
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		—		—
Total derivative assets and liabilities subject to an MNA	$	7,541	$	12,116

The following table presents the LifePath Master Portfolio’s derivative assets and liabilities by counterparty net of amounts available for offset under an Master Netting Agreement (“MNA”) and net of the related collateral received and pledged by the LifePath Master Portfolio:

Counterparty	Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset1			Non-cash Collateral Received		Cash Collateral Received		Net Amount of Derivative Assets2
Bank of America N.A.	$	668	$	(668	)		—		—		—
Goldman Sachs International		262		(262	)		—		—		—
Morgan Stanley & Co. International PLC		1,110		(427	)		—		—	$	683
Northern Trust Co.		578		(532	)		—		—		46
Royal Bank of Scotland PLC		537		(327	)		—		—		210
Standard Chartered Bank		4,386		—			—		—		4,386
Total	$	7,541	$	(2,216	)		—		—	$	5,325
Counterparty	Derivative Liabilities Subject to an MNA by Counterparty		Derivatives Available for Offset1			Non-cash Collateral Pledged		Cash Collateral Pledged		Net Amount of Derivative Liabilities3
Bank of America N.A.	$	1,220	$	(668	)		—		—	$	552
Barclays Bank PLC		1,685		—			—		—		1,685
Deutsche Bank AG		79		—			—		—		79
Goldman Sachs International		1,792		(262	)		—		—		1,530
HSBC Bank PLC		2,395		—			—		—		2,395
Morgan Stanley & Co. International PLC		427		(427	)		—		—		—
Northern Trust Co.		532		(532	)		—		—		—
Royal Bank of Canada		3,534		—			—		—		3,534
Royal Bank of Scotland PLC		327		(327	)		—		—		—
UBS AG		125		—			—		—		125
Total	$	12,116	$	(2,216	)		—		—	$	9,900
1    The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.
2    Net amount represents the net amount receivable from the counterparty in the event of default.
3    Net amount represents the net amount payable due to the counterparty in the event of default.

Fair Value Hierarchy as of Period End

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

The following tables summarize LifePath Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies:
Equity Funds	$	47,710,629	$	233,032,329		—	$	280,742,958
Fixed Income Funds		37,553,555		246,301,565		—		283,855,120
Short-Term Securities		4,028,712		—		—		4,028,712
Common Stocks:
Hotels, Restaurants & Leisure		316,079		—		—		316,079
Real Estate Investment Trusts (REITs)		8,523,676		3,445,062		—		11,968,738
Real Estate Management & Development		299,220		2,934,662		—		3,233,882
Total	$	98,431,871	$	485,713,618		—	$	584,145,489

See Notes to Financial Statements.

66 BLACKROCK FUNDS III DECEMBER 31, 2015

Schedule of Investments (concluded) LifePath 2020 Master Portfolio

	Level 1	Level 2			Level 3		Total
Derivative Financial Instruments1
Assets:
Forward foreign currency exchange contracts	—	$	7,541			—	$	7,541
Liabilities:
Forward foreign currency exchange contracts	—		(12,116	)		—		(12,116	)
Total	—	$	(4,575	)		—	$	(4,575	)
1    Derivative financial instruments are forward foreign currency exchange contracts that are valued at the unrealized appreciation (depreciation) on the instrument.

The LifePath Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

	Level 1		Level 2			Level 3		Total
Assets:
Cash	$	47,259		—			—	$	47,259
Foreign currency at value		94,013		—			—		94,013
Liabilities:
Collateral on securities loaned at value		—	$	(2,747,024	)		—		(2,747,024	)
Total	$	141,272	$	(2,747,024	)		—	$	(2,605,752	)

During the year ended December 31, 2015, there were no transfers between levels.

See Notes to Financial Statements.

BLACKROCK FUNDS III DECEMBER 31, 2015 67

Schedule of Investments December 31, 2015 LifePath 2030 Master Portfolio (Percentages shown are based on Net Assets)

Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 65.3%
Active Stock Master Portfolio	$	127,705,255	$	127,705,255
BlackRock Commodity Strategies Fund		3,173,206		19,293,094
BlackRock Emerging Markets Fund, Inc.		1,377,544		21,517,244
International Tilts Master Portfolio	$	82,549,286		82,549,286
iShares MSCI Canada ETF (b)		297,289		6,391,713
iShares MSCI EAFE Small-Cap ETF		233,145		11,645,593
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	71,445,267		71,445,267
Master Small Cap Index Series	$	14,504,592		14,504,592
				355,052,044
Fixed Income Funds — 26.8%
CoreAlpha Bond Master Portfolio	$	135,910,507		135,910,507
iShares TIPS Bond ETF		91,590		10,045,591
				145,956,098
Short-Term Securities — 0.4%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.38% (c)(d)		1,688,189		1,688,189
BlackRock Cash Funds: Prime, SL Agency Shares, 0.36% (c)(d)		439,558		439,558
				2,127,747
Total Affiliated Investment Companies — 92.5%				503,135,889
Common Stocks
Hotels, Restaurants & Leisure — 0.1%
Hilton Worldwide Holdings, Inc.		10,481		224,293
Pebblebrook Hotel Trust		10,497		294,126
RLJ Lodging Trust		14,730		318,610
				837,029
Real Estate Investment Trusts (REITs) — 5.8%
Alexandria Real Estate Equities, Inc.		6,770		611,737
Allied Properties Real Estate Investment Trust		28,753		656,018
AvalonBay Communities, Inc.		6,550		1,206,051
Beni Stabili SpA SIIQ		437,103		329,453
Boston Properties, Inc.		12,122		1,546,040
British Land Co. PLC		74,797		865,466
Cambridge Industrial Trust		1,062,600		423,421
CareTrust REIT, Inc.		42,861		469,328
CubeSmart		23,075		706,557
CyrusOne, Inc.		11,823		442,771
Derwent London PLC		9,442		510,694
Duke Realty Corp.		26,060		547,781
Empiric Student Property PLC		197,144		329,865
EPR Properties		8,207		479,699
Equity One, Inc.		19,572		531,380
Equity Residential		15,851		1,293,283
Essex Property Trust, Inc.		3,805		910,955
Extra Space Storage, Inc.		10,183		898,242
Federal Realty Investment Trust		1,090		159,249
General Growth Properties, Inc.		7,835		213,190
Goodman Group		267,150		1,210,576
Gramercy Property Trust		39,582		305,575
Japan Rental Housing Investments, Inc.		602		425,366
Kenedix Retail REIT Corp.		302		639,312
Kilroy Realty Corp.		11,627		735,757
Kimco Realty Corp.		17,018		450,296
Land Securities Group PLC		53,631		929,695
Link REIT		116,000		691,578
Macerich Co.		7,059		569,591
Merlin Properties Socimi SA		24,795		310,612
National Health Investors, Inc.		7,111		432,847

Common Stocks	Shares		Value
Real Estate Investment Trusts (REITs) (continued)
Parkway Properties, Inc.		26,148	$	408,693
Physicians Realty Trust		2,956		49,838
Prologis, Inc.		24,880		1,067,850
Retail Properties of America, Inc., Class A		54,414		803,695
Sekisui House REIT, Inc.		223		243,000
Simon Property Group, Inc.		13,027		2,532,970
SL Green Realty Corp.		4,768		538,689
STAG Industrial, Inc.		24,492		451,877
STORE Capital Corp.		9,977		231,466
Sunstone Hotel Investors, Inc.		43,560		544,064
Taubman Centers, Inc.		2,053		157,506
UDR, Inc.		16,412		616,599
Vastned Retail NV		12,420		570,589
Vicinity Centres		561,130		1,138,351
Welltower, Inc.		18,341		1,247,738
Wereldhave NV		8,339		467,766
Westfield Corp.		129,310		889,642
				31,792,718
Real Estate Management & Development — 1.7%
Castellum AB		37,543		534,659
Cheung Kong Property Holdings Ltd.		146,000		944,472
Deutsche Wohnen AG, Bearer Shares		23,875		660,187
First Capital Realty, Inc.		22,939		304,207
Heiwa Real Estate Co., Ltd.		55,100		602,923
Howard Hughes Corp. (e)		1,734		196,219
Kennedy Wilson Europe Real Estate PLC		11,438		203,410
Kungsleden AB		47,619		340,260
KWG Property Holding Ltd.		567,500		418,340
LEG Immobilien AG		2,828		230,484
Leopalace21 Corp. (e)		37,600		203,519
Nomura Real Estate Holdings, Inc.		24,600		456,385
Sumitomo Realty & Development Co., Ltd.		36,000		1,027,536
Sun Hung Kai Properties Ltd.		92,000		1,105,801
VIB Vermoegen AG		16,300		302,821
Vonovia SE		17,683		546,282
Wharf Holdings Ltd.		124,000		683,671
				8,761,176
Total Common Stocks — 7.6%				41,390,923
Total Investments (Cost — $542,459,509) — 100.1%				544,526,812
Liabilities in Excess of Other Assets — (0.1)%				(679,947	)
Net Assets — 100.0%			$	543,846,865

See Notes to Financial Statements.

68 BLACKROCK FUNDS III DECEMBER 31, 2015

Schedule of Investments (continued) LifePath 2030 Master Portfolio

Notes to Schedule of Investments

(a) During the year ended December 31, 2015, investments in issuers considered to be affiliates of LifePath Master Portfolio for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/ Beneficial Interest Held at December 31,  2014		Shares/ Beneficial Interest Purchased		Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at December 31, 2015		Value at December 31, 2015		Net Income			Realized Gain (Loss)
Active Stock Master Portfolio	$	732,007,711		—	$	(604,302,456	)1	$	127,705,255	$	127,705,255	$	9,357,776		$	94,966,910	2
BlackRock Cash Funds: Institutional, SL Agency Shares		5,873,387		—		(4,105,198	)1		1,688,189	$	1,688,189	$	98,854	3		—
BlackRock Cash Funds: Prime, SL Agency Shares		8,407,500		—		(7,967,942	)1		439,558	$	439,558	$	70,989	3		—
BlackRock Commodity Strategies Fund		12,540,270		2,236,704		(11,603,768	)		3,173,206	$	19,293,094		—		$	(36,829,057	)
BlackRock Emerging Markets Fund, Inc.		6,115,000		1,127,696		(5,865,152	)		1,377,544	$	21,517,244	$	292,384		$	(15,459,424	)
CoreAlpha Bond Master Portfolio	$	591,843,692		—	$	(455,933,185	)1	$	135,910,507	$	135,910,507	$	13,352,007		$	4,565,718	2
International Tilts Master Portfolio	$	378,538,181		—	$	(295,988,895	)1	$	82,549,286	$	82,549,286	$	9,506,373		$	(9,480,741	)2
iShares Cohen & Steers REIT ETF4		1,164,738		150,554		(1,315,292	)		—		—	$	2,531,521		$	40,777,885	2
iShares International Developed Real Estate ETF4		3,234,964		301,660		(3,536,624	)		—		—	$	2,725,121		$	10,776,892	2
iShares MSCI Canada ETF		1,320,806		150,241		(1,173,758	)		297,289	$	6,391,713	$	371,052		$	(4,460,095	)2
iShares MSCI EAFE Small-Cap ETF		1,198,374		52,655		(1,017,884	)		233,145	$	11,645,593	$	797,607		$	11,671,739	2
iShares TIPS Bond ETF		587,067		55,245		(550,722	)		91,590	$	10,045,591	$	224,182		$	4,524,318	2
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	325,759,398		—	$	(254,314,131	)1	$	71,445,267	$	71,445,267	$	6,240,640		$	14,015,438	2
Master Small Cap Index Series	$	75,431,704		—	$	(60,927,112	)1	$	14,504,592	$	14,504,592	$	855,857		$	19,972,790	2
1    Represents net shares/beneficial interest sold.
2    Includes the following gains and (losses) from in-kind redemptions from affiliated holdings. See Note 2 of the Notes to Financial Statements.

Active Stock Master Portfolio		CoreAlpha Bond Master Portfolio		International Tilts Master Portfolio			iShares Cohen & Steers REIT ETF		iShares International Developed Real Estate  ETF		iShares MSCI Canada ETF			iShares MSCI EAFE Small- Cap ETF		iShares TIPS Bond ETF		Large Cap Index Master Portfolio (fka Russell  1000® Index Master Portfolio)		Master Small Cap Index Series
	$32,304,256	$	2,366,029	$	(7,449,640	)	$	36,247,642	$	13,186,757	$	(3,946,774	)	$	11,318,801	$	4,645,871	$	33,165,406	$	13,331,530

³    Represents all or a portion of 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.

⁴    No longer held by LifePath Master Portfolio as of period end.

(b) Security, or a portion of security, is on loan.

(c) Current yield as of period end.

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

(e) Non-income producing security.

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
CAD	43,000	USD	31,076	Morgan Stanley & Co. International PLC		1/21/16	$	(119	)
CAD	118,000	USD	85,889	Northern Trust Co.		1/21/16		(939	)
CHF	353,000	USD	356,656	Goldman Sachs International		1/21/16		(3,766	)
EUR	856,000	USD	935,354	HSBC Bank PLC		1/21/16		(5,113	)
EUR	88,000	USD	95,720	Morgan Stanley & Co. International PLC		1/21/16		(88	)
GBP	53,000	USD	78,117	Morgan Stanley & Co. International PLC		1/21/16		3
HKD	714,000	USD	92,144	Barclays Bank PLC		1/21/16		(3	)
ILS	174,000	USD	44,943	Deutsche Bank AG		1/21/16		(216	)
JPY	131,587,000	USD	1,082,898	Standard Chartered Bank		1/21/16		11,376
JPY	11,921,000	USD	99,266	UBS AG		1/21/16		(132	)
NOK	228,000	USD	26,253	Morgan Stanley & Co. International PLC		1/21/16		(498	)
NZD	59,000	USD	39,719	Goldman Sachs International		1/21/16		634
SEK	161,000	USD	19,073	Northern Trust Co.		1/21/16		33
SGD	921,000	USD	653,416	Barclays Bank PLC		1/21/16		(4,573	)
SGD	26,000	USD	18,339	Morgan Stanley & Co. International PLC		1/21/16		(22	)
USD	72,831	AUD	101,000	Barclays Bank PLC		1/21/16		(595	)

See Notes to Financial Statements.

BLACKROCK FUNDS III DECEMBER 31, 2015 69

Schedule of Investments (continued) LifePath 2030 Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	90,601	AUD	125,000	Northern Trust Co.		1/21/16	$	(272	)
USD	726,840	AUD	1,013,000	Royal Bank of Canada		1/21/16		(9,598	)
USD	24,473	CAD	34,000	Northern Trust Co.		1/21/16		(5	)
USD	97,390	EUR	90,000	Goldman Sachs International		1/21/16		(416	)
USD	26,126	EUR	24,000	Goldman Sachs International		1/21/16		44
USD	75,401	EUR	69,000	Morgan Stanley & Co. International PLC		1/21/16		417
USD	105,431	EUR	96,000	Morgan Stanley & Co. International PLC		1/21/16		1,105
USD	418,898	EUR	386,000	Royal Bank of Scotland PLC		1/21/16		(580	)
USD	184,573	GBP	124,000	Bank of America N.A.		1/21/16		1,800
USD	103,841	GBP	69,000	Morgan Stanley & Co. International PLC		1/21/16		2,138
USD	77,412	GBP	52,000	Northern Trust Co.		1/21/16		766
USD	86,421	GBP	58,000	Royal Bank of Scotland PLC		1/21/16		931
USD	774,398	HKD	6,001,000	Goldman Sachs International		1/21/16		(27	)
USD	61,299	HKD	475,000	Goldman Sachs International		1/21/16		1
USD	117,812	HKD	913,000	UBS AG		1/21/16		(10	)
USD	140,205	JPY	16,864,000	Morgan Stanley & Co. International PLC		1/21/16		(36	)
USD	46,935	JPY	5,673,000	Royal Bank of Scotland PLC		1/21/16		(242	)
USD	201,986	SEK	1,730,000	Bank of America N.A.		1/21/16		(3,314	)
USD	167,476	SEK	1,423,000	HSBC Bank PLC		1/21/16		(1,392	)
USD	19,260	SEK	161,000	Royal Bank of Scotland PLC		1/21/16		154
USD	141,685	SGD	200,000	Northern Trust Co.		1/21/16		785
USD	125,055	SGD	177,000	Standard Chartered Bank		1/21/16		359
Total							$	(11,410	)

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

Assets — Derivative Financial Instruments		Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Forward foreign currency exchange contracts	Net unrealized appreciation on forward currency exchange contracts		—		—		—	$	20,546		—		—	$	20,546
Liabilities — Derivative Financial Instruments
Forward foreign currency exchange contracts	Net unrealized depreciation on forward currency exchange contracts		—		—		—	$	31,956		—		—	$	31,956

For the year ended December 31, 2015, the effect of derivative financial instruments in the Statements of Operations was as follows:

Net Change in Unrealized Appreciation (Depreciation) on:	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts			Interest Rate Contracts		Other Contracts		Total
Forward foreign currency exchange contracts		—		—		—	$	(11,410	)		—		—	$	(11,410	)

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Forward foreign currency exchange contracts:
Average amounts purchased — in USD	$	971,587
Average amounts sold — in USD	$	914,716

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

Derivative Financial Instruments — Offsetting as of Period End

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

	Assets		Liabilities
Derivative Financial Instruments:
Forward foreign currency exchange contracts	$	20,546	$	31,956
Total derivative assets and liabilities in the Statements of Assets and Liabilities	$	20,546	$	31,956
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		—		—
Total derivative assets and liabilities subject to an MNA	$	20,546	$	31,956

See Notes to Financial Statements.

70 BLACKROCK FUNDS III DECEMBER 31, 2015

Schedule of Investments (concluded) LifePath 2030 Master Portfolio

The following table presents the LifePath Master Portfolio’s derivative assets and liabilities by counterparty net of amounts available for offset under an Master Netting Agreement (“MNA”) and net of the related collateral received and pledged by the LifePath Master Portfolio:

Counterparty	Derivative Assets Subject to an MNA by  Counterparty		Derivatives Available for Offset1			Non-cash Collateral Received		Cash Collateral Received		Net Amount of Derivative Assets2
Bank of America N.A.	$	1,800	$	(1,800	)		—		—		—
Goldman Sachs International		679		(679	)		—		—		—
Morgan Stanley & Co. International PLC		3,663		(763	)		—		—	$	2,900
Northern Trust Co.		1,584		(1,216	)		—		—		368
Royal Bank of Scotland PLC		1,085		(822	)		—		—		263
Standard Chartered Bank		11,735		—			—		—		11,735
Total	$	20,546	$	(5,280	)		—		—	$	15,266

Counterparty		Derivative Liabilities Subject to an MNA by  Counterparty		Derivatives Available for Offset1			Non-cash Collateral Pledged		Cash Collateral Pledged		Net Amount of Derivative Liabilities3
Bank of America N.A.		$	3,314	$	(1,800	)		—		—	$	1,514
Barclays Bank PLC			5,171		—			—		—		5,171
Deutsche Bank AG			216		—			—		—		216
Goldman Sachs International			4,209		(679	)		—		—		3,530
HSBC Bank PLC			6,505		—			—		—		6,505
Morgan Stanley & Co. International PLC			763		(763	)		—		—		—
Northern Trust Co.			1,216		(1,216	)		—		—		—
Royal Bank of Canada			9,598		—			—		—		9,598
Royal Bank of Scotland PLC			822		(822	)		—		—		—
UBS AG	��		142		—			—		—		142
Total		$	31,956	$	(5,280	)		—		—	$	26,676
1    The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.
2    Net amount represents the net amount receivable from the counterparty in the event of default.
3    Net amount represents the net amount payable due to the counterparty in the event of default.

Fair Value Hierarchy as of Period End

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

The following tables summarize LifePath Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies:
Equity Funds	$	58,847,644	$	296,204,400		—	$	355,052,044
Fixed Income Funds		10,045,591		135,910,507		—		145,956,098
Short-Term Securities		2,127,747		—		—		2,127,747
Common Stocks:
Hotels, Restaurants & Leisure		837,029		—		—		837,029
Real Estate Investment Trusts (REITs)		22,570,619		9,222,099		—		31,792,718
Real Estate Management & Development		803,247		7,957,929		—		8,761,176
Total	$	95,231,877	$	449,294,935		—	$	544,526,812

	Level 1	Level 2			Level 3		Total
Derivative Financial Instruments1
Assets:
Forward foreign currency exchange contracts	—	$	20,546			—	$	20,546
Liabilities:
Forward foreign currency exchange contracts	—		(31,956	)		—		(31,956	)
Total	—	$	(11,410	)		—	$	(11,410	)
1    Derivative financial instruments are forward foreign currency exchange contracts that are valued at the unrealized appreciation (depreciation) on the instrument.

The LifePath Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

	Level 1		Level 2			Level 3		Total
Assets:
Cash	$	180,824		—			—	$	180,824
Foreign currency at value		255,917		—			—		255,917
Liabilities:
Collateral on securities loaned at value		—	$	(1,008,821	)		—		(1,008,821	)
Total	$	436,741	$	(1,008,821	)		—	$	(572,080	)

During the year ended December 31, 2015, there were no transfers between levels.

See Notes to Financial Statements.

BLACKROCK FUNDS III DECEMBER 31, 2015 71

Schedule of Investments December 31, 2015 LifePath 2040 Master Portfolio (Percentages shown are based on Net Assets)

Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 80.3%
Active Stock Master Portfolio	$	113,154,626	$	113,154,626
BlackRock Commodity Strategies Fund		2,587,499		15,731,994
BlackRock Emerging Markets Fund, Inc.		1,391,835		21,740,457
International Tilts Master Portfolio	$	82,910,552		82,910,552
iShares MSCI Canada ETF		294,258		6,326,547
iShares MSCI EAFE Small-Cap ETF		236,258		11,801,087
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	81,187,428		81,187,428
Master Small Cap Index Series	$	9,147,421		9,147,421
				342,000,112
Fixed Income Fund — 7.4%
CoreAlpha Bond Master Portfolio	$	31,354,405		31,354,405
Short-Term Securities — 0.2%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.38% (b)		931,298		931,298
Total Affiliated Investment Companies — 87.9%				374,285,815
Common Stocks
Hotels, Restaurants & Leisure — 0.2%
Hilton Worldwide Holdings, Inc.		11,814		252,820
Pebblebrook Hotel Trust		12,878		360,842
RLJ Lodging Trust		18,072		390,897
				1,004,559
Real Estate Investment Trusts (REITs) — 9.1%
Alexandria Real Estate Equities, Inc.		8,243		744,837
Allied Properties Real Estate Investment Trust		35,823		817,325
AvalonBay Communities, Inc.		8,036		1,479,669
Beni Stabili SpA SIIQ		544,570		410,453
Boston Properties, Inc.		14,873		1,896,902
British Land Co. PLC		93,186		1,078,242
Cambridge Industrial Trust		1,323,900		527,543
CareTrust REIT, Inc.		53,399		584,719
CubeSmart		28,311		866,883
CyrusOne, Inc.		13,938		521,978
Derwent London PLC		11,763		636,231
Duke Realty Corp.		32,467		682,456
Empiric Student Property PLC		245,615		410,967
EPR Properties		9,671		565,270
Equity One, Inc.		24,384		662,026
Equity Residential		19,448		1,586,762
Essex Property Trust, Inc.		4,669		1,117,805
Extra Space Storage, Inc.		12,493		1,102,008
Federal Realty Investment Trust		1,358		198,404
General Growth Properties, Inc.		9,761		265,597
Goodman Group		332,830		1,508,201
Gramercy Property Trust		49,314		380,706
Japan Rental Housing Investments, Inc.		751		530,648
Kenedix Retail REIT Corp.		377		798,082
Kilroy Realty Corp.		14,207		899,019
Kimco Realty Corp.		20,173		533,778
Land Securities Group PLC		65,800		1,140,645
Link REIT		144,500		861,492
Macerich Co.		8,321		671,421
Merlin Properties Socimi SA		30,891		386,978
National Health Investors, Inc.		8,859		539,247
Parkway Properties, Inc.		32,577		509,179
Physicians Realty Trust		3,683		62,095
Prologis, Inc.		30,525		1,310,133
Retail Properties of America, Inc., Class A		66,761		986,060
Sekisui House REIT, Inc.		278		302,933

Common Stocks	Shares		Value
Real Estate Investment Trusts (REITs) (continued)
Simon Property Group, Inc.		15,983	$	3,107,735
SL Green Realty Corp.		5,941		671,214
STAG Industrial, Inc.		30,514		562,983
STORE Capital Corp.		12,430		288,376
Sunstone Hotel Investors, Inc.		53,421		667,228
Taubman Centers, Inc.		2,558		196,250
UDR, Inc.		20,448		768,231
Vastned Retail NV		15,474		710,893
Vicinity Centres		699,090		1,418,227
Welltower, Inc.		22,502		1,530,811
Wereldhave NV		10,389		582,758
Westfield Corp.		161,110		1,108,423
				39,189,823
Real Estate Management & Development — 2.7%
Castellum AB		46,773		666,106
Cheung Kong Property Holdings Ltd.		182,000		1,177,355
Deutsche Wohnen AG, Bearer Shares		29,745		822,503
First Capital Realty, Inc.		28,579		379,002
Heiwa Real Estate Co., Ltd.		68,700		751,739
Howard Hughes Corp. (c)		2,161		244,539
Kennedy Wilson Europe Real Estate PLC		14,251		253,436
Kungsleden AB		59,326		423,911
KWG Property Holding Ltd.		707,000		521,175
LEG Immobilien AG		3,523		287,126
Leopalace21 Corp. (c)		46,800		253,316
Nomura Real Estate Holdings, Inc.		30,700		569,553
Sumitomo Realty & Development Co., Ltd.		45,000		1,284,420
Sun Hung Kai Properties Ltd.		114,000		1,370,232
VIB Vermoegen AG		20,307		377,263
Vonovia SE		22,031		680,605
Wharf Holdings Ltd.		155,000		854,590
				10,916,871
Total Common Stocks — 12.0%				51,111,253
Total Investments (Cost — $422,802,051) — 99.9%				425,397,068
Other Assets Less Liabilities — 0.1%				558,626
Net Assets — 100.0%			$	425,955,694

See Notes to Financial Statements.

72 BLACKROCK FUNDS III DECEMBER 31, 2015

Schedule of Investments (continued) LifePath 2040 Master Portfolio

Notes to Schedule of Investments

(a) During the year ended December 31, 2015, investments in issuers considered to be affiliates of LifePath Master Portfolio for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/ Beneficial Interest Held at December 31, 2014		Shares/ Beneficial Interest Purchased		Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at December 31, 2015		Value at December 31, 2015		Net Income			Realized Gain (Loss)
Active Stock Master Portfolio	$	617,793,419		—	$	(504,638,793	)1	$	113,154,626	$	113,154,626	$	8,096,943		$	82,955,872	2
BlackRock Cash Funds: Institutional, SL Agency Shares		4,210,819		—		(3,279,521	)1		931,298	$	931,298	$	5,283			—
BlackRock Cash Funds: Prime, SL Agency Shares3		16,314,800		—		(16,314,800	)1		—		—	$	140,919	4		—
BlackRock Commodity Strategies Fund		10,188,103		1,745,798		(9,346,402	)		2,587,499	$	15,731,994		—		$	(29,168,486	)
BlackRock Emerging Markets Fund, Inc.		5,989,668		928,677		(5,526,510	)		1,391,835	$	21,740,457	$	291,036		$	(14,481,276	)
CoreAlpha Bond Master Portfolio	$	124,444,002		—	$	(93,089,597	)1	$	31,354,405	$	31,354,405	$	2,941,234		$	2,912,107	2
International Tilts Master Portfolio	$	367,981,472		—	$	(285,070,920	)1	$	82,910,552	$	82,910,552	$	9,153,944		$	(9,149,915	)2
iShares Cohen & Steers REIT ETF3		1,402,976		195,791		(1,598,767	)		—		—	$	3,021,839		$	42,833,072	2
iShares International Developed Real Estate ETF3		3,883,740		379,389		(4,263,129	)		—		—	$	3,292,393		$	9,027,132	2
iShares MSCI Canada ETF		1,285,655		140,080		(1,131,477	)		294,258	$	6,326,547	$	362,645		$	(4,181,510	)2
iShares MSCI EAFE Small-Cap ETF		1,170,755		55,263		(989,760	)		236,258	$	11,801,087	$	774,987		$	10,319,818	2
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	379,569,351		—	$	(298,381,923	)1	$	81,187,428	$	81,187,428	$	6,615,901		$	17,461,365	2
Master Small Cap Index Series	$	50,915,660		—	$	(41,768,239	)1	$	9,147,421	$	9,147,421	$	542,081		$	12,904,058	2
1    Represents net shares/beneficial interest sold.
2    Includes the following gains and (losses) from in-kind redemptions from affiliated holdings. See Note 2 of the Notes to Financial Statements.

Active Stock Master Portfolio		CoreAlpha Bond Master Portfolio		International Tilts Master Portfolio			iShares Cohen & Steers REIT ETF		iShares International Developed Real Estate ETF		iShares MSCI Canada ETF			iShares MSCI EAFE Small- Cap ETF		Large Cap Index Master Portfolio (fka Russell  1000® Index Master Portfolio)		Master Small Cap Index Series
	$27,156,891	$	531,526	$	(6,886,200	)	$	36,631,556	$	12,596,893	$	(3,464,193	)	$	9,374,779	$	32,956,171	$	7,597,361

³    No longer held by LifePath Master Portfolio as of period end.

⁴    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.

(b) Current yield as of period end.

(c) Non-income producing security.

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
CAD	38,000	USD	27,462	Morgan Stanley & Co. International PLC		1/21/16	$	(105	)
CAD	146,000	USD	106,270	Northern Trust Co.		1/21/16		(1,162	)
CHF	440,000	USD	444,557	Goldman Sachs International		1/21/16		(4,694	)
EUR	1,067,000	USD	1,165,978	Citibank N.A.		1/21/16		(6,438	)
EUR	75,000	USD	81,580	Morgan Stanley & Co. International PLC		1/21/16		(75	)
GBP	48,000	USD	70,748	Morgan Stanley & Co. International PLC		1/21/16		3
HKD	664,000	USD	85,691	Barclays Bank PLC		1/21/16		(3	)
ILS	217,000	USD	56,050	Deutsche Bank AG		1/21/16		(269	)
JPY	162,969,000	USD	1,341,156	Standard Chartered Bank		1/21/16		14,089
JPY	9,437,000	USD	78,580	UBS AG		1/21/16		(102	)
NOK	284,000	USD	32,701	Morgan Stanley & Co. International PLC		1/21/16		(621	)
NZD	73,000	USD	49,144	Goldman Sachs International		1/21/16		785
SEK	158,000	USD	18,718	Northern Trust Co.		1/21/16		32
SGD	1,148,000	USD	814,464	Barclays Bank PLC		1/21/16		(5,700	)
SGD	45,000	USD	31,740	Morgan Stanley & Co. International PLC		1/21/16		(38	)
USD	87,975	AUD	122,000	Goldman Sachs International		1/21/16		(717	)
USD	138,438	AUD	191,000	Northern Trust Co.		1/21/16		(416	)
USD	905,500	AUD	1,262,000	Royal Bank of Canada		1/21/16		(11,958	)

See Notes to Financial Statements.

BLACKROCK FUNDS III DECEMBER 31, 2015 73

Schedule of Investments (continued) LifePath 2040 Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	39,588	CAD	55,000	Northern Trust Co.		1/21/16	$	(7	)
USD	121,196	EUR	112,000	Goldman Sachs International		1/21/16		(518	)
USD	10,886	EUR	10,000	Goldman Sachs International		1/21/16		18
USD	170,228	EUR	155,000	Morgan Stanley & Co. International PLC		1/21/16		1,784
USD	521,994	EUR	481,000	Royal Bank of Scotland PLC		1/21/16		(723	)
USD	92,871	EUR	85,000	Royal Bank of Scotland PLC		1/21/16		499
USD	18,664	EUR	17,000	Royal Bank of Scotland PLC		1/21/16		190
USD	230,716	GBP	155,000	Bank of America N.A.		1/21/16		2,251
USD	129,425	GBP	86,000	Morgan Stanley & Co. International PLC		1/21/16		2,664
USD	120,585	GBP	81,000	Northern Trust Co.		1/21/16		1,193
USD	107,281	GBP	72,000	Royal Bank of Scotland PLC		1/21/16		1,156
USD	960,609	HKD	7,444,000	Goldman Sachs International		1/21/16		(34	)
USD	72,655	HKD	563,000	Northern Trust Co.		1/21/16		—
USD	178,718	HKD	1,385,000	UBS AG		1/21/16		(15	)
USD	276,278	JPY	33,231,000	Morgan Stanley & Co. International PLC		1/21/16		(70	)
USD	251,723	SEK	2,156,000	Bank of America N.A.		1/21/16		(4,130	)
USD	208,603	SEK	1,773,000	Citibank N.A.		1/21/16		(1,800	)
USD	28,590	SEK	239,000	Royal Bank of Scotland PLC		1/21/16		228
USD	177,169	SGD	250,000	Citibank N.A.		1/21/16		1,045
USD	24,850	SGD	35,000	Northern Trust Co.		1/21/16		192
USD	156,142	SGD	221,000	Standard Chartered Bank		1/21/16		447
Total							$	(13,019	)

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

Assets — Derivative Financial Instruments		Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Forward foreign currency exchange contracts	Net unrealized appreciation on forward currency exchange contracts		—		—		—	$	26,576		—		—	$	26,576
Liabilities — Derivative Financial Instruments
Forward foreign currency exchange contracts	Net unrealized depreciation on forward currency exchange contracts		—		—		—	$	39,595		—		—	$	39,595

For the year ended December 31, 2015, the effect of derivative financial instruments in the Statements of Operations was as follows:

Net Change in Unrealized Appreciation (Depreciation) on:	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts			Interest Rate Contracts		Other Contracts		Total
Forward foreign currency exchange contracts		—		—		—	$	(13,019	)		—		—	$	(13,019	)

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Forward foreign currency exchange contracts:
Average amounts purchased — in USD	$	1,257,671
Average amounts sold — in USD	$	1,101,210

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

Derivative Financial Instruments — Offsetting as of Period End

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

	Assets		Liabilities
Derivative Financial Instruments:
Forward foreign currency exchange contracts	$	26,576	$	39,595
Total derivative assets and liabilities in the Statements of Assets and Liabilities	$	26,576	$	39,595
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		—		—
Total derivative assets and liabilities subject to an MNA	$	26,576	$	39,595

See Notes to Financial Statements.

74 BLACKROCK FUNDS III DECEMBER 31, 2015

Schedule of Investments (continued) LifePath 2040 Master Portfolio

The following table presents the LifePath Master Portfolio’s derivative assets and liabilities by counterparty net of amounts available for offset under an Master Netting Agreement (“MNA”) and net of the related collateral received and pledged by the LifePath Master Portfolio:

Counterparty	Derivative Assets Subject to an MNA by  Counterparty		Derivatives Available for Offset1			Non-cash Collateral Received		Cash Collateral Received		Net Amount of Derivative Assets2
Bank of America N.A.	$	2,251	$	(2,251	)		—		—		—
Citibank N.A.		1,045		(1,045	)		—		—		—
Goldman Sachs International		803		(803	)		—		—		—
Morgan Stanley & Co. International PLC		4,451		(909	)		—		—	$	3,542
Northern Trust Co.		1,417		(1,417	)		—		—		—
Royal Bank of Scotland PLC		2,073		(723	)		—		—		1,350
Standard Chartered Bank		14,536		—			—		—		14,536
Total	$	26,576	$	(7,148	)		—		—	$	19,428

Counterparty	Derivative Liabilities Subject to an MNA by  Counterparty		Derivatives Available for Offset1			Non-cash Collateral Pledged		Cash Collateral Pledged		Net Amount of Derivative Liabilities3
Bank of America N.A.	$	4,130	$	(2,251	)		—		—	$	1,879
Barclays Bank PLC		5,703		—			—		—		5,703
Citibank N.A.		8,238		(1,045	)		—		—		7,193
Deutsche Bank AG		269		—			—		—		269
Goldman Sachs International		5,963		(803	)		—		—		5,160
Morgan Stanley & Co. International PLC		909		(909	)		—		—		—
Northern Trust Co.		1,585		(1,417	)		—		—		168
Royal Bank of Canada		11,958		—			—		—		11,958
Royal Bank of Scotland PLC		723		(723	)		—		—		—
UBS AG		117		—			—		—		117
Total	$	39,595	$	(7,148	)		—		—	$	32,447
1    The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.
2    Net amount represents the net amount receivable from the counterparty in the event of default.
3    Net amount represents the net amount payable due to the counterparty in the event of default.

Fair Value Hierarchy as of Period End

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

The following tables summarize LifePath Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies:
Equity Funds	$	55,600,085	$	286,400,027		—	$	342,000,112
Fixed Income Funds		—		31,354,405		—		31,354,405
Short-Term Securities		931,298		—		—		931,298
Common Stocks:
Hotels, Restaurants & Leisure		1,004,559		—		—		1,004,559
Real Estate Investment Trusts (REITs)		27,715,618		11,474,205		—		39,189,823
Real Estate Management & Development		1,000,804		9,916,067		—		10,916,871
Total	$	86,252,364	$	339,144,704		—	$	425,397,068

	Level 1	Level 2			Level 3		Total
Derivative Financial Instruments1
Assets:
Forward foreign currency exchange contracts	—	$	26,576			—	$	26,576
Liabilities:
Forward foreign currency exchange contracts	—		(39,595	)		—		(39,595	)
Total	—	$	(13,019	)		—	$	(13,019	)
1    Derivative financial instruments are forward foreign currency exchange contracts that are valued at the unrealized appreciation (depreciation) on the instrument.

See Notes to Financial Statements.

BLACKROCK FUNDS III DECEMBER 31, 2015 75

Schedule of Investments (concluded) LifePath 2040 Master Portfolio

The LifePath Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

	Level 1		Level 2		Level 3		Total
Assets:
Cash	$	211,877		—		—	$	211,877
Foreign currency at value		328,562		—		—		328,562
Total	$	540,439		—		—	$	540,439

During the year ended December 31, 2015, there were no transfers between levels.

See Notes to Financial Statements.

76 BLACKROCK FUNDS III DECEMBER 31, 2015

Schedule of Investments December 31, 2015 LifePath 2050 Master Portfolio (Percentages shown are based on Net Assets)

Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 84.5%
Active Stock Master Portfolio	$	35,160,143	$	35,160,143
BlackRock Commodity Strategies Fund		731,981		4,450,447
BlackRock Emerging Markets Fund, Inc.		392,434		6,129,812
International Tilts Master Portfolio	$	24,072,801		24,072,801
iShares MSCI Canada ETF (b)		85,881		1,846,442
iShares MSCI EAFE Small-Cap ETF		70,032		3,498,098
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	19,606,042		19,606,042
Master Small Cap Index Series	$	2,338,662		2,338,662
				97,102,447
Fixed Income Fund — 1.4%
CoreAlpha Bond Master Portfolio	$	1,595,987		1,595,987
Short-Term Securities — 1.5%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.38% (c)(d)		1,133,330		1,133,330
BlackRock Cash Funds: Prime, SL Agency Shares, 0.36% (c)(d)		650,208		650,208
				1,783,538
Total Affiliated Investment Companies — 87.4%				100,481,972
Common Stocks
Hotels, Restaurants & Leisure — 0.3%
Hilton Worldwide Holdings, Inc.		3,865		82,711
Pebblebrook Hotel Trust		4,016		112,528
RLJ Lodging Trust		5,682		122,902
				318,141
Real Estate Investment Trusts (REITs) — 10.3%
Alexandria Real Estate Equities, Inc.		2,578		232,948
Allied Properties Real Estate Investment Trust		10,604		241,937
AvalonBay Communities, Inc.		2,515		463,087
Beni Stabili SpA SIIQ		161,201		121,500
Boston Properties, Inc.		4,652		593,316
British Land Co. PLC		28,847		333,785
Cambridge Industrial Trust		391,900		156,163
CareTrust REIT, Inc.		15,807		173,087
CubeSmart		8,855		271,140
CyrusOne, Inc.		4,360		163,282
Derwent London PLC		3,614		195,472
Duke Realty Corp.		9,836		206,753
Empiric Student Property PLC		73,618		123,179
EPR Properties		3,027		176,928
Equity One, Inc.		7,353		199,634
Equity Residential		6,083		496,312
Essex Property Trust, Inc.		1,460		349,539
Extra Space Storage, Inc.		3,907		344,636
Federal Realty Investment Trust		402		58,732
General Growth Properties, Inc.		2,889		78,610
Goodman Group		99,924		452,800
Gramercy Property Trust		14,600		112,710
Japan Rental Housing Investments, Inc.		222		156,863
Kenedix Retail REIT Corp.		111		234,979
Kilroy Realty Corp.		4,462		282,355
Kimco Realty Corp.		6,276		166,063
Land Securities Group PLC		20,581		356,772
Link REIT		43,500		259,342
Macerich Co.		2,603		210,036
Merlin Properties Socimi SA		9,656		120,963
National Health Investors, Inc.		2,737		166,601
Parkway Properties, Inc.		10,041		156,941
Physicians Realty Trust		1,090		18,377

Common Stocks	Shares		Value
Real Estate Investment Trusts (REITs) (continued)
Prologis, Inc.		9,547	$	409,757
Retail Properties of America, Inc., Class A		20,881		308,412
Sekisui House REIT, Inc.		82		89,354
Simon Property Group, Inc.		4,999		972,006
SL Green Realty Corp.		1,837		207,544
STAG Industrial, Inc.		9,434		174,057
STORE Capital Corp.		3,680		85,376
Sunstone Hotel Investors, Inc.		16,545		206,647
Taubman Centers, Inc.		757		58,077
UDR, Inc.		6,236		234,287
Vastned Retail NV		4,581		210,456
Vicinity Centres		209,983		425,988
Welltower, Inc.		7,097		482,809
Wereldhave NV		3,142		176,247
Westfield Corp.		48,462		333,414
				12,049,273
Real Estate Management & Development — 3.0%
Castellum AB		13,846		197,184
Cheung Kong Property Holdings Ltd.		54,500		352,560
Deutsche Wohnen AG, Bearer Shares		8,805		243,474
First Capital Realty, Inc.		8,728		115,747
Heiwa Real Estate Co., Ltd.		20,300		222,130
Howard Hughes Corp. (e)		674		76,270
Kennedy Wilson Europe Real Estate PLC		4,426		78,711
Kungsleden AB		17,561		125,481
KWG Property Holding Ltd.		209,500		154,436
LEG Immobilien AG		1,043		85,005
Leopalace21 Corp. (e)		13,900		75,237
Nomura Real Estate Holdings, Inc.		9,100		168,825
Sumitomo Realty & Development Co., Ltd.		13,000		371,055
Sun Hung Kai Properties Ltd.		34,000		408,665
VIB Vermoegen AG		6,011		111,672
Vonovia SE		6,522		201,485
Wharf Holdings Ltd.		46,000		253,619
				3,241,556
Total Common Stocks — 13.6%				15,608,970
Total Investments (Cost — $112,650,842) — 101.0%				116,090,942
Liabilities in Excess of Other Assets — (1.0)%				(1,187,381	)
Net Assets — 100.0%			$	114,903,561

See Notes to Financial Statements.

BLACKROCK FUNDS III DECEMBER 31, 2015 77

Schedule of Investments (continued) LifePath 2050 Master Portfolio

Notes to Schedule of Investments

(a) During the year ended December 31, 2015, investments in issuers considered to be affiliates of LifePath Master Portfolio for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/ Beneficial Interest Held at December 31, 2014		Shares/ Beneficial Interest Purchased		Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at December 31, 2015		Value at December 31, 2015		Net Income			Realized Gain (Loss)
Active Stock Master Portfolio	$	147,719,967		—	$	(112,559,824	)1	$	35,160,143	$	35,160,143	$	2,065,481		$	16,482,916	2
BlackRock Cash Funds:
Institutional, SL Agency Shares		1,215,707		—		(82,377	)1		1,133,330	$	1,133,330	$	21,681	3		—
BlackRock Cash Funds: Prime, SL Agency Shares		2,950,000		—		(2,299,792	)1		650,208	$	650,208	$	15,499	3		—
BlackRock Commodity Strategies Fund		2,193,346		703,836		(2,165,201	)		731,981	$	4,450,447		—		$	(6,082,859	)
BlackRock Emerging Markets Fund, Inc.		1,329,101		398,421		(1,335,088	)		392,434	$	6,129,812	$	80,709		$	(3,642,960	)
CoreAlpha Bond Master Portfolio	$	4,957,761		—	$	(3,361,774	)1	$	1,595,987	$	1,595,987	$	138,927		$	350,554	2
International Tilts Master Portfolio	$	81,873,561		—	$	(57,800,760	)1	$	24,072,801	$	24,072,801	$	2,218,578		$	(2,484,699	)2
iShares Cohen & Steers REIT ETF4		327,853		108,868		(436,721	)		—		—	$	758,295		$	6,820,779	2
iShares International Developed Real Estate ETF4		901,660		263,918		(1,165,578	)		—		—	$	840,986		$	(1,021,576	)2
iShares MSCI Canada ETF		285,386		67,758		(267,263	)		85,881	$	1,846,442	$	92,382		$	(1,095,044	)2
iShares MSCI EAFE Small-Cap ETF		260,026		43,667		(233,661	)		70,032	$	3,498,098	$	196,277		$	1,951,036	2
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	69,086,943		—	$	(49,480,901	)1	$	19,606,042	$	19,606,042	$	1,353,270		$	4,241,583	2
Master Small Cap Index Series	$	11,565,177		—	$	(9,226,515	)1	$	2,338,662	$	2,338,662	$	128,962		$	869,960	2
1   Represents net shares/beneficial interest sold.
2   Includes the following gains and (losses) from in-kind redemptions from affiliated holdings. See Note 2 of the Notes to Financial Statements.

Active Stock Master Portfolio		CoreAlpha Bond Master Portfolio		International Tilts Master Portfolio			iShares Cohen & Steers REIT ETF		iShares International Developed Real Estate ETF		iShares MSCI Canada ETF			iShares MSCI EAFE Small- Cap ETF		Large Cap Index Master Portfolio (fka Russell  1000® Index Master Portfolio)		Master Small Cap Index Series
	$6,815,899	$	25,317	$	(1,644,112	)	$	4,930,170	$	260,526	$	(875,583	)	$	1,951,711	$	6,733,895	$	1,767,652

³   Represents all or a portion of 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.

⁴   No longer held by LifePath Master Portfolio as of period end.

(b) Security, or a portion of security, is on loan.

(c) Current yield as of period end.

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

(e) Non-income producing security.

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
CAD	25,000	USD	18,067	Morgan Stanley & Co. International PLC		1/21/16	$	(69	)
CAD	43,000	USD	31,299	Northern Trust Co.		1/21/16		(342	)
CHF	130,000	USD	131,346	Goldman Sachs International		1/21/16		(1,387	)
CHF	11,000	USD	11,049	Morgan Stanley & Co. International PLC		1/21/16		(52	)
EUR	315,000	USD	344,207	Goldman Sachs International		1/21/16		(1,887	)
EUR	38,000	USD	41,334	Morgan Stanley & Co. International PLC		1/21/16		(38	)
GBP	29,000	USD	42,744	Morgan Stanley & Co. International PLC		1/21/16		1
HKD	184,000	USD	23,746	Barclays Bank PLC		1/21/16		(1	)
ILS	64,000	USD	16,531	Deutsche Bank AG		1/21/16		(79	)
JPY	4,411,000	USD	36,730	Goldman Sachs International		1/21/16		(48	)
JPY	49,565,000	USD	407,896	Standard Chartered Bank		1/21/16		4,285
NOK	84,000	USD	9,672	Morgan Stanley & Co. International PLC		1/21/16		(184	)
NZD	21,000	USD	14,137	Goldman Sachs International		1/21/16		226

See Notes to Financial Statements.

78 BLACKROCK FUNDS III DECEMBER 31, 2015

Schedule of Investments (continued) LifePath 2050 Master Portfolio

Forward Foreign Currency Exchange Contracts (continued)

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
SEK	65,000	USD	7,700	Northern Trust Co.		1/21/16	$	13
SGD	339,000	USD	240,508	Barclays Bank PLC		1/21/16		(1,683	)
SGD	27,000	USD	19,044	Morgan Stanley & Co. International PLC		1/21/16		(23	)
USD	24,518	AUD	34,000	Goldman Sachs International		1/21/16		(200	)
USD	18,284	AUD	25,000	Goldman Sachs International		1/21/16		110
USD	268,349	AUD	374,000	Royal Bank of Canada		1/21/16		(3,544	)
USD	35,710	EUR	33,000	Goldman Sachs International		1/21/16		(153	)
USD	6,531	EUR	6,000	Goldman Sachs International		1/21/16		11
USD	154,102	EUR	142,000	Royal Bank of Scotland PLC		1/21/16		(213	)
USD	28,408	EUR	26,000	Royal Bank of Scotland PLC		1/21/16		153
USD	68,470	GBP	46,000	Bank of America N.A.		1/21/16		668
USD	39,129	GBP	26,000	Morgan Stanley & Co. International PLC		1/21/16		805
USD	31,290	GBP	21,000	Royal Bank of Scotland PLC		1/21/16		337
USD	287,383	HKD	2,227,000	Goldman Sachs International		1/21/16		(10	)
USD	20,132	HKD	156,000	Northern Trust Co.		1/21/16		—
USD	74,489	SEK	638,000	Bank of America N.A.		1/21/16		(1,222	)
USD	61,756	SEK	525,000	Citibank N.A.		1/21/16		(546	)
USD	51,733	SGD	73,000	Citibank N.A.		1/21/16		305
USD	46,631	SGD	66,000	Standard Chartered Bank		1/21/16		134
Total							$	(4,633	)

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

Assets — Derivative Financial Instruments		Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Forward foreign currency exchange contracts	Net unrealized appreciation on forward currency exchange contracts		—		—		—	$	7,048		—		—	$	7,048
Liabilities — Derivative Financial Instruments
Forward foreign currency exchange contracts	Net unrealized depreciation on forward currency exchange contracts		—		—		—	$	11,681		—		—	$	11,681

For the year ended December 31, 2015, the effect of derivative financial instruments in the Statements of Operations was as follows:

Net Change in Unrealized Appreciation (Depreciation) on:	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts			Interest Rate Contracts		Other Contracts		Total
Forward foreign currency exchange contracts		—		—		—	$	(4,633	)		—		—	$	(4,633	)

Average Quarterly Balances of Outstanding Derivative Financial Instruments
Forward foreign currency exchange contracts:
Average amounts purchased — in USD	$304,229
Average amounts sold — in USD	$349,002

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

Derivative Financial Instruments — Offsetting as of Period End

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

	Assets		Liabilities
Derivative Financial Instruments:
Forward foreign currency exchange contracts	$	7,048	$	11,681
Total derivative assets and liabilities in the Statements of Assets and Liabilities	$	7,048	$	11,681
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		—		—
Total derivative assets and liabilities subject to an MNA	$	7,048	$	11,681

See Notes to Financial Statements.

BLACKROCK FUNDS III DECEMBER 31, 2015 79

Schedule of Investments (continued) LifePath 2050 Master Portfolio

The following table presents the LifePath Master Portfolio’s derivative assets and liabilities by counterparty net of amounts available for offset under an Master Netting Agreement (“MNA”) and net of the related collateral received and pledged by the LifePath Master Portfolio:

Counterparty	Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset1			Non-cash Collateral Received		Cash Collateral Received		Net Amount of Derivative Assets2
Bank of America N.A.	$	668	$	(668	)		—		—		—
Citibank N.A.		305		(305	)		—		—		—
Goldman Sachs International		347		(347	)		—		—		—
Morgan Stanley & Co. International PLC		806		(366	)		—		—	$	440
Northern Trust Co.		13		(13	)		—		—		—
Royal Bank of Scotland PLC		490		(213	)		—		—		277
Standard Chartered Bank		4,419		—			—		—		4,419
Total	$	7,048	$	(1,912	)		—		—	$	5,136
Counterparty	Derivative Liabilities Subject to an MNA by Counterparty		Derivatives Available for Offset1			Non-cash Collateral Pledged		Cash Collateral Pledged		Net Amount of Derivative Liabilities3
Bank of America N.A.	$	1,222	$	(668	)		—		—	$	554
Barclays Bank PLC		1,684		—			—		—		1,684
Citibank N.A.		546		(305	)		—		—		241
Deutsche Bank AG		79		—			—		—		79
Goldman Sachs International		3,685		(347	)		—		—		3,338
Morgan Stanley & Co. International PLC		366		(366	)		—		—		—
Northern Trust Co.		342		(13	)		—		—		329
Royal Bank of Canada		3,544		—			—		—		3,544
Royal Bank of Scotland PLC		213		(213	)		—		—		—
Total	$	11,681	$	(1,912	)		—		—	$	9,769
1    The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.
2    Net amount represents the net amount receivable from the counterparty in the event of default.
3    Net amount represents the net amount payable due to the counterparty in the event of default.

Fair Value Hierarchy as of Period End

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

The following tables summarize LifePath Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies:
Equity Funds	$	15,924,799	$	81,177,648		—	$	97,102,447
Fixed Income Funds		—		1,595,987		—		1,595,987
Short-Term Securities		1,783,538		—		—		1,783,538
Common Stocks:
Hotels, Restaurants & Leisure		318,141		—		—		318,141
Real Estate Investment Trusts (REITs)		8,581,338		3,467,935		—		12,049,273
Real Estate Management & Development		303,689		2,937,867		—		3,241,556
Total	$	26,911,505	$	89,179,437		—	$	116,090,942

	Level 1	Level 2			Level 3		Total
Derivative Financial Instruments1
Assets:
Forward foreign currency exchange contracts	—	$	7,048			—	$	7,048
Liabilities:
Forward foreign currency exchange contracts	—		(11,681	)		—		(11,681	)
Total	—	$	(4,633	)		—	$	(4,633	)
1    Derivative financial instruments are forward foreign currency exchange contracts that are valued at the unrealized appreciation (depreciation) on the instrument.

See Notes to Financial Statements.

80 BLACKROCK FUNDS III DECEMBER 31, 2015

Schedule of Investments (concluded) LifePath 2050 Master Portfolio

The LifePath Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

	Level 1		Level 2			Level 3		Total
Assets:
Cash	$	340,224		—			—	$	340,224
Foreign currency at value		82,332		—			—		82,332
Liabilities:
Collateral on securities loaned at value		—	$	(1,492,280	)		—		(1,492,280	)
Total	$	422,556	$	(1,492,280	)		—	$	(1,069,724	)

During the year ended December 31, 2015, there were no transfers between levels.

See Notes to Financial Statements.

BLACKROCK FUNDS III DECEMBER 31, 2015 81

Statements of Assets and Liabilities Master Investment Portfolio

December 31, 2015	LifePath Retirement Master Portfolio		LifePath 2020 Master Portfolio		LifePath 2030 Master Portfolio		LifePath 2040 Master Portfolio		LifePath 2050 Master Portfolio
Assets
Investments at value — unaffiliated1	$	1,677,224	$	15,518,699	$	41,390,923	$	51,111,253	$	15,608,970
Investments at value — affiliated2,3		252,735,455		568,626,790		503,135,889		374,285,815		100,481,972
Cash		1,447		47,259		180,824		211,877		340,224
Foreign currency at value4		7,500		94,013		255,917		328,562		82,332
Receivables:
Dividends — unaffiliated		4,632		72,369		196,115		243,064		76,040
Investments sold — unaffiliated		97		3,586		10,004		12,883		30,090
Investments sold — affiliated		8,683,034		16,444,834		15,837,085		5,525,458		3,785,353
Securities lending income — affiliated		1,027		1,927		3,363		2,828		1,323
Unrealized appreciation on forward foreign currency exchange contracts		531		7,541		20,546		26,576		7,048
Total assets		263,110,947		600,817,018		561,030,666		431,748,316		120,413,352
Liabilities
Collateral on securities loaned at value		—		2,747,024		1,008,821		—		1,492,280
Payables:
Investments purchased — unaffiliated		476,052		458,014		584,029		678,611		249,984
Investments purchased — affiliated		6,564,696		14,600,000		12,802,000		3,035,000		1,582,000
Withdrawals to investors		1,864,523		2,133,300		2,698,718		1,990,400		2,151,233
Professional fees		19,826		21,785		21,033		19,635		16,244
Independent Trustees’ fees		11,359		19,038		18,294		13,713		3,905
Investment advisory fees		6,114		21,187		18,950		15,668		2,464
Unrealized depreciation on forward foreign currency exchange contracts		1,027		12,116		31,956		39,595		11,681
Total liabilities		8,943,597		20,012,464		17,183,801		5,792,622		5,509,791
Net Assets	$	254,167,350	$	580,804,554	$	543,846,865	$	425,955,694	$	114,903,561
Net Assets Consist of
Investors’ capital	$	240,378,259	$	575,331,731	$	541,792,458	$	423,375,597	$	111,468,653
Net unrealized appreciation (depreciation)		13,789,091		5,472,823		2,054,407		2,580,097		3,434,908
Net Assets	$	254,167,350	$	580,804,554	$	543,846,865	$	425,955,694	$	114,903,561
1    Investments at cost — unaffiliated	$	1,677,303	$	15,338,628	$	40,904,080	$	50,515,308	$	15,425,909
2    Investments at cost — affiliated	$	238,945,438	$	563,328,868	$	501,555,429	$	372,286,743	$	97,224,933
3    Securities loaned at value		—	$	2,690,121	$	981,432		—	$	1,451,766
4    Foreign currency at cost	$	7,540	$	94,526	$	257,331	$	330,371	$	82,782

See Notes to Financial Statements.
82	BLACKROCK FUNDS III	DECEMBER 31, 2015

Statements of Operations Master Investment Portfolio

Year Ended December 31, 2015	LifePath Retirement Master Portfolio			LifePath 2020 Master Portfolio			LifePath 2030 Master Portfolio			LifePath 2040 Master Portfolio			LifePath 2050 Master Portfolio
Investment Income
Dividends — affiliated	$	1,041,521		$	3,780,306		$	6,941,867		$	7,742,900		$	1,968,649
Dividends — unaffiliated		5,209			82,955			224,878			278,898			86,647
Securities lending — affiliated — net		49,600			105,426			162,926			140,919			35,570
Income — affiliated		3,592			6,279			6,917			5,283			1,610
Foreign taxes withheld		(651	)		(10,579	)		(28,744	)		(35,811	)		(10,601	)
Net investment income allocated from the applicable Underlying Master Portfolios:
Dividends		9,315,132			21,615,165			28,239,219			26,444,572			6,256,264
Interest		18,865,927			27,355,187			14,968,800			3,602,680			247,891
Expenses		(2,837,578	)		(5,373,351	)		(5,151,400	)		(3,765,549	)		(868,888	)
Fees waived		381,888			1,003,492			1,256,034			1,068,400			269,951
Total income		26,824,640			48,564,880			46,620,497			35,482,292			7,987,093
Expenses
Investment advisory		4,768,478			8,606,026			8,240,377			6,293,827			1,421,461
Independent Trustees		48,370			80,874			77,890			60,417			18,830
Professional		26,739			27,650			27,558			27,284			26,166
Total expenses		4,843,587			8,714,550			8,345,825			6,381,528			1,466,457
Less fees waived by the Manager		(3,806,273	)		(7,183,787	)		(7,327,185	)		(5,886,031	)		(1,389,246	)
Total expenses after fees waived		1,037,314			1,530,763			1,018,640			495,497			77,211
Net investment income		25,787,326			47,034,117			45,601,857			34,986,795			7,909,882
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments — unaffiliated		385			6,359			19,477			34,398			(81	)
Investments — affiliated		(27,139,482	)		(44,580,753	)		(50,450,039	)		(40,790,285	)		(9,337,448	)
In-kind redemptions — affiliated1		10,176,177			44,229,792			61,452,297			55,139,035			6,266,824
Foreign currency transactions		166			2,802			7,596			9,460			2,801
Allocation from the applicable Underlying Master Portfolios from investments, financial futures contracts, swaps and foreign currency transactions		19,816,197			47,284,814			50,322,534			45,727,738			5,761,663
Allocation from the applicable Underlying Master Portfolios from in-kind redemptions1		35,449,619			65,711,717			73,717,581			61,355,749			13,698,651
		38,303,062			112,654,731			135,069,446			121,476,095			16,392,410
Net change in unrealized appreciation (depreciation) on:
Investments — unaffiliated		9,074			174,901			473,495			581,024			177,869
Investments — affiliated		(960,390	)		(86,397,767	)		(53,282,789	)		(52,571,285	)		(6,569,933	)
Foreign currency translations		(847	)		(5,170	)		(12,896	)		(14,920	)		(5,192	)
Allocation from the applicable Underlying Master Portfolios from investments, financial futures contracts, swaps and foreign currency translations		(62,532,271	)		(73,075,723	)		(128,231,592	)		(103,920,333	)		(18,789,649	)
		(63,484,434	)		(159,303,759	)		(181,053,782	)		(155,925,514	)		(25,186,905	)
Net realized and unrealized loss		(25,181,372	)		(46,649,029	)		(45,984,335	)		(34,449,419	)		(8,794,494	)
Net Increase (Decrease) in Net Assets Resulting from Operations	$	605,954		$	385,089		$	(382,479	)	$	537,376		$	(884,613	)
1    See Note 2 of the Notes to Financial Statements.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	83

Statements of Changes in Net Assets Master Investment Portfolio

	LifePath Retirement Master Portfolio						LifePath 2020 Master Portfolio
	Year Ended December 31,						Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014			2015			2014
Operations
Net investment income	$	25,787,326		$	32,131,672		$	47,034,117		$	57,673,762
Net realized gain		38,303,062			83,848,609			112,654,731			189,153,644
Net change in unrealized appreciation (depreciation)		(63,484,434	)		(33,798,562	)		(159,303,759	)		(94,650,978	)
Net increase in net assets resulting from operations		605,954			82,181,719			385,089			152,176,428
Capital Transactions
Proceeds from contributions		300,179,102			175,047,598			464,173,999			288,154,878
Value of withdrawals1		(1,636,813,035	)		(253,441,996	)		(2,759,248,995	)		(396,106,580	)
Net decrease in net assets derived from capital transactions		(1,336,633,933	)		(78,394,398	)		(2,295,074,996	)		(107,951,702	)
Net Assets
Total increase (decrease) in net assets		(1,336,027,979	)		3,787,321			(2,294,689,907	)		44,224,726
Beginning of year		1,590,195,329			1,586,408,008			2,875,494,461			2,831,269,735
End of year	$	254,167,350		$	1,590,195,329		$	580,804,554		$	2,875,494,461
1    See Note 2 of the Notes to Financial Statements.

See Notes to Financial Statements.
84	BLACKROCK FUNDS III	DECEMBER 31, 2015

Statements of Changes in Net Assets Master Investment Portfolio

	LifePath 2030 Master Portfolio						LifePath 2040 Master Portfolio
	Year Ended December 31,						Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014			2015			2014
Operations
Net investment income	$	45,601,857		$	54,291,020		$	34,986,795		$	42,311,359
Net realized gain		135,036,446			209,284,609			121,476,095			184,817,567
Net change in unrealized appreciation (depreciation)		(181,053,782	)		(114,220,706	)		(155,925,514	)		(107,609,728	)
Net increase in net assets resulting from operations		(382,479	)		149,354,923			537,376			119,519,198
Capital Transactions
Proceeds from contributions		520,309,935			299,751,622			394,402,394			231,414,329
Value of withdrawals1		(2,678,876,359	)		(397,791,695	)		(2,058,297,441	)		(326,313,422	)
Net decrease in net assets derived from capital transactions		(2,158,566,424	)		(98,040,073	)		(1,663,895,047	)		(94,899,093	)
Net Assets
Total increase (decrease) in net assets		(2,158,948,903	)		51,314,850			(1,663,357,671	)		24,620,105
Beginning of year		2,702,795,768			2,651,480,918			2,089,313,365			2,064,693,260
End of year	$	543,846,865		$	2,702,795,768		$	425,955,694		$	2,089,313,365
1    See Note 2 of the Notes to Financial Statements.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	85

Statements of Changes in Net Assets Master Investment Portfolio

	LifePath 2050 Master Portfolio
	Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014
Operations
Net investment income	$	7,909,882		$	8,351,985
Net realized gain		16,392,410			32,258,986
Net change in unrealized appreciation (depreciation)		(25,186,905	)		(18,115,900	)
Net increase (decrease) in net assets resulting from operations		(884,613	)		22,495,071
Capital Transactions
Proceeds from contributions		154,043,711			110,692,340
Value of withdrawals1		(477,699,188	)		(109,007,078	)
Net increase (decrease) in net assets derived from capital transactions		(323,655,477	)		1,685,262
Net Assets
Total increase (decrease) in net assets		(324,540,090	)		24,180,333
Beginning of year		439,443,651			415,263,318
End of year	$	114,903,561		$	439,443,651
1  �� See Note 2 of the Notes to Financial Statements.

See Notes to Financial Statements.
86	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights Master Investment Portfolio

	LifePath Retirement Master Portfolio
	Year Ended December 31,
	2015			2014			2013			2012			2011
Total Return
Total return		(1.02)%			5.25%			6.75%			9.11%			4.46%
Ratios to Average Net Assets
Total expenses		0.54%	1,2,3		0.54%	4,5,6		0.54%	4,5,6		0.55%	7,8,9		0.55%	7,8,9
Total expenses after fees waived and/or reimbursed		0.26%	1,2,3		0.25%	4,5,6		0.25%	4,5,6		0.28%	7,8,9		0.27%	7,8,9
Net investment income10		1.88%	1,2,3		2.02%	4,5,6		1.83%	4,5,6		2.22%	7,8,9		2.77%	7,8,9
Supplemental Data
Net assets, end of year (000)		$    254,167			$ 1,590,195			$ 1,586,408			$ 1,491,576			$ 1,387,033
Portfolio turnover rate		21%	11		14%	12		17%	12		4%	13		4%	13

¹  Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

²  Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated fees waived of 0.03% for the year ended December 31, 2015.

³  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.09% for the year ended December 31, 2015, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated expenses and/or net investment income.

⁴  Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

⁵  Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.03% and 0.03% for the years ended December 31, 2014 and December 31, 2013, respectively.

⁶  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.10% and 0.10% for the years ended December 31, 2014 and December 31, 2013, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated expenses and/or net investment income.

⁷  Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series, and Total International ex U.S. Index Master Portfolio. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

⁸  Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.03% and 0.02% for the years ended December 31, 2012 and December 31, 2011, respectively.

⁹  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.08% and 0.08% for the years ended December 31, 2012 and December 31, 2011, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated expenses and/or net investment income.

¹⁰ Includes the LifePath Master Portfolio’s share of the allocated net investment income from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio, except for the years ended December 31, 2015, December 31, 2014 and December 31, 2013, which also includes International Tilts Master Portfolio. For the year ended December 31, 2015, the ratio does not include Total International ex U.S. Index Master Portfolio, which is no longer held by the LifePath Master Portfolio.

¹¹ Includes the purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

¹² Includes the purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

¹³ Excludes purchases and sales of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 13% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	87

Financial Highlights Master Investment Portfolio

	LifePath 2020 Master Portfolio
	Year Ended December 31,
	2015			2014			2013			2012			2011
Total Return
Total return		(1.28)%			5.56%			10.17%			11.49%			1.96%
Ratios to Average Net Assets
Total expenses		0.53%	1,2,3		0.54%	4,5,6		0.53%	4,5,6		0.53%	7,8,9		0.53%	7,8,9
Total expenses after fees waived and/or reimbursed		0.24%	1,2,3		0.24%	4,5,6		0.23%	4,5,6		0.25%	7,8,9		0.25%	7,8,9
Net investment income10		1.90%	1,2,3		2.01%	4,5,6		1.97%	4,5,6		2.30%	7,8,9		2.56%	7,8,9
Supplemental Data
Net assets, end of year (000)		$    580,805			$ 2,875,494			$ 2,831,270			$ 2,524,316			$ 2,358,583
Portfolio turnover rate		18%	11		21%	12		19%	12		5%	13		5%	13

¹  Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

²  Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated fees waived of 0.04% for the year ended December 31, 2015.

³  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.11% for the year ended December 31, 2015, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated expenses and/or net investment income.

⁴  Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

⁵  Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.04% and 0.03% for the years ended December 31, 2014 and December 31, 2013, respectively.

⁶  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.11% and 0.12% for the years ended December 31, 2014 and December 31, 2013, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated expenses and/or net investment income.

⁷  Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series, and Total International ex U.S. Index Master Portfolio. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

⁸  Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.03% and 0.03% for the years ended December 31, 2012 and December 31, 2011, respectively.

⁹  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.11% and 0.11% for the years ended December 31, 2012 and December 31, 2011, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated expenses and/or net investment income.

¹⁰ Includes the LifePath Master Portfolio’s share of the allocated net investment income from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio, except for the years ended December 31, 2015, December 31, 2014 and December 31, 2013, which also includes International Tilts Master Portfolio. For the year ended December 31, 2015, the ratio does not include Total International ex U.S. Index Master Portfolio, which is no longer held by the LifePath Master Portfolio.

¹¹ Includes the purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

¹² Includes the purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

¹³ Excludes purchases and sales of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 15% and 23% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
88	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights Master Investment Portfolio

	LifePath 2030 Master Portfolio
	Year Ended December 31,
	2015			2014			2013			2012			2011
Total Return
Total return		(1.55)%			5.82%			14.16%			13.59%			(0.13)%
Ratios to Average Net Assets
Total expenses		0.52%	1,2,3		0.53%	4,5,6		0.52%	4,5,6		0.53%	7,8,9		0.52%	7,8,9
Total expenses after fees waived and/or reimbursed		0.21%	1,2,3		0.21%	4,5,6		0.20%	4,5,6		0.23%	7,8,9		0.22%	7,8,9
Net investment income10		1.93%	1,2,3		2.02%	4,5,6		2.13%	4,5,6		2.37%	7,8,9		2.39%	7,8,9
Supplemental Data
Net assets, end of year (000)		$    543,847			$ 2,702,796			$ 2,651,481			$ 2,237,444			$ 2,014,111
Portfolio turnover rate		21%	11		33%	12		22%	12		5%	13		7%	13

¹  Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

²  Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated fees waived of 0.05% for the year ended December 31, 2015.

³  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.14% for the year ended December 31, 2015, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated expenses and/or net investment income.

⁴  Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

⁵  Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.05% and 0.05% for the years ended December 31, 2014 and December 31, 2013, respectively.

⁶  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.14% and 0.15% for the years ended December 31, 2014 and December 31, 2013, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated expenses and/or net investment income.

⁷  Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series, and Total International ex U.S. Index Master Portfolio. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

⁸  Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.04% and 0.04% for the years ended December 31, 2012 and December 31, 2011, respectively.

⁹  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.13% for the years ended December 31, 2012 and December 31, 2011, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated expenses and/or net investment income.

¹⁰ Includes the LifePath Master Portfolio’s share of the allocated net investment income from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio, except for the years ended December 31, 2015, December 31, 2014 and December 31, 2013, which also includes International Tilts Master Portfolio. For the year ended December 31, 2015, the ratio does not include Total International ex U.S. Index Master Portfolio, which is no longer held by the LifePath Master Portfolio.

¹¹ Includes the purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

¹² Includes the purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

¹³ Excludes purchases and sales of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 16% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	89

Financial Highlights Master Investment Portfolio

	LifePath 2040 Master Portfolio
	Year Ended December 31,
	2015			2014			2013			2012			2011
Total Return
Total return		(1.79)%			5.98%			17.42%			15.23%			(1.88)%
Ratios to Average Net Assets
Total expenses		0.50%	1,2,3		0.53%	4,5,6		0.51%	4,5,6		0.52%	7,8,9		0.52%	7,8,9
Total expenses after fees waived and/or reimbursed		0.18%	1,2,3		0.19%	4,5,6		0.18%	4,5,6		0.21%	7,8,9		0.20%	7,8,9
Net investment income10		1.94%	1,2,3		2.03%	4,5,6		2.26%	4,5,6		2.44%	7,8,9		2.24%	7,8,9
Supplemental Data
Net assets, end of year (000)		$    425,956			$ 2,089,313			$ 2,064,693			$ 1,701,257			$ 1,509,756
Portfolio turnover rate		19%	11		42%	12		26%	12		4%	13		8%	13

¹  Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

²  Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated fees waived of 0.06% for the year ended December 31, 2015.

³  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.17% for the year ended December 31, 2015, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated expenses and/or net investment income.

⁴  Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

⁵  Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.06% and 0.05% for the years ended December 31, 2014 and December 31, 2013, respectively.

⁶  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.16% and 0.17% for the years ended December 31, 2014 and December 31, 2013, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated expenses and/or net investment income.

⁷  Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series, and Total International ex U.S. Index Master Portfolio. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

⁸  Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.05% and 0.04% for the years ended December 31, 2012 and December 31, 2011, respectively.

⁹  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.15% and 0.15% for the years ended December 31, 2012 and December 31, 2011, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated expenses and/or net investment income.

¹⁰ Includes the LifePath Master Portfolio’s share of the allocated net investment income from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio, except for the years ended December 31, 2015, December 31, 2014 and December 31, 2013, which also includes International Tilts Master Portfolio. For the year ended December 31, 2015, the ratio does not include Total International ex U.S. Index Master Portfolio, which is no longer held by the LifePath Master Portfolio.

¹¹ Includes the purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

¹² Includes the purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

¹³ Excludes purchases and sales of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 14% and 20% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
90	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights Master Investment Portfolio

	LifePath 2050 Master Portfolio
	Year Ended December 31,
	2015			2014			2013			2012			2011
Total Return
Total return		(1.96)%			6.23%			20.32%			16.55%			(3.28)%
Ratios to Average Net Assets
Total expenses		0.51%	1,2,3		0.53%	4,5,6		0.53%	4,5,6		0.54%	7,8,9		0.53%	7,8,9
Total expenses after fees waived and/or reimbursed		0.17%	1,2,3		0.18%	4,5,6		0.20%	4,5,6		0.21%	7,8,9		0.18%	7,8,9
Net investment income10		1.94%	1,2,3		2.04%	4,5,6		2.46%	4,5,6		2.51%	7,8,9		2.18%	7,8,9
Supplemental Data
Net assets, end of year (000)		$ 114,904			$ 439,444			$ 415,263			$ 267,851			$ 180,087
Portfolio turnover rate		36%11			48%	12		28%	12		5%	13		13%	13

¹  Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

²  Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated fees waived of 0.07% for the year ended December 31, 2015.

³  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.19% for the year ended December 31, 2015, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series allocated expenses and/or net investment income.

⁴  Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

⁵  Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.07% and 0.06% for the years ended December 31, 2014 and December 31, 2013, respectively.

⁶  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.17% and 0.15% for the years ended December 31, 2014 and December 31, 2013, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated expenses and/or net investment income.

⁷  Includes the LifePath Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series, and Total International ex U.S. Index Master Portfolio. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Commodity Strategies Fund, BlackRock Emerging Markets Fund, Inc. and iShares exchange-traded funds.

⁸  Includes the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated fees waived of 0.06% and 0.05% for the years ended December 31, 2012 and December 31, 2011, respectively.

⁹  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.15% and 0.17% for the years ended December 31, 2012 and December 31, 2011, respectively, although the ratio does include the LifePath Master Portfolio’s share of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio allocated expenses and/or net investment income.

¹⁰ Includes the LifePath Master Portfolio’s share of the allocated net investment income from Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio, except for the years ended December 31, 2015, December 31, 2014 and December 31, 2013, which also includes International Tilts Master Portfolio. For the year ended December 31, 2015, the ratio does not include Total International ex U.S. Index Master Portfolio, which is no longer held by the LifePath Master Portfolio.

¹¹ Includes the purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series.

¹² Includes the purchases and sales of the underlying funds and Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio.

¹³ Excludes purchases and sales of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and Total International ex U.S. Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 15% and 29% for the years ended December 31, 2012 and December 31, 2011, respectively.

See Notes to Financial Statements.
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Notes to Financial Statements Master Investment Portfolio

1. Organization:

Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a diversified, open-end management investment company. MIP is organized as a Delaware statutory trust. The financial statements and these accompanying notes relate to five series of MIP: LifePath^® Retirement Master Portfolio, LifePath^® 2020 Master Portfolio, LifePath^® 2030 Master Portfolio, LifePath^® 2040 Master Portfolio and LifePath^® 2050 Master Portfolio (each, a “LifePath Master Portfolio” and together, the “LifePath Master Portfolios”).

As of period end, the investment of LifePath 2040 Master Portfolio and LifePath 2050 Master Portfolio in the Active Stock Master Portfolio represented 26.6% and 30.6%, respectively, of net assets. The investment of LifePath Retirement Master Portfolio, LifePath 2020 Master Portfolio and LifePath 2030 Master Portfolio in the CoreAlpha Bond Master Portfolio represented 50.9%, 42.4% and 25.0% of net assets, respectively. As such, financial statements of Active Stock Master Portfolio and CoreAlpha Bond Master Portfolio, including the Schedules of Investments, should be read in conjunction with each respective LifePath Master Portfolio’s financial statements. Active Stock Master Portfolio’s, CoreAlpha Bond Master Portfolio’s and International Tilts Master Portfolio’s financial statements are available, without charge, on the U.S. Securities and Exchange Commission’s (“SEC’s”) website at http://www.sec.gov.

The LifePath Master Portfolios will generally invest in other registered investment companies (each, an “Underlying Fund” and collectively the “Underlying Funds”) that are managed by subsidiaries of BlackRock, Inc. (“BlackRock”) and its affiliates and affiliates of the LifePath Master Portfolios. The LifePath Master Portfolios may also invest in other master portfolios (“Underlying Master Portfolios”) that are managed by subsidiaries of BlackRock.

The value of a LifePath Master Portfolio’s investment in each of Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series reflects that LifePath Master Portfolio’s proportionate interest in the net assets of that master portfolio. As of period end, the LifePath Master Portfolios held interests in Active Stock Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Large Cap Index Master Portfolio and Master Small Cap Index Series as follows:

	Active Stock Master Portfolio		CoreAlpha Bond Master Portfolio		International Tilts Master Portfolio		Large Cap Index Master Portfolio		Master Small Cap Index Series
LifePath Retirement Master Portfolio		6.4%		15.9%		6.6%		1.0%		2.1%
LifePath 2020 Master Portfolio		22.2%		30.2%		20.2%		2.0%		4.5%
LifePath 2030 Master Portfolio		28.6%		16.7%		27.1%		2.8%		3.1%
LifePath 2040 Master Portfolio		25.4%		3.8%		27.2%		3.2%		2.0%
LifePath 2050 Master Portfolio		7.9%		0.2%		7.9%		0.8%		0.5%

The LifePath Master Portfolios, together with certain other registered investment companies advised by BlackRock Fund Advisors (“BFA” or the “Manager”) or its affiliates, is included in a complex of open-end funds referred to as the Equity-Liquidity 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. Each LifePath 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:

Foreign Currency: Each LifePath Master Portfolio’s books and records are maintained in U.S. dollars. 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.

Each LifePath Master Portfolio does not isolate changes in the exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements 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. Each LifePath 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 federal income tax purposes.

Segregation and Collateralization: In cases where a LifePath Master Portfolio enters into certain investments (e.g., forward foreign currency exchange contracts) that would be treated as “senior securities” for 1940 Act purposes, a LifePath 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 LifePath Master Portfolios 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.

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Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the LifePath Master Portfolios are 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, some 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 the accrual basis.

Each LifePath Master Portfolio records daily its proportionate share of the Underlying Master Portfolios’ income, expenses and realized and unrealized gains and losses.

In-Kind Redemptions: The LifePath Master Portfolios satisfied certain redemptions in investors’ capital through an in-kind redemption of securities, mutual funds and cash received from the Master Portfolios. For financial reporting purposes, these transactions were treated as a sale of securities and the resulting gains and losses were recognized based on the market value of the securities on the date of the redemption. Gains and losses resulting from such redemptions in-kind are included in in-kind redemptions - affiliated and the allocation from the applicable Underlying Master Portfolios from in-kind redemptions in the Statements of Operations. For tax purposes, no gains or losses were recognized. For the year ended December 31, 2015, the LifePath Master Portfolios had redemptions-in-kind of:

LifePath Retirement Master Portfolio	LifePath 2020 Master Portfolio		LifePath 2030 Master Portfolio		LifePath 2040 Master Portfolio		LifePath 2050 Master Portfolio
$214,660,215	$	370,308,876	$	425,280,989	$	364,218,851	$	83,345,198

Indemnifications: In the normal course of business, a LifePath Master Portfolio enters into contracts that contain a variety of representations that provide general indemnification. A LifePath Master Portfolio’s maximum exposure under these arrangements is unknown because it involves future potential claims against a LifePath Master Portfolio, which cannot be predicted with any certainty.

Other: Expenses directly related to a LifePath Master Portfolio are charged to that LifePath 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 LifePath Master Portfolios have an arrangement with their custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statements of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges. Effective September 2015, the arrangement with their custodian for earning credits on uninvested cash balances has ceased and the custodian will be imposing fees on certain uninvested cash balances.

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: The LifePath Master Portfolios’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the LifePath Master Portfolios would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The LifePath Master Portfolios determine the fair values of their financial instruments using independent dealers or pricing services under policies approved by the Board of Trustees of MIP (the “Board”). The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to provide oversight of the pricing function for the LifePath Master Portfolios for all financial instruments.

Fair Value Inputs and Methodologies: The following methods (or “techniques”) and inputs are used to establish the fair value of each LifePath Master Portfolio’s assets and liabilities:

• Equity investments traded on a recognized securities exchange are valued at the official close price each day, if available. For equity investments traded on more than one exchange, the official close price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price. Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of the LifePath Master Portfolios’ net assets. Each business day, the LifePath Master Portfolios use 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 business on the NYSE, which follows the close of the local markets.

• The market value of the LifePath Master Portfolios’ investments in the Underlying Funds is based on the published net asset value (“NAV”) of each Underlying Fund computed as of the close of regular trading on the NYSE on days when the NYSE is open.

• Investments in open-end U.S. mutual funds are valued at NAV each business day.

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• 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 business on the NYSE. Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such instruments, 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”). When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each LifePath 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 consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:

• Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each LifePath 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 each LifePath Master Portfolio’s own assumptions used in determining the fair value of investments and derivative financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as Level 3. The fair value hierarchy for each LifePath Master Portfolio’s investments and derivative financial instruments has been included in the Schedules of Investments.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with each LifePath Master Portfolio’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

4. Securities and Other Investments:

Securities Lending: Certain LifePath Master Portfolios may lend their securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the LifePath Master Portfolios 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 each LifePath 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 LifePath Master Portfolio and any additional required collateral is delivered to the LifePath Master Portfolio, or excess collateral returned by the LifePath Master Portfolio, on the next business day. During the term of the loan, the LifePath Master Portfolios are entitled to all distributions made on or in respect of the loaned securities. 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 or affiliated investments in the LifePath Master Portfolios’ Schedules of Investments, and the value of any related collateral are shown separately in the Statements 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. The cash collateral invested by the securities lending agent, BlackRock Institutional Trust Company, N.A. (“BTC”), if any, is disclosed in the Schedules of Investments.

Securities lending transactions are entered into by the LifePath Master Portfolios 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

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exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the LifePath Master Portfolios, 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 LifePath 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 LifePath Master Portfolios’ securities lending agreements by counterparty which are subject to offset under an MSLA:

LifePath 2020 Master Portfolio
Counterparty	Securities Loaned at Value		Cash Collateral Received1			Net Amount
JP Morgan Securities LLC	$	2,690,121	$	(2,690,121	)		—
LifePath 2030 Master Portfolio
Counterparty	Securities Loaned at Value		Cash Collateral Received1			Net Amount
Credit Suisse Securities (USA) LLC	$	981,432	$	(981,432	)		—
LifePath 2050 Master Portfolio
Counterparty	Securities Loaned at Value		Cash Collateral Received1			Net Amount
Credit Suisse Securities (USA) LLC	$	1,451,766	$	(1,451,766	)		—

¹  Collateral received in excess of the value of securities loaned from the individual counterparty is not shown for financial reporting purposes in the tables above. Collateral has been received in connection with securities lending agreements as follows:

LifePath 2020 Master Portfolio	LifePath 2030 Master Portfolio	LifePath 2050 Master Portfolio
$2,747,024	$1,008,821	$1,492,280

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 LifePath Master Portfolios benefit from a borrower default indemnity provided by BlackRock, Inc. (“BlackRock”). BlackRock’s indemnity allows for full replacement of the securities loaned if the collateral received does not cover the value on the securities loaned in the event of borrower default. Each LifePath Master Portfolio could suffer a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received.

5. Derivative Financial Instruments:

The LifePath Master Portfolios engage in various portfolio investment strategies using derivative contracts both to increase the returns of the LifePath Master Portfolios and/or to manage economically their exposure to certain risks such as interest rate risk and foreign currency exchange rate risk. These contracts may be transacted on an exchange or OTC.

Forward Foreign Currency Exchange Contracts: Certain LifePath Master Portfolios enter into forward foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to, or hedge exposure away from, 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 future date. Forward foreign currency exchange contracts, when used by the LifePath Master Portfolios, help to manage the overall exposure to the currencies in which some of the investments held by the LifePath Master Portfolios are denominated. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The contract is marked-to-market daily and the change in market value is recorded by the LifePath Master Portfolios as an unrealized gain or loss. When the contract is closed, the LifePath Master Portfolios record a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. 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.

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Master Netting Arrangements: In order to better define their contractual rights and to secure rights that will help them mitigate their counterparty risk, the LifePath Master Portfolios may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their counterparties. An ISDA Master Agreement is a bilateral agreement between each LifePath 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, each LifePath 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. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event the LifePath Master Portfolios’ net assets decline by a stated percentage or the LifePath Master Portfolios fail to meet the terms of their ISDA Master Agreements. The result would cause the LifePath Master Portfolios to accelerate payment of any net liability owed to the counterparty.

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 LifePath Master Portfolios and the counterparty.

Cash collateral that has been pledged to cover obligations of the LifePath Master Portfolios and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the LifePath Master Portfolios, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (typically either $250,000 or $500,000) before a transfer is required, which is determined at the close of business of the LifePath Master Portfolios. Any additional required collateral is delivered to/pledged by the LifePath Master Portfolios on the next business day. Typically, a LifePath Master Portfolio’s counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A LifePath 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, a LifePath Master Portfolio may pay interest pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the LifePath Master Portfolios from their counterparties are not fully collateralized, the LifePath Master Portfolios bear the risk of loss from counterparty non-performance. Likewise, to the extent the LifePath Master Portfolios have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, the LifePath Master Portfolios bear 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 to all derivative contracts.

6. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock for 1940 Act purposes.

MIP, on behalf of the LifePath Master Portfolios, entered into an Investment Advisory Agreement with BFA, the LifePath Master Portfolios’ investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory services. The Manager is responsible for the management of each LifePath Master Portfolio’s investments and provides the personnel, facilities, equipment and certain other services necessary to the operations of each LifePath Master Portfolio. For such services, each LifePath Master Portfolio pays BFA a monthly fee based on a percentage of each LifePath Master Portfolio’s average daily net assets at an annual rate of 0.35%.

MIP, with respect to the LifePath Master Portfolios, entered into a sub-advisory agreement with BlackRock International Limited (“BIL”) and BlackRock (Singapore) Limited (“BRS”), affiliates of the Manager. The Manager pays BIL and BRS, for services they provide, a monthly fee that is a percentage of the investment advisory fees paid by the LifePath Master Portfolio to the Manager.

MIP, on behalf of the LifePath Master Portfolios, entered into an Administration Agreement with BlackRock Advisors, LLC (“BAL”), which has agreed to provide general administration services (other than investment advice and related portfolio activities). BAL, in consideration thereof, has agreed to bear all of the LifePath Master Portfolios’ ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by the LifePath Master Portfolios.

From time to time, BAL may waive such fees in whole or in part. Any such waiver will reduce the expenses of the LifePath Master Portfolios and, accordingly, have a favorable impact on its performance. BAL may delegate certain of its administration duties to sub-administrators.

BAL is not entitled to compensation for providing administration services to the LifePath Master Portfolios, for so long as BAL is entitled to compensation for providing administration service to corresponding feeder funds that invest substantially all of their assets in the LifePath Master Portfolios, or BAL (or an affiliate) receives investment advisory fees from the LifePath Master Portfolios.

Effective November 30, 2015, the Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the LifePath Master Portfolios pay to the Manager indirectly through their investments in affiliated money market funds. However, the Manager does not waive its

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investment advisory fees by the amount of investment advisory fees paid in connection with the LifePath Master Portfolios’ investment in other affiliated investment companies, if any. These amounts, if any, are included in fees waived by the Manager in the Statements of Operations. For the year ended December 31, 2015, there were no waivers on the LifePath Master Portfolios.

The fees and expenses of MIP’s trustees who are not “interested persons” of MIP, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and MIP’s independent registered public accounting firm (together, the “independent expenses”) are paid directly by the LifePath Master Portfolios. BFA has also contractually agreed to reimburse the LifePath Master Portfolios or provide an offsetting credit against the investment advisory fees paid by the LifePath Master Portfolios in an amount equal to the independent expenses. These contractual waivers are effective through April 30, 2026. For the year ended December 31, 2015, the amounts waived are included in fees waived by the Manager in the Statements of Operations as follows:

LifePath Retirement Master Portfolio	LifePath 2020 Master Portfolio	LifePath 2030 Master Portfolio	LifePath 2040 Master Portfolio	LifePath 2050 Master Portfolio
$75,109	$108,524	$105,448	$87,701	$44,996

Prior to November 30, 2015, BFA had contractually agreed to waive investment advisory fees charged to each LifePath Master Portfolio in an amount equal to investment advisory fees, if any, received by BFA, from each affiliated investment company in which the LifePath Master Portfolios invest. For the year ended December 31, 2015, the amounts waived are included in fees waived by the Manager in the Statements of Operations as follows:

LifePath Retirement Master Portfolio	LifePath 2020 Master Portfolio	LifePath 2030 Master Portfolio	LifePath 2040 Master Portfolio	LifePath 2050 Master Portfolio
$3,661,914	$6,915,464	$7,071,560	$5,680,990	$1,313,421

Effective November 30, 2015, BFA has agreed to contractually waive 0.30% of its advisory fees through April 30, 2017. For the year ended December 31, 2015, the amounts waived are included in fees waived by the Manager in the Statements of Operations as follows:

LifePath Retirement Master Portfolio	LifePath 2020 Master Portfolio	LifePath 2030 Master Portfolio	LifePath 2040 Master Portfolio	LifePath 2050 Master Portfolio
$69,250	$159,799	$150,177	$117,340	$30,829

The SEC has issued an exemptive order which permits BTC, an affiliate of the Manager, to serve as securities lending agent for the LifePath Master Portfolios, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending. The LifePath Master Portfolios are responsible for fees in connection with the investment of cash collateral received for securities on loan in a money market fund managed by the Manager or its affiliates, however, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees the LifePath Master Portfolios bears to an annual rate of 0.04% (the “collateral investment fees”).

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 fees. Each LifePath Master Portfolio retains a portion of securities lending income and remits a remaining portion to BTC as compensation for its services as securities lending agent.

Pursuant to a securities lending agreement, each LifePath Master Portfolios retains 80% of securities lending income, and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees. In addition, commencing the business day following the date that the aggregate securities lending income earned across certain funds in the Equity-Liquidity Complex in a calendar year exceeds a specified threshold, each LifePath Master Portfolio, pursuant to the securities lending agreement, will retain for the remainder of the calendar year securities lending income in an amount equal to 85% of securities lending income, and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

The share of securities lending income earned by each LifePath Master Portfolio is shown as securities lending — affiliated – net in the Statements of Operations. For the year ended December 31, 2015, each LifePath Master Portfolio paid BTC the following amounts in total for securities lending agent services and collateral investment fees:

LifePath Retirement Master Portfolio	LifePath 2020 Master Portfolio	LifePath 2030 Master Portfolio	LifePath 2040 Master Portfolio	LifePath 2050 Master Portfolio
$11,512	$24,897	$38,632	$33,578	$8,367

Each LifePath Master Portfolio may invest its positive cash balances in certain money market funds managed by the Manager or an affiliate. The income earned on these temporary cash investments is shown as income — affiliated in the Statements of Operations.

Certain officers and/or trustees of MIP are officers and/or directors of BlackRock or its affiliates.

7. Purchases and Sales:

For the year ended December 31, 2015, purchases and sales of investments in the Underlying Funds and Underlying Master Portfolios, excluding short-term securities and in-kind redemptions, were as follows:

	LifePath Retirement Master Portfolio		LifePath 2020 Master Portfolio		LifePath 2030 Master Portfolio		LifePath 2040 Master Portfolio		LifePath 2050 Master Portfolio
Purchases	$	264,340,601	$	417,613,824	$	463,536,625	$	318,970,284	$	138,223,727
Sales	$	396,627,439	$	743,019,215	$	706,628,448	$	607,759,712	$	174,440,015

BLACKROCK FUNDS III DECEMBER 31, 2015 97

Notes to Financial Statements (concluded) Master Investment Portfolio

8. Income Tax Information:

The LifePath Master Portfolios are classified as a partnership for federal income tax purposes. As such, each investor in the LifePath Master Portfolios is treated as the owner of its proportionate share of net assets, income, expenses and realized and unrealized gains and losses of the LifePath Master Portfolios. Therefore, no federal income tax provision is required. It is intended that the LifePath Master Portfolios’ assets will be managed so an investor in the LifePath Master Portfolios can satisfy the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended.

Each LifePath 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 each LifePath Master Portfolio’s U.S. federal tax returns remains open for each of the four years ended December 31, 2015. The statutes of limitations on each LifePath 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 LifePath Master Portfolios as of December 31, 2015, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the LifePath Master Portfolios’ financial statements.

As of period end, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

	Lifepath Retirement Master Portfolio			Lifepath 2020 Master Portfolio			Lifepath 2030 Master Portfolio			Lifepath 2040 Master Portfolio			Lifepath 2050 Master Portfolio
Tax cost	$	206,321,691		$	570,699,629		$	529,725,654		$	401,532,382		$	110,869,756
Gross unrealized appreciation	$	49,866,489		$	39,309,088		$	52,480,116		$	57,546,535		$	10,426,857
Gross unrealized depreciation		(1,775,501	)		(25,863,228	)		(37,678,958	)		(33,681,849	)		(5,205,671	)
Net unrealized appreciation	$	48,090,988		$	13,445,860		$	14,801,158		$	23,864,686		$	5,221,186

9. Bank Borrowings:

MIP, on behalf of the LifePath Master Portfolios, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is a party to a 364-day, $2.1 billion credit agreement with a group of lenders, under which the LifePath Master Portfolios may borrow to fund shareholder redemptions. Excluding commitments designated for certain funds, the Participating Funds, including the LifePath Master Portfolios, can borrow up to an aggregate commitment amount of $1.6 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 0.06% 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 2016 unless extended or renewed. Participating Funds paid administration, legal and arrangement fees, which, if applicable, are included in miscellaneous expenses in the Statements of Operations, and along with commitment 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 December 31, 2015, the LifePath Master Portfolios did not borrow under the credit agreement.

10. Principal Risks:

In the normal course of business, certain LifePath Master Portfolios invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities held by the LifePath Master Portfolios may decline in response to certain events, including those directly involving the issuers of securities owned by the LifePath Master Portfolios. Changes arising from the general economy, the overall market and local, regional or global political or/and social instability, as well as currency, interest rate and price fluctuations, may also affect the securities’ value.

Counterparty Credit Risk: Similar to issuer credit risk, the LifePath Master Portfolios may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The LifePath Master Portfolios manage 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 LifePath Master Portfolios to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the LifePath Master Portfolios’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the LifePath Master Portfolios.

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.

The LifePath Master Portfolios’ risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by such LifePath Master Portfolio.

11. Subsequent Events:

Management has evaluated the impact of all subsequent events on the LifePath Master Portfolios 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.

98 BLACKROCK FUNDS III DECEMBER 31, 2015

Report of Independent Registered Public Accounting Firm Master Investment Portfolio

To the Board of Trustees of Master Investment Portfolio and the Interestholders of LifePath^® Retirement Master Portfolio, LifePath^® 2020 Master Portfolio, LifePath^® 2030 Master Portfolio, LifePath^® 2040 Master Portfolio and LifePath^® 2050 Master Portfolio:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of LifePath^® Retirement Master Portfolio, LifePath^® 2020 Master Portfolio, LifePath^® 2030 Master Portfolio, LifePath^® 2040 Master Portfolio and LifePath^® 2050 Master Portfolio (the “Master Portfolios”), each a series of Master Investment Portfolio, at December 31, 2015, the results of each of their operations for the year then ended, the changes in each of their 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. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Master Portfolios’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2015 by correspondence with the custodian, brokers and transfer agent, provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 24, 2016

BLACKROCK FUNDS III DECEMBER 31, 2015 99

Disclosure of Sub-Advisory Agreement

The Board of Trustees of Master Investment Portfolio (the “Master Fund”) met in person on November 18-20, 2015 (the “November Meeting”) to consider the initial approval of (a) the sub-advisory agreement between BlackRock Fund Advisors (the “Manager”), the Master Fund’s investment advisor, and BlackRock International Limited (“BIL”) with respect to LifePath^® Retirement Master Portfolio, LifePath^® 2020 Master Portfolio, LifePath^® 2030 Master Portfolio, LifePath^® 2040 Master Portfolio and LifePath^® 2050 Master Portfolio (each, a “Master Portfolio” and collectively, the “Master Portfolios”), each a series of the Master Fund (the “BIL Sub-Advisory Agreement”) and (b) the sub-advisory agreement between the Manager and BlackRock (Singapore) Limited (“BRS”) with respect to each Master Portfolio (the “BRS Sub-Advisory Agreement,” and together with the BIL Sub-Advisory Agreement, the “Sub-Advisory Agreements”). Each of BlackRock LifePath^® Retirement Fund, BlackRock LifePath^® 2020 Fund, BlackRock LifePath^® 2030 Fund, BlackRock LifePath^® 2040 Fund and BlackRock LifePath^® 2050 Fund (each, a “Portfolio” and collectively, the “Portfolios”), each a series of BlackRock Funds III (the “Fund”), is a “feeder” fund that invests all of its investable assets in the corresponding Master Portfolio. Accordingly, the Board of Trustees of the Fund also considered the approval of each Sub-Advisory Agreement with respect to each Master Portfolio. For simplicity, as pertinent, the Board of Trustees of the Master Fund and the Board of Trustees of the Fund are referred to herein collectively as the “Board,” and the members are referred to as “Board Members.”

On the date of the Meeting, the Board consisted of fifteen individuals, thirteen of whom were not “interested persons” of the Master Fund or the Fund as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). Pursuant to the 1940 Act, the Board is required to consider the initial approval of the Sub-Advisory Agreements.

At the November Meeting, the Board reviewed materials relating to its consideration of the proposed Sub-Advisory Agreements. The Master Fund’s investment advisory agreement (the “Advisory Agreement”) with the Manager on behalf of each Master Portfolio was most recently approved by the Board of the Master Fund at an in-person meeting on May 18-20, 2015 (the “May Meeting”). A discussion of the basis for the Board of the Master Fund’s approval and the Board of the Fund’s consideration of the Advisory Agreement at the May Meeting is included in the Portfolios’ shareholder report for the period ended June 30, 2015. The factors considered by the Board at the November Meeting in connection with approval of the proposed Sub-Advisory Agreements were substantially the same as the factors considered at the May Meeting.

Following discussion, all the Board Members of the Master Fund present at the November Meeting, including all the Independent Board Members present, approved the BIL Sub-Advisory Agreement between the Manager and BIL with respect to each Master Portfolio and the BRS Sub-Advisory Agreement between the Manager and BRS with respect to each Master Portfolio, each for a two-year term beginning on the effective date of the pertinent Sub-Advisory Agreement. Based upon its evaluation of all of the aforementioned factors in their totality, the Board of the Master Fund, including the Independent Board Members, was satisfied that the terms of the Sub-Advisory Agreements were fair and reasonable and in the best interest of each Master Portfolio and its interest holders. The Board of the Fund, including the Independent Board Members, also considered each Sub-Advisory Agreement with respect to each Master Portfolio and found the Sub-Advisory Agreements to be satisfactory. In arriving at its decision to approve the Sub-Advisory Agreements, the Board of the Master Fund 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.

100 BLACKROCK FUNDS III DECEMBER 31, 2015

Officers and Trustees

Name, Address1 and Year of Birth	Position(s) Held with the Trust/MIP	Length of Time Served as a Trustee3	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Independent Trustees2
Rodney D. Johnson 1941	Chair of the Board and Trustee	Since 2009	President, Fairmount Capital Advisors, Inc. from 1987 to 2013; Member of the Archdiocesan Investment Committee of the Archdiocese of Philadelphia from 2004 to 2012; Director, The Committee of Seventy (civic) from 2006 to 2012; Director, Fox Chase Cancer Center from 2004 to 2011.	33 RICs consisting of 155 Portfolios	None
David O. Beim 1940	Trustee	Since 2009	Professor of Professional Practice at the Columbia University Graduate School of Business since 1991; Trustee, Phillips Exeter Academy from 2002 to 2012; Chairman, Wave Hill, Inc. (public garden and cultural center) from 1990 to 2006.	33 RICs consisting of 155 Portfolios	None
Collette Chilton 1958	Trustee	Since 2015	Chief Investment Officer, Williams College since 2006; Chief Investment Officer, Lucent Asset Management Corporation from 1998 to 2006.	33 RICs consisting of 155 Portfolios	None
Frank J. Fabozzi 1948	Trustee	Since 2014	Editor of and Consultant for The Journal of Portfolio Management since 2006; Professor of Finance, EDHEC Business School since 2011; Visiting Professor, Princeton University from 2013 to 2014; Professor in the Practice of Finance and Becton Fellow, Yale University School of Management from 2006 to 2011.	108 RICs consisting of 230 Portfolios	None
Dr. Matina S. Horner 1939	Trustee	Since 2009	Executive Vice President, Teachers Insurance and Annuity Association and College Retirement Equities Fund from 1989 to 2003.	33 RICs consisting of 155 Portfolios	NSTAR (electric and gas utility)
Herbert I. London 1939	Trustee	Since 2009	Professor Emeritus, New York University since 2005; President, London Center for Policy Research since 2012; John M. Olin Professor of Humanities, New York University from 1993 to 2005 and Professor thereof from 1980 to 2005; President Emeritus, Hudson Institute (policy research organization) from 2011 to 2012, President thereof from 1997 to 2011 and Trustee from 1980 to 2012; Chairman of the Board of Trustees for Grantham University since 2006; Director, InnoCentive, Inc. (global internet service) since 2005; Director, Cerego, LLC (educational software) since 2005; Director, Cybersettle (online adjudication) since 2009; Director, AIMS Worldwide, Inc. (marketing) from 2007 to 2012.	33 RICs consisting of 155 Portfolios	None
Cynthia A. Montgomery 1952	Trustee	Since 2009	Professor, Harvard Business School since 1989; Director, McLean Hospital from 2005 to 2012; Director, Harvard Business School Publishing from 2005 to 2010.	33 RICs consisting of 155 Portfolios	Newell Rubbermaid, Inc. (manufacturing)
Joseph P. Platt 1947	Trustee	Since 2009	Director, Jones and Brown (Canadian insurance broker) since 1998; General Partner, Thorn Partners, LP (private investments) since 1998; Director, WQED Multi-Media (public broadcasting not-for-profit) since 2001; Director, The West Penn Allegheny Health System (a not-for-profit health system) from 2008 to 2013; Partner, Amarna Corporation, LLC (private investment company) from 2002 to 2008.	33 RICs consisting of 155 Portfolios	Greenlight Capital Re, Ltd. (reinsurance company)
Robert C. Robb, Jr. 1945	Trustee	Since 2009	Partner, Lewis, Eckert, Robb and Company (management and financial consulting firm) since 1981.	33 RICs consisting of 155 Portfolios	None
Toby Rosenblatt 1938	Trustee	Since 2009	President, Founders Investments Ltd. (private investments) since 1999; Director, Forward Management, LLC since 2007; Director, College Futures Foundation (philanthropic foundation) since 2009; Director, The James Irvine Foundation (philanthropic foundation) from 1998 to 2008.	33 RICs consisting of 155 Portfolios	None

BLACKROCK FUNDS III DECEMBER 31, 2015 101

Officers and Trustees (continued)

Name, Address1 and Year of Birth	Position(s) Held with the Trust/MIP	Length of Time Served as a Trustee3	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Independent Trustees2 (concluded)
Mark Stalnecker 1951	Trustee	Since 2015	Chief Investment Officer, University of Delaware from 1999 to 2013; Trustee, Winterthur Museum and Country Estate since 2001; Member of the Investment Committee, Delaware Public Employees’ Retirement System since 2002; Member of the Investment Committee, Christiana Care Health System since 2009; Member of the Investment Committee, Delaware Community Foundation from 2013 to 2014.	33 RICs consisting of 155 Portfolios	None
Kenneth L. Urish 1951	Trustee	Since 2009	Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Immediate 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 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.	33 RICs consisting of 155 Portfolios	None
Frederick W. Winter 1945	Trustee	Since 2009	Director, Alkon Corporation (pneumatics) since 1992; Professor and Dean Emeritus of the Joseph M. Katz School of Business, University of Pittsburgh from 2005 to 2013 and Dean thereof from 1997 to 2005; Director, Tippman Sports (recreation) from 2005 to 2013; Director, Indotronix International (IT services) from 2004 to 2008.	33 RICs consisting of 155 Portfolios	None
	1    The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.
	2    Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board has determined to extend the terms of Independent Trustees on a case-by-case basis, as appropriate. The Board has unanimously approved extending the mandatory retirement age for David O. Beim and Dr. Matina S. Horner until December 31, 2016, which the Board believes is in the best interests of shareholders of the Trust/MIP.
	3    Date shown is the earliest date a person has served for the Trust/MIP. In connection with the acquisition of Barclay’s Global Investors by BlackRock, Inc. (“BlackRock”) in December 2009, the Trustees were elected to the Trust/MIP’s Board. As a result, although the chart shows certain Independent Trustees as joining the Trust/MIP’s board in 2009, those Independent Trustees first became members of the boards of other funds advised by BlackRock Advisors, LLC or its affiliates as follows: David O. Beim, 1998; Dr. Matina S. Horner, 2004; Rodney D. Johnson, 1995; Herbert I. London, 1987; Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Robert C. Robb, Jr., 1998; Toby Rosenblatt, 2005; Kenneth L. Urish, 1999; and Frederick W. Winter, 1999. Frank J. Fabozzi first became a member of the boards of other funds advised by BlackRock Advisors, LLC or its affiliates in 1988.
Interested Trustees4
Barbara G. Novick 1960	Trustee	Since 2015	Vice Chairman of BlackRock since 2006; Chair of BlackRock’s Government Relations Steering Committee since 2009; Head of the Global Client Group of BlackRock from 1988 to 2008.	108 RICs consisting of 230 Portfolios	None
John M. Perlowski 1964	Trustee, President, and Chief Executive Officer	Since 2015 (Trustee); Since 2010 (President and Chief Executive Officer)	Managing Director of BlackRock since 2009; Head of BlackRock Global Fund Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.	136 RICs consisting of 328 Portfolios	None
	4    Mr. Perlowski and Ms. Novick are both “interested persons,” as defined in the 1940 Act, of the Trust/MIP based on their positions with BlackRock and its affiliates. Mr. Perlowski and Ms. Novick are also board members of a complex of BlackRock registered open-end funds. Mr. Perlowski is also a board member of the BlackRock Equity-Bond Complex and the BlackRock Equity-Liquidity Complex, and Ms. Novick is also a board member of the BlackRock Equity-Liquidity Complex. Interested Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The maximum age limitation may be waived as to any Trustee by action of a majority of the Trustees upon a finding of good cause therefor.

102 BLACKROCK FUNDS III DECEMBER 31, 2015

Officers and Trustees (concluded)

Name, Address1 and Year of Birth	Position(s) Held with the Trust/MIP	Length of Time Served as an Officer	Principal Occupation(s) During Past Five Years
Officers2
John M. Perlowski 1964	Trustee, President and Chief Executive Officer	Since 2015 (Trustee); Since 2010 (President and Chief Executive Officer)	Managing Director of BlackRock since 2009; Head of BlackRock Global Fund Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.
Richard Hoerner, CFA 1958	Vice President	Since 2009	Managing Director of BlackRock since 2000; Head of the Global Cash Group since 2013; Co-head of the Global Cash and Securities Lending Group from 2010 to 2013; Member of the Cash Management Group Executive Committee since 2005.
Jennifer McGovern 1977	Vice President	Since 2014	Director of BlackRock since 2011; Head of Product Structure and Oversight for BlackRock’s U.S. Wealth Advisory Group since 2013; Vice President of BlackRock from 2008 to 2010.
Neal Andrews 1966	Chief Financial Officer	Since 2009	Managing Director of BlackRock since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.
Jay Fife 1970	Treasurer	Since 2009	Managing Director of BlackRock since 2007; Director of BlackRock in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.
Charles Park 1967	Chief Compliance Officer	Since 2014	Anti-Money Laundering Compliance Officer for the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End Complex from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End 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.
Fernanda Piedra 1969	Anti-Money Laundering Compliance Officer	Since 2015	Director of BlackRock since 2014; Anti-Money Laundering Compliance Officer and Regional Head of Financial Crime for the Americas at BlackRock since 2014; Head of Regulatory Changes and Remediation for the Asset Wealth Management Division of Deutsche Bank from 2010 to 2014; Vice President of Goldman Sachs (Anti-Money Laundering/Suspicious Activities Group) from 2004 to 2010.
Benjamin Archibald 1975	Secretary	Since 2012	Managing Director of BlackRock since 2014; Director of BlackRock from 2010 to 2013; Secretary of the iShares exchange traded funds since 2015; Secretary of the BlackRock-advised mutual funds since 2012.
	1    The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.
	2    Officers of the Trust/MIP serve at the pleasure of the Board.

Effective September 25, 2015, John M. Perlowski was appointed to serve as a Trustee of the Trust/MIP.

Effective December 31, 2015, Herbert I. London and Toby Rosenblatt retired as Trustees of the Trust/MIP.

Investment Advisor BlackRock Fund Advisors San Francisco, CA 94105	Custodian and Accounting Agent State Street Bank and Trust Company Boston, MA 02110	Distributor BlackRock Investments, LLC New York, NY 10022	Legal Counsel Sidley Austin LLP New York, NY 10019
Sub-Advisors BlackRock International Limited Edinburgh, United Kingdom BlackRock (Singapore) Limited Singapore	Transfer Agent BNY Mellon Investment Servicing (US) Inc. Wilmington, DE 19809	Independent Registered Public Accounting Firm PricewaterhouseCoopers LLP Philadelphia, PA 19103	Address of the Trust/MIP 400 Howard Street San Francisco, CA 94105
Administrator BlackRock Advisors, LLC Wilmington, DE 19809

BLACKROCK FUNDS III DECEMBER 31, 2015 103

Additional Information

General Information

Householding

The LifePath Funds 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 LifePath Funds at (800) 441-7762.

Availability of Quarterly Schedule of Investments

The LifePath Funds/LifePath Master Portfolios file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The LifePath Funds’/LifePath Master Portfolios’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The LifePath Funds’/LifePath Master Portfolios’ Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the LifePath Funds/LifePath Master Portfolios 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 http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the LifePath Funds/LifePath Master Portfolios voted proxies relating to securities held in the LifePath Funds’/LifePath Master Portfolios’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC’s website at http://www.sec.gov.

BlackRock’s Mutual Fund Family

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

Shareholder Privileges

Account Information

Call us at (800) 441-7762 from 8:00 AM to 6:00 PM EST on any business day to get information about your account balances, recent transactions and share prices. You can also reach us on the Web at http://www.blackrock.com/funds.

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.

104 BLACKROCK FUNDS III DECEMBER 31, 2015

Additional Information (concluded)

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.

BLACKROCK FUNDS III DECEMBER 31, 2015 105

This report are 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 a LifePath Fund unless preceded or accompanied by that LifePath 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.

LifePath-12/15-AR

DECEMBER 31, 2015

  ANNUAL REPORT  

BlackRock Funds III

^Ø   BlackRock LifePath^® Index Retirement Fund

^Ø   BlackRock LifePath^® Index 2020 Fund

^Ø   BlackRock LifePath^® Index 2025 Fund

^Ø   BlackRock LifePath^® Index 2030 Fund

^Ø   BlackRock LifePath^® Index 2035 Fund

^Ø   BlackRock LifePath^® Index 2040 Fund

^Ø   BlackRock LifePath^® Index 2045 Fund

^Ø   BlackRock LifePath^® Index 2050 Fund

^Ø   BlackRock LifePath^® Index 2055 Fund

Not FDIC Insured • May Lose Value • No Bank Guarantee

Table of Contents

	Page
The Markets in Review		3
Annual Report:
Fund Summaries		4
About Fund Performance		14
Disclosure of Expenses		15
Fund Financial Statements:
Statements of Assets and Liabilities		16
Statements of Operations		18
Statements of Changes in Net Assets		20
Fund Financial Highlights		25
Fund Notes to Financial Statements		52
Fund Report of Independent Registered Public Accounting Firm		62
Important Tax Information		62
Master Portfolio Information		63
Master Portfolio Financial Statements:
Schedules of Investments		66
Statements of Assets and Liabilities		83
Statements of Operations		85
Statements of Changes in Net Assets		87
Master Portfolio Financial Highlights		92
Master Portfolio Notes to Financial Statements		101
Master Portfolio Report of Independent Registered Public Accounting Firm		108
Officers and Trustees		109
Additional Information		112

2 BLACKROCK FUNDS III DECEMBER 31, 2015

The Markets in Review

Dear Shareholder,

Diverging monetary policies and shifting economic outlooks across regions have been the overarching themes driving financial markets over the past couple of years. With U.S. growth outpacing the global economic recovery in 2015 while inflationary pressures remained low, investors spent most of the year anticipating a short-term rate hike from the Federal Reserve (the “Fed”), which ultimately came to fruition in December. In contrast, the European Central Bank (“ECB”) and the Bank of Japan moved to a more accommodative stance during the year. In this environment, the U.S. dollar strengthened considerably, causing profit challenges for U.S. exporters and high levels of volatility in emerging market currencies and commodities. Oil prices were particularly volatile and below the historical norm due to an ongoing imbalance in global supply and demand.

Market volatility broadly increased in the middle of 2015, beginning with a sharp, but temporary, selloff in June as Greece’s long-brewing debt troubles came to an impasse. Just as these concerns abated, Chinese equities tumbled amid weakness in the country’s economy. This, combined with a depreciation of the yuan and declining confidence in China’s policymakers, stoked worries about the potential impact to the broader world economy, causing heightened volatility to spread throughout markets globally. Given a dearth of meaningful growth across most of the world, financial markets became more reliant on central bank policies to drive performance. In that vein, risk assets (such as equities and high yield bonds) rallied in October when China’s central bank provided more stimulus, the ECB hinted at further easing, and soft U.S. data pushed back expectations for a Fed rate hike. As the period came to a close, however, the ECB disappointed investors with its subdued policy changes. The Fed’s December rate hike had a positive impact on the markets as it removed a source of uncertainty, but this was counteracted by the dampening effect of a stronger U.S. dollar, falling oil prices and tighter credit conditions.

At BlackRock, we believe investors need to think globally, extend their scope across a broad array of asset classes and be prepared to move freely as market conditions change over time. 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 December 31, 2015
	6-month			12-month
U.S. large cap equities (S&P 500® Index)		0.15	%		1.38	%
U.S. small cap equities (Russell 2000® Index)		(8.75	)		(4.41	)
International equities (MSCI Europe, Australasia, Far East Index)		(6.01	)		(0.81	)
Emerging market equities (MSCI Emerging Markets Index)		(17.35	)		(14.92	)
3-month Treasury bills (BofA Merrill Lynch 3-Month U.S. Treasury Bill Index)		0.04			0.05
U.S. Treasury securities (BofA Merrill Lynch 10-Year U.S. Treasury Index)		1.43			0.91
U.S. investment-grade bonds (Barclays U.S. Aggregate Bond Index)		0.65			0.55
Tax-exempt municipal bonds (S&P Municipal Bond Index)		3.31			3.32
U.S. high yield bonds (Barclays U.S. Corporate High Yield 2% Issuer Capped Index)		(6.79	)		(4.43	)
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

THIS PAGE NOT PART OF YOUR FUND REPORT 3

Fund Summary as of December 31, 2015 BlackRock LifePath Index Funds

Portfolio Management Commentary

How did each Fund perform?

• Each of the BlackRock LifePath Index Funds with target dates of 2020, 2025, 2030, 2035, 2040, 2045, 2050, 2055 and the BlackRock LifePath Index Retirement Fund (together, the “LifePath Index Funds”) invest in their respective LifePath Index Master Portfolio.

• For the 12-month period ended December 31, 2015, the LifePath Index Funds with target dates of 2045, 2050 and 2055 outperformed their respective custom benchmarks, while the LifePath Index Funds with target dates of 2020, 2025, 2030, 2035 and 2040 had mixed performance. LifePath Index 2020 Fund’s Institutional Shares performed in line with the custom benchmark, while Investor A and Class K Shares underperformed the custom benchmark. LifePath Index 2025 Fund’s Institutional and Class K Shares performed in line with the custom benchmark, while Investor A Shares underperformed the custom benchmark. LifePath Index 2030 Fund’s Institutional and Class K Shares outperformed the custom benchmark, while Investor A Shares underperformed the custom benchmark. LifePath Index 2035 and 2040 Funds’ Institutional and Class K Shares outperformed the custom benchmark, while Investor A Shares performed in line the custom benchmark. The LifePath Index Retirement Fund underperformed the custom benchmark. The returns for the LifePath Index Funds include fund expenses. The custom benchmarks have no expenses associated with performance.

What factors influenced performance?

• While most of the LifePath Index Funds outperformed their benchmark, the outperformance was greater in the longer-dated LifePath Index Funds (2025 to 2055). Positive performance differences were largely due to the real estate instruments as well as the composition of the LifePath Index Funds’ international exposure, which is now more in line with the custom benchmark’s international exposure.

• The largest detractor was fair value pricing for the international funds that are components within the LifePath Index Funds.

Describe recent portfolio activity.

• Each LifePath Index Fund has its own time horizon, which affects its acceptable level of risk and, in turn, the strategic allocation of its holdings across asset classes. On a quarterly basis, the strategic allocation of each LifePath Index Fund is systematically adjusted to reflect the shareholders’ remaining investment time horizon. During the period, the LifePath Index Funds were rebalanced in accordance with their updated strategic allocations. Daily cash flows were allocated to the underlying funds and instruments as appropriate.

Describe portfolio positioning at period end.

• At period end, each of the LifePath Index Funds was invested according to its respective strategic allocation benchmark within tolerance limits.

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.

Glide Path Evolution

Under normal circumstances, the asset allocation of each LifePath Index Fund will change over time according to a predetermined “glide path” as each LifePath Index Fund approaches its respective target date. The glide path represents the shifting of asset classes over time. Each LifePath Index Fund’s asset mix becomes more conservative prior to retirement as time elapses. This reflects the need for reduced investment risks as retirement approaches and the need for lower volatility of each LifePath Index Fund, which may be a primary source of income after retirement. As each LifePath Index Fund approaches its target date, its asset allocation will shift so that each LifePath Index Fund invests a greater percentage of its assets in fixed income funds. The asset allocation targets are established by a committee of BlackRock Fund Advisors (“BFA” or the “Manager”) investment professionals. The investment team, including the portfolio managers and this investment committee, meets regularly to assess market conditions, review the asset allocation targets of each

LifePath Index Fund, and determine whether any changes are required to enable each LifePath Index Fund to achieve its investment objective.

Although the asset allocation targets listed for the glide path are general, long-term targets, BFA may periodically adjust the proportion of equity and fixed income index funds in each LifePath Index Fund, based on an assessment of the current market conditions, the potential contribution of each asset class to the expected risk and return characteristics of each LifePath Index Fund, reallocations of each LifePath Index Fund’s composition to reflect intra-year movement along the glide path and other factors. In general, such adjustments will be limited, however, BFA may determine that a greater degree of variation is warranted to protect each LifePath Index Fund or achieve each LifePath Index Fund’s investment objective.

4 BLACKROCK FUNDS III DECEMBER 31, 2015

BlackRock LifePath Index Retirement Fund

Investment Objective

BlackRock LifePath^® Index Retirement Fund’s (“LifePath Index Retirement Fund” or the “LifePath Index Fund”) investment objective is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, the LifePath Index Fund will be broadly diversified across global asset classes.

Effective March 31, 2015, the LifePath^® Index Retirement Portfolio changed its name to the BlackRock LifePath^® Index Retirement Fund.

Total Return Based on a $10,000 Investment

¹  The LifePath Index Fund compares its performance to that of a customized weighted index (the “LifePath Index Retirement Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment advisor’s changes to the benchmark’s weightings over time. The investment advisor adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Index Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

²  Commencement of operations.

LifePath Index Fund’s custom benchmark consists of the following:

Period3	Barclays U.S. Aggregate Bond Index			Barclays U.S.  Treasury Inflation Protected Securities (TIPS) Index (Series L)			FTSE EPRA/NAREIT Developed Real Estate Index			MSCI ACWI ex USA IMI Index			Russell 1000® Index			Russell 2000® Index
5/31/11 to 12/31/11		52.9	%		9.1	%		N/A			10.9	%		23.2	%		3.9	%
1/01/12 to 12/31/12		52.9			9.1			0.2	%		11.3			22.5			4.0
1/01/13 to 12/31/13		52.9			9.0			0.3			12.0			21.4			21.5
1/01/14 to 12/31/14		52.6			9.0			0.3			12.3			21.5			4.3
1/01/15 to 12/31/15		51.2			8.8			0.5			13.1			22.5			3.9

See “About Fund Performance” on page 14 for descriptions of the indexes.

Performance Summary for the Period Ended December 31, 2015

				Average Annual Total Returns
	6-Month Total Returns			1 Year			Since  Inception3
Institutional		(1.52	)%		(0.36	)%		4.63	%
Investor A		(1.65	)		(0.61	)		4.38
Class K		(1.49	)		(0.31	)		4.67
LifePath Index Retirement Fund Custom Benchmark		(1.39	)		(0.19	)		4.80
Barclays U.S. Aggregate Bond Index		0.65			0.55			2.87
Barclays U.S. TIPS Index (Series L)		(1.78	)		(1.44	)		1.70
FTSE EPRA/NAREIT Developed Real Estate Index		2.49			(0.79	)		5.95
MSCI ACWI ex USA IMI Index		(8.78	)		(4.60	)		0.28
Russell 1000® Index		(0.78	)		0.92			11.69
Russell 2000® Index		(8.75	)		(4.41	)		8.07

³  The LifePath Index Fund commenced operations on May 31, 2011.

Past performance is not indicative of future results.

BLACKROCK FUNDS III DECEMBER 31, 2015 5

BlackRock LifePath Index 2020 Fund

Investment Objective

BlackRock LifePath^® Index 2020 Fund’s (“LifePath Index 2020 Fund” or the “LifePath Index Fund”) investment objective is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, the LifePath Index Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time.

Effective March 31, 2015, the LifePath^® Index 2020 Portfolio changed its name to the BlackRock LifePath^® Index 2020 Fund.

Total Return Based on a $10,000 Investment

¹  The LifePath Index Fund compares its performance to that of a customized weighted index (the “LifePath Index 2020 Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment advisor’s changes to the benchmark’s weightings over time. The investment advisor adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Index Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

²  Commencement of operations.

LifePath Index Fund’s custom benchmark consists of the following:

Period3	Barclays U.S. Aggregate Bond Index			Barclays U.S.  Treasury Inflation Protected Securities (TIPS) Index (Series L)			FTSE EPRA/NAREIT Developed Real Estate Index			MSCI ACWI ex USA IMI Index			Russell 1000® Index			Russell 2000® Index
5/31/11 to 12/31/11		37.1	%		6.0	%		N/A			17.5	%		35.7	%		3.7	%
1/01/12 to 12/31/12		39.0			6.3			1.6	%		16.6			32.9			3.6
1/01/13 to 12/31/13		40.9			6.6			3.1			16.0			29.7			3.7
1/01/14 to 12/31/14		42.1			6.8			3.0			16.0			28.4			3.7
1/01/15 to 12/31/15		40.4			6.7			3.3			16.9			29.3			3.4

See “About Fund Performance” on page 14 for descriptions of the indexes.

Performance Summary for the Period Ended December 31, 2015

	6-Month			Average Annual Total Returns
	Total Returns			1 Year			Since  Inception3
Institutional		(1.78	)%		(0.38	)%		5.19	%
Investor A		(1.92	)		(0.63	)		4.90
Class K		(1.85	)		(0.42	)		5.21
LifePath Index 2020 Fund Custom Benchmark		(1.73	)		(0.35	)		5.33
Barclays U.S. Aggregate Bond Index		0.65			0.55			2.87
Barclays U.S. TIPS Index (Series L)		(1.78	)		(1.44	)		1.70
FTSE EPRA/NAREIT Developed Real Estate Index		2.49			(0.79	)		5.95
MSCI ACWI ex USA IMI Index		(8.78	)		(4.60	)		0.28
Russell 1000® Index		(0.78	)		0.92			11.69
Russell 2000® Index		(8.75	)		(4.41	)		8.07

³  The LifePath Index Fund commenced operations on May 31, 2011.

Past performance is not indicative of future results.

6 BLACKROCK FUNDS III DECEMBER 31, 2015

BlackRock LifePath Index 2025 Fund

Investment Objective

BlackRock LifePath^® Index 2025 Fund’s (“LifePath Index 2025 Fund” or the “LifePath Index Fund”) investment objective is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, the LifePath Index Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time.

Effective March 31, 2015, the LifePath^® Index 2025 Portfolio changed its name to the BlackRock LifePath^® Index 2025 Fund.

Total Return Based on a $10,000 Investment

¹  The LifePath Index Fund compares its performance to that of a customized weighted index (the “LifePath Index 2025 Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment advisor’s changes to the benchmark’s weightings over time. The investment advisor adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Index Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

²  Commencement of operations.

LifePath Index Fund’s custom benchmark consists of the following:

Period3	Barclays U.S. Aggregate Bond Index			Barclays U.S.  Treasury Inflation Protected Securities (TIPS) Index (Series L)			FTSE EPRA/NAREIT Developed Real Estate Index			MSCI ACWI ex USA IMI Index			Russell 1000® Index			Russell 2000® Index
5/31/11 to 12/31/11		30.0	%		4.7	%		N/A			20.5	%		41.2	%		3.6	%
1/01/12 to 12/31/12		31.9			8.0			2.4	%		19.3			38.1			3.3
1/01/13 to 12/31/13		33.7			5.3			4.8			18.3			34.6			3.3
1/01/14 to 12/31/14		34.5			5.4			4.9			18.5			33.4			3.3
1/01/15 to 12/31/15		30.9			5.0			5.9			20.1			35.1			3.0

See “About Fund Performance” on page 14 for descriptions of the indexes.

Performance Summary for the Period Ended December 31, 2015

	6-Month			Average Annual Total Returns
	Total Returns			1 Year			Since  Inception3
Institutional		(2.00	)%		(0.42	)%		5.54	%
Investor A		(2.13	)		(0.67	)		5.29
Class K		(1.98	)		(0.45	)		5.57
LifePath Index 2025 Fund Custom Benchmark		(2.00	)		(0.47	)		5.69
Barclays U.S. Aggregate Bond Index		0.65			0.55			2.87
Barclays U.S. TIPS Index (Series L)		(1.78	)		(1.44	)		1.70
FTSE EPRA/NAREIT Developed Real Estate Index		2.49			(0.79	)		5.95
MSCI ACWI ex USA IMI Index		(8.78	)		(4.60	)		0.28
Russell 1000® Index		(0.78	)		0.92			11.69
Russell 2000® Index		(8.75	)		(4.41	)		8.07

³  The LifePath Index Fund commenced operations on May 31, 2011.

Past performance is not indicative of future results.

BLACKROCK FUNDS III DECEMBER 31, 2015 7

BlackRock LifePath Index 2030 Fund

Investment Objective

BlackRock LifePath^® Index 2030 Fund’s (“LifePath Index 2030 Fund” or the “LifePath Index Fund”) investment objective is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, the LifePath Index Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time.

Effective March 31, 2015, the LifePath^® Index 2030 Portfolio changed its name to the BlackRock LifePath^® Index 2030 Fund.

Total Return Based on a $10,000 Investment

¹  The LifePath Index Fund compares its performance to that of a customized weighted index (the “LifePath Index 2030 Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment advisor’s changes to the benchmark’s weightings over time. The investment advisor adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Index Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

²  Commencement of operations.

LifePath Index Fund’s custom benchmark consists of the following:

Period3	Barclays U.S. Aggregate Bond Index			Barclays U.S.  Treasury Inflation Protected Securities (TIPS) Index (Series L)			FTSE EPRA/NAREIT Developed Real Estate Index			MSCI ACWI exUSA IMI Index			Russell 1000® Index			Russell 2000® Index
5/31/11 to 12/31/11		23.8	%		3.5	%		N/A			23.1	%		46.1	%		3.5	%
1/01/12 to 12/31/12		25.8			3.8			3.1	%		21.6			42.6			3.1
1/01/13 to 12/31/13		27.6			4.0			6.2			20.3			38.9			3.0
1/01/14 to 12/31/14		27.7			4.1			6.6			20.9			37.8			2.9
1/01/15 to 12/31/15		21.8			3.4			8.3			23.1			40.8			2.6

See “About Fund Performance” on page 14 for descriptions of the indexes.

Performance Summary for the Period Ended December 31, 2015

	6-Month			Average Annual Total Returns
	Total Returns			1 Year			Since  Inception3
Institutional		(2.24	)%		(0.55	)%		5.86	%
Investor A		(2.37	)		(0.80	)		5.60
Class K		(2.21	)		(0.50	)		5.88
LifePath Index 2030 Fund Custom Benchmark		(2.27	)		(0.61	)		5.99
Barclays U.S. Aggregate Bond Index		0.65			0.55			2.87
Barclays U.S. TIPS Index (Series L)		(1.78	)		(1.44	)		1.70
FTSE EPRA/NAREIT Developed Real Estate Index		2.49			(0.79	)		5.95
MSCI ACWI ex USA IMI Index		(8.78	)		(4.60	)		0.28
Russell 1000® Index		(0.78	)		0.92			11.69
Russell 2000® Index		(8.75	)		(4.41	)		8.07

³  The LifePath Index Fund commenced operations on May 31, 2011.

Past performance is not indicative of future results.

8 BLACKROCK FUNDS III DECEMBER 31, 2015

BlackRock LifePath Index 2035 Fund

Investment Objective

BlackRock LifePath^® Index 2035 Fund’s (“LifePath Index 2035 Fund” or the “LifePath Index Fund”) investment objective is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, the LifePath Index Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time.

Effective March 31, 2015, the LifePath^® Index 2035 Portfolio changed its name to the BlackRock LifePath^® Index 2035 Fund.

Total Return Based on a $10,000 Investment

¹  The LifePath Index Fund compares its performance to that of a customized weighted index (the “LifePath Index 2035 Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment advisor’s changes to the benchmark’s weightings over time. The investment advisor adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Index Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

²  Commencement of operations.

LifePath Index Fund’s custom benchmark consists of the following:

Period3	Barclays U.S. Aggregate Bond Index			Barclays U.S.  Treasury Inflation Protected Securities (TIPS) Index (Series L)			FTSE EPRA/NAREIT Developed Real Estate Index			MSCI ACWI ex USA IMI Index			Russell 1000® Index			Russell 2000® Index
5/31/11 to 12/31/11		18.2	%		2.4	%		N/A			25.4	%		50.5	%		3.5	%
1/01/12 to 12/31/12		20.3			2.6			3.7	%		23.7			46.7			3.0
1/01/13 to 12/31/13		22.1			2.9			7.5			22.2			42.7			2.6
1/01/14 to 12/31/14		21.6			2.9			8.1			23.0			41.8			2.6
1/01/15 to 12/31/15		13.2			1.9			10.6			26.0			46.0			2.3

See “About Fund Performance” on page 14 for descriptions of the indexes.

Performance Summary for the Period Ended December 31, 2015

	6-Month			Average Annual Total Returns
	Total Returns			1 Year			Since  Inception3
Institutional		(2.45	)%		(0.53	)%		6.11	%
Investor A		(2.50	)		(0.78	)		5.83
Class K		(2.43	)		(0.56	)		6.12
LifePath Index 2035 Fund Custom Benchmark		(2.52	)		(0.75	)		6.24
Barclays U.S. Aggregate Bond Index		0.65			0.55			2.87
Barclays U.S. TIPS Index (Series L)		(1.78	)		(1.44	)		1.70
FTSE EPRA/NAREIT Developed Real Estate Index		2.49			(0.79	)		5.95
MSCI ACWI ex USA IMI Index		(8.78	)		(4.60	)		0.28
Russell 1000® Index		(0.78	)		0.92			11.69
Russell 2000® Index		(8.75	)		(4.41	)		8.07

³  The LifePath Index Fund commenced operations on May 31, 2011.

Past performance is not indicative of future results.

BLACKROCK FUNDS III DECEMBER 31, 2015 9

BlackRock LifePath Index 2040 Fund

Investment Objective

BlackRock LifePath^® Index 2040 Fund’s (“LifePath Index 2040 Fund” or the “LifePath Index Fund”) investment objective is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, the LifePath Index Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time.

Effective March 31, 2015, the LifePath^® Index 2040 Portfolio changed its name to the BlackRock LifePath^® Index 2040 Fund.

Total Return Based on a $10,000 Investment

¹  The LifePath Index Fund compares its performance to that of a customized weighted index (the “LifePath Index 2040 Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment advisor’s changes to the benchmark’s weightings over time. The investment advisor adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Index Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

²  Commencement of operations.

LifePath Index Fund’s custom benchmark consists of the following:

Period3	Barclays U.S. Aggregate Bond Index			Barclays U.S.  Treasury Inflation Protected Securities (TIPS) Index (Series L)			FTSE EPRA/NAREIT Developed Real Estate Index			MSCI ACWI ex USA IMI Index			Russell 1000® Index			Russell 2000® Index
5/31/11 to 12/31/11		13.1	%		1.3	%		N/A			27.6	%		54.6	%		3.4	%
1/01/12 to 12/31/12		15.3			1.6			4.2	%		25.6			50.5			2.8
1/01/13 to 12/31/13		17.1			1.7			8.7			23.9			46.2			2.4
1/01/14 to 12/31/14		16.3			1.6			9.5			24.9			45.3			2.4
1/01/15 to 12/31/15		5.6			0.7			12.9			28.6			50.1			2.1

See “About Fund Performance” on page 14 for descriptions of the indexes.

Performance Summary for the Period Ended December 31, 2015

	6-Month			Average Annual Total Returns
	Total Returns			1 Year			Since  Inception3
Institutional		(2.64	)%		(0.69	)%		6.35	%
Investor A		(2.77	)		(0.94	)		6.07
Class K		(2.61	)		(0.56	)		6.39
LifePath Index 2040 Fund Custom Benchmark		(2.76	)		(0.90	)		6.47
Barclays U.S. Aggregate Bond Index		0.65			0.55			2.87
Barclays U.S. TIPS Index (Series L)		(1.78	)		(1.44	)		1.70
FTSE EPRA/NAREIT Developed Real Estate Index		2.49			(0.79	)		5.95
MSCI ACWI ex USA IMI Index		(8.78	)		(4.60	)		0.28
Russell 1000® Index		(0.78	)		0.92			11.69
Russell 2000® Index		(8.75	)		(4.41	)		8.07

³  The LifePath Index Fund commenced operations on May 31, 2011.

Past performance is not indicative of future results.

10 BLACKROCK FUNDS III DECEMBER 31, 2015

BlackRock LifePath Index 2045 Fund

Investment Objective

BlackRock LifePath^® Index 2045 Fund’s (“LifePath Index 2045 Fund” or the “LifePath Index Fund”) investment objective is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, the LifePath Index Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time.

Effective March 31, 2015, the LifePath^® Index 2045 Portfolio changed its name to the BlackRock LifePath^® Index 2045 Fund.

Total Return Based on a $10,000 Investment

¹  The LifePath Index Fund compares its performance to that of a customized weighted index (the “LifePath Index 2045 Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment advisor’s changes to the benchmark’s weightings over time. The investment advisor adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Index Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

²  Commencement of operations.

LifePath Index Fund’s custom benchmark consists of the following:

Period3	Barclays U.S. Aggregate Bond Index			Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series L)			FTSE EPRA/NAREIT Developed Real Estate Index			MSCI ACWI ex USA IMI Index			Russell 1000® Index			Russell 2000® Index
5/31/11 to 12/31/11		8.7	%		N/A			N/A			29.6	%		58.3	%		3.4	%
1/01/12 to 12/31/12		11.2			N/A			4.8	%		27.4			54.0			2.6
1/01/13 to 12/31/13		13.2			N/A			9.8			25.4			49.5			2.1
1/01/14 to 12/31/14		12.6			N/A			10.7			26.4			48.1			2.2
1/01/15 to 12/31/15		1.8			0.2	%		14.2			30.0			51.7			2.1

See “About Fund Performance” on page 14 for descriptions of the indexes.

Performance Summary for the Period Ended December 31, 2015

	6-Month			Average Annual Total Returns
	Total Returns			1 Year			Since  Inception3
Institutional		(2.70	)%		(0.70	)%		6.52	%
Investor A		(2.91	)		(0.94	)		6.26
Class K		(2.68	)		(0.64	)		6.58
LifePath Index 2045 Fund Custom Benchmark		(2.90	)		(1.00	)		6.70
Barclays U.S. Aggregate Bond Index		0.65			0.55			2.87
Barclays U.S. TIPS Index (Series L)		(1.78	)		(1.44	)		1.70
FTSE EPRA/NAREIT Developed Real Estate Index		2.49			(0.79	)		5.95
MSCI ACWI ex USA IMI Index		(8.78	)		(4.60	)		0.28
Russell 1000® Index		(0.78	)		0.92			11.69
Russell 2000® Index		(8.75	)		(4.41	)		8.07

³  The LifePath Index Fund commenced operations on May 31, 2011.

Past performance is not indicative of future results.

BLACKROCK FUNDS III DECEMBER 31, 2015 11

BlackRock LifePath Index 2050 Fund

Investment Objective

BlackRock LifePath^® Index 2050 Fund’s (“LifePath Index 2050 Fund” or the “LifePath Index Fund”) investment objective is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, the LifePath Index Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time.

Effective March 31, 2015, the LifePath^® Index 2050 Portfolio changed its name to the BlackRock LifePath^® Index 2050 Fund.

Total Return Based on a $10,000 Investment

¹  The LifePath Index Fund compares its performance to that of a customized weighted index (the “LifePath Index 2050 Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment advisor’s changes to the benchmark’s weightings over time. The investment advisor adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Index Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

²  Commencement of operations.

LifePath Index Fund’s custom benchmark consists of the following:

Period3	Barclays U.S. Aggregate Bond Index			FTSE EPRA/NAREIT Developed Real Estate Index			MSCI ACWI ex USA IMI Index			Russell 1000® Index			Russell 2000® Index
5/31/11 to 12/31/11		3.3	%		N/A			31.6	%		61.7	%		3.4	%
1/01/12 to 12/31/12		5.8			5.3	%		29.2			57.1			2.6
1/01/13 to 12/31/13		7.9			10.8			26.9			52.5			1.9
1/01/14 to 12/31/14		8.3			11.7			27.7			50.4			1.9
1/01/15 to 12/31/15		1.0			14.5			30.3			52.1			2.1

See “About Fund Performance” on page 14 for descriptions of the indexes.

Performance Summary for the Period Ended December 31, 2015

	6-Month			Average Annual Total Returns
	Total Returns			1 Year			Since  Inception3
Institutional		(2.78	)%		(0.72	)%		6.76	%
Investor A		(2.91	)		(0.96	)		6.49
Class K		(2.75	)		(0.67	)		6.80
LifePath Index 2050 Fund Custom Benchmark		(2.93	)		(1.02	)		6.91
Barclays U.S. Aggregate Bond Index		0.65			0.55			2.87
FTSE EPRA/NAREIT Developed Real Estate Index		2.49			(0.79	)		5.95
MSCI ACWI ex USA IMI Index		(8.78	)		(4.60	)		0.28
Russell 1000® Index		(0.78	)		0.92			11.69
Russell 2000® Index		(8.75	)		(4.41	)		8.07

³  The LifePath Index Fund commenced operations on May 31, 2011.

Past performance is not indicative of future results.

12 BLACKROCK FUNDS III DECEMBER 31, 2015

BlackRock LifePath Index 2055 Fund

Investment Objective

BlackRock LifePath^® Index 2055 Fund’s (“LifePath Index 2055 Fund” or the “LifePath Index Fund”) investment objective is to seek to provide for retirement outcomes based on quantitatively measured risk. In pursuit of this objective, the LifePath Index Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time.

Effective March 31, 2015, the LifePath^® Index 2055 Portfolio changed its name to the BlackRock LifePath^® Index 2055 Fund.

Total Return Based on a $10,000 Investment

¹  The LifePath Index Fund compares its performance to that of a customized weighted index (the “LifePath Index 2055 Fund Custom Benchmark”), comprised of the indexes indicated below, which reflects the investment advisor’s changes to the benchmark’s weightings over time. The investment advisor adjusts the weightings of these indexes periodically based upon its evaluation and adjustment of the LifePath Index Fund’s asset allocation strategy. The weightings are presented annually but they are adjusted quarterly.

²  Commencement of operations.

LifePath Index Fund’s custom benchmark consists of the following:

Period3	Barclays U.S. Aggregate Bond Index			FTSE EPRA/NAREIT Developed Real Estate Index			MSCI ACWI ex USA IMI Index			Russell 1000® Index			Russell 2000® Index
5/31/11 to 12/31/11		1.0	%		N/A			33.2	%		59.8	%		6.0	%
1/01/12 to 12/31/12		1.1			5.9	%		31.4			57.4			4.2
1/01/13 to 12/31/13		2.7			12.2			28.4			54.8			1.9
1/01/14 to 12/31/14		4.2			12.8			29.0			52.1			1.9
1/01/15 to 12/31/15		1.0			14.5			30.3			52.1			2.1

See “About Fund Performance” on page 14 for descriptions of the indexes.

Performance Summary for the Period Ended December 31, 2015

	6-Month			Average Annual Total Returns
	Total Returns			1 Year			Since  Inception3
Institutional		(2.72	)%		(0.64	)%		7.00	%
Investor A		(2.85	)		(0.88	)		6.73
Class K		(2.69	)		(0.60	)		7.04
LifePath Index 2055 Fund Custom Benchmark		(2.93	)		(1.02	)		7.10
Barclays U.S. Aggregate Bond Index		0.65			0.55			2.87
FTSE EPRA/NAREIT Developed Real Estate Index		2.49			(0.79	)		5.95
MSCI ACWI ex USA IMI Index		(8.78	)		(4.60	)		0.28
Russell 1000® Index		(0.78	)		0.92			11.69
Russell 2000® Index		(8.75	)		(4.41	)		8.07

³  The LifePath Index Fund commenced operations on May 31, 2011.

Past performance is not indicative of future results.

BLACKROCK FUNDS III DECEMBER 31, 2015 13

About Fund Performance

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

• Investor A Shares are not subject to any sales charge and bear no ongoing distribution fee. These shares are subject to an ongoing service fee of 0.25% per year. These shares are generally available through financial intermediaries.

• 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.

Performance information reflects past performance and does not guarantee future results. Current performance may be lower or higher than the performance data quoted. Refer to www.blackrock.com/funds 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 LifePath Index Fund distributions or the redemption of LifePath Index Fund shares. Figures shown in the performance tables on the previous pages assume reinvestment of all distributions, if any, at net asset value (“NAV”) on the ex-dividend date. 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 administration and service fees applicable to each class, which are deducted from the income available to be paid to shareholders.

BlackRock Advisors, LLC (“BAL” or the “Administrator”), each LifePath Index Funds’ administrator, waived and/or reimbursed a portion of each LifePath Index Fund’s expenses. Without such waiver and/or reimbursement, each LifePath Index Fund’s performance would have been lower. The Administrator is under no obligation to continue waiving and/or reimbursing its fees after the applicable termination date of such agreement. See Note 4 of the Notes to Financial Statements for additional information on waivers and/or reimbursements.

The LifePath Index Funds’ custom benchmarks are hypothetical representations of the performance of the respective LifePath Index Fund’s asset classes according to their weightings as of the most recent quarter-end. The weightings of the various indexes that are included in the LifePath Index Funds’ custom benchmarks are adjusted quarterly to reflect the LifePath Index Fund’s changing asset allocations over time. As of December 31, 2015, the following indexes are used to calculate the LifePath Index Funds’ custom benchmarks: Barclays U.S. Aggregate Bond Index, Barclays U.S. TIPS Index (Series L), FTSE EPRA/NAREIT Developed Real Estate Index, MSCI ACWI ex USA IMI Index, Russell 1000^® Index and Russell 2000^® Index, as applicable.

The Barclays U.S. Aggregate Bond Index is 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. The Barclays U.S. TIPS Index (Series L) is a market value-weighted index that tracks inflation-protected securities issued by the U.S. Treasury. The FTSE EPRA/NAREIT Developed Real Estate Index a global market capitalization weighted index composed of listed real estate securities from developed market countries in North America, Europe, and Asia. The MSCI ACWI ex USA IMI Index is a free float-adjusted market capitalization weighted index that measures the equity market performance of the developed (excluding the U.S.) and emerging investable market universe. The Russell 1000^® Index is 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. The Russell 2000^® Index is an unmanaged index that is a subset of the Russell 3000^® Index representing approximately 10% of the total market capitalization of that Index. It includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership.

14 BLACKROCK FUNDS III DECEMBER 31, 2015

Disclosure of Expenses

Shareholders of each LifePath Index 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, and other fund expenses. The expense examples shown below (which are based on a hypothetical investment of $1,000 invested on July 1, 2015 and held through December 31, 2015) are intended to assist shareholders both in calculating expenses based on an investment in a LifePath Index Fund and in comparing these expenses with similar costs of investing in other mutual funds.

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

The expense examples also provide information about hypothetical account values and hypothetical expenses based on each LifePath Index 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 a LifePath Index Fund and other funds, compare the 5% hypothetical examples with the 5% hypothetical examples that appear in shareholder reports of other funds.

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

Expense Examples

	Actual						Hypothetical2
	Beginning Account Value July 1, 2015		Ending Account Value December 31, 2015		Expenses Paid During the Period1		Beginning Account Value July 1, 2015		Ending Account Value December 31, 2015		Expenses Paid During the Period1		Annualized Expense Ratio
LifePath Index Retirement Fund
Institutional		$1,000.00		$984.80		$0.65		$1,000.00		$1,024.55		$0.66		0.13%
Investor A		$1,000.00		$983.50		$1.90		$1,000.00		$1,023.29		$1.94		0.38%
Class K		$1,000.00		$985.10		$0.40		$1,000.00		$1,024.80		$0.41		0.08%
LifePath Index 2020 Fund
Institutional		$1,000.00		$982.20		$0.65		$1,000.00		$1,024.55		$0.66		0.13%
Investor A		$1,000.00		$980.80		$1.90		$1,000.00		$1,023.29		$1.94		0.38%
Class K		$1,000.00		$981.50		$0.40		$1,000.00		$1,024.80		$0.41		0.08%
LifePath Index 2025 Fund
Institutional		$1,000.00		$980.00		$0.65		$1,000.00		$1,024.55		$0.66		0.13%
Investor A		$1,000.00		$978.70		$1.90		$1,000.00		$1,023.29		$1.94		0.38%
Class K		$1,000.00		$980.20		$0.40		$1,000.00		$1,024.80		$0.41		0.08%
LifePath Index 2030 Fund
Institutional		$1,000.00		$977.60		$0.65		$1,000.00		$1,024.55		$0.66		0.13%
Investor A		$1,000.00		$976.30		$1.89		$1,000.00		$1,023.29		$1.94		0.38%
Class K		$1,000.00		$977.90		$0.40		$1,000.00		$1,024.80		$0.41		0.08%
LifePath Index 2035 Fund
Institutional		$1,000.00		$975.50		$0.60		$1,000.00		$1,024.60		$0.61		0.12%
Investor A		$1,000.00		$975.00		$1.84		$1,000.00		$1,023.34		$1.89		0.37%
Class K		$1,000.00		$975.70		$0.35		$1,000.00		$1,024.85		$0.36		0.07%
LifePath Index 2040 Fund
Institutional		$1,000.00		$973.60		$0.60		$1,000.00		$1,024.60		$0.61		0.12%
Investor A		$1,000.00		$972.30		$1.84		$1,000.00		$1,023.34		$1.89		0.37%
Class K		$1,000.00		$973.90		$0.35		$1,000.00		$1,024.85		$0.36		0.07%
LifePath Index 2045 Fund
Institutional		$1,000.00		$973.00		$0.55		$1,000.00		$1,024.65		$0.56		0.11%
Investor A		$1,000.00		$970.90		$1.79		$1,000.00		$1,023.39		$1.84		0.36%
Class K		$1,000.00		$973.20		$0.30		$1,000.00		$1,024.90		$0.31		0.06%
LifePath Index 2050 Fund
Institutional		$1,000.00		$972.20		$0.55		$1,000.00		$1,024.65		$0.56		0.11%
Investor A		$1,000.00		$970.90		$1.79		$1,000.00		$1,023.39		$1.84		0.36%
Class K		$1,000.00		$972.50		$0.30		$1,000.00		$1,024.90		$0.31		0.06%
LifePath Index 2055 Fund
Institutional		$1,000.00		$972.80		$0.50		$1,000.00		$1,024.70		$0.51		0.10%
Investor A		$1,000.00		$971.50		$1.74		$1,000.00		$1,023.44		$1.79		0.35%
Class K		$1,000.00		$973.10		$0.25		$1,000.00		$1,024.95		$0.26		0.05%

¹  For each class of the LifePath Index Fund, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). Because each LifePath Index Fund invests all its assets in a LifePath Index Master Portfolio, the expense examples reflect the net expenses of both the LifePath Index Fund and the LifePath Index Master Portfolio in which it invests.

²  Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365.

BLACKROCK FUNDS III DECEMBER 31, 2015 15

Statements of Assets and Liabilities

December 31, 2015	BlackRock LifePath Index Retirement Fund			BlackRock LifePath Index 2020 Fund			BlackRock LifePath Index 2025 Fund			BlackRock LifePath Index 2030 Fund			BlackRock LifePath Index 2035 Fund
Assets
Investments at value — from the applicable LifePath Index Master Portfolio1	$	499,736,681		$	1,075,144,145		$	776,522,512		$	1,076,668,469		$	609,558,710
Receivables:
Withdrawals from the LifePath Index Master Portfolio		5,769,816			18,882,108			290,749			23,026,318			2,511,011
Capital shares sold		562,143			1,754,207			846,750			2,137,557			919,581
From the administrator		35,212			50,937			50,185			55,979			45,659
Prepaid expenses		21,641			24,524			21,263			25,077			21,091
Total assets		506,125,493			1,095,855,921			777,731,459			1,101,913,400			613,056,052
Liabilities
Payables:
Capital shares redeemed		6,331,959			20,636,315			1,137,499			25,163,875			3,430,592
Professional fees		15,567			13,009			14,381			13,265			14,842
Service fees		14,290			27,289			22,111			29,705			20,360
Transfer agent fees		12,476			18,789			11,506			17,023			8,398
Registration fees		8,712			25,305			27,361			31,796			21,863
Printing fees		4,152			3,714			3,706			3,717			3,704
Trustees’ fees		313			643			367			570			287
Other accrued expenses		971			728			787			743			821
Total liabilities		6,388,440	��		20,725,792			1,217,718			25,260,694			3,500,867
Net Assets	$	499,737,053		$	1,075,130,129		$	776,513,741		$	1,076,652,706		$	609,555,185
Net Assets Consist of
Paid-in capital	$	485,771,364		$	1,041,117,686		$	764,035,444		$	1,042,132,619		$	598,821,370
Distributions in excess of net investment income		(963,864	)		(1,725,582	)		(924,419	)		(1,415,570	)		(574,845	)
Accumulated net realized gain allocated from the applicable LifePath Index Master Portfolio		19,990,756			46,749,415			24,379,987			50,126,618			21,839,664
Net unrealized appreciation (depreciation) allocated from the applicable LifePath Index Master Portfolio		(5,061,203	)		(11,011,390	)		(10,977,271	)		(14,190,961	)		(10,531,004	)
Net Assets	$	499,737,053		$	1,075,130,129		$	776,513,741		$	1,076,652,706		$	609,555,185
Net Asset Value
Institutional:
Net assets	$	68,492,468		$	89,772,864		$	73,993,458		$	88,245,876		$	57,252,457
Shares outstanding2		6,241,979			8,017,998			6,496,155			7,706,504			4,944,298
Net asset value	$	10.97		$	11.20		$	11.39		$	11.45		$	11.58
Investor A:
Net assets	$	61,885,685		$	109,566,384		$	104,993,155		$	117,745,350		$	94,830,288
Shares outstanding2		5,643,917			9,800,266			9,225,998			10,287,237			8,205,602
Net asset value	$	10.97		$	11.18		$	11.38		$	11.45		$	11.56
Class K:
Net assets	$	369,358,900		$	875,790,881		$	597,527,128		$	870,661,480		$	457,472,440
Shares outstanding2		33,676,633			78,232,488			52,441,957			76,110,371			39,541,133
Net asset value	$	10.97		$	11.19		$	11.39		$	11.44		$	11.57
1    Investments at cost — from the applicable LifePath Index Master Portfolio	$	504,797,884		$	1,086,155,535		$	787,499,783		$	1,090,859,430		$	620,089,714
2    No par value, unlimited number of shares authorized.

See Notes to Financial Statements.
16	BLACKROCK FUNDS III	DECEMBER 31, 2015

Statements of Assets and Liabilities

December 31, 2015	BlackRock LifePath Index 2040 Fund			BlackRock LifePath Index 2045 Fund			BlackRock LifePath Index 2050 Fund			BlackRock LifePath Index 2055 Fund
Assets
Investments at value — from the applicable LifePath Index Master Portfolio1	$	751,292,270		$	341,216,673		$	337,050,881		$	106,990,415
Receivables:
Withdrawals from the LifePath Index Master Portfolio		17,003,924			3,801,861			7,830,751			1,849,436
Capital shares sold		2,756,023			1,196,979			934,047			487,508
From the administrator		49,757			31,993			35,177			30,287
Prepaid expenses		23,093			19,193			20,949			18,626
Total assets		771,125,067			346,266,699			345,871,805			109,376,272
Liabilities
Payables:
Capital shares redeemed		19,759,947			4,998,840			8,764,798			2,336,944
Registration fees		24,210			12,097			12,139			4,834
Service fees		18,067			9,446			6,902			3,030
Professional fees		14,412			15,625			15,718			16,478
Transfer agent fees		9,519			—			—			—
Printing fees		3,723			3,700			3,701			3,710
Trustees’ fees		383			34			153			2
Other accrued expenses		787			934			935			955
Total liabilities		19,831,048			5,040,676			8,804,346			2,365,953
Net Assets	$	751,294,019		$	341,226,023		$	337,067,459		$	107,010,319
Net Assets Consist of
Paid-in capital	$	730,538,602		$	336,693,717		$	332,897,642		$	106,846,332
Distributions in excess of net investment income		(741,196	)		(268,192	)		(260,190	)		(66,588	)
Accumulated net realized gain allocated from the applicable LifePath Index Master Portfolio		34,850,552			12,269,201			12,572,126			2,243,575
Net unrealized appreciation (depreciation) allocated from the applicable LifePath Index Master Portfolio		(13,353,939	)		(7,468,703	)		(8,142,119	)		(2,013,000	)
Net Assets	$	751,294,019		$	341,226,023		$	337,067,459		$	107,010,319
Net Asset Value
Institutional:
Net assets	$	66,512,220		$	45,227,968		$	38,476,330		$	19,214,210
Shares outstanding2		5,708,492			3,832,344			3,218,906			1,579,069
Net asset value	$	11.65		$	11.80		$	11.95		$	12.17
Investor A:
Net assets	$	69,659,513		$	43,155,476		$	27,412,902		$	13,139,870
Shares outstanding2		5,986,896			3,662,325			2,297,090			1,081,405
Net asset value	$	11.64		$	11.78		$	11.93		$	12.15
Class K:
Net assets	$	615,122,286		$	252,842,579		$	271,178,227		$	74,656,239
Shares outstanding2		52,805,005			21,410,659			22,687,829			6,135,364
Net asset value	$	11.65		$	11.81		$	11.95		$	12.17
1    Investments at cost — from the applicable LifePath Index Master Portfolio	$	764,646,209		$	348,685,376		$	345,193,000		$	109,003,415
2    No par value, unlimited number of shares authorized.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	17

Statements of Operations

Year Ended December 31, 2015	BlackRock LifePath Index Retirement Fund			BlackRock LifePath Index 2020 Fund			BlackRock LifePath Index 2025 Fund			BlackRock LifePath Index 2030 Fund			BlackRock LifePath Index 2035 Fund
Investment Income
Net investment income allocated from the LifePath Index Master Portfolio:
Dividends — affiliated	$	4,379,943		$	12,645,302		$	9,949,412		$	17,752,397		$	10,501,937
Interest — affiliated		4,918,156			8,403,804			4,136,616			4,502,667			1,456,846
Securities lending — affiliated — net		8,904			9,125			12,961			8,095			5,241
Income — affiliated		2,057			4,315			3,785			5,295			3,249
Expenses		(541,624	)		(1,104,718	)		(671,744	)		(1,033,206	)		(534,650	)
Fees waived		109,117			169,481			92,114			133,691			117,053
Total income		8,876,553			20,127,309			13,523,144			21,368,939			11,549,676
Fund Expenses
Administration		144,589			310,409			196,632			298,831			153,594
Service — Investor A		166,908			318,633			254,105			349,284			233,557
Transfer agent — Institutional		42,303			52,380			40,683			50,138			29,415
Transfer agent — Investor A		39,882			73,082			59,629			80,589			55,782
Transfer agent — Class K		28,606			33,797			18,417			35,863			19,221
Registration		64,972			92,065			78,950			97,007			71,042
Professional		32,203			34,659			31,995			34,138			31,412
Printing		18,060			25,002			20,028			24,718			18,126
Independent Trustees		306			607			347			547			268
Miscellaneous		7,962			8,386			7,745			8,358			7,745
Recoupment of past waived fees — class specific		4,558			6,783			7,008			7,728			6,924
Total expenses		550,349			955,803			715,539			987,201			627,086
Less administration fees waived		(144,589	)		(310,409	)		(196,632	)		(298,831	)		(153,594	)
Transfer agent fees waived and/or reimbursed — Institutional		(8,299	)		(9,855	)		(9,037	)		(9,386	)		(6,733	)
Transfer agent fees waived and/or reimbursed — Investor A		(10,921	)		(14,496	)		(13,405	)		(16,428	)		(13,808	)
Transfer agent fees waived and/or reimbursed — Class K		(28,603	)		(33,794	)		(18,415	)		(35,861	)		(19,219	)
Less fees reimbursed by the administrator		(123,178	)		(160,394	)		(138,739	)		(164,443	)		(128,269	)
Total expenses after fees waived and/or reimbursed		234,759			426,855			339,311			462,252			305,463
Net investment income		8,641,794			19,700,454			13,183,833			20,906,687			11,244,213
Realized and Unrealized Gain (Loss) Allocated from the LifePath Index Master Portfolio
Net realized gain from investments, financial futures contracts, foreign currency transactions and in-kind redemptions1		25,091,156			57,467,254			29,568,229			61,509,874			27,014,851
Net change in unrealized appreciation (depreciation) on investments, financial futures contracts and foreign currency translations		(35,849,607	)		(83,870,133	)		(48,301,927	)		(90,984,619	)		(43,393,602	)
Net realized and unrealized loss		(10,758,451	)		(26,402,879	)		(18,733,698	)		(29,474,745	)		(16,378,751	)
Net Decrease in Net Assets Resulting from Operations	$	(2,116,657	)	$	(6,702,425	)	$	(5,549,865	)	$	(8,568,058	)	$	(5,134,538	)
1    See Note 2 of the Notes to Financial Statements.

See Notes to Financial Statements.
18	BLACKROCK FUNDS III	DECEMBER 31, 2015

Statements of Operations

Year Ended December 31, 2015	BlackRock LifePath Index 2040 Fund			BlackRock LifePath Index 2045 Fund			BlackRock LifePath Index 2050 Fund			BlackRock LifePath Index 2055 Fund
Investment Income
Net investment income allocated from the LifePath Index Master Portfolio:
Dividends — affiliated	$	15,441,479		$	6,968,022		$	7,303,323		$	2,143,318
Interest — affiliated		933,733			176,258			146,687			41,773
Securities lending — affiliated — net		8,679			2,806			9,589			5,496
Income — affiliated		4,130			2,011			1,999			749
Expenses		(694,999	)		(311,474	)		(324,544	)		(122,372	)
Fees waived		131,731			98,552			102,637			66,911
Total income		15,824,753			6,936,175			7,239,691			2,135,875
Fund Expenses
Administration		203,875			87,098			90,818			26,311
Service — Investor A		201,787			103,289			74,132			30,262
Transfer agent — Institutional		37,026			25,387			25,068			13,956
Transfer agent — Investor A		46,877			26,431			19,780			9,265
Transfer agent — Class K		34,607			19,916			34,779			19,562
Registration		89,237			60,034			67,716			51,391
Professional		32,117			30,311			30,526			29,207
Printing		20,507			15,138			15,413			11,843
Independent Trustees		378			152			152			—
Miscellaneous		7,745			7,714			7,714			7,714
Recoupment of past waived fees — class specific		5,116			4,269			2,227			733
Total expenses		679,272			379,739			368,325			200,244
Less administration fees waived		(203,875	)		(87,098	)		(90,818	)		(26,311	)
Transfer agent fees waived and/or reimbursed — Institutional		(8,016	)		(7,596	)		(8,506	)		(6,771	)
Transfer agent fees waived and/or reimbursed — Investor A		(9,826	)		(7,392	)		(5,578	)		(3,365	)
Transfer agent fees waived and/or reimbursed — Class K		(34,605	)		(19,915	)		(34,777	)		(19,560	)
Less fees reimbursed by the administrator		(149,659	)		(113,025	)		(121,197	)		(99,920	)
Total expenses after fees waived and/or reimbursed		273,291			144,713			107,449			44,317
Net investment income		15,551,462			6,791,462			7,132,242			2,091,558
Realized and Unrealized Gain (Loss) Allocated from the LifePath Index Master Portfolio
Net realized gain from investments, financial futures contracts, foreign currency transactions and in-kind redemptions1		43,354,569			15,256,959			15,525,064			3,730,516
Net change in unrealized appreciation (depreciation) on investments, financial futures contracts and foreign currency translations		(66,075,844	)		(25,245,810	)		(26,110,210	)		(6,917,381	)
Net realized and unrealized loss		(22,721,275	)		(9,988,851	)		(10,585,146	)		(3,186,865	)
Net Decrease in Net Assets Resulting from Operations	$	(7,169,813	)	$	(3,197,389	)	$	(3,452,904	)	$	(1,095,307	)
1    See Note 2 of the Notes to Financial Statements.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	19

Statements of Changes in Net Assets

	BlackRock LifePath Index Retirement Fund						BlackRock LifePath Index 2020 Fund
	Year Ended December 31,						Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014			2015			2014
Operations
Net investment income	$	8,641,794		$	6,754,544		$	19,700,454		$	14,578,806
Net realized gain		25,091,156			5,266,766			57,467,254			9,750,563
Net change in unrealized appreciation (depreciation)		(35,849,607	)		8,358,774			(83,870,133	)		19,682,605
Net increase (decrease) in net assets resulting from operations		(2,116,657	)		20,380,084			(6,702,425	)		44,011,974
Distributions to Shareholders1
From net investment income:
Institutional		(1,277,848	)		(1,003,476	)		(1,703,517	)		(1,290,937	)
Investor A		(1,083,250	)		(645,501	)		(2,187,020	)		(1,371,308	)
Class K		(6,712,304	)		(5,189,643	)		(16,717,448	)		(12,046,964	)
From net realized gain:
Institutional		(671,047	)		(831,394	)		(797,026	)		(946,287	)
Investor A		(661,044	)		(642,610	)		(1,155,335	)		(1,151,106	)
Class K		(3,568,084	)		(3,851,560	)		(7,783,760	)		(8,329,236	)
Decrease in net assets resulting from distributions to shareholders		(13,973,577	)		(12,164,184	)		(30,344,106	)		(25,135,838	)
Capital Share Transactions
Net increase in net assets derived from capital share transactions		84,341,187			101,799,062			231,104,256			246,310,875
Net Assets
Total increase in net assets		68,250,953			110,014,962			194,057,725			265,187,011
Beginning of year		431,486,100			321,471,138			881,072,404			615,885,393
End of year	$	499,737,053		$	431,486,100		$	1,075,130,129		$	881,072,404
Distributions in excess of net investment income, end of year	$	(963,864	)	$	(532,256	)	$	(1,725,582	)	$	(818,051	)
1    Distributions for annual periods determined in accordance with federal income tax regulations.

See Notes to Financial Statements.
20	BLACKROCK FUNDS III	DECEMBER 31, 2015

Statements of Changes in Net Assets

	BlackRock LifePath Index 2025 Fund						BlackRock LifePath Index 2030 Fund
	Year Ended December 31,						Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014			2015			2014
Operations
Net investment income	$	13,183,833		$	7,980,893		$	20,906,687		$	14,132,713
Net realized gain		29,568,229			4,243,950			61,509,874			7,450,237
Net change in unrealized appreciation (depreciation)		(48,301,927	)		11,493,129			(90,984,619	)		20,621,536
Net increase (decrease) in net assets resulting from operations		(5,549,865	)		23,717,972			(8,568,058	)		42,204,486
Distributions to Shareholders1
From net investment income:
Institutional		(1,377,536	)		(813,427	)		(1,813,762	)		(1,216,088	)
Investor A		(1,805,811	)		(1,216,103	)		(2,626,280	)		(1,658,504	)
Class K		(10,608,523	)		(5,998,530	)		(17,338,274	)		(11,318,329	)
From net realized gain:
Institutional		(407,135	)		(508,503	)		(716,183	)		(827,120	)
Investor A		(592,391	)		(853,702	)		(1,160,733	)		(1,251,411	)
Class K		(3,270,147	)		(3,603,809	)		(7,146,165	)		(7,287,063	)
From return of capital:
Institutional		(9,315	)		—			—			—
Investor A		(13,769	)		—			—			—
Class K		(65,804	)		—			—			—
Decrease in net assets resulting from distributions to shareholders		(18,150,431	)		(12,994,074	)		(30,801,397	)		(23,558,515	)
Capital Share Transactions
Net increase in net assets derived from capital share transactions		282,075,364			228,806,845			297,955,479			271,075,569
Net Assets
Total increase in net assets		258,375,068			239,530,743			258,586,024			289,721,540
Beginning of year		518,138,673			278,607,930			818,066,682			528,345,142
End of year	$	776,513,741		$	518,138,673		$	1,076,652,706		$	818,066,682
Distributions in excess of net investment income, end of year	$	(924,419	)	$	(316,382	)	$	(1,415,570	)	$	(543,941	)
1    Distributions for annual periods determined in accordance with federal income tax regulations.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	21

Statements of Changes in Net Assets

	BlackRock LifePath Index 2035 Fund						BlackRock LifePath Index 2040 Fund
	Year Ended December 31,						Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014			2015			2014
Operations
Net investment income	$	11,244,213		$	6,623,719		$	15,551,462		$	9,659,334
Net realized gain		27,014,851			2,777,692			43,354,569			4,084,987
Net change in unrealized appreciation (depreciation)		(43,393,602	)		9,904,332			(66,075,844	)		14,271,549
Net increase (decrease) in net assets resulting from operations		(5,134,538	)		19,305,743			(7,169,813	)		28,015,870
Distributions to Shareholders1
From net investment income:
Institutional		(1,117,568	)		(576,033	)		(1,422,218	)		(851,152	)
Investor A		(1,835,251	)		(1,172,332	)		(1,669,244	)		(918,989	)
Class K		(8,692,886	)		(4,885,446	)		(12,960,520	)		(7,898,009	)
From net realized gain:
Institutional		(373,420	)		(326,421	)		(569,482	)		(501,303	)
Investor A		(639,622	)		(731,035	)		(758,603	)		(597,551	)
Class K		(2,991,293	)		(2,643,917	)		(5,436,087	)		(4,405,145	)
Decrease in net assets resulting from distributions to shareholders		(15,650,040	)		(10,335,184	)		(22,816,154	)		(15,172,149	)
Capital Share Transactions
Net increase in net assets derived from capital share transactions		220,348,776			193,854,314			234,932,488			206,933,374
Net Assets
Total increase in net assets		199,564,198			202,824,873			204,946,521			219,777,095
Beginning of year		409,990,987			207,166,114			546,347,498			326,570,403
End of year	$	609,555,185		$	409,990,987		$	751,294,019		$	546,347,498
Distributions in excess of net investment income, end of year	$	(574,845	)	$	(173,353	)	$	(741,196	)	$	(240,676	)
1    Distributions for annual periods determined in accordance with federal income tax regulations.

See Notes to Financial Statements.
22	BLACKROCK FUNDS III	DECEMBER 31, 2015

Statements of Changes in Net Assets

	BlackRock LifePath Index 2045 Fund						BlackRock LifePath Index 2050 Fund
	Year Ended December 31,						Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014			2015			2014
Operations
Net investment income	$	6,791,462		$	3,764,889		$	7,132,242		$	3,822,906
Net realized gain		15,256,959			1,288,242			15,525,064			1,120,653
Net change in unrealized appreciation (depreciation)		(25,245,810	)		5,861,300			(26,110,210	)		6,166,502
Net increase (decrease) in net assets resulting from operations		(3,197,389	)		10,914,431			(3,452,904	)		11,110,061
Distributions to Shareholders1
From net investment income:
Institutional		(959,840	)		(414,254	)		(848,474	)		(394,456	)
Investor A		(878,566	)		(497,652	)		(637,156	)		(371,110	)
Class K		(5,161,906	)		(2,855,754	)		(5,861,725	)		(3,060,125	)
From net realized gain:
Institutional		(322,391	)		(196,532	)		(273,605	)		(161,182	)
Investor A		(327,816	)		(250,858	)		(236,197	)		(169,181	)
Class K		(1,825,857	)		(1,230,202	)		(1,956,362	)		(1,223,613	)
Decrease in net assets resulting from distributions to shareholders		(9,476,376	)		(5,445,252	)		(9,813,519	)		(5,379,667	)
Capital Share Transactions
Net increase in net assets derived from capital share transactions		127,142,109			116,729,238			117,465,063			123,424,472
Net Assets
Total increase in net assets		114,468,344			122,198,417			104,198,640			129,154,866
Beginning of year		226,757,679			104,559,262			232,868,819			103,713,953
End of year	$	341,226,023		$	226,757,679		$	337,067,459		$	232,868,819
Distributions in excess of net investment income, end of year	$	(268,192	)	$	(59,342	)	$	(260,190	)	$	(45,077	)
1    Distributions for annual periods determined in accordance with federal income tax regulations.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	23

Statements of Changes in Net Assets

	BlackRock LifePath Index 2055 Fund
	Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014
Operations
Net investment income	$	2,091,558		$	965,125
Net realized gain		3,730,516			249,732
Net change in unrealized appreciation (depreciation)		(6,917,381	)		1,523,881
Net increase (decrease) in net assets resulting from operations		(1,095,307	)		2,738,738
Distributions to Shareholders1
From net investment income:
Institutional		(383,507	)		(107,419	)
Investor A		(263,372	)		(133,343	)
Class K		(1,505,805	)		(723,754	)
From net realized gain:
Institutional		(99,073	)		(39,649	)
Investor A		(76,262	)		(48,206	)
Class K		(391,251	)		(236,207	)
Decrease in net assets resulting from distributions to shareholders		(2,719,270	)		(1,288,578	)
Capital Share Transactions
Net increase in net assets derived from capital share transactions		48,966,574			36,470,547
Net Assets
Total increase in net assets		45,151,997			37,920,707
Beginning of year		61,858,322			23,937,615
End of year	$	107,010,319		$	61,858,322
Distributions in excess of net investment income, end of year	$	(66,588	)	$	(5,462	)
1    Distributions for annual periods determined in accordance with federal income tax regulations.

See Notes to Financial Statements.
24	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights BlackRock LifePath Index Retirement Fund

	Institutional
	Year Ended December 31,												Period May 31, 20111 to December 31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	11.33		$	11.05		$	10.49		$	9.77		$	10.00
Net investment income2		0.21			0.21			0.18			0.21			0.16
Net realized and unrealized gain (loss)		(0.25	)		0.42			0.62			0.68			(0.22	)
Net increase (decrease) from investment operations		(0.04	)		0.63			0.80			0.89			(0.06	)
Distributions:3
From net investment income		(0.21	)		(0.21	)		(0.19	)		(0.15	)		(0.16	)
From net realized gain		(0.11	)		(0.14	)		(0.05	)		(0.02	)		—
From return of capital		—			—			—			—			(0.01	)
Total distributions		(0.32	)		(0.35	)		(0.24	)		(0.17	)		(0.17	)
Net asset value, end of period	$	10.97		$	11.33		$	11.05		$	10.49		$	9.77
Total Return4
Based on net asset value		(0.36)%			5.73%			7.68%			9.16%			(0.61)%	5
Ratios to Average Net Assets6
Total expenses7,8		0.21%			0.23%			0.26%			0.38%			6.81%	9,10
Total expenses after fees waived and/or reimbursed7,8		0.14%			0.16%			0.18%			0.16%			0.18%	9
Net investment income7,8		1.79%			1.82%			1.70%			2.00%			2.84%	9
Supplemental Data
Net assets, end of period (000)	$	68,492		$	68,385		$	39,793		$	20,223		$	24
Portfolio turnover rate of the LifePath Index Master Portfolio		25%	11		15%	11		18%	11		1%	12		1%	12

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Aggregate total return.

⁶  Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.02%, 0.03%, 0.02%, 0.06%, and 3.37% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁸  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Index Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,								Period May 31, 20111 to December 31, 2011
	2015		2014		2013		2012
Investments in underlying funds		0.03%		0.03%		0.02%		0.02%		0.04%

⁹  Annualized.

¹⁰  Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 6.84%.

¹¹  Includes the LifePath Index Master Portfolio’s purchases and sales of the underlying funds and Large Cap Index Master Portfolio, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio.

¹²  Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 15% and 9% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	25

Financial Highlights (continued) BlackRock LifePath Index Retirement Fund

	Investor A
	Year Ended December 31,												Period May 31, 20111 to December  31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	11.33		$	11.05		$	10.49		$	9.77		$	10.00
Net investment income2		0.17			0.17			0.16			0.18			0.15
Net realized and unrealized gain (loss)		(0.24	)		0.43			0.62			0.69			(0.23	)
Net increase (decrease) from investment operations		(0.07	)		0.60			0.78			0.87			(0.08	)
Distributions:3
From net investment income		(0.18	)		(0.18	)		(0.17	)		(0.13	)		(0.14	)
From net realized gain		(0.11	)		(0.14	)		(0.05	)		(0.02	)		—
From return of capital		—			—			—			—			(0.01	)
Total distributions		(0.29	)		(0.32	)		(0.22	)		(0.15	)		(0.15	)
Net asset value, end of period	$	10.97		$	11.33		$	11.05		$	10.49		$	9.77
Total Return4
Based on net asset value		(0.61)%			5.50%			7.44%			8.88%			(0.76)%	5
Ratios to Average Net Assets6
Total expenses7,8		0.46%			0.48%			0.51%			0.81%			7.16%	9,10
Total expenses after fees waived and/or reimbursed7,8		0.39%			0.41%			0.43%			0.41%			0.43%	9
Net investment income7,8		1.54%			1.55%			1.45%			1.71%			2.58%	9
Supplemental Data
Net assets, end of period (000)	$	61,886		$	55,156		$	28,215		$	7,967		$	24
Portfolio turnover rate of the LifePath Index Master Portfolio		25%	11		15%	11		18%	11		1%	12		1%	12

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Aggregate total return.

⁶  Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.02%, 0.03%, 0.02%, 0.13%, and 3.37% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁸  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Index Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,								Period May 31, 20111 to December 31, 2011
	2015		2014		2013		2012
Investments in underlying funds		0.03%		0.03%		0.02%		0.02%		0.04%

⁹  Annualized.

¹⁰  Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 7.10%.

¹¹  Includes the LifePath Index Master Portfolio’s purchases and sales of the underlying funds and Large Cap Index Master Portfolio, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio.

¹²  Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 15% and 9% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

See Notes to Financial Statements.
26	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights (concluded) BlackRock LifePath Index Retirement Fund

	Class K
	Year Ended December 31,												Period May 31, 20111 to December 31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	11.33		$	11.05		$	10.49		$	9.77		$	10.00
Net investment income2		0.20			0.21			0.19			0.21			0.16
Net realized and unrealized gain (loss)		(0.23	)		0.42			0.61			0.69			(0.22	)
Net increase (decrease) from investment operations		(0.03	)		0.63			0.80			0.90			(0.06	)
Distributions:3
From net investment income		(0.22	)		(0.21	)		(0.19	)		(0.16	)		(0.16	)
From net realized gain		(0.11	)		(0.14	)		(0.05	)		(0.02	)		—
From return of capital		—			—			—			—			(0.01	)
Total distributions		(0.33	)		(0.35	)		(0.24	)		(0.18	)		(0.17	)
Net asset value, end of period	$	10.97		$	11.33		$	11.05		$	10.49		$	9.77
Total Return4
Based on net asset value		(0.31)%			5.78%			7.72%			9.17%			(0.59)%	5
Ratios to Average Net Assets6
Total expenses7,8		0.15%			0.19%			0.22%			0.28%			6.71%	9,10
Total expenses after fees waived and/or reimbursed7,8		0.09%			0.11%			0.14%			0.15%			0.15%	9
Net investment income7,8		1.84%			1.87%			1.74%			2.02%			2.87%	9
Supplemental Data
Net assets, end of period (000)	$	369,359		$	307,946		$	253,463		$	173,667		$	1,905
Portfolio turnover rate of the LifePath Index Master Portfolio		25%	11		15%	11		18%	11		1%	12		1%	12

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Aggregate total return.

⁶  Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.02%, 0.03%, 0.02%, 0.04%, and 3.38% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁸  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Index Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,								Period May 31, 20111 to December 31, 2011
	2015		2014		2013		2012
Investments in underlying funds		0.03%		0.03%		0.02%		0.02%		0.04%

⁹  Annualized.

¹⁰  Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 6.74%.

¹¹  Includes the LifePath Index Master Portfolio’s purchases and sales of the underlying funds and Large Cap Index Master Portfolio, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio.

¹²  Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 15% and 9% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	27

Financial Highlights BlackRock LifePath Index 2020 Fund

	Institutional
	Year Ended December 31,												Period May 31, 20111 to December 31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	11.57		$	11.25		$	10.36		$	9.48		$	10.00
Net investment income2		0.22			0.22			0.22			0.22			0.15
Net realized and unrealized gain (loss)		(0.27	)		0.46			0.94			0.85			(0.53	)
Net increase (decrease) from investment operations		(0.05	)		0.68			1.16			1.07			(0.38	)
Distributions:3
From net investment income		(0.22	)		(0.22	)		(0.21	)		(0.16	)		(0.13	)
From net realized gain		(0.10	)		(0.14	)		(0.06	)		(0.03	)		—
From return of capital		—			—			—			—			(0.01	)
Total distributions		(0.32	)		(0.36	)		(0.27	)		(0.19	)		(0.14	)
Net asset value, end of period	$	11.20		$	11.57		$	11.25		$	10.36		$	9.48
Total Return4
Based on net asset value		(0.38)%			6.10%			11.32%			11.35%			(3.72)%	5
Ratios to Average Net Assets6
Total expenses7,8		0.20%			0.22%			0.26%			0.36%			6.91%	9,10
Total expenses after fees waived and/or reimbursed7,8		0.14%			0.16%			0.18%			0.17%			0.20%	9
Net investment income7,8		1.89%			1.93%			1.98%			2.14%			2.66%	9
Supplemental Data
Net assets, end of period (000)	$	89,773		$	81,485		$	42,447		$	19,786		$	24
Portfolio turnover rate of the LifePath Index Master Portfolio		14%	11		12%	11		12%	11		1%	12		1%	12

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Aggregate total return.

⁶  Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.02%, 0.02%, 0.01%, 0.06%, and 3.48% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁸  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Index Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,								Period May 31, 20111 to December 31, 2011
	2015		2014		2013		2012
Investments in underlying funds		0.04%		0.04%		0.03%		0.03%		0.05%

⁹  Annualized.

¹⁰  Organization costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses for Institutional Shares would have been 6.94%.

¹¹  Includes the LifePath Index Master Portfolio’s purchases and sales of the underlying funds and Large Cap Index Master Portfolio, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio.

¹²  Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 13% and 8% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

See Notes to Financial Statements.
28	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights (continued) BlackRock LifePath Index 2020 Fund

	Investor A
	Year Ended December 31,												Period May 31, 20111 to December  31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	11.55		$	11.23		$	10.35		$	9.48		$	10.00
Net investment income2		0.19			0.19			0.19			0.19			0.13
Net realized and unrealized gain (loss)		(0.26	)		0.46			0.94			0.85			(0.52	)
Net increase (decrease) from investment operations		(0.07	)		0.65			1.13			1.04			(0.39	)
Distribution:3
From net investment income		(0.20	)		(0.19	)		(0.19	)		(0.14	)		(0.12	)
From net realized gain		(0.10	)		(0.14	)		(0.06	)		(0.03	)		—
From return of capital		—			—			—			—			(0.01	)
Total distributions		(0.30	)		(0.33	)		(0.25	)		(0.17	)		(0.13	)
Net asset value, end of period	$	11.18		$	11.55		$	11.23		$	10.35		$	9.48
Total Return4
Based on net asset value		(0.63)%			5.87%			10.99%			10.98%			(3.87)%	5
Ratios to Average Net Assets6
Total expenses7,8		0.45%			0.47%			0.51%			0.68%			7.16%	9,10
Total expenses after fees waived and/or reimbursed7,8		0.39%			0.41%			0.44%			0.42%			0.46%	9
Net investment income7,8		1.64%			1.68%			1.75%			1.85%			2.42%	9
Supplemental Data
Net assets, end of period (000)	$	109,566		$	99,790		$	61,996		$	17,944		$	24
Portfolio turnover rate of the LifePath Index Master Portfolio		14%	11		12%	11		12%	11		1%	12		1%	12

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Aggregate total return.

⁶  Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.02%, 0.02%, 0.01%, 0.06%, and 3.48% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁸  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Index Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,								Period May 31, 20111 to December  31, 2011
	2015		2014		2013		2012
Investments in underlying funds		0.04%		0.04%		0.03%		0.03%		0.05%

⁹  Annualized.

¹⁰  Organization costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses for Investor A Shares would have been 7.19%.

¹¹  Includes the LifePath Index Master Portfolio’s purchases and sales of the underlying funds and Large Cap Index Master Portfolio, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio.

¹²  Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 13% and 8% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	29

Financial Highlights (concluded) BlackRock LifePath Index 2020 Fund

	Class K
	Year Ended December 31,												Period May 31, 20111 to December  31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	11.57		$	11.25		$	10.36		$	9.48		$	10.00
Net investment income2		0.23			0.23			0.22			0.22			0.15
Net realized and unrealized gain (loss)		(0.28	)		0.46			0.94			0.85			(0.52	)
Net increase (decrease) from investment operations		(0.05	)		0.69			1.16			1.07			(0.37	)
Distributions:3
From net investment income		(0.23	)		(0.23	)		(0.21	)		(0.16	)		(0.14	)
From net realized gain		(0.10	)		(0.14	)		(0.06	)		(0.03	)		—
From return of capital		—			—			—			—			(0.01	)
Total distributions		(0.33	)		(0.37	)		(0.27	)		(0.19	)		(0.15	)
Net asset value, end of period	$	11.19		$	11.57		$	11.25		$	10.36		$	9.48
Total Return4
Based on net asset value		(0.42)	%		6.15%			11.36%			11.36%			(3.71)%	5
Ratios to Average Net Assets6
Total expenses7,8		0.14%			0.17%			0.21%			0.28%			6.81%	9,10
Total expenses after fees waived and/or reimbursed7,8		0.09%			0.11%			0.14%			0.16%			0.18%	9
Net investment income7,8		1.95%			1.98%			2.00%			2.20%			2.70%	9
Supplemental Data
Net assets, end of period (000)	$	875,791		$	699,797		$	511,443		$	249,157		$	1,848
Portfolio turnover rate of the LifePath Index Master Portfolio		14%	11		12%	11		12%	11		1%	12		1%	12

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Aggregate total return.

⁶  Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.02%, 0.02%, 0.01%, 0.04%, and 3.48% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁸  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Index Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,								Period May 31, 20111 to December  31, 2011
	2015		2014		2013		2012
Investments in underlying funds		0.04%		0.04%		0.03%		0.03%		0.05%

⁹  Annualized.

¹⁰  Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 6.84%.

¹¹  Includes the LifePath Index Master Portfolio’s purchases and sales of the underlying funds and Large Cap Index Master Portfolio, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio.

¹²  Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 13% and 8% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

See Notes to Financial Statements.
30	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights BlackRock LifePath Index 2025 Fund

	Institutional
	Year Ended December 31,												Period May 31, 20111 to December 31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	11.74		$	11.37		$	10.30		$	9.35		$	10.00
Net investment income2		0.24			0.24			0.25			0.23			0.14
Net realized and unrealized gain (loss)		(0.29	)		0.47			1.12			0.92			(0.65	)
Net increase (decrease) from investment operations		(0.05	)		0.71			1.37			1.15			(0.51	)
Distributions:3
From net investment income		(0.23	)		(0.22	)		(0.22	)		(0.16	)		(0.13	)
From net realized gain		(0.07	)		(0.12	)		(0.08	)		(0.04	)		—
From return of capital		(0.00	)4		—			—			—			(0.01	)
Total distributions		(0.30	)		(0.34	)		(0.30	)		(0.20	)		(0.14	)
Net asset value, end of period	$	11.39		$	11.74		$	11.37		$	10.30		$	9.35
Total Return5
Based on net asset value		(0.42)%			6.33%			13.46%			12.34%			(5.12)%6
Ratios to Average Net Assets7
Total expenses8,9		0.20%			0.23%			0.27%			0.51%			6.97%	10
Total expenses after fees waived and/or reimbursed8,9		0.14%			0.16%			0.17%			0.18%			0.21%	10,11
Net investment income8,9		2.00%			2.03%			2.25%			2.26%			2.55%	10
Supplemental Data
Net assets, end of period (000)	$	73,993		$	53,760		$	21,097		$	4,844		$	23
Portfolio turnover rate of the LifePath Index Master Portfolio		12%	12		15%	12		13%	12		0%	13,14		0%	13,14

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴ Amount is greater than $(0.005) per share.

⁵  Where applicable, assumes the reinvestment of distributions.

⁶  Aggregate total return.

⁷  Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁸  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.01%, 0.02%, 0.02%, 0.12%, and 3.53% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁹  Includes the LifePath Index Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,								Period May 31, 20111 to December 31, 2011
	2015		2014		2013		2012
Investments in underlying funds		0.05%		0.05%		0.04%		0.03%		0.06%

¹⁰ Annualized.

¹¹  Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 6.99%.

¹²  Includes the LifePath Index Master Portfolio’s purchases and sales of the underlying funds and Large Cap Index Master Portfolio, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio.

¹³  Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 14% and 8% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹⁴ Rounds to less than 1%.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	31

Financial Highlights (continued) BlackRock LifePath Index 2025 Fund

	Investor A
	Year Ended December 31,												Period May 31, 20111 to December 31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	11.73		$	11.36		$	10.30		$	9.35		$	10.00
Net investment income2		0.20			0.21			0.23			0.22			0.13
Net realized and unrealized gain (loss)		(0.28	)		0.48			1.11			0.91			(0.66	)
Net increase (decrease) from investment operations		(0.08	)		0.69			1.34			1.13			(0.53	)
Distributions:3
From net investment income		(0.20	)		(0.20	)		(0.20	)		(0.14	)		(0.11	)
From net realized gain		(0.07	)		(0.12	)		(0.08	)		(0.04	)		—
From return of capital		(0.00	)4		—			—			—			(0.01	)
Total distributions		(0.27	)		(0.32	)		(0.28	)		(0.18	)		(0.12	)
Net asset value, end of period	$	11.38		$	11.73		$	11.36		$	10.30		$	9.35
Total Return5
Based on net asset value		(0.67)%			6.10%			13.13%			12.12%			(5.26)%	6
Ratios to Average Net Assets7
Total expenses8,9		0.45%			0.48%			0.52%			0.85%			7.22%	10,11
Total expenses after fees waived and/or reimbursed8,9		0.39%			0.41%			0.43%			0.44%			0.46%	10
Net investment income8,9		1.75%			1.77%			2.04%			2.21%			2.30%	10
Supplemental Data
Net assets, end of period (000)	$	104,993		$	89,983		$	49,232		$	3,918		$	23
Portfolio turnover rate of the LifePath Index Master Portfolio		12%	12		15%	12		13%	12		0%	13,14		0%	13,14

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Amount is greater than $(0.005) per share.

⁵  Where applicable, assumes the reinvestment of distributions.

⁶  Aggregate total return.

⁷  Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁸  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.01%, 0.02%, 0.02%, 0.13%, and 3.53% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁹  Includes the LifePath Index Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of LifePath Index Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,								Period May 31, 20111 to December 31, 2011
	2015		2014		2013		2012
Investments in underlying funds		0.05%		0.05%		0.04%		0.03%		0.06%

¹⁰ Annualized.

¹¹  Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 7.24%.

¹²  Includes the LifePath Index Master Portfolio’s purchases and sales of the underlying funds and Large Cap Index Master Portfolio, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio.

¹³  Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 14% and 8% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹⁴  Rounds to less than 1%.

See Notes to Financial Statements.
32	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights (concluded) BlackRock LifePath Index 2025 Fund

	Class K
	Year Ended December 31,												Period May 31, 20111 to December  31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	11.75		$	11.37		$	10.30		$	9.35		$	10.00
Net investment income2		0.24			0.24			0.24			0.23			0.14
Net realized and unrealized gain (loss)		(0.29	)		0.49			1.14			0.92			(0.65	)
Net increase (decrease) from investment operations		(0.05	)		0.73			1.38			1.15			(0.51	)
Distributions:3
From net investment income		(0.24	)		(0.23	)		(0.23	)		(0.16	)		(0.13	)
From net realized gain		(0.07	)		(0.12	)		(0.08	)		(0.04	)		—
From return of capital		(0.00	)4		—			—			—			(0.01	)
Total distributions		(0.31	)		(0.35	)		(0.31	)		(0.20	)		(0.14	)
Net asset value, end of period	$	11.39		$	11.75		$	11.37		$	10.30		$	9.35
Total Return5
Based on net asset value		(0.45)%			6.47%			13.48%			12.34%			(5.10)%	6
Ratios to Average Net Assets7
Total expenses8,9		0.14%			0.18%			0.23%			0.37%			6.87%	10,11
Total expenses after fees waived and/or reimbursed8,9		0.09%			0.11%			0.14%			0.16%			0.18%	10
Net investment income8,9		2.06%			2.08%			2.16%			2.26%			2.58%	10
Supplemental Data
Net assets, end of period (000)	$	597,527		$	374,396		$	208,280		$	113,655		$	1,823
Portfolio turnover rate of the LifePath Index Master Portfolio		12%	12		15%	12		13%	12		0%	13,14		0%	13,14

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Amount is greater than $(0.005) per share.

⁵  Where applicable, assumes the reinvestment of distributions.

⁶  Aggregate total return.

⁷  Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁸  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.01%, 0.02%, 0.02%, 0.07%, and 3.53% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁹  Includes the LifePath Index Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,								Period May 31, 20111 to December  31, 2011
	2015		2014		2013		2012
Investments in underlying funds		0.05%		0.05%		0.04%		0.03%		0.06%

¹⁰ Annualized.

¹¹  Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 6.89%.

¹²  Includes the LifePath Index Master Portfolio’s purchases and sales of the underlying funds and Large Cap Index Master Portfolio, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio.

¹³  Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 14% and 8% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹⁴  Rounds to less than 1%.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	33

Financial Highlights BlackRock LifePath Index 2030 Fund

	Institutional
	Year Ended December 31,												Period May 31, 20111 to December  31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	11.86		$	11.49		$	10.26		$	9.24		$	10.00
Net investment income2		0.25			0.25			0.25			0.23			0.13
Net realized and unrealized gain (loss)		(0.31	)		0.51			1.31			1.00			(0.76	)
Net increase (decrease) from investment operations		(0.06	)		0.76			1.56			1.23			(0.63	)
Distributions:3
From net investment income		(0.25	)		(0.24	)		(0.24	)		(0.17	)		(0.12	)
From net realized gain		(0.10	)		(0.15	)		(0.09	)		(0.04	)		—
From return of capital		—			—			—			—			(0.01	)
Total distributions		(0.35	)		(0.39	)		(0.33	)		(0.21	)		(0.13	)
Net asset value, end of period	$	11.45		$	11.86		$	11.49		$	10.26		$	9.24
Total Return4
Based on net asset value		(0.55)%			6.58%			15.34%			13.38%			(6.30)%5
Ratios to Average Net Assets6
Total expenses7,8		0.20%			0.22%			0.27%			0.41%			7.04%	9,10
Total expenses after fees waived and/or reimbursed7,8		0.14%			0.16%			0.19%			0.18%			0.22%	9
Net investment income7,8		2.08%			2.10%			2.30%			2.27%			2.47%	9
Supplemental Data
Net assets, end of period (000)	$	88,246		$	73,640		$	32,538		$	16,158		$	23
Portfolio turnover rate of the LifePath Index Master Portfolio		12%	11		20%	11		12%	11		2%	12		0%	12,13

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Aggregate total return.

⁶  Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.01%, 0.02%, 0.01%, 0.07%, and 3.57% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁸  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Index Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,								Period May 31, 20111 to December 31, 2011
	2015		2014		2013		2012
Investments in underlying funds		0.06%		0.05%		0.04%		0.04%		0.06%

⁹  Annualized.

¹⁰  Organization costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses for Institutional Shares would have been 7.06%.

¹¹  Includes the LifePath Index Master Portfolio’s purchases and sales of the underlying funds and Large Cap Index Master Portfolio, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio.

¹²  Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 18% and 6% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹³  Rounds to less than 1%.

See Notes to Financial Statements.
34	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights (continued) BlackRock LifePath Index 2030 Fund

	Investor A
	Year Ended December 31,												Period May 31, 20111 to December  31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	11.85		$	11.49		$	10.26		$	9.24		$	10.00
Net investment income2		0.22			0.22			0.23			0.20			0.12
Net realized and unrealized gain (loss)		(0.30	)		0.50			1.30			1.01			(0.77	)
Net increase (decrease) from investment operations		(0.08	)		0.72			1.53			1.21			(0.65	)
Distributions:3
From net investment income		(0.22	)		(0.21	)		(0.21	)		(0.15	)		(0.10	)
From net realized gain		(0.10	)		(0.15	)		(0.09	)		(0.04	)		—
From return of capital		—			—			—			—			(0.01	)
Total distributions		(0.32	)		(0.36	)		(0.30	)		(0.19	)		(0.11	)
Net asset value, end of period	$	11.45		$	11.85		$	11.49		$	10.26		$	9.24
Total Return4
Based on net asset value		(0.80)%			6.26%			15.09%			13.11%			(6.44)%5
Ratios to Average Net Assets6
Total expenses7,8		0.45%			0.47%			0.52%			0.72%			7.29%	9,10
Total expenses after fees waived and/or reimbursed7,8		0.39%			0.41%			0.45%			0.44%			0.47%	9
Net investment income7,8		1.84%			1.84%			2.10%			1.99%			2.22%	9
Supplemental Data
Net assets, end of period (000)	$	117,745		$	111,333		$	62,487		$	13,908		$	23
Portfolio turnover rate of the LifePath Index Master Portfolio		12%	11		20%	11		12%	11		2%	12		0%	12,13

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Aggregate total return.

⁶  Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.01%, 0.02%, 0.01%, 0.07%, and 3.57% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁸  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Index Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,								Period May 31, 20111 to December 31, 2011
	2015		2014		2013		2012
Investments in underlying funds		0.06%		0.05%		0.04%		0.04%		0.06%

⁹  Annualized.

¹⁰  Organization costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses for Investor A Shares would have been 7.32%.

¹¹  Includes the LifePath Index Master Portfolio’s purchases and sales of the underlying funds and Large Cap Index Master Portfolio, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio.

¹²  Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 18% and 6% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹³  Rounds to less than 1%.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	35

Financial Highlights (concluded) BlackRock LifePath Index 2030 Fund

	Class K
	Year Ended December 31,												Period May 31, 20111 to December  31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	11.85		$	11.48		$	10.25		$	9.24		$	10.00
Net investment income2		0.26			0.25			0.26			0.24			0.14
Net realized and unrealized gain (loss)		(0.32	)		0.51			1.30			0.98			(0.77	)
Net increase (decrease) from investment operations		(0.06	)		0.76			1.56			1.22			(0.63	)
Distributions:3
From net investment income		(0.25	)		(0.24	)		(0.24	)		(0.17	)		(0.12	)
From net realized gain		(0.10	)		(0.15	)		(0.09	)		(0.04	)		—
From return of capital		—			—			—			—			(0.01	)
Total distributions		(0.35	)		(0.39	)		(0.33	)		(0.21	)		(0.13	)
Net asset value, end of period	$	11.44		$	11.85		$	11.48		$	10.25		$	9.24
Total Return4
Based on net asset value		(0.50)%			6.64%			15.40%			13.28%			(6.28)%	5
Ratios to Average Net Assets6
Total expenses7,8		0.14%			0.17%			0.22%			0.31%			6.94%	9,10
Total expenses after fees waived and/or reimbursed7,8		0.09%			0.11%			0.15%			0.17%			0.19%	9
Net investment income7,8		2.15%			2.14%			2.32%			2.37%			2.50%	9
Supplemental Data
Net assets, end of period (000)	$	870,661		$	633,093		$	433,320		$	175,849		$	1,802
Portfolio turnover rate of the LifePath Index Master Portfolio		12%	11		20%	11		12%	11		2%	12		0%	12,13

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Aggregate total return.

⁶  Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.01%, 0.02%, 0.01%, 0.09%, and 3.57% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁸  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Index Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,								Period May 31, 20111 to December  31, 2011
	2015		2014		2013		2012
Investments in underlying funds		0.06%		0.05%		0.04%		0.04%		0.06%

⁹  Annualized.

¹⁰  Organization costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses for Class K Shares would have been 6.96%.

¹¹  Includes the LifePath Index Master Portfolio’s purchases and sales of the underlying funds and Large Cap Index Master Portfolio, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio.

¹²  Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 18% and 6% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹³  Rounds to less than 1%.

See Notes to Financial Statements.
36	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights BlackRock LifePath Index 2035 Fund

	Institutional
	Year Ended December 31,												Period May 31, 20111 to December  31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	11.98		$	11.57		$	10.21		$	9.14		$	10.00
Net investment income2		0.26			0.26			0.29			0.25			0.13
Net realized and unrealized gain (loss)		(0.32	)		0.51			1.43			1.04			(0.87	)
Net increase (decrease) from investment operations		(0.06	)		0.77			1.72			1.29			(0.74	)
Distributions:3
From net investment income		(0.26	)		(0.24	)		(0.25	)		(0.17	)		(0.11	)
From net realized gain		(0.08	)		(0.12	)		(0.11	)		(0.05	)		—
From return of capital		—			—			—			—			(0.01	)
Total distributions		(0.34	)		(0.36	)		(0.36	)		(0.22	)		(0.12	)
Net asset value, end of period	$	11.58		$	11.98		$	11.57		$	10.21		$	9.14
Total Return4
Based on net asset value		(0.53	)%		6.68%			16.98%			14.16%			(7.37)%	5
Ratios to Average Net Assets6
Total expenses7,8		0.20%			0.24%			0.28%			0.86%			7.12%	9,10
Total expenses after fees waived and/or reimbursed7,8		0.13%			0.15%			0.18%			0.20%			0.23%	9
Net investment income7,8		2.19%			2.18%			2.59%			2.52%			2.40%	9
Supplemental Data
Net assets, end of period (000)	$	57,253		$	37,073		$	10,605		$	1,835		$	23
Portfolio turnover rate of the LifePath Index Master Portfolio		10%	11		25%	11		12%	11		1%	12		0%	12,13

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Aggregate total return.

⁶  Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.02%, 0.02%, 0.03%, 0.21%, and 3.61% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁸  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Index Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,								Period May 31, 20111 to December  31, 2011
	2015		2014		2013		2012
Investments in underlying funds		0.07%		0.06%		0.05%		0.04%		0.06%

⁹  Annualized.

¹⁰  Organization costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses for would have been 7.15%.

¹¹  Includes the LifePath Index Master Portfolio’s purchases and sales of the underlying funds and Large Cap Index Master Portfolio, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio.

¹²  Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 24% and 7% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹³  Rounds to less than 1%.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	37

Financial Highlights (continued) BlackRock LifePath Index 2035 Fund

	Investor A
	Year Ended December 31,												Period May 31, 20111 to December 31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	11.96		$	11.56		$	10.20		$	9.14		$	10.00
Net investment income2		0.23			0.23			0.25			0.26			0.12
Net realized and unrealized gain (loss)		(0.32	)		0.51			1.45			1.00			(0.87	)
Net increase (decrease) from investment operations		(0.09	)		0.74			1.70			1.26			(0.75	)
Distributions:3
From net investment income		(0.23	)		(0.22	)		(0.23	)		(0.15	)		(0.10	)
From net realized gain		(0.08	)		(0.12	)		(0.11	)		(0.05	)		—
From return of capital		—			—			—			—			(0.01	)
Total distributions		(0.31	)		(0.34	)		(0.34	)		(0.20	)		(0.11	)
Net asset value, end of period	$	11.56		$	11.96		$	11.56		$	10.20		$	9.14
Total Return4
Based on net asset value		(0.78	)%		6.37%			16.74%			13.83%			(7.52	)%5
Ratios to Average Net Assets6
Total expenses7,8		0.45%			0.48%			0.54%			0.89%			7.47%	9,10
Total expenses after fees waived and/or reimbursed7,8		0.38%			0.41%			0.44%			0.45%			0.48%	9
Net investment income7,8		1.95%			1.91%			2.29%			2.59%			2.14%	9
Supplemental Data
Net assets, end of period (000)	$	94,830		$	83,587		$	38,107		$	3,798		$	23
Portfolio turnover rate of the LifePath Index Master Portfolio		10%	11		25%	11		12%	11		1%	12		0%	12,13

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Aggregate total return.

⁶  Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.02%, 0.02%, 0.03%, 0.09%, and 3.61% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁸  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Index Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,								Period May 31, 20111 to December  31, 2011
	2015		2014		2013		2012
Investments in underlying funds		0.07%		0.06%		0.05%		0.04%		0.06%

⁹  Annualized.

¹⁰  Organization costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses for would have been 7.50%.

¹¹  Includes the LifePath Index Master Portfolio’s purchases and sales of the underlying funds and Large Cap Index Master Portfolio, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio.

¹²  Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 24% and 7% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹³  Rounds to less than 1%.

See Notes to Financial Statements.
38	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights (concluded) BlackRock LifePath Index 2035 Fund

	Class K
	Year Ended December 31,												Period May 31, 20111 to December  31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	11.98		$	11.56		$	10.20		$	9.14		$	10.00
Net investment income2		0.27			0.26			0.27			0.24			0.13
Net realized and unrealized gain (loss)		(0.33	)		0.53			1.45			1.04			(0.87	)
Net increase (decrease) from investment operations		(0.06	)		0.79			1.72			1.28			(0.74	)
Distributions:3
From net investment income		(0.27	)		(0.25	)		(0.25	)		(0.17	)		(0.11	)
From net realized gain		(0.08	)		(0.12	)		(0.11	)		(0.05	)		—
From return of capital		—			—			—			—			(0.01	)
Total distributions		(0.35	)		(0.37	)		(0.36	)		(0.22	)		(0.12	)
Net asset value, end of period	$	11.57		$	11.98		$	11.56		$	10.20		$	9.14	��
Total Return4
Based on net asset value		(0.56	)%		6.82%			17.02%			14.07%			(7.35	)%5
Ratios to Average Net Assets6
Total expenses7,8		0.14%			0.19%			0.25%			0.48%			7.02%	9,10
Total expenses after fees waived and/or reimbursed7,8		0.08%			0.11%			0.15%			0.17%			0.19%	9
Net investment income7,8		2.26%			2.22%			2.44%			2.43%			2.43%	9
Supplemental Data
Net assets, end of period (000)	$	457,472		$	289,331		$	158,455		$	76,095		$	1,782
Portfolio turnover rate of the LifePath Index Master Portfolio		10%	11		25%	11		12%	11		1%	12		0%	12,13

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Aggregate total return.

⁶  Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.02%, 0.02%, 0.03%, 0.10%, and 3.61% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁸ Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Index Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,								Period May 31, 20111 to December  31, 2011
	2015		2014		2013		2012
Investments in underlying funds		0.07%		0.06%		0.05%		0.04%		0.06%

⁹  Annualized.

¹⁰  Organization costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses for would have been 7.05%.

¹¹  Includes the LifePath Index Master Portfolio’s purchases and sales of the underlying funds and Large Cap Index Master Portfolio, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio.

¹²  Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 24% and 7% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹³  Rounds to less than 1%.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	39

Financial Highlights BlackRock LifePath Index 2040 Fund

	Institutional
	Year Ended December 31,												Period May 31, 20111 to December  31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	12.11		$	11.69		$	10.18		$	9.04		$	10.00
Net investment income2		0.28			0.27			0.28			0.23			0.13
Net realized and unrealized gain (loss)		(0.36	)		0.54			1.60			1.12			(0.98	)
Net increase (decrease) from investment operations		(0.08	)		0.81			1.88			1.35			(0.85	)
Distributions:3
From net investment income		(0.27	)		(0.26	)		(0.26	)		(0.18	)		(0.10	)
From net realized gain		(0.11	)		(0.13	)		(0.11	)		(0.03	)		—
From return of capital		—			—			—			—			(0.01	)
Total distributions		(0.38	)		(0.39	)		(0.37	)		(0.21	)		(0.11	)
Net asset value, end of period	$	11.65		$	12.11		$	11.69		$	10.18		$	9.04
Total Return4
Based on net asset value		(0.69)%			6.94%			18.61%			15.01%			(8.44)%	5
Ratios to Average Net Assets6
Total expenses7,8		0.20%			0.23%			0.29%			0.53%			7.17%	9,10
Total expenses after fees waived and/or reimbursed7,8		0.13%			0.16%			0.20%			0.19%			0.23%	9
Net investment income7,8		2.26%			2.23%			2.55%			2.36%			2.34%	9
Supplemental Data
Net assets, end of period (000)	$	66,512		$	50,054		$	19,346		$	9,554		$	23
Portfolio turnover rate of the LifePath Index Master Portfolio		11%	11		29%	11		12%	11		3%	12		0%	12,13

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Aggregate total return.

⁶  Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.02%, 0.02%, 0.02%, 0.11%, and 3.65% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁸  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Index Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,								Period May 31, 20111 to December  31, 2011
	2015		2014		2013		2012
Investments in underlying funds		0.07%		0.06%		0.05%		0.04%		0.07%

⁹  Annualized.

¹⁰  Organization costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 7.19%.

¹¹  Includes the LifePath Index Master Portfolio’s purchases and sales of the underlying funds and Large Cap Index Master Portfolio, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio.

¹²  Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 21% and 5% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹³  Rounds to less than 1%.

See Notes to Financial Statements.
40	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights (continued) BlackRock LifePath Index 2040 Fund

	Investor A
	Year Ended December 31,												Period May 31, 20111 to December  31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	12.09		$	11.68		$	10.17		$	9.04		$	10.00
Net investment income2		0.25			0.24			0.27			0.21			0.11
Net realized and unrealized gain (loss)		(0.35	)		0.53			1.58			1.11			(0.97	)
Net increase (decrease) from investment operations		(0.10	)		0.77			1.85			1.32			(0.86	)
Distributions:3
From net investment income		(0.24	)		(0.23	)		(0.23	)		(0.16	)		(0.09	)
From net realized gain		(0.11	)		(0.13	)		(0.11	)		(0.03	)		—
From return of capital		—			—			—			—			(0.01	)
Total distributions		(0.35	)		(0.36	)		(0.34	)		(0.19	)		(0.10	)
Net asset value, end of period	$	11.64		$	12.09		$	11.68		$	10.17		$	9.04
Total Return4
Based on net asset value		(0.94)%			6.62%			18.38%			14.63%			(8.58)%	5
Ratios to Average Net Assets6
Total expenses7,8		0.45%			0.48%			0.53%			0.85%			7.42%	9,10
Total expenses after fees waived and/or reimbursed7,8		0.38%			0.41%			0.45%			0.45%			0.48%	9
Net investment income7,8		2.02%			1.98%			2.39%			2.13%			2.08%	9
Supplemental Data
Net assets, end of period (000)	$	69,660		$	58,952		$	31,753		$	7,563		$	23
Portfolio turnover rate of the LifePath Index Master Portfolio		11%	11		29%	11		12%	11		3%	12		0%	12,13

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Aggregate total return.

⁶  Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.02%, 0.02%, 0.02%, 0.14%, and 3.65% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁸  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Index Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,								Period May 31, 20111 to December  31, 2011
	2015		2014		2013		2012
Investments in underlying funds		0.07%		0.06%		0.05%		0.04%		0.07%

⁹  Annualized.

¹⁰  Organization costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 7.45%.

¹¹  Includes the LifePath Index Master Portfolio’s purchases and sales of the underlying funds and Large Cap Index Master Portfolio, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio.

¹²  Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 21% and 5% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹³  Rounds to less than 1%.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	41

Financial Highlights (concluded) BlackRock LifePath Index 2040 Fund

	Class K
	Year Ended December 31,												Period May 31, 20111 to December  31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	12.10		$	11.69		$	10.18		$	9.04		$	10.00
Net investment income2		0.28			0.27			0.29			0.25			0.13
Net realized and unrealized gain (loss)		(0.34	)		0.53			1.59			1.10			(0.97	)
Net increase (decrease) from investment operations		(0.06	)		0.80			1.88			1.35			(0.84	)
Distributions:3
From net investment income		(0.28	)		(0.26	)		(0.26	)		(0.18	)		(0.11	)
From net realized gain		(0.11	)		(0.13	)		(0.11	)		(0.03	)		—
From return of capital		—			—			—			—			(0.01	)
Total distributions		(0.39	)		(0.39	)		(0.37	)		(0.21	)		(0.12	)
Net asset value, end of period	$	11.65		$	12.10		$	11.69		$	10.18		$	9.04
Total Return4
Based on net asset value		(0.56)%			6.90%			18.66%			15.03%			(8.42	)%5
Ratios to Average Net Assets6
Total expenses7,8		0.14%			0.18%			0.24%			0.39%			7.06%	9,10
Total expenses after fees waived and/or reimbursed7,8		0.08%			0.11%			0.15%			0.18%			0.20%	9
Net investment income7,8		2.33%			2.27%			2.58%			2.52%			2.36%	9
Supplemental Data
Net assets, end of period (000)	$	615,122		$	437,342		$	275,471		$	90,476		$	1,763
Portfolio turnover rate of the LifePath Index Master Portfolio		11%	11		29%	11		12%	11		3%	12		0%	12,13

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Aggregate total return.

⁶  Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.02%, 0.02%, 0.02%, 0.14%, and 3.65% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁸  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Index Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,								Period May 31, 20111 to December  31, 2011
	2015		2014		2013		2012
Investments in underlying funds		0.07%		0.06%		0.05%		0.04%		0.07%

⁹  Annualized.

¹⁰  Organization costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 7.09%.

¹¹  Includes the LifePath Index Master Portfolio’s purchases and sales of the underlying funds and Large Cap Index Master Portfolio, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio.

¹²  Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 21% and 5% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹³  Rounds to less than 1%.

See Notes to Financial Statements.
42	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights BlackRock LifePath Index 2045 Fund

	Institutional
	Year Ended December 31,												Period May 31, 20111 to December  31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	12.25		$	11.78		$	10.13		$	8.94		$	10.00
Net investment income2		0.29			0.29			0.34			0.26			0.12
Net realized and unrealized gain (loss)		(0.37	)		0.54			1.69			1.13			(1.07	)
Net increase (decrease) from investment operations		(0.08	)		0.83			2.03			1.39			(0.95	)
Distributions:3
From net investment income		(0.28	)		(0.26	)		(0.27	)		(0.18	)		(0.10	)
From net realized gain		(0.09	)		(0.10	)		(0.11	)		(0.02	)		—
From return of capital		—			—			—			—			(0.01	)
Total distributions		(0.37	)		(0.36	)		(0.38	)		(0.20	)		(0.11	)
Net asset value, end of period	$	11.80		$	12.25		$	11.78		$	10.13		$	8.94
Total Return4
Based on net asset value		(0.70	)%		7.07%			20.18%			15.58%			(9.51	)%5
Ratios to Average Net Assets6
Total expenses7,8		0.21%			0.26%			0.35%			1.35%			7.23%	9,10
Total expenses after fees waived and/or reimbursed7,8		0.12%			0.15%			0.20%			0.22%			0.24%	9
Net investment income7,8		2.32%			2.35%			3.01%			2.64%			2.26%	9
Supplemental Data
Net assets, end of period (000)	$	45,228		$	27,964		$	4,117		$	532		$	22
Portfolio turnover rate of the LifePath Index Master Portfolio		10%	11		30%	11		12%	11		2%	12		0%	12,13

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Aggregate total return.

⁶  Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.03%, 0.03%, 0.05%, 0.36%, and 3.69% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁸  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Index Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,								Period May 31, 20111 to December  31, 2011
	2015		2014		2013		2012
Investments in underlying funds		0.08%		0.07%		0.05%		0.04%		0.07%

⁹  Annualized.

¹⁰  Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 7.25%.

¹¹  Includes the LifePath Index Master Portfolio’s purchases and sales of the underlying funds and Large Cap Index Master Portfolio, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio.

¹²  Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 22% and 6% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹³  Rounds to less than 1%.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	43

Financial Highlights (continued) BlackRock LifePath Index 2045 Fund

	Investor A
	Year Ended December 31,												Period May 31, 20111 to December  31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	12.23		$	11.77		$	10.12		$	8.94		$	10.00
Net investment income2		0.26			0.25			0.29			0.27			0.11
Net realized and unrealized gain (loss)		(0.37	)		0.54			1.72			1.09			(1.08	)
Net increase (decrease) from investment operations		(0.11	)		0.79			2.01			1.36			(0.97	)
Distributions:3
From net investment income		(0.25	)		(0.23	)		(0.25	)		(0.16	)		(0.08	)
From net realized gain		(0.09	)		(0.10	)		(0.11	)		(0.02	)		—
From return of capital		—			—			—			—			(0.01	)
Total distributions		(0.34	)		(0.33	)		(0.36	)		(0.18	)		(0.09	)
Net asset value, end of period	$	11.78		$	12.23		$	11.77		$	10.12		$	8.94
Total Return4
Based on net asset value		(0.94)%			6.74%			19.96%			15.27%			(9.64)%	5
Ratios to Average Net Assets6
Total expenses7,8		0.46%			0.51%			0.58%			1.39%			7.48%	9,10
Total expenses after fees waived and/or reimbursed7,8		0.37%			0.40%			0.44%			0.46%			0.49%	9
Net investment income7,8		2.09%			2.04%			2.61%			2.75%			2.00%	9
Supplemental Data
Net assets, end of period (000)	$	43,155		$	33,859		$	16,428		$	887		$	22
Portfolio turnover rate of the LifePath Index Master Portfolio		10%	11		30%	11		12%	11		2%	12		0%	12,13

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Aggregate total return.

⁶  Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.03%, 0.03%, 0.06%, 0.25%, and 3.69% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁸  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Index Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,								Period May 31, 20111 to December 31, 2011
	2015		2014		2013		2012
Investments in underlying funds		0.08%		0.07%		0.05%		0.04%		0.07%

⁹  Annualized.

¹⁰  Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 7.50%.

¹¹  Includes the LifePath Index Master Portfolio’s purchases and sales of the underlying funds and Large Cap Index Master Portfolio, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio.

¹²  Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 22% and 6% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹³  Rounds to less than 1%.

See Notes to Financial Statements.
44	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights (concluded) BlackRock LifePath Index 2045 Fund

	Class K
	Year Ended December 31,												Period May 31, 20111 to December  31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	12.26		$	11.79		$	10.13		$	8.94		$	10.00
Net investment income2		0.29			0.28			0.30			0.26			0.12
Net realized and unrealized gain (loss)		(0.37	)		0.55			1.74			1.13			(1.07	)
Net increase (decrease) from investment operations		(0.08	)		0.83			2.04			1.39			(0.95	)
Distributions:3
From net investment income		(0.28	)		(0.26	)		(0.27	)		(0.18	)		(0.10	)
From net realized gain		(0.09	)		(0.10	)		(0.11	)		(0.02	)		—
From return of capital		—			—			—			—			(0.01	)
Total distributions		(0.37	)		(0.36	)		(0.38	)		(0.20	)		(0.11	)
Net asset value, end of period	$	11.81		$	12.26		$	11.79		$	10.13		$	8.94
Total Return4
Based on net asset value		(0.64)%			7.10%			20.32%			15.61%			(9.49)%	5
Ratios to Average Net Assets6
Total expenses7,8		0.15%			0.22%			0.31%			0.89%			7.12%	9,10
Total expenses after fees waived and/or reimbursed7,8		0.07%			0.10%			0.15%			0.18%			0.21%	9
Net investment income7,8		2.39%			2.33%			2.73%			2.60%			2.29%	9
Supplemental Data
Net assets, end of period (000)	$	252,843		$	164,934		$	84,015		$	31,724		$	1,744
Portfolio turnover rate of the LifePath Index Master Portfolio		10%	11		30%	11		12%	11		2%	12		0%	12,13

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Aggregate total return.

⁶  Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.03%, 0.03%, 0.06%, 0.24%, and 3.69% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁸  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Index Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,								Period May 31, 20111 to December  31, 2011
	2015		2014		2013		2012
Investments in underlying funds		0.08%		0.07%		0.05%		0.04%		0.07%

⁹  Annualized.

¹⁰  Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 7.15%.

¹¹  Includes the LifePath Index Master Portfolio’s purchases and sales of the underlying funds and Large Cap Index Master Portfolio, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio.

¹²  Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 22% and 6% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹³  Rounds to less than 1%.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	45

Financial Highlights BlackRock LifePath Index 2050 Fund

	Institutional
	Year Ended December 31,												Period May 31, 20111 to December  31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	12.41		$	11.91		$	10.11		$	8.86		$	10.00
Net investment income2		0.29			0.29			0.34			0.24			0.12
Net realized and unrealized gain (loss)		(0.38	)		0.57			1.82			1.21			(1.16	)
Net increase (decrease) from investment operations		(0.09	)		0.86			2.16			1.45			(1.04	)
Distributions:3
From net investment income		(0.28	)		(0.26	)		(0.27	)		(0.19	)		(0.09	)
From net realized gain		(0.09	)		(0.10	)		(0.09	)		(0.01	)		—
From return of capital		—			—			—			—			(0.01	)
Total distributions		(0.37	)		(0.36	)		(0.36	)		(0.20	)		(0.10	)
Net asset value, end of period	$	11.95		$	12.41		$	11.91		$	10.11		$	8.86
Total Return4
Based on net asset value		(0.72)%			7.23%			21.56%			16.35%			(10.36)%	5
Ratios to Average Net Assets6
Total expenses7,8		0.22%			0.27%			0.34%			1.55%			7.27%	9,10
Total expenses after fees waived and/or reimbursed7,8		0.12%			0.15%			0.20%			0.21%			0.24%	9
Net investment income7,8		2.32%			2.33%			3.03%			2.44%			2.22%	9
Supplemental Data
Net assets, end of period (000)	$	38,476		$	24,618		$	7,679		$	1,573		$	22
Portfolio turnover rate of the LifePath Index Master Portfolio		14%	11		22%	11		12%	11		3%	12		0%	12,13

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Aggregate total return.

⁶  Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.03%, 0.03%, 0.06%, 0.47%, and 3.71% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁸  Includes the LifePath Index Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,								Period May 31, 20111 to December  31, 2011
	2015		2014		2013		2012
Investments in underlying funds		0.09%		0.08%		0.06%		0.05%		0.07%

⁹  Annualized.

¹⁰  Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 7.30%.

¹¹  Includes the LifePath Index Master Portfolio’s purchases and sales of the underlying funds and Large Cap Index Master Portfolio, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio.

¹²  Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 26% and 5% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹³  Rounds to less than 1%.

See Notes to Financial Statements.
46	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights (continued) BlackRock LifePath Index 2050 Fund

	Investor A
	Year Ended December 31,												Period May 31, 20111 to December 31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	12.39		$	11.89		$	10.10		$	8.86		$	10.00
Net investment income2		0.26			0.26			0.32			0.28			0.10
Net realized and unrealized gain (loss)		(0.38	)		0.57			1.81			1.14			(1.15	)
Net increase (decrease) from investment operations		(0.12	)		0.83			2.13			1.42			(1.05	)
Distributions:3
From net investment income		(0.25	)		(0.23	)		(0.25	)		(0.17	)		(0.08	)
From net realized gain		(0.09	)		(0.10	)		(0.09	)		(0.01	)		—
From return of capital		—			—			—			—			(0.01	)
Total distributions		(0.34	)		(0.33	)		(0.34	)		(0.18	)		(0.09	)
Net asset value, end of period	$	11.93		$	12.39		$	11.89		$	10.10		$	8.86
Total Return4
Based on net asset value		(0.96)%			7.01%			21.25%			16.00%			(10.49)%	5
Ratios to Average Net Assets6
Total expenses7,8		0.46%			0.52%			0.59%			1.33%			7.69%	9,10
Total expenses after fees waived and/or reimbursed7,8		0.37%			0.40%			0.45%			0.47%			0.49%	9
Net investment income7,8		2.09%			2.08%			2.85%			2.86%			1.97%	9
Supplemental Data
Net assets, end of period (000)	$	27,413		$	22,053		$	12,103		$	1,090		$	25
Portfolio turnover rate of the LifePath Index Master Portfolio		14%	11		22%	11		12%	11		3%	12		0%	12,13

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Aggregate total return.

⁶  Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.03%, 0.03%, 0.06%, 0.22%, and 3.71% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁸  Includes the LifePath Index Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,								Period May 31, 20111 to December  31, 2011
	2015		2014		2013		2012
Investments in underlying funds		0.09%		0.08%		0.06%		0.05%		0.07%

⁹  Annualized.

¹⁰  Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 7.71%.

¹¹  Includes the LifePath Index Master Portfolio’s purchases and sales of the underlying funds and Large Cap Index Master Portfolio, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio.

¹²  Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 26% and 5% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹³  Rounds to less than 1%.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	47

Financial Highlights (concluded) BlackRock LifePath Index 2050 Fund

	Class K
	Year Ended December 31,												Period May 31, 20111 to December  31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	12.41		$	11.91		$	10.11		$	8.86		$	10.00
Net investment income2		0.30			0.29			0.32			0.26			0.12
Net realized and unrealized gain (loss)		(0.38	)		0.58			1.85			1.19			(1.16	)
Net increase (decrease) from investment operations		(0.08	)		0.87			2.17			1.45			(1.04	)
Distributions:3
From net investment income		(0.29	)		(0.27	)		(0.28	)		(0.19	)		(0.09	)
From net realized gain		(0.09	)		(0.10	)		(0.09	)		(0.01	)		—
From return of capital		—			—			—			—			(0.01	)
Total distributions		(0.38	)		(0.37	)		(0.37	)		(0.20	)		(0.10	)
Net asset value, end of period	$	11.95		$	12.41		$	11.91		$	10.11		$	8.86
Total Return4
Based on net asset value		(0.67)%			7.28%			21.61%			16.37%			(10.34)%	5
Ratios to Average Net Assets6
Total expenses7,8		0.16%			0.23%			0.33%			0.99%			7.17%	9,10
Total expenses after fees waived and/or reimbursed7,8		0.07%			0.10%			0.15%			0.19%			0.21%	9
Net investment income7,8		2.39%			2.37%			2.88%			2.67%			2.25%	9
Supplemental Data
Net assets, end of period (000)	$	271,178		$	186,198		$	83,933		$	23,342		$	1,727
Portfolio turnover rate of the LifePath Index Master Portfolio		14%	11		22%	11		12%	11		3%	12		0%	12,13

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Aggregate total return.

⁶  Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁷  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.03%, 0.03%, 0.06%, 0.27%, and 3.71% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁸  Includes the LifePath Index Fund’s share of the LifePath Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of LifePath Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,								Period May 31, 20111 to December  31, 2011
	2015		2014		2013		2012
Investments in underlying funds		0.09%		0.08%		0.06%		0.05%		0.07%

⁹  Annualized.

¹⁰  Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 7.19%.

¹¹  Includes the LifePath Index Master Portfolio’s purchases and sales of the underlying funds and Large Cap Index Master Portfolio, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio.

¹²  Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 26% and 5% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹³  Rounds to less than 1%.

See Notes to Financial Statements.
48	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights BlackRock LifePath Index 2055 Fund

	Institutional
	Year Ended December 31,												Period May 31, 20111 to December  31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	12.60		$	12.05		$	10.05		$	8.80		$	10.00
Net investment income2		0.30			0.31			0.37			0.24			0.12
Net realized and unrealized gain (loss)		(0.38	)		0.58			1.91			1.23			(1.22	)
Net increase (decrease) from investment operations		(0.08	)		0.89			2.28			1.47			(1.10	)
Distributions:3
From net investment income		(0.28	)		(0.27	)		(0.28	)		(0.22	)		(0.09	)
From net realized gain		(0.07	)		(0.07	)		—			—			—
From return of capital		—			—			—			(0.00	)4		(0.01	)
Total distributions		(0.35	)		(0.34	)		(0.28	)		(0.22	)		(0.10	)
Net asset value, end of period	$	12.17		$	12.60		$	12.05		$	10.05		$	8.80
Total Return5
Based on net asset value		(0.64)%			7.46%			22.91%			16.78%			(10.98)%	6
Ratios to Average Net Assets7
Total expenses8,9		0.30%			0.43%			0.75%			4.43%			7.32%	10,11
Total expenses after fees waived and/or reimbursed8,9		0.11%			0.13%			0.20%			0.24%			0.24%	10
Net investment income8,9		2.39%			2.50%			3.25%			2.46%			2.21%	10
Supplemental Data
Net assets, end of period (000)	$	19,214		$	7,874		$	896		$	25		$	22
Portfolio turnover rate of the LifePath Index Master Portfolio		17%	12		22%	12		15%	12		8%	13		0%	13,14

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Amount is greater than $(0.005) per share.

⁵  Where applicable, assumes the reinvestment of distributions.

⁶  Aggregate total return.

⁷  Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁸  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.05%, 0.10%, 0.26%, 1.36%, and 3.73% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁹  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Index Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,												Period May 31, 20111 to December  31, 2011
	2015			2014			2013			2012
Investments in underlying funds		0.09	%		0.09	%		0.06	%		0.05	%		0.08	%

¹⁰  Annualized.

¹¹  Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 7.34%.

¹²  Includes the LifePath Index Master Portfolio’s purchases and sales of the underlying funds and Large Cap Index Master Portfolio, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio.

¹³  Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 53% and 13% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹⁴  Rounds to less than 1%.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	49

Financial Highlights (continued) BlackRock LifePath Index 2055 Fund

	Investor A
	Year Ended December 31,												Period May 31, 20111 to December  31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	12.58		$	12.04		$	10.05		$	8.80		$	10.00
Net investment income2		0.27			0.27			0.33			0.25			0.10
Net realized and unrealized gain (loss)		(0.38	)		0.58			1.92			1.20			(1.21	)
Net increase (decrease) from investment operations		(0.11	)		0.85			2.25			1.45			(1.11	)
Distributions:3
From net investment income		(0.25	)		(0.24	)		(0.26	)		(0.20	)		(0.08	)
From net realized gain		(0.07	)		(0.07	)		—			—			—
From return of capital		—			—			—			(0.00	)4		(0.01	)
Total distributions		(0.32	)		(0.31	)		(0.26	)		(0.20	)		(0.09	)
Net asset value, end of period	$	12.15		$	12.58		$	12.04		$	10.05		$	8.80
Total Return5
Based on net asset value		(0.88	)%		7.13%			22.55%			16.55%			(11.11)%	6
Ratios to Average Net Assets7
Total expenses8,9		0.53%			0.69%			0.91%			3.98%			7.57%	10,11
Total expenses after fees waived and/or reimbursed8,9		0.36%			0.40%			0.44%			0.49%			0.49%	10
Net investment income8,9		2.13%			2.14%			2.87%			2.60%			1.95%	10
Supplemental Data
Net assets, end of period (000)	$	13,140		$	8,945		$	4,696		$	129		$	22
Portfolio turnover rate of the LifePath Index Master Portfolio		17%	12		22%	12		15%	12		8%	13		0%	13,14

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Amount is greater than $(0.005) per share.

⁵  Where applicable, assumes the reinvestment of distributions.

⁶  Aggregate total return.

⁷  Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁸  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.05%, 0.10%, 0.27%, 1.05%, and 3.74% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁹  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Index Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,								Period May 31, 20111 to December  31, 2011
	2015		2014		2013		2012
Investments in underlying funds		0.09%		0.09%		0.06%		0.05%		0.08%

¹⁰  Annualized.

¹¹  Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 7.59%.

¹²  Includes the LifePath Index Master Portfolio’s purchases and sales of the underlying funds and Large Cap Index Master Portfolio, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio.

¹³  Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 53% and 13% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹⁴  Rounds to less than 1%.

See Notes to Financial Statements.
50	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights (concluded) BlackRock LifePath Index 2055 Fund

	Class K
	Year Ended December 31,												Period May 31, 20111 to December  31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	12.60		$	12.05		$	10.05		$	8.80		$	10.00
Net investment income2		0.31			0.30			0.34			0.26			0.12
Net realized and unrealized gain (loss)		(0.38	)		0.60			1.95			1.21			(1.22	)
Net increase (decrease) from investment operations		(0.07	)		0.90			2.29			1.47			(1.10	)
Distributions:3
From net investment income		(0.29	)		(0.28	)		(0.29	)		(0.22	)		(0.09	)
From net realized gain		(0.07	)		(0.07	)		—			—			—
From return of capital		—			—			—			(0.00	)4		(0.01	)
Total distributions		(0.36	)		(0.35	)		(0.29	)		(0.22	)		(0.10	)
Net asset value, end of period	$	12.17		$	12.60		$	12.05		$	10.05		$	8.80
Total Return5
Based on net asset value		(0.60	)%		7.50%			22.95%			16.83%			(10.96	)%6
Ratios to Average Net Assets7
Total expenses8,9		0.24%			0.42%			0.70%			3.71%			7.21%	10,11
Total expenses after fees waived and/or reimbursed8,9		0.06%			0.10%			0.15%			0.19%			0.21%	10
Net investment income8,9		2.43%			2.44%			3.05%			2.71%			2.24%	10
Supplemental Data
Net assets, end of period (000)	$	74,656		$	45,039		$	18,345		$	4,706		$	1,716
Portfolio turnover rate of the LifePath Index Master Portfolio		17%	12		22%	12		15%	12		8%	13		0%	13,14

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Amount is greater than $(0.005) per share.

⁵  Where applicable, assumes the reinvestment of distributions.

⁶  Aggregate total return.

⁷  Includes the LifePath Index Fund’s share of its corresponding LifePath Index Master Portfolio’s allocated net expenses and/or net investment income.

⁸  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated fees waived of 0.05%, 0.10%, 0.28%, 0.18%, and 3.74% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁹  Includes the LifePath Index Fund’s share of the LifePath Index Master Portfolio’s allocated expenses and/or net investment income. Excludes expenses incurred indirectly as a result of the LifePath Index Master Portfolio’s investments in underlying funds as follows:

	Year Ended December 31,								Period May 31, 20111 to December  31, 2011
	2015		2014		2013		2012
Investments in underlying funds		0.09%		0.09%		0.06%		0.05%		0.08%

¹⁰  Annualized.

¹¹  Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 7.22%.

¹²  Includes the LifePath Index Master Portfolio’s purchases and sales of the underlying funds and Large Cap Index Master Portfolio, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio.

¹³  Excludes the LifePath Index Master Portfolio’s purchases and sales of the Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio. If these transactions had been included to conform to the current year presentation, the portfolio turnover rate would have been 53% and 13% for the years ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹⁴  Rounds to less than 1%.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	51

Notes to Financial Statements

1. Organization:

BlackRock Funds III (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust is organized as a Delaware statutory trust. The following series of the Trust are referred to herein collectively as the “LifePath Index Funds” or individually, as a “LifePath Index Fund”:

Fund Name	Herein Referred To As	Diversification Classification
BlackRock LifePath® Index Retirement Fund	LifePath Index Retirement Fund	Diversified
BlackRock LifePath® Index 2020 Fund	LifePath Index 2020 Fund	Diversified
BlackRock LifePath® Index 2025 Fund	LifePath Index 2025 Fund	Diversified
BlackRock LifePath® Index 2030 Fund	LifePath Index 2030 Fund	Diversified
BlackRock LifePath® Index 2035 Fund	LifePath Index 2035 Fund	Diversified
BlackRock LifePath® Index 2040 Fund	LifePath Index 2040 Fund	Diversified
BlackRock LifePath® Index 2045 Fund	LifePath Index 2045 Fund	Diversified
BlackRock LifePath® Index 2050 Fund	LifePath Index 2050 Fund	Diversified
BlackRock LifePath® Index 2055 Fund	LifePath Index 2055 Fund	Diversified

Each LifePath Index Fund seeks to achieve its investment objective by investing all of its assets in a corresponding series of the Master Investment Portfolio (“MIP”): LifePath^® Index Retirement Master Portfolio, LifePath^® Index 2020 Master Portfolio, LifePath^® Index 2025 Master Portfolio, LifePath^® Index 2030 Master Portfolio, LifePath^® Index 2035 Master Portfolio, LifePath^® Index 2040 Master Portfolio, LifePath^® Index 2045 Master Portfolio, LifePath^® Index 2050 Master Portfolio and LifePath^® Index 2055 Master Portfolio (each, a “LifePath Index Master Portfolio” and together, the LifePath Index Master Portfolios”). MIP is an affiliate of the Trust. Each LifePath Index Master Portfolio has the same investment objective and strategies as its corresponding LifePath Index Fund. The value of each LifePath Index Fund’s investment in its corresponding LifePath Index Master Portfolio reflects the LifePath Index Fund’s proportionate interest in the net assets of the LifePath Index Master Portfolio. The performance of each LifePath Index Fund is directly affected by the performance of its corresponding LifePath Index Master Portfolio. At December 31, 2015, the percentage of each corresponding LifePath Index Master Portfolio owned by the corresponding LifePath Index Fund was 100.0%. As such, the financial statements of each corresponding LifePath Index Master Portfolio, including the Schedule of Investments, are included elsewhere in this report and should be read in conjunction with the LifePath Index Funds’ financial statements.

Each LifePath Index 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 Investor A Shares bear expenses related to the shareholder servicing of such shares. Institutional and Class K Shares are sold only to certain eligible investors. Investor A Shares are generally available through financial intermediaries. Investor A Shares have exclusive voting rights with respect to matters relating to its shareholder servicing expenditures. The Boards of Trustees of the Trust and Boards of Trustees of MIP are referred to throughout this report as the “Board of Trustees” or the “Board” and the members are referred to as “Trustees.” Each class has exclusive voting rights with respect to matters relating to its shareholder servicing and distribution expenditures.

Share Class	Initial Sales Charge	CDSC	Conversion Privilege
Institutional and Class K	No	No	None
Investor A	No	No	None

The LifePath Index Funds, together with certain other registered investment companies advised by BFA or its affiliates, are included in a complex of open-end funds referred to as the Equity-Liquidity 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. Each LifePath Index 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 Investment Income: For financial reporting purposes, contributions to and withdrawals from each LifePath Index Master Portfolio are accounted on a trade date basis. Each LifePath Index Fund records daily its proportionate share of its LifePath Index Master Portfolio’s income, expenses and realized and unrealized gains and losses. In addition, each LifePath Index Fund accrues its own expenses. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.

Distributions: Distributions from net investment income are declared and paid quarterly. Distributions of capital gains are recorded on the ex-dividend date. The portion of distributions, if any, that exceeds a LifePath Index Fund’s current and accumulated earnings and profits, as measured on a tax basis, constitute a non-taxable return of capital. The character and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.

52 BLACKROCK FUNDS III DECEMBER 31, 2015

Notes to Financial Statements (continued)

In-Kind Redemptions: The LifePath Index Master Portfolios satisfied certain redemptions in investors’ capital through an in-kind redemption of securities and cash. For financial reporting purposes, these transactions were treated as a sale of securities and the resulting gains and losses were recognized at the LifePath Index Master Portfolios based on the market value of the securities on the date of the redemption. For the year ended December 31, 2015, the LifePath Index Funds were allocated realized gain from the in-kind redemptions. For tax purposes, no gains or losses were recognized. Gains and losses resulting from such in-kind redemptions, which are included in the Statements of Operations, were as follows:

LifePath Index Retirement Fund	LifePath Index 2020 Fund		LifePath Index 2025 Fund		LifePath Index 2030 Fund		LifePath Index 2035 Fund		LifePath Index 2040 Fund		LifePath Index 2045 Fund		LifePath Index 2050 Fund		LifePath Index 2055 Fund
$13,601,287	$	34,295,279	$	26,222,654	$	41,924,245	$	24,935,785	$	33,677,079	$	15,146,397	$	15,545,874	$	4,742,120

Indemnifications: In the normal course of business, a LifePath Index Fund enters into contracts that contain a variety of representations that provide general indemnification. A LifePath Index Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against a LifePath Index Fund, which cannot be predicted with any certainty.

Other: Expenses directly related to a LifePath Index Fund or its classes are charged to that LifePath Index Fund or the applicable class. Other operating expenses shared by several funds, including other funds managed by BFA, are prorated among those funds on the basis of relative net assets or other appropriate methods. Expenses directly related to the LifePath Index Funds and other shared expenses prorated to the LifePath Index Funds are allocated daily to each class based on its relative net assets or other appropriate methods.

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: The LifePath Index Funds’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the LifePath Index Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date.

The LifePath Index Funds’ policy is to fair value its financial instruments at market value. Each LifePath Index Fund records its investment in its corresponding LifePath Index Master Portfolio at fair value based on such LifePath Index Fund’s proportionate interest in the net assets of the LifePath Index Master Portfolio. Valuation of securities held by the LifePath Index Master Portfolio is discussed in Note 3 of the LifePath Index Master Portfolio’s Notes to Financial Statements, which are included elsewhere in this report.

4. Administration Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

The Trust, on behalf of the LifePath Index Funds, entered into an Administration Agreement with BAL, an indirect, wholly owned subsidiary of BlackRock, which has agreed to provide general administration services (other than investment advice and related portfolio activities). BAL, in consideration thereof, has agreed to bear all of the LifePath Index Funds’ ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by the LifePath Index Funds. BAL is entitled to receive for these administration services an annual fee of 0.03% based on the average daily net assets of each LifePath Index Fund.

From time to time, BAL may waive such fees in whole or in part. Any such waiver will reduce the expenses of the LifePath Index Funds and, accordingly, have a favorable impact on their performance. BAL may delegate certain of its administration duties to sub-administrators.

BFA and BAL contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the LifePath Index Funds’ business. The expense limitations as a percentage of average daily net assets are as follows: 1.10% for Institutional; 1.35% for Investor A, and 1.05% for Class K. This agreement will automatically renew on May 1 of each year for an additional year until May 1, 2025, unless terminated earlier by the Board, including a majority of the Independent Trustees.

BLACKROCK FUNDS III DECEMBER 31, 2015 53

Notes to Financial Statements (continued)

In addition, BFA and BAL contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the LifePath Index Fund’s business. The agreement may be terminated upon 90 days’ notice by a majority of the non-interested trustees of the Trust or by a vote of majority of the outstanding voting shares of the LifePath Index Fund. The expense limitations as a percentage of average daily net assets until May 1, 2016 are as follows:

	LifePath Index Retirement Fund		LifePath Index 2020 Fund		LifePath Index 2025 Fund		LifePath Index 2030 Fund		LifePath Index 2035 Fund1		LifePath Index 2040 Fund1		LifePath Index 2045 Fund1		LifePath Index 2050 Fund1		LifePath Index 2055 Fund1
Institutional		0.10%		0.10%		0.10%		0.10%		0.09%		0.09%		0.08%		0.08%		0.07%
Investor A		0.35%		0.35%		0.35%		0.35%		0.34%		0.34%		0.33%		0.33%		0.32%
Class K		0.05%		0.05%		0.05%		0.05%		0.04%		0.04%		0.03%		0.03%		0.02%

¹  Expense limitations became effective on April 30, 2015. Prior to April 30, 2015, the expense limitations were 0.10% for Institutional, 0.35% for Investor A and 0.05% for Class K.

These amounts waived or reimbursed are included in fees waived by the administrator, and shown as transfer agent fees waived and/or reimbursed — class specific, in the Statements of Operations. For the year ended December 31, 2015, the amounts included in transfer agent fees waived and/or reimbursed for each class were as follows:

LifePath Index Retirement Fund	LifePath Index 2020 Fund		LifePath Index 2025 Fund		LifePath Index 2030 Fund		LifePath Index 2035 Fund		LifePath Index 2040 Fund		LifePath Index 2045 Fund		LifePath Index 2050 Fund		LifePath Index 2055 Fund
$45,725	$	54,363	$	38,527	$	57,852	$	37,801	$	49,455	$	33,338	$	46,760	$	28,603

If during a LifePath Index Fund’s fiscal year the operating expenses of a share class, that at any time during the prior two fiscal years received a waiver or reimbursement from BFA or BAL, are less than the expense limit for that share class, BFA or BAL is entitled to be reimbursed by such share class up to the lesser of (a) the amount of fees waived or expenses reimbursed during those prior two fiscal years under the agreement and (b) the amount by which the expense limit for that share class exceeds the operating expenses of the share class for the current fiscal year, provided that: (1) each LifePath Index Fund, of which the share class is a part, has more than $50 million in assets for the fiscal year and (2) BFA or BAL or an affiliate continues to serve as a LifePath Index Fund’s investment advisor or administrator. In the event the expense limit for a share class is changed subsequent to a fiscal year in which BFA or BAL becomes entitled to reimbursement for fees waived or reimbursed, the amount available to reimburse BFA or BAL shall be calculated by reference to the expense limit for that share class in effect at the time BFA or BAL became entitled to receive such reimbursement, rather than the subsequently changed expense limit for that share class.

For the year ended December 31, 2015, BAL recouped the following LifePath Index Fund level and class specific waivers and/or reimbursements previously recorded by the LifePath Index Funds:

	BAL
LifePath Index Retirement Fund
Institutional	$	1,112
Investor A	$	3,446
LifePath Index 2020 Fund
Institutional	$	2,233
Investor A	$	4,550
LifePath Index 2025 Fund
Institutional	$	2,661
Investor A	$	4,347
LifePath Index 2030 Fund
Institutional	$	2,568
Investor A	$	5,160
LifePath Index 2035 Fund
Institutional	$	2,389
Investor A	$	4,535
LifePath Index 2040 Fund
Institutional	$	2,246
Investor A	$	2,870
LifePath Index 2045 Fund
Institutional	$	2,807
Investor A	$	1,462
LifePath Index 2050 Fund
Institutional	$	1,761
Investor A	$	466
LifePath Index 2055 Fund
Institutional	$	681
Investor A	$	52

54 BLACKROCK FUNDS III DECEMBER 31, 2015

Notes to Financial Statements (continued)

The following LifePath Index Fund level and class specific waivers and/or reimbursements previously recorded by the LifePath Index Funds, which were subject to recoupment by the Administrator, expired on December 31, 2015:

	BAL
LifePath Index Retirement Fund
Fund level	$	189,439
Class K	$	40,265
LifePath Index 2020 Fund
Fund level	$	292,083
Class K	$	33,435
LifePath Index 2025 Fund
Fund level	$	163,134
Class K	$	15,549
LifePath Index 2030 Fund
Fund level	$	250,300
Class K	$	31,714
LifePath Index 2035 Fund
Fund level	$	127,727
Class K	$	15,042
LifePath Index 2040 Fund
Fund level	$	173,008
Class K	$	29,287
LifePath Index 2045 Fund
Fund level	$	90,363
Class K	$	14,331
LifePath Index 2050 Fund
Fund level	$	88,935
Investor A	$	65
Class K	$	26,822
LifePath Index 2055 Fund
Fund level	$	67,183
Investor A	$	270
Class K	$	8,027

On December 31, 2015, the LifePath Index Fund level and class specific waivers and/or reimbursements subject to possible future recoupment under the expense limitation agreement are as follows:

	Expiring December 31,
	2016		2017
LifePath Index Retirement Fund
Fund level	$	236,881	$	267,767
Institutional	$	4,112	$	8,299
Investor A		—	$	10,921
Class K	$	38,752	$	28,603
LifePath Index 2020 Fund
Fund level	$	378,914	$	470,803
Institutional	$	5,309	$	9,855
Investor A	$	4,044	$	14,496
Class K	$	34,471	$	33,794
LifePath Index 2025 Fund
Fund level	$	251,481	$	335,370
Institutional	$	1,845	$	9,037
Investor A	$	2,905	$	13,405
Class K	$	18,068	$	18,415
LifePath Index 2030 Fund
Fund level	$	360,380	$	463,274
Institutional	$	3,365	$	9,386
Investor A	$	3,592	$	16,428
Class K	$	35,943	$	35,861
LifePath Index 2035 Fund
Fund level	$	217,349	$	281,863
Institutional	$	1,495	$	6,733
Investor A	$	1,076	$	13,808
Class K	$	20,255	$	19,219
LifePath Index 2040 Fund
Fund level	$	274,798	$	353,534
Institutional	$	1,865	$	8,016
Investor A	$	2,134	$	9,826
Class K	$	35,927	$	34,605

BLACKROCK FUNDS III DECEMBER 31, 2015 55

Notes to Financial Statements (continued)

	Expiring December 31,
	2016		2017
LifePath Index 2045 Fund
Fund level	$	161,498	$	200,123
Institutional	$	169	$	7,596
Investor A	$	1,843	$	7,392
Class K	$	21,336	$	19,915
LifePath Index 2050 Fund
Fund level	$	167,905	$	212,015
Institutional	$	1,309	$	8,506
Investor A	$	3,247	$	5,578
Class K	$	35,911	$	34,777
LifePath Index 2055 Fund
Fund level	$	104,536	$	126,231
Institutional	$	1,426	$	6,771
Investor A	$	1,708	$	3,365
Class K	$	17,946	$	19,560

The Trust, on behalf of the LifePath Index Funds, entered into a Distribution Agreement and a Distribution Plan with BlackRock Investments, LLC (“BRIL”), an affiliate of the Administrator. Pursuant to the Distribution and Service Plan and in accordance with Rule 12b-1 under the 1940 Act, each LifePath Index Fund pays BRIL ongoing service fees. The fees are accrued daily and paid monthly at an annual rate of 0.25% based upon the average daily net assets of the Investor A Shares.

Pursuant to sub-agreements with BRIL, broker-dealers and BRIL provide shareholder servicing and distribution services to the LifePath Index Funds. The ongoing service and/or distribution fee compensates BRIL and each broker-dealer for providing shareholder servicing and/or distribution related services to the shareholders.

Pursuant to written agreements, certain financial intermediaries, some of which may be affiliates, provide the LifePath Index Funds with sub-accounting, recordkeeping, sub-transfer agency and other administrative services with respect to sub-accounts they service. 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 December 31, 2105, the LifePath Index Funds paid the following amounts to affiliates of BlackRock in return for these services, which are included in transfer agent — class specific in the Statements of Operations:

	Institutional		Investor A
LifePath Index Retirement Fund	$	38,847	$	36,989
LifePath Index 2020 Fund	$	48,436	$	68,365
LifePath Index 2025 Fund	$	36,773	$	55,545
LifePath Index 2030 Fund	$	45,883	$	75,567
LifePath Index 2035 Fund	$	25,289	$	51,497
LifePath Index 2040 Fund	$	32,334	$	43,010
LifePath Index 2045 Fund	$	20,719	$	22,534
LifePath Index 2050 Fund	$	19,423	$	15,641
LifePath Index 2055 Fund	$	8,062	$	6,095

The Administrator maintains a call center, which is responsible for providing certain shareholder services to the LifePath Index Funds, such as responding to shareholder inquiries and processing transactions based upon instructions from shareholders with respect to the subscription and redemption of LifePath Index Fund shares. For the year ended December 31, 2015, each LifePath Index Fund reimbursed the Administrator the following amounts for costs incurred in running the call center, which are included in transfer agent — class specific in the Statements of Operations:

	Institutional		Investor A		Class K
LifePath Index Retirement Fund	$	355	$	547	$	1,325
LifePath Index 2020 Fund	$	399	$	981	$	2,658
LifePath Index 2025 Fund	$	360	$	853	$	1,340
LifePath Index 2030 Fund	$	400	$	1,040	$	2,611
LifePath Index 2035 Fund	$	314	$	765	$	1,071
LifePath Index 2040 Fund	$	383	$	727	$	2,102
LifePath Index 2045 Fund	$	341	$	657	$	741
LifePath Index 2050 Fund	$	328	$	530	$	1,403
LifePath Index 2055 Fund	$	262	$	527	$	372

The Administrator reimbursed the LifePath Index Funds a portion of the costs incurred in running the call center. These amounts reimbursed are included in transfer agent fees waived and/or reimbursed — class specific in the Statements of Operations. For the year ended December 31, 2015, the amounts included in transfer agent fees waived and/or reimbursed — class specific were as follow:

LifePath Index Retirement Fund	LifePath Index 2020 Fund		LifePath Index 2025 Fund		LifePath Index 2030 Fund		LifePath Index 2035 Fund		LifePath Index 2040 Fund		LifePath Index 2045 Fund		LifePath Index 2050 Fund		LifePath Index 2055 Fund
$2,098	$	3,782	$	2,330	$	3,823	$	1,959	$	2,992	$	1,565	$	2,101	$	1,093

56 BLACKROCK FUNDS III DECEMBER 31, 2015

Notes to Financial Statements (continued)

Certain officers and/or trustees of the Trust are officers and/or directors of BlackRock or its affiliates. The LifePath Index Funds reimburse the Administrator for a portion of the compensation paid to the Trust’s Chief Compliance Officer, which is included in independent trustees in the Statements of Operations.

5. Income Tax Information:

It is the LifePath Index Funds’ 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 their taxable income to their shareholders. Therefore, no federal income tax provision is required.

Each LifePath Index 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 each LifePath Index Fund’s U.S. federal tax returns remains open for each of the four years ended December 31, 2015. The statutes of limitations on each LifePath Index 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 LifePath Index Funds as of December 31, 2015, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the LifePath Index Funds’ financial statements.

The tax character of distributions paid was as follows:

		LifePath Index Retirement Fund		LifePath Index 2020 Fund		LifePath Index 2025 Fund		LifePath Index 2030 Fund		LifePath Index 2035 Fund		LifePath Index 2040 Fund		LifePath Index 2045 Fund		LifePath Index 2050 Fund		LifePath Index 2055 Fund
Ordinary Income	12/31/15	$	10,572,327	$	22,888,339	$	14,722,743	$	23,740,137	$	12,472,608	$	17,442,544	$	7,483,496	$	7,671,288	$	2,206,215
	12/31/14	$	8,530,813	$	17,809,658	$	9,565,301	$	16,487,776	$	7,559,023	$	10,814,066	$	4,153,223	$	4,115,966	$	1,021,949
Long-term capital gains	12/31/15	$	3,401,250	$	7,455,767	$	3,338,800	$	7,061,260	$	3,177,432	$	5,373,610	$	1,992,880	$	2,142,231	$	513,055
	12/31/14	$	3,633,371	$	7,326,180	$	3,428,773	$	7,070,739	$	2,776,161	$	4,358,083	$	1,292,029	$	1,263,701	$	266,629
Return of capital	12/31/15		—		—	$	88,888		—		—		—		—		—		—
Total	12/31/15	$	13,973,577	$	30,344,106	$	18,150,431	$	30,801,397	$	15,650,040	$	22,816,154	$	9,476,376	$	9,813,519	$	2,719,270
	12/31/14	$	12,164,184	$	25,135,838	$	12,994,074	$	23,558,515	$	10,335,184	$	15,172,149	$	5,445,252	$	5,379,667	$	1,288,578

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

	LifePath Index Retirement Fund			LifePath Index 2020 Fund			LifePath Index 2025 Fund			LifePath Index 2030 Fund			LifePath Index 2035 Fund			LifePath Index 2040 Fund			LifePath Index 2045 Fund			LifePath Index 2050 Fund		LifePath Index 2055 Fund
Undistributed ordinary income		—			—			—			—			—			—			—			—		—
Undistributed long-term capital gains	$	508,241		$	245,262			—		$	380,990		$	57,157		$	101,447		$	23,034		$	30,653	$	36,157
Net unrealized gains1		13,587,120			34,134,835		$	12,626,247			34,439,376			10,775,010			20,757,287			4,529,566			4,139,164		129,017
Qualified late-year losses2		(129,672	)		(367,654	)		(147,950	)		(300,279	)		(98,352	)		(103,317	)		(20,294	)		—		(1,187	)
Total	$	13,965,689		$	34,012,443		$	12,478,297		$	34,520,087		$	10,733,815		$	20,755,417		$	4,532,306		$	4,169,817	$	163,987

¹  The differences between book-basis and tax-basis net unrealized gains were attributable primarily to the timing and recognition of partnership income.

²  The LifePath Index Funds have elected to defer certain qualified late-year losses and recognize such losses in the next taxable year.

6. Capital Share Transactions:

Transactions in capital shares for each class were as follows:

	Year Ended December 31, 2015						Year Ended December 31, 2014
LifePath Index Retirement Fund	Shares			Amount			Shares			Amount
Institutional
Shares sold		2,554,950		$	29,021,680			3,680,315		$	41,628,878
Shares issued in reinvestment of distributions		175,020			1,948,895			161,743			1,834,869
Shares redeemed		(2,521,227	)		(28,805,683	)		(1,409,237	)		(15,988,870	)
Net increase		208,743		$	2,164,892			2,432,821		$	27,474,877
Investor A
Shares sold		3,392,349		$	38,594,002			3,144,759		$	35,707,200
Shares issued in reinvestment of distributions		156,883			1,744,295			113,626			1,288,110
Shares redeemed		(2,774,607	)		(31,378,201	)		(943,159	)		(10,647,862	)
Net increase		774,625		$	8,960,096			2,315,226		$	26,347,448

BLACKROCK FUNDS III DECEMBER 31, 2015 57

Notes to Financial Statements (continued)

	Year Ended December 31, 2015						Year Ended December 31, 2014
LifePath Index Retirement Fund (concluded)	Shares			Amount			Shares			Amount
Class K
Shares sold		16,777,846		$	189,800,125			10,318,651		$	116,653,376
Shares issued in reinvestment of distributions		923,943			10,276,621			797,307			9,041,203
Shares redeemed		(11,204,827	)		(126,860,547	)		(6,882,045	)		(77,717,842	)
Net increase		6,496,962		$	73,216,199			4,233,913		$	47,976,737
Total Net Increase		7,480,330		$	84,341,187			8,981,960		$	101,799,062
LifePath Index 2020 Fund
Institutional
Shares sold		4,515,664		$	52,369,745			4,344,770		$	49,739,175
Shares issued in reinvestment of distributions		220,078			2,500,544			193,240			2,237,224
Shares redeemed		(3,759,343	)		(43,917,181	)		(1,270,121	)		(14,589,341	)
Net increase		976,399		$	10,953,108			3,267,889		$	37,387,058
Investor A
Shares sold		4,853,576		$	56,122,302			4,963,332		$	57,313,622
Shares issued in reinvestment of distributions		294,782			3,342,355			218,196			2,522,414
Shares redeemed		(3,984,733	)		(45,510,700	)		(2,063,570	)		(23,746,201	)
Net increase		1,163,625		$	13,953,957			3,117,958		$	36,089,835
Class K
Shares sold		30,589,214		$	355,194,101			21,822,723		$	251,347,326
Shares issued in reinvestment of distributions		2,157,628			24,501,172			1,759,878			20,376,195
Shares redeemed		(15,000,205	)		(173,498,082	)		(8,577,771	)		(98,889,539	)
Net increase		17,746,637		$	206,197,191			15,004,830		$	172,833,982
Total Net Increase		19,886,661		$	231,104,256			21,390,677		$	246,310,875
LifePath Index 2025 Fund
Institutional
Shares sold		4,469,528		$	52,624,386			3,451,831		$	40,074,916
Shares issued in reinvestment of distributions		153,474			1,771,190			114,546			1,344,727
Shares redeemed		(2,704,757	)		(32,206,958	)		(843,810	)		(9,833,029	)
Net increase		1,918,245		$	22,188,618			2,722,567		$	31,586,614
Investor A
Shares sold		3,065,236		$	36,262,072			4,393,893		$	51,408,558
Shares issued in reinvestment of distributions		209,188			2,411,971			176,444			2,069,805
Shares redeemed		(1,718,276	)		(20,315,086	)		(1,233,065	)		(14,379,037	)
Net increase		1,556,148		$	18,358,957			3,337,272		$	39,099,326
Class K
Shares sold		26,119,320		$	307,027,110			15,841,657		$	184,774,389
Shares issued in reinvestment of distributions		1,209,314			13,941,182			817,457			9,602,335
Shares redeemed		(6,759,750	)		(79,440,503	)		(3,099,720	)		(36,255,819	)
Net increase		20,568,884		$	241,527,789			13,559,394		$	158,120,905
Total Net Increase		24,043,277		$	282,075,364			19,619,233		$	228,806,845

58 BLACKROCK FUNDS III DECEMBER 31, 2015

Notes to Financial Statements (continued)

	Year Ended December 31, 2015						Year Ended December 31, 2014
LifePath Index 2030 Fund	Shares			Amount			Shares			Amount
Institutional
Shares sold		4,274,480		$	50,812,514			4,296,619		$	50,359,784
Shares issued in reinvestment of distributions		217,842			2,529,945			172,177			2,043,207
Shares redeemed		(2,995,796	)		(36,095,486	)		(1,090,427	)		(12,831,665	)
Net increase		1,496,526		$	17,246,973			3,378,369		$	39,571,326
Investor A
Shares sold		4,892,193		$	58,052,152			5,239,806		$	61,954,488
Shares issued in reinvestment of distributions		326,058			3,787,014			245,328			2,909,916
Shares redeemed		(4,325,077	)		(50,669,367	)		(1,530,517	)		(18,097,416	)
Net increase		893,174		$	11,169,799			3,954,617		$	46,766,988
Class K
Shares sold		31,052,806		$	369,413,212			20,550,362		$	242,092,570
Shares issued in reinvestment of distributions		2,111,529			24,483,767			1,569,510			18,605,392
Shares redeemed		(10,494,964	)		(124,358,272	)		(6,426,671	)		(75,960,707	)
Net increase		22,669,371		$	269,538,707			15,693,201		$	184,737,255
Total Net Increase		25,059,071		$	297,955,479			23,026,187		$	271,075,569
LifePath Index 2035 Fund
Institutional
Shares sold		3,454,555		$	41,467,537			2,631,466		$	31,076,921
Shares issued in reinvestment of distributions		125,913			1,476,870			76,492			916,573
Shares redeemed		(1,729,644	)		(21,158,214	)		(530,896	)		(6,296,111	)
Net increase		1,850,824		$	21,786,193			2,177,062		$	25,697,383
Investor A
Shares sold		2,571,827		$	30,980,524			4,907,537		$	58,434,539
Shares issued in reinvestment of distributions		211,247			2,474,873			159,130			1,903,367
Shares redeemed		(1,565,151	)		(18,736,195	)		(1,376,664	)		(16,362,815	)
Net increase		1,217,923		$	14,719,202			3,690,003		$	43,975,091
Class K
Shares sold		19,333,090		$	231,569,790			11,510,397		$	136,714,611
Shares issued in reinvestment of distributions		997,433			11,683,839			628,820			7,529,364
Shares redeemed		(4,950,460	)		(59,410,248	)		(1,681,236	)		(20,062,135	)
Net increase		15,380,063		$	183,843,381			10,457,981		$	124,181,840
Total Net Increase		18,448,810		$	220,348,776			16,325,046		$	193,854,314
LifePath Index 2040 Fund
Institutional
Shares sold		3,742,465		$	45,441,390			3,174,100		$	37,944,455
Shares issued in reinvestment of distributions		168,425			1,991,699			111,639			1,352,455
Shares redeemed		(2,336,755	)		(28,748,355	)		(805,573	)		(9,703,017	)
Net increase		1,574,135		$	18,684,734			2,480,166		$	29,593,893
Investor A
Shares sold		3,394,171		$	40,987,512			2,806,932		$	33,761,979
Shares issued in reinvestment of distributions		205,645			2,427,847			125,531			1,518,489
Shares redeemed		(2,488,529	)		(29,580,282	)		(775,110	)		(9,342,082	)
Net increase		1,111,287		$	13,835,077			2,157,353		$	25,938,386

BLACKROCK FUNDS III DECEMBER 31, 2015 59

Notes to Financial Statements (continued)

	Year Ended December 31, 2015						Year Ended December 31, 2014
LifePath Index 2040 Fund (concluded)	Shares			Amount			Shares			Amount
Class K
Shares sold		22,594,367		$	274,630,234			16,070,240		$	193,551,976
Shares issued in reinvestment of distributions		1,556,425			18,395,984			1,016,216			12,303,154
Shares redeemed		(7,475,003	)		(90,613,541	)		(4,518,856	)		(54,454,035	)
Net increase		16,675,789		$	202,412,677			12,567,600		$	151,401,095
Total Net Increase		19,361,211		$	234,932,488			17,205,119		$	206,933,374
LifePath Index 2045 Fund
Institutional
Shares sold		2,832,028		$	34,762,713			2,193,560		$	26,589,302
Shares issued in reinvestment of distributions		107,110			1,282,231			49,880			610,784
Shares redeemed		(1,389,856	)		(17,360,373	)		(309,729	)		(3,769,663	)
Net increase		1,549,282		$	18,684,571			1,933,711		$	23,430,423
Investor A
Shares sold		1,707,713		$	21,065,033			1,838,204		$	22,364,142
Shares issued in reinvestment of distributions		100,984			1,206,383			61,245			748,510
Shares redeemed		(914,620	)		(11,197,390	)		(527,081	)		(6,393,801	)
Net increase		894,077		$	11,074,026			1,372,368		$	16,718,851
Class K
Shares sold		10,357,098		$	127,174,706			7,172,251		$	86,831,243
Shares issued in reinvestment of distributions		583,925			6,985,514			333,676			4,085,944
Shares redeemed		(2,987,293	)		(36,776,708	)		(1,176,328	)		(14,337,223	)
Net increase		7,953,730		$	97,383,512			6,329,599		$	76,579,964
Total Net Increase		10,397,089		$	127,142,109			9,635,678		$	116,729,238
LifePath Index 2050 Fund
Institutional
Shares sold		2,839,446		$	35,471,658			1,612,987		$	19,820,608
Shares issued in reinvestment of distributions		92,590			1,122,079			44,843			555,638
Shares redeemed		(1,696,316	)		(21,414,834	)		(319,364	)		(3,930,861	)
Net increase		1,235,720		$	15,178,903			1,338,466		$	16,445,385
Investor A
Shares sold		1,493,742		$	18,562,504			1,256,520		$	15,457,000
Shares issued in reinvestment of distributions		72,199			873,353			43,657			540,292
Shares redeemed		(1,048,315	)		(12,800,671	)		(538,221	)		(6,623,380	)
Net increase		517,626		$	6,635,186			761,956		$	9,373,912
Class K
Shares sold		11,998,246		$	149,820,858			9,378,798		$	115,111,348
Shares issued in reinvestment of distributions		645,363			7,817,658			345,755			4,283,737
Shares redeemed		(4,957,672	)		(61,987,542	)		(1,770,664	)		(21,789,910	)
Net increase		7,685,937		$	95,650,974			7,953,889		$	97,605,175
Total Net Increase		9,439,283		$	117,465,063			10,054,311		$	123,424,472

60 BLACKROCK FUNDS III DECEMBER 31, 2015

Notes to Financial Statements (concluded)

	Year Ended December 31, 2015						Year Ended December 31, 2014
LifePath Index 2055 Fund	Shares			Amount			Shares			Amount
Institutional
Shares sold		1,466,687		$	18,564,571			675,790		$	8,495,924
Shares issued in reinvestment of distributions		39,112			481,437			11,760			148,088
Shares redeemed		(551,644	)		(7,052,483	)		(136,992	)		(1,726,858	)
Net increase		954,155		$	11,993,525			550,558		$	6,917,154
Investor A
Shares sold		695,213		$	8,822,753			400,459		$	4,995,206
Shares issued in reinvestment of distributions		27,644			339,634			14,457			181,549
Shares redeemed		(352,293	)		(4,399,745	)		(94,087	)		(1,171,515	)
Net increase		370,564		$	4,762,642			320,829		$	4,005,240
Class K
Shares sold		4,101,454		$	51,922,767			2,641,658		$	32,875,468
Shares issued in reinvestment of distributions		154,168			1,897,041			75,550			950,127
Shares redeemed		(1,694,573	)		(21,609,401	)		(664,905	)		(8,277,442	)
Net increase		2,561,049		$	32,210,407			2,052,303		$	25,548,153
Total Net Increase		3,885,768		$	48,966,574			2,923,690		$	36,470,547

7. Subsequent Events:

Management has evaluated the impact of all subsequent events on the LifePath Index Funds 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.

BLACKROCK FUNDS III DECEMBER 31, 2015 61

Report of Independent Registered Public Accounting Firm BlackRock Funds III

To the Board of Trustees of BlackRock Funds III and the Shareholders of BlackRock LifePath^® Index Retirement Fund, BlackRock LifePath^® Index 2020 Fund, BlackRock LifePath^® Index 2025 Fund, BlackRock LifePath^® Index 2030 Fund, BlackRock LifePath^® Index 2035 Fund, BlackRock LifePath^® Index 2040 Fund, BlackRock LifePath^® Index 2045 Fund, BlackRock LifePath^® Index 2050 Fund and BlackRock LifePath^® Index 2055 Fund:

In our opinion, the accompanying statements of assets and liabilities and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of BlackRock LifePath^® Index Retirement Fund, BlackRock LifePath^® Index 2020 Fund, BlackRock LifePath^® Index 2025 Fund, BlackRock LifePath^® Index 2030 Fund, BlackRock LifePath^® Index 2035 Fund, BlackRock LifePath^® Index 2040 Fund, BlackRock LifePath^® Index 2045 Fund, BlackRock LifePath^® Index 2050 Fund and BlackRock LifePath^® Index 2055 Fund (the “Funds”), each a series of BlackRock Funds III, at December 31, 2015, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 24, 2016

Important Tax Information (Unaudited)

The following information is provided with respect to the ordinary income distributions paid during the tax year ended December 31, 2015:

	Payable Dates		LifePath Index Retirement Fund		LifePath Index 2020 Fund		LifePath Index 2025 Fund		LifePath Index 2030 Fund		LifePath Index 2035 Fund		LifePath Index 2040 Fund		LifePath Index 2045 Fund		LifePath Index 2050 Fund		LifePath Index 2050 Fund
Qualified Dividend Income for Individuals1		3/31/15 - 12/30/15		37.71%		48.56%		57.87%		63.29%		70.03%		72.89%		75.65%		76.92%		78.09%
Dividends Qualifying for the Dividend Received Deduction for Corporations1		3/31/15 - 12/30/15		20.83%		26.27%		30.92%		53.68%		36.66%		37.60%		38.79%		39.34%		39.83%
Federal Obligation Interest2		3/31/15 - 12/30/15		13.74%		11.38%		9.54%		6.44%		4.16%		1.73%		—		—		—
Interest Related Dividends and Short-Term Capital Gains for Non-U.S. Residents3		3/31/15 - 12/30/15		55.09%		42.62%		31.71%		25.58%		17.46%		13.28%		9.09%		6.85%		4.93%

¹  The LifePath Index Funds hereby designate the percentages indicated above or the maximum amount allowable by law.

²  The law varies in each state as to whether and what percentage of dividend income attributable to federal obligations is exempt from state income tax. We recommend that you consult your tax advisor to determine if any portion of the dividends you received is exempt from state income taxes.

³  Represents the portion of the taxable ordinary income dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations.

62 BLACKROCK FUNDS III DECEMBER 31, 2015

Master Portfolio Information as of December 31, 2015 Master Investment Portfolio

LifePath^® Index Retirement Master Portfolio

Portfolio Composition Percent of
Affiliated Investment  Companies

Fixed Income Funds	60	%
Equity Funds	40

Ten Largest Holdings Percent of
Affiliated Investment  Companies

U.S. Total Bond Index Master Portfolio	51	%
Large Cap Index Master Portfolio	22
iShares TIPS Bond ETF	9
Total International ex U.S. Index Master Portfolio	6
iShares Core MSCI Total International Stock ETF	6
Master Small Cap Index Series	4

LifePath^® Index 2020 Master Portfolio

Portfolio Composition Percent of
Affiliated Investment  Companies

Equity Funds	51	%
Fixed Income Funds	48
Short-Term Securities	1

Ten Largest Holdings Percent of
Affiliated Investment Companies

U.S. Total Bond Index Master Portfolio	41	%
Large Cap Index Master Portfolio	28
Total International ex U.S. Index Master Portfolio	10
iShares TIPS Bond ETF	7
iShares Core MSCI Total International Stock ETF	6
Master Small Cap Index Series	4
iShares Cohen & Steers REIT ETF	2
iShares International Developed Real Estate ETF	1
iShares MSCI EAFE Small-Cap ETF	1

LifePath^® Index 2025 Master Portfolio

Portfolio Composition Percent of
Affiliated Investment Companies

Equity Funds	62	%
Fixed Income Funds	37
Short-Term Securities	1

Ten Largest Holdings Percent of
Affiliated Investment Companies

Large Cap Index Master Portfolio	34	%
U.S. Total Bond Index Master Portfolio	32
iShares Core MSCI Total International Stock ETF	10
Total International ex U.S. Index Master Portfolio	9
iShares TIPS Bond ETF	5
iShares Cohen & Steers REIT ETF	3
Master Small Cap Index Series	3
iShares International Developed Real Estate ETF	2
iShares MSCI EAFE Small-Cap ETF	1
BlackRock Cash Funds: Institutional, SL Agency Shares	1

The LifePath Index Master Portfolios’ allocation and holdings listed above are current as of the report date. However, the LifePath Index Master Portfolios are regularly monitored and their composition may vary throughout various periods.

BLACKROCK FUNDS III DECEMBER 31, 2015 63

Master Portfolio Information as of December 31, 2015 (continued) Master Investment Portfolio

LifePath^® Index 2030 Master Portfolio

Portfolio Composition Percent of
Affiliated Investment  Companies

Equity Funds	74	%
Fixed Income Funds	26

Ten Largest Holdings Percent of
Affiliated Investment Companies

Large Cap Index Master Portfolio	40	%
U.S. Total Bond Index Master Portfolio	23
Total International ex U.S. Index Master Portfolio	13
iShares Core MSCI Total International Stock ETF	8
iShares Cohen & Steers REIT ETF	5
iShares International Developed Real Estate ETF	4
iShares TIPS Bond ETF	3
Master Small Cap Index Series	3
iShares MSCI EAFE Small-Cap ETF	1

LifePath^® Index 2035 Master Portfolio

Portfolio Composition Percent of
Affiliated Investment  Companies

Equity Funds	83	%
Fixed Income Funds	16
Short-Term Securities	1

Ten Largest Holdings Percent of
Affiliated Investment  Companies

Large Cap Index Master Portfolio	45	%
U.S. Total Bond Index Master Portfolio	14
iShares Core MSCI Total International Stock ETF	12
Total International ex U.S. Index Master Portfolio	12
iShares Cohen & Steers REIT ETF	6
iShares International Developed Real Estate ETF	5
Master Small Cap Index Series	2
iShares TIPS Bond ETF	2
iShares MSCI EAFE Small-Cap ETF	1
BlackRock Cash Funds: Institutional, SL Agency Shares	1

LifePath^® Index 2040 Master Portfolio

Portfolio Composition Percent of
Affiliated Investment  Companies

Equity Funds	93	%
Fixed Income Funds	7

Ten Largest Holdings Percent of
Affiliated Investment  Companies

Large Cap Index Master Portfolio	49	%
Total International ex U.S. Index Master Portfolio	16
iShares Core MSCI Total International Stock ETF	11
iShares Cohen & Steers REIT ETF	7
U.S. Total Bond Index Master Portfolio	6
iShares International Developed Real Estate ETF	6
Master Small Cap Index Series	2
iShares MSCI EAFE Small-Cap ETF	2
iShares TIPS Bond ETF	1

The LifePath Index Master Portfolios’ allocation and holdings listed above are current as of the report date. However, the LifePath Index Master Portfolios are regularly monitored and their composition may vary throughout various periods.

64 BLACKROCK FUNDS III DECEMBER 31, 2015

Master Portfolio Information as of December 31, 2015 (concluded) Master Investment Portfolio

LifePath^® Index 2045 Master Portfolio

Portfolio Composition Percent of
Affiliated Investment  Companies

Equity Funds	97	%
Fixed Income Funds	2
Short-Term Securities	1

Ten Largest Holdings Percent of
Affiliated Investment Companies

Large Cap Index Master Portfolio	51	%
iShares Core MSCI Total International Stock ETF	15
Total International ex U.S. Index Master Portfolio	13
iShares Cohen & Steers REIT ETF	8
iShares International Developed Real Estate ETF	7
Master Small Cap Index Series	2
U.S. Total Bond Index Master Portfolio	2
iShares MSCI EAFE Small-Cap ETF	1
BlackRock Cash Funds: Institutional, SL Agency Shares	1

LifePath^® Index 2050 Master Portfolio

Portfolio Composition Percent of
Affiliated Investment Companies

Equity Funds	98	%
Fixed Income Funds	1
Short-Term Securities	1

Ten Largest Holdings Percent of
Affiliated Investment Companies

Large Cap Index Master Portfolio	51	%
iShares Core MSCI Total International Stock ETF	15
Total International ex U.S. Index Master Portfolio	14
iShares Cohen & Steers REIT ETF	8
iShares International Developed Real Estate ETF	7
Master Small Cap Index Series	2
iShares MSCI EAFE Small-Cap ETF	1
U.S. Total Bond Index Master Portfolio	1
BlackRock Cash Funds: Institutional, SL Agency Shares	1

LifePath^® Index 2055 Master Portfolio

Portfolio Composition Percent of
Affiliated Investment Companies

Equity Funds	95	%
Short-Term Securities	4
Fixed Income Funds	1

Ten Largest Holdings Percent of
Affiliated Investment Companies

Large Cap Index Master Portfolio	49	%
iShares Core MSCI Total International Stock ETF	19
Total International ex U.S. Index Master Portfolio	10
iShares Cohen & Steers REIT ETF	8
iShares International Developed Real Estate ETF	6
BlackRock Cash Funds: Institutional, SL Agency Shares	3
Master Small Cap Index Series	2
U.S. Total Bond Index Master Portfolio	1
iShares MSCI EAFE Small-Cap ETF	1
BlackRock Cash Funds: Prime, SL Agency Shares	1

The LifePath Index Master Portfolios’ allocation and holdings listed above are current as of the report date. However, the LifePath Index Master Portfolios are regularly monitored and their composition may vary throughout various periods.

BLACKROCK FUNDS III DECEMBER 31, 2015 65

Schedule of Investments December 31, 2015 LifePath Index Retirement Master Portfolio (Percentages shown are based on Net Assets)

Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 40.1%
iShares Cohen & Steers REIT ETF		14,574	$	1,446,324
iShares Core MSCI Total International Stock ETF (b)		640,123		31,673,286
iShares International Developed Real Estate ETF		41,936		1,169,385
iShares MSCI EAFE Small-Cap ETF		38,878		1,941,956
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	111,965,799		111,965,799
Master Small Cap Index Series	$	19,969,721		19,969,721
Total International ex U.S. Index Master Portfolio (fka ACWI ex-U.S. Index Master Portfolio)	$	31,996,970		31,996,970
				200,163,441

Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Fixed Income Funds — 60.0%
iShares TIPS Bond ETF (b)		408,584	$	44,813,493
U.S. Total Bond Index Master Portfolio (fka Bond Index Master Portfolio)	$	254,892,164		254,892,164
				299,705,657
Short-Term Securities — 0.4%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.38% (c)(d)		1,955,906		1,955,906
BlackRock Cash Funds: Prime, SL Agency Shares, 0.36% (c)(d)		229,051		229,051
				2,184,957
Total Affiliated Investment Companies (Cost — $507,055,589) — 100.5%				502,054,055
Liabilities in Excess of Other Assets — (0.5)%				(2,305,039	)
Net Assets — 100.0%			$	499,749,016

Notes to Schedule of Investments

(a) During the year ended December 31, 2015, investments in issuers considered to be affiliates of LifePath Index Master Portfolio for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/ Beneficial Interest Held at December 31, 2014		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at December 31, 2015		Value at December 31, 2015		Net Income			Realized Gain (Loss)
BlackRock Cash Funds: Institutional, SL Agency Shares		984,033		971,873	1		—			1,955,906	$	1,955,906	$	7,081	2		—
BlackRock Cash Funds: Prime, SL Agency Shares		—		229,051	1		—			229,051	$	229,051	$	3,880	2		—
iShares Cohen & Steers REIT ETF		12,463		5,387			(3,276	)		14,574	$	1,446,324	$	49,789		$	45,542
iShares Core MSCI Total International Stock ETF		252,688		403,725			(16,290	)		640,123	$	31,673,286	$	576,813		$	(45,009	)
iShares International Developed Real Estate ETF		34,882		15,497			(8,443	)		41,936	$	1,169,385	$	44,315		$	(31,949	)
iShares MSCI EAFE Small-Cap ETF		107,873		14,306			(83,301	)		38,878	$	1,941,956	$	64,091		$	745,315
iShares TIPS Bond ETF		342,094		129,911			(63,421	)		408,584	$	44,813,493	$	142,214		$	(565,299	)
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	98,004,312	$	13,961,487	1		—		$	111,965,799	$	111,965,799	$	2,129,132		$	21,716,049	3
Master Small Cap Index Series	$	16,529,780	$	3,439,941	1		—		$	19,969,721	$	19,969,721	$	273,625		$	3,030,195	3
Total International ex U.S. Index Master Portfolio (fka ACWI ex-U.S. Index Master Portfolio)	$	35,792,647		—		$	(3,795,677	)4	$	31,996,970	$	31,996,970	$	1,097,199		$	(72,894	)
U.S. Total Bond Index Master Portfolio (fka Bond Index Master Portfolio)	$	221,316,244	$	33,575,920	1		—		$	254,892,164	$	254,892,164	$	4,729,651		$	270,592
1   Represents net shares/beneficial interest purchased.
2   Represents all or a portion of 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.
3   Includes the following gains and (losses) from in-kind redemptions from affiliated holdings. See Note 2 of the Notes to Financial Statements.

Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	Master Small Cap Index Series
$9,786,891	$	3,817,830

⁴   Represents net shares/beneficial interest sold.

(b) Security, or a portion of security, is on loan.

(c) Current yield as of period end.

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

See Notes to Financial Statements.

66 BLACKROCK FUNDS III DECEMBER 31, 2015

Schedule of Investments (concluded) LifePath Index Retirement Master Portfolio

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments. For information about LifePath Index Master Portfolio’s policy regarding valuation of investments, refer to the Notes to Financial Statements.

The following table summarizes LifePath Index Master Portfolio’s investments categorized in the disclosure hierarchy:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies:
Equity Funds	$	36,230,951	$	163,932,490		—	$	200,163,441
Fixed Income Funds		44,813,493		254,892,164		—		299,705,657
Short-Term Securities		2,184,957		—		—		2,184,957
Total	$	83,229,401	$	418,824,654		—	$	502,054,055

The LifePath Index Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, collateral on securities loaned at value of $525,690 is categorized as Level 2 within the disclosure hierarchy.

During the year ended December 31, 2015, there were no transfers between levels.

See Notes to Financial Statements.

BLACKROCK FUNDS III DECEMBER 31, 2015 67

Schedule of Investments December 31, 2015 LifePath Index 2020 Master Portfolio (Percentages shown are based on Net Assets)

Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 52.4%
iShares Cohen & Steers REIT ETF (b)		188,176	$	18,674,586
iShares Core MSCI Total International Stock ETF		1,264,323		62,558,702
iShares International Developed Real Estate ETF		555,003		15,476,259
iShares MSCI EAFE Small-Cap ETF		204,158		10,197,692
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	310,598,522		310,598,522
Master Small Cap Index Series	$	38,748,461		38,748,461
Total International ex U.S. Index Master Portfolio (fka ACWI ex-U.S. Index Master Portfolio)	$	106,850,308		106,850,308
				563,104,530

Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Fixed Income Funds — 49.2%
iShares TIPS Bond ETF (b)		681,438	$	74,740,120
U.S. Total Bond Index Master Portfolio (fka Bond Index Master Portfolio)	$	454,062,674		454,062,674
				528,802,794
Short-Term Securities — 0.9%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.38% (c)(d)		7,305,823		7,305,823
BlackRock Cash Funds: Prime, SL Agency Shares, 0.36% (c)(d)		2,715,981		2,715,981
				10,021,804
Total Affiliated Investment Companies (Cost — $1,112,940,368) — 102.5%				1,101,929,128
Liabilities in Excess of Other Assets — (2.5)%				(26,772,348	)
Net Assets — 100.0%			$	1,075,156,780

Notes to Schedule of Investments

(a) During the year ended December 31, 2015, investments in issuers considered to be affiliates of LifePath Index Master Portfolio for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/ Beneficial Interest Held at December 31,  2014		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at December 31, 2015		Value at December 31, 2015		Net Income			Realized Gain (Loss)
BlackRock Cash Funds: Institutional, SL Agency Shares		2,109,818		5,196,005	1		—			7,305,823	$	7,305,823	$	9,464	2		—
BlackRock Cash Funds: Prime, SL Agency Shares		1,079,100		1,636,881	1		—			2,715,981	$	2,715,981	$	3,976	2		—
iShares Cohen & Steers REIT ETF		170,731		55,838			(38,393	)		188,176	$	18,674,586	$	625,798		$	499,548
iShares Core MSCI Total International Stock ETF		607,955		706,825			(50,457	)		1,264,323	$	62,558,702	$	1,212,442		$	(47,643	)
iShares International Developed Real Estate ETF		473,539		136,196			(54,732	)		555,003	$	15,476,259	$	555,793		$	(209,467	)
iShares MSCI EAFE Small-Cap ETF		288,452		46,917			(131,211	)		204,158	$	10,197,692	$	220,533		$	685,090
iShares TIPS Bond ETF		517,118		210,173			(45,853	)		681,438	$	74,740,120	$	239,370		$	(405,391	)
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	264,872,726	$	45,725,796	1		—		$	310,598,522	$	310,598,522	$	5,951,754		$	53,664,726	3
Master Small Cap Index Series	$	29,854,120	$	8,894,341	1		—		$	38,748,461	$	38,748,461	$	526,125		$	4,282,218	3
Total International ex U.S. Index Master Portfolio (fka ACWI ex-U.S. Index Master Portfolio)	$	100,829,252	$	6,021,056	1		—		$	106,850,308	$	106,850,308	$	3,279,208		$	(976,925	)
U.S. Total Bond Index Master Portfolio (fka Bond Index Master Portfolio)	$	349,364,622	$	104,698,052	1		—		$	454,062,674	$	454,062,674	$	8,020,456		$	(23,358	)
1   Represents net shares/beneficial interest purchased. 2   Represents all or a portion of 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. 3   Includes the following gains and (losses) from in-kind redemptions from affiliated holdings. See Note 2 of the Notes to Financial Statements.

Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	Master Small Cap Index Series
$26,989,461	$7,306,009

(b) Security, or a portion of security, is on loan.

(c) Current yield as of period end.

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

See Notes to Financial Statements.

68 BLACKROCK FUNDS III DECEMBER 31, 2015

Schedule of Investments (concluded) LifePath Index 2020 Master Portfolio

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments. For information about LifePath Index Master Portfolio’s policy regarding valuation of investments, refer to the Notes to Financial Statements.

The following table summarizes LifePath Index Master Portfolio’s investments categorized in the disclosure hierarchy:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies:
Equity Funds	$	106,907,239	$	456,197,291		—	$	563,104,530
Fixed Income Funds		74,740,120		454,062,674		—		528,802,794
Short-Term Securities		10,021,804		—		—		10,021,804
Total	$	191,669,163	$	910,259,965		—	$	1,101,929,128

The LifePath Index Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, collateral on securities loaned at value of $6,233,400 is categorized as Level 2 within the disclosure hierarchy.

During the year ended December 31, 2015, there were no transfers between levels.

See Notes to Financial Statements.

BLACKROCK FUNDS III DECEMBER 31, 2015 69

Schedule of Investments December 31, 2015 LifePath Index 2025 Master Portfolio (Percentages shown are based on Net Assets)

Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 62.7%
iShares Cohen & Steers REIT ETF		248,988	$	24,709,569
iShares Core MSCI Total International Stock ETF		1,556,261		77,003,794
iShares International Developed Real Estate ETF (b)		715,578		19,953,893
iShares MSCI EAFE Small-Cap ETF		138,530		6,919,574
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	266,338,811		266,338,811
Master Small Cap Index Series	$	24,045,521		24,045,521
Total International ex U.S. Index Master Portfolio (fka ACWI ex-U.S. Index Master Portfolio)	$	68,026,251		68,026,251
				486,997,413

Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Fixed Income Funds — 37.2%
iShares TIPS Bond ETF (b)		361,737	$	39,675,315
U.S. Total Bond Index Master Portfolio (fka Bond Index Master Portfolio)	$	248,639,480		248,639,480
				288,314,795
Short-Term Securities — 1.1%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.38% (c)(d)		6,872,778		6,872,778
BlackRock Cash Funds: Prime, SL Agency Shares, 0.36% (c)(d)		1,883,549		1,883,549
				8,756,327
Total Affiliated Investment Companies (Cost — $795,046,619) — 101.0%				784,068,535
Liabilities in Excess of Other Assets — (1.0)%				(7,533,189	)
Net Assets — 100.0%			$	776,535,346

Notes to Schedule of Investments

(a) During the year ended December 31, 2015, investments in issuers considered to be affiliates of LifePath Index Master Portfolio for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/ Beneficial Interest Held at December 31,  2014		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at December 31, 2015		Value at December 31, 2015		Net Income			Realized Gain (Loss)
BlackRock Cash Funds: Institutional, SL Agency Shares		746,905		6,125,873	1		—			6,872,778	$	6,872,778	$	11,099	2		—
BlackRock Cash Funds: Prime, SL Agency Shares		—		1,883,549	1		—			1,883,549	$	1,883,549	$	5,647	2		—
iShares Cohen & Steers REIT ETF		169,929		113,911			(34,852	)		248,988	$	24,709,569	$	728,544		$	436,367
iShares Core MSCI Total International Stock ETF		639,667		948,820			(32,226	)		1,556,261	$	77,003,794	$	1,406,743		$	(32,355	)
iShares International Developed Real Estate ETF		471,056		289,859			(45,337	)		715,578	$	19,953,893	$	619,220		$	(126,024	)
iShares MSCI EAFE Small-Cap ETF		202,339		37,391			(101,200	)		138,530	$	6,919,574	$	156,094		$	343,557
iShares TIPS Bond ETF		224,311		156,405			(18,979	)		361,737	$	39,675,315	$	115,891		$	(148,678	)
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	186,587,207	$	79,751,604	1		—		$	266,338,811	$	266,338,811	$	4,544,029		$	28,655,146	3
Master Small Cap Index Series	$	15,639,897	$	8,405,624	1		—		$	24,045,521	$	24,045,521	$	296,308		$	1,457,715	3
Total International ex U.S. Index Master Portfolio (fka ACWI ex-U.S. Index Master Portfolio)	$	59,342,333	$	8,683,918	1		—		$	68,026,251	$	68,026,251	$	2,053,520		$	(894,597	)
U.S. Total Bond Index Master Portfolio (fka Bond Index Master Portfolio)	$	156,945,766	$	91,693,714	1		—		$	248,639,480	$	248,639,480	$	3,913,991		$	(120,578	)
1   Represents net shares/beneficial interest purchased.
2   Represents all or a portion of 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.
3   Includes the following gains and (losses) from in-kind redemptions from affiliated holdings. See Note 2 of the Notes to Financial Statements.

Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	Master Small Cap Index Series
$21,930,994	$4,292,115

(b) Security, or a portion of security, is on loan.

(c) Current yield as of period end.

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

See Notes to Financial Statements.

70 BLACKROCK FUNDS III DECEMBER 31, 2015

Schedule of Investments (concluded) LifePath Index 2025 Master Portfolio

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments. For information about LifePath Index Master Portfolio’s policy regarding valuation of investments, refer to the Notes to Financial Statements.

The following table summarizes LifePath Index Master Portfolio’s investments categorized in the disclosure hierarchy:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies:
Equity Funds	$	128,586,830	$	358,410,583		—	$	486,997,413
Fixed Income Funds		39,675,315		248,639,480		—		288,314,795
Short-Term Securities		8,756,327		—		—		8,756,327
Total	$	177,018,472	$	607,050,063		—	$	784,068,535

The LifePath Index Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, collateral on securities loaned at value of $4,322,900 is categorized as Level 2 within the disclosure hierarchy.

During the year ended December 31, 2015, there were no transfers between levels.

See Notes to Financial Statements.

BLACKROCK FUNDS III DECEMBER 31, 2015 71

Schedule of Investments December 31, 2015 LifePath Index 2030 Master Portfolio (Percentages shown are based on Net Assets)

Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 74.0%
iShares Cohen & Steers REIT ETF (b)		509,918	$	50,604,262
iShares Core MSCI Total International Stock ETF		1,857,147		91,891,633
iShares International Developed Real Estate ETF (b)		1,463,321		40,804,706
iShares MSCI EAFE Small-Cap ETF		253,525		12,663,574
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	429,624,226		429,624,226
Master Small Cap Index Series	$	28,641,879		28,641,879
Total International ex U.S. Index Master Portfolio (fka ACWI ex-U.S. Index Master Portfolio)	$	142,152,800		142,152,800
				796,383,080

Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Fixed Income Funds — 26.3%
iShares TIPS Bond ETF		350,843	$	38,480,461
U.S. Total Bond Index Master Portfolio (fka Bond Index Master Portfolio)	$	245,012,642		245,012,642
				283,493,103
Short-Term Securities — 0.4%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.38% (c)(d)		4,224,689		4,224,689
BlackRock Cash Funds: Prime, SL Agency Shares, 0.36% (c)(d)		202,078		202,078
				4,426,767
Total Affiliated Investment Companies (Cost — $1,098,494,779) — 100.7%				1,084,302,950
Liabilities in Excess of Other Assets — (0.7)%				(7,621,464	)
Net Assets — 100.0%			$	1,076,681,486

Notes to Schedule of Investments

(a) During the year ended December 31, 2015, investments in issuers considered to be affiliates of LifePath Index Master Portfolio for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/ Beneficial Interest Held at December 31,  2014		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at December 31,  2015		Value at December 31, 2015		Net Income			Realized Gain (Loss)
BlackRock Cash Funds: Institutional, SL Agency Shares		1,973,808		2,250,881	1		—			4,224,689	$	4,224,689	$	9,864	2		—
BlackRock Cash Funds: Prime, SL Agency Shares		—		202,078	1		—			202,078	$	202,078	$	3,526	2		—
iShares Cohen & Steers REIT ETF		372,716		214,112			(76,910	)		509,918	$	50,604,262	$	1,554,704		$	918,800
iShares Core MSCI Total International Stock ETF		805,065		1,099,804			(47,722	)		1,857,147	$	91,891,633	$	1,742,414		$	(49,195	)
iShares International Developed Real Estate ETF		1,033,666		519,483			(89,828	)		1,463,321	$	40,804,706	$	1,342,659		$	(274,816	)
iShares MSCI EAFE Small-Cap ETF		368,703		64,322			(179,500	)		253,525	$	12,663,574	$	291,731		$	713,870
iShares TIPS Bond ETF		230,520		133,744			(13,421	)		350,843	$	38,480,461	$	118,024		$	(101,536	)
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	342,118,889	$	87,505,337	1		—		$	429,624,226	$	429,624,226	$	7,990,939		$	59,065,443	3
Master Small Cap Index Series	$	21,723,664	$	6,918,215	1		—		$	28,641,879	$	28,641,879	$	385,349		$	2,681,553	3
Total International ex U.S. Index Master Portfolio (fka ACWI ex-U.S. Index Master Portfolio)	$	126,495,470	$	15,657,330	1		—		$	142,152,800	$	142,152,800	$	4,252,430		$	(1,840,055	)
U.S. Total Bond Index Master Portfolio (fka Bond Index Master Portfolio)	$	173,164,163	$	71,848,479	1		—		$	245,012,642	$	245,012,642	$	4,175,600		$	398,254
1   Represents net shares/beneficial interest purchased.
2   Represents all or a portion of 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. 3   Includes the following gains and (losses) from in-kind redemptions from affiliated holdings. See Note 2 of the Notes to Financial Statements.

Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	Master Small Cap Index Series
$36,635,198	$5,289,556

(b) Security, or a portion of security, is on loan.

(c) Current yield as of period end.

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

See Notes to Financial Statements.

72 BLACKROCK FUNDS III DECEMBER 31, 2015

Schedule of Investments (concluded) LifePath Index 2030 Master Portfolio

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments. For information about LifePath Index Master Portfolio’s policy regarding valuation of investments, refer to the Notes to Financial Statements.

The following table summarizes LifePath Index Master Portfolio’s investments categorized in the disclosure hierarchy:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies:
Equity Funds	$	195,964,175	$	600,418,905		—	$	796,383,080
Fixed Income Funds		38,480,461		245,012,642		—		283,493,103
Short-Term Securities		4,426,767		—		—		4,426,767
Total	$	238,871,403	$	845,431,547		—	$	1,084,302,950

The LifePath Index Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, collateral on securities loaned at value of $463,785 is categorized as Level 2 within the disclosure hierarchy.

During the year ended December 31, 2015, there were no transfers between levels.

See Notes to Financial Statements.

BLACKROCK FUNDS III DECEMBER 31, 2015 73

Schedule of Investments December 31, 2015 LifePath Index 2035 Master Portfolio (Percentages shown are based on Net Assets)

Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 83.9%
iShares Cohen & Steers REIT ETF		365,844	$	36,306,359
iShares Core MSCI Total International Stock ETF		1,508,195		74,625,489
iShares International Developed Real Estate ETF		1,046,365		29,177,888
iShares MSCI EAFE Small-Cap ETF (b)		140,134		6,999,693
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	276,036,983		276,036,983
Master Small Cap Index Series	$	13,686,883		13,686,883
Total International ex U.S. Index Master Portfolio (fka ACWI ex-U.S. Index Master Portfolio)	$	74,464,733		74,464,733
				511,298,028

Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Fixed Income Funds — 16.1%
iShares TIPS Bond ETF		112,159	$	12,301,599
U.S. Total Bond Index Master Portfolio (fka Bond Index Master Portfolio)	$	85,746,349		85,746,349
				98,047,948
Short-Term Securities — 0.7%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.38% (c)(d)		3,748,132		3,748,132
BlackRock Cash Funds: Prime, SL Agency Shares, 0.36% (c)(d)		624,013		624,013
				4,372,145
Total Affiliated Investment Companies (Cost — $624,247,996) — 100.7%				613,718,121
Liabilities in Excess of Other Assets — (0.7)%				(4,146,258	)
Net Assets — 100.0%			$	609,571,863

Notes to Schedule of Investments

(a) During the year ended December 31, 2015, investments in issuers considered to be affiliates of LifePath Index Master Portfolio for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/ Beneficial Interest Held at December 31,  2014		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at December 31,  2015		Value at December 31, 2015		Net Income			Realized Gain (Loss)
BlackRock Cash Funds: Institutional, SL Agency Shares		1,029,104		2,719,028	1		—			3,748,132	$	3,748,132	$	6,207	2		—
BlackRock Cash Funds: Prime, SL Agency Shares		9,300		614,713	1		—			624,013	$	624,013	$	2,283	2		—
iShares Cohen & Steers REIT ETF		236,670		173,743			(44,569	)		365,844	$	36,306,359	$	1,039,343		$	524,657
iShares Core MSCI Total International Stock ETF		601,151		931,444			(24,400	)		1,508,195	$	74,625,489	$	1,367,252		$	(60,371	)
iShares International Developed Real Estate ETF		656,946		449,318			(59,899	)		1,046,365	$	29,177,888	$	876,496		$	(168,672	)
iShares MSCI EAFE Small-Cap ETF		208,872		33,062			(101,800	)		140,134	$	6,999,693	$	153,048		$	416,752
iShares TIPS Bond ETF		64,925		49,387			(2,153	)		112,159	$	12,301,599	$	34,810		$	(1,997	)
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	193,467,131	$	82,569,852	1		—		$	276,036,983	$	276,036,983	$	4,654,000		$	26,139,597	3
Master Small Cap Index Series	$	9,587,520	$	4,099,363	1		—		$	13,686,883	$	13,686,883	$	171,411		$	887,100	3
Total International ex U.S. Index Master Portfolio (fka ACWI ex-U.S. Index Master Portfolio)	$	63,367,924	$	11,096,809	1		—		$	74,464,733	$	74,464,733	$	2,162,380		$	(1,082,362	)
U.S. Total Bond Index Master Portfolio (fka Bond Index Master Portfolio)	$	51,838,842	$	33,907,507	1		—		$	85,746,349	$	85,746,349	$	1,302,571		$	363,027
1   Represents net shares/beneficial interest purchased.
2   Represents all or a portion of 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.
3   Includes the following gains and (losses) from in-kind redemptions from affiliated holdings. See Note 2 of the Notes to Financial Statements.

Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	Master Small Cap Index Series
$22,485,668	$2,450,679

(b) Security, or a portion of security, is on loan.

(c) Current yield as of period end.

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

See Notes to Financial Statements.

74 BLACKROCK FUNDS III DECEMBER 31, 2015

Schedule of Investments (concluded) LifePath Index 2035 Master Portfolio

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments. For information about LifePath Index Master Portfolio’s policy regarding valuation of investments, refer to the Notes to Financial Statements.

The following table summarizes LifePath Index Master Portfolio’s investments categorized in the disclosure hierarchy:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies:
Equity Funds	$	147,109,429	$	364,188,599		—	$	511,298,028
Fixed Income Funds		12,301,599		85,746,349		—		98,047,948
Short-Term Securities		4,372,145		—		—		4,372,145
Total	$	163,783,173	$	449,934,948		—	$	613,718,121

The LifePath Index Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, collateral on securities loaned at value of $1,432,162 is categorized as Level 2 within the disclosure hierarchy.

During the year ended December 31, 2015, there were no transfers between levels.

See Notes to Financial Statements.

BLACKROCK FUNDS III DECEMBER 31, 2015 75

Schedule of Investments December 31, 2015 LifePath Index 2040 Master Portfolio (Percentages shown are based on Net Assets)

Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 93.5%
iShares Cohen & Steers REIT ETF		554,158	$	54,994,640
iShares Core MSCI Total International Stock ETF		1,745,458		86,365,262
iShares International Developed Real Estate ETF		1,585,534		44,212,616
iShares MSCI EAFE Small-Cap ETF		229,343		11,455,683
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	372,521,982		372,521,982
Master Small Cap Index Series	$	14,850,473		14,850,473
Total International ex U.S. Index Master Portfolio (fka ACWI ex-U.S. Index Master Portfolio)	$	117,826,153		117,826,153
				702,226,809

Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Fixed Income Funds — 6.9%
iShares TIPS Bond ETF		55,895	$	6,130,563
U.S. Total Bond Index Master Portfolio (fka Bond Index Master Portfolio)	$	45,832,656		45,832,656
				51,963,219
Short-Term Securities — 0.4%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.38% (b)		2,836,397		2,836,397
Total Affiliated Investment Companies (Cost — $770,380,439) — 100.8%				757,026,425
Liabilities in Excess of Other Assets — (0.8)%				(5,720,859	)
Net Assets — 100.0%			$	751,305,566

Notes to Schedule of Investments

(a) During the year ended December 31, 2015, investments in issuers considered to be affiliates of LifePath Index Master Portfolio for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/ Beneficial Interest Held at December 31, 2014		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at December 31, 2015		Value at December 31, 2015		Net Income			Realized Gain (Loss)
BlackRock Cash Funds: Institutional, SL Agency Shares		1,301,475		1,534,922	1		—			2,836,397	$	2,836,397	$	4,130			—
BlackRock Cash Funds: Prime, SL Agency Shares2		—		—			—			—		—	$	8,679	3		—
iShares Cohen & Steers REIT ETF		380,890		269,599			(96,331	)		554,158	$	54,994,640	$	1,668,055		$	994,082
iShares Core MSCI Total International Stock ETF		722,933		1,050,093			(27,568	)		1,745,458	$	86,365,262	$	1,606,542		$	(84,636	)
iShares International Developed Real Estate ETF		1,053,806		693,229			(161,501	)		1,585,534	$	44,212,616	$	1,424,662		$	(637,359	)
iShares MSCI EAFE Small-Cap ETF		304,945		57,770			(133,372	)		229,343	$	11,455,683	$	247,739		$	552,221
iShares TIPS Bond ETF		32,531		24,486			(1,122	)		55,895	$	6,130,564	$	17,860		$	(1,801	)
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	278,797,165	$	93,724,817	1		—		$	372,521,982	$	372,521,982	$	6,707,383		$	42,243,750	4
Master Small Cap Index Series	$	12,158,465	$	2,692,008	1		—		$	14,850,473	$	14,850,473	$	207,298		$	1,274,089	4
Total International ex U.S. Index Master Portfolio (fka ACWI ex-U.S. Index Master Portfolio)	$	100,880,849	$	16,945,304	1		—		$	117,826,153	$	117,826,153	$	3,490,166		$	(1,747,530	)
U.S. Total Bond Index Master Portfolio (fka Bond Index Master Portfolio)	$	28,589,605	$	17,243,051	1		—		$	45,832,656	$	45,832,656	$	734,652		$	764,715
1   Represents net shares/beneficial interest purchased.
2   No longer held by LifePath Index Master Portfolio as of period end.
3   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.
4   Includes the following gains and (losses) from in-kind redemptions from affiliated holdings. See Note 2 of the Notes to Financial Statements.

Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	Master Small Cap Index Series
$30,958,818	$2,718,868

(b) Current yield as of period end.

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments. For information about LifePath Index Master Portfolio’s policy regarding valuation of investments, refer to the Notes to Financial Statements.

The following table summarizes LifePath Index Master Portfolio’s investments categorized in the disclosure hierarchy:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies:
Equity Funds	$	197,028,201	$	505,198,608		—	$	702,226,809
Fixed Income Funds		6,130,563		45,832,656		—		51,963,219
Short-Term Securities		2,836,397		—		—		2,836,397
Total	$	205,995,161	$	551,031,264		—	$	757,026,425

During the year ended December 31, 2015, there were no transfers between levels.

See Notes to Financial Statements.

76 BLACKROCK FUNDS III DECEMBER 31, 2015

Schedule of Investments December 31, 2015 LifePath Index 2045 Master Portfolio (Percentages shown are based on Net Assets)

Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 98.2%
iShares Cohen & Steers REIT ETF		276,055	$	27,395,698
iShares Core MSCI Total International Stock ETF (b)		1,068,849		52,886,649
iShares International Developed Real Estate ETF		789,580		22,017,438
iShares MSCI EAFE Small-Cap ETF		95,700		4,780,215
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	175,431,933		175,431,933
Master Small Cap Index Series	$	6,688,764		6,688,764
Total International ex U.S. Index Master Portfolio (fka ACWI ex-U.S. Index Master Portfolio)	$	45,792,251		45,792,251
				334,992,948

Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Fixed Income Funds — 2.1%
iShares TIPS Bond ETF (b)		6,225	$	682,758
U.S. Total Bond Index Master Portfolio (fka Bond Index Master Portfolio)	$	6,335,194		6,335,194
				7,017,952
Short-Term Securities — 0.7%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.38% (c)(d)		2,228,251		2,228,251
BlackRock Cash Funds: Prime, SL Agency Shares, 0.36% (c)(d)		306,340		306,340
				2,534,591
Total Affiliated Investment Companies (Cost — $352,014,357) — 101.0%				344,545,491
Liabilities in Excess of Other Assets — (1.0)%				(3,315,415	)
Net Assets — 100.0%			$	341,230,076

Notes to Schedule of Investments

(a) During the year ended December 31, 2015, investments in issuers considered to be affiliates of LifePath Index Master Portfolio for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/ Beneficial Interest Held at December 31, 2014		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at December 31, 2015		Value at December 31, 2015		Net Income			Realized Gain (Loss)
BlackRock Cash Funds: Institutional, SL Agency Shares		745,850		1,482,401	1		—			2,228,251	$	2,228,251	$	3,594	2		—
BlackRock Cash Funds: Prime, SL Agency Shares		—		306,340	1		—			306,340	$	306,340	$	1,223	2		—
iShares Cohen & Steers REIT ETF		175,568		143,893			(43,406	)		276,055	$	27,395,698	$	797,948		$	453,201
iShares Core MSCI Total International Stock ETF		453,977		631,972			(17,100	)		1,068,849	$	52,886,649	$	981,394		$	(62,138	)
iShares International Developed Real Estate ETF		481,318		378,267			(70,005	)		789,580	$	22,017,438	$	669,871		$	(239,059	)
iShares MSCI EAFE Small-Cap ETF		133,177		24,561			(62,038	)		95,700	$	4,780,215	$	102,868		$	235,351
iShares TIPS Bond ETF		3,400		2,875			(50	)		6,225	$	682,758	$	1,751		$	(93	)
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	119,219,041	$	56,212,892	1		—		$	175,431,933	$	175,431,933	$	2,966,998		$	14,875,296	3
Master Small Cap Index Series	$	5,195,235	$	1,493,529	1		—		$	6,688,764	$	6,688,764	$	89,038		$	325,497	3
Total International ex U.S. Index Master Portfolio (fka ACWI ex-U.S. Index Master Portfolio)	$	36,608,413	$	9,183,838	1		—		$	45,792,251	$	45,792,251	$	1,329,501		$	(673,337	)
U.S. Total Bond Index Master Portfolio (fka Bond Index Master Portfolio)	$	3,452,564	$	2,882,630	1		—		$	6,335,194	$	6,335,194	$	96,551		$	345,670
1   Represents net shares/beneficial interest purchased.
2   Represents all or a portion of 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.
3   Includes the following gains and (losses) from in-kind redemptions from affiliated holdings. See Note 2 of the Notes to Financial Statements.

Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	Master Small Cap Index Series
$13,951,788	$1,195,242

(b) Security, or a portion of security, is on loan.

(c) Current yield as of period end.

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

See Notes to Financial Statements.

BLACKROCK FUNDS III DECEMBER 31, 2015 77

Schedule of Investments (concluded) LifePath Index 2045 Master Portfolio

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments. For information about LifePath Index Master Portfolio’s policy regarding valuation of investments, refer to the Notes to Financial Statements.

The following table summarizes LifePath Index Master Portfolio’s investments categorized in the disclosure hierarchy:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies:
Equity Funds	$	107,080,000	$	227,912,948		—	$	334,992,948
Fixed Income Funds		682,758		6,335,194		—		7,017,952
Short-Term Securities		2,534,591		—		—		2,534,591
Total	$	110,297,349	$	234,248,142		—	$	344,545,491

The LifePath Index Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, collateral on securities loaned at value of $703,076 is categorized as Level 2 within the disclosure hierarchy.

During the year ended December 31, 2015, there were no transfers between levels.

See Notes to Financial Statements.

78 BLACKROCK FUNDS III DECEMBER 31, 2015

Schedule of Investments December 31, 2015 LifePath Index 2050 Master Portfolio (Percentages shown are based on Net Assets)

Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 99.5%
iShares Cohen & Steers REIT ETF		282,305	$	28,015,948
iShares Core MSCI Total International Stock ETF		1,075,396		53,210,594
iShares International Developed Real Estate ETF		806,393		22,486,269
iShares MSCI EAFE Small-Cap ETF (b)		89,118		4,451,444
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	173,705,052		173,705,052
Master Small Cap Index Series	$	6,843,092		6,843,092
Total International ex U.S. Index Master Portfolio (fka ACWI ex-U.S. Index Master Portfolio)	$	46,580,774		46,580,774
				335,293,173

Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Fixed Income Fund — 1.0%
U.S. Total Bond Index Master Portfolio (fka Bond Index Master Portfolio)	$	3,370,948	$	3,370,948
Short-Term Securities — 1.2%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.38% (c)(d)		3,062,777		3,062,777
BlackRock Cash Funds: Prime, SL Agency Shares, 0.36% (c)(d)		1,208,810		1,208,810
				4,271,587
Total Affiliated Investment Companies (Cost — $351,074,739) — 101.7%				342,935,708
Liabilities in Excess of Other Assets — (1.7)%				(5,871,299	)
Net Assets — 100.0%			$	337,064,409

Notes to Schedule of Investments

(a) During the year ended December 31, 2015, investments in issuers considered to be affiliates of LifePath Index Master Portfolio for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/ Beneficial Interest Held at December 31, 2014		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at December 31, 2015		Value at December 31, 2015		Net Income			Realized Gain (Loss)
BlackRock Cash Funds: Institutional, SL Agency Shares		654,907		2,407,870	1		—			3,062,777	$	3,062,777	$	7,410	2		—
BlackRock Cash Funds: Prime, SL Agency Shares		—		1,208,810	1		—			1,208,810	$	1,208,810	$	4,178	2		—
iShares Cohen & Steers REIT ETF		182,681		157,660			(58,036	)		282,305	$	28,015,948	$	843,326		$	563,401
iShares Core MSCI Total International Stock ETF		503,636		591,960			(20,200	)		1,075,396	$	53,210,594	$	1,029,384		$	(73,283	)
iShares International Developed Real Estate ETF		506,059		409,370			(109,036	)		806,393	$	22,486,269	$	714,780		$	(345,913	)
iShares MSCI EAFE Small-Cap ETF		138,356		32,250			(81,488	)		89,118	$	4,451,444	$	102,724		$	288,687
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	122,826,821	$	50,878,231	1		—		$	173,705,052	$	173,705,052	$	3,094,734		$	15,298,694	3
Master Small Cap Index Series	$	5,410,116	$	1,432,976	1		—		$	6,843,092	$	6,843,092	$	93,693		$	263,459	3
Total International ex U.S. Index Master Portfolio (fka ACWI ex-U.S. Index Master Portfolio)	$	36,389,565	$	10,191,209	1		—		$	46,580,774	$	46,580,774	$	1,394,464		$	(692,254	)
U.S. Total Bond Index Master Portfolio (fka Bond Index Master Portfolio)	$	2,376,518	$	994,430	1		—		$	3,370,948	$	3,370,948	$	64,061		$	225,894
1   Represents net shares/beneficial interest purchased.
2   Represents all or a portion of 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.
3   Includes the following gains and (losses) from in-kind redemptions from affiliated holdings. See Note 2 of the Notes to Financial Statements.

Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	Master Small Cap Index Series
$14,326,443	$1,220,071

(b) Security, or a portion of security, is on loan.

(c) Current yield as of period end.

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

See Notes to Financial Statements.

BLACKROCK FUNDS III DECEMBER 31, 2015 79

Schedule of Investments (concluded) LifePath Index 2050 Master Portfolio

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments. For information about LifePath Index Master Portfolio’s policy regarding valuation of investments, refer to the Notes to Financial Statements.

The following table summarizes LifePath Index Master Portfolio’s investments categorized in the disclosure hierarchy:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies:
Equity Funds	$	108,164,255	$	227,128,918		—	$	335,293,173
Fixed Income Funds		—		3,370,948		—		3,370,948
Short-Term Securities		4,271,587		—		—		4,271,587
Total	$	112,435,842	$	230,499,866		—	$	342,935,708

The LifePath Index Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, collateral on securities loaned at value of $2,774,318 is categorized as Level 2 within the disclosure hierarchy.

During the year ended December 31, 2015, there were no transfers between levels.

See Notes to Financial Statements.

80 BLACKROCK FUNDS III DECEMBER 31, 2015

Schedule of Investments December 31, 2015 LifePath Index 2055 Master Portfolio (Percentages shown are based on Net Assets)

Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Equity Funds — 99.3%
iShares Cohen & Steers REIT ETF (b)		88,789	$	8,811,420
iShares Core MSCI Total International Stock ETF		431,175		21,334,539
iShares International Developed Real Estate ETF		253,583		7,071,162
iShares MSCI EAFE Small-Cap ETF		21,217		1,059,789
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	55,147,907		55,147,907
Master Small Cap Index Series	$	2,173,646		2,173,646
Total International ex U.S. Index Master Portfolio (fka ACWI ex-U.S. Index Master Portfolio)	$	10,703,083		10,703,083
				106,301,546

Affiliated Investment Companies (a)	Shares/ Beneficial Interest		Value
Fixed Income Fund — 1.0%
U.S. Total Bond Index Master Portfolio (fka Bond Index Master Portfolio)	$	1,070,209	$	1,070,209
Short-Term Securities — 4.4%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.38% (c)(d)		3,001,864		3,001,864
BlackRock Cash Funds: Prime, SL Agency Shares, 0.36% (c)(d)		1,681,340		1,681,340
				4,683,204
Total Affiliated Investment Companies (Cost — $114,066,129) — 104.7%				112,054,959
Liabilities in Excess of Other Assets — (4.7)%				(5,050,870	)
Net Assets — 100.0%			$	107,004,089

Notes to Schedule of Investments

(a) During the year ended December 31, 2015, investments in issuers considered to be affiliates of LifePath Index Master Portfolio for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/ Beneficial Interest Held at December 31,  2014		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at December 31,  2015		Value at December 31, 2015		Net Income			Realized Gain (Loss)
BlackRock Cash Funds: Institutional, SL Agency Shares		231,529		2,770,335	1		—			3,001,864	$	3,001,864	$	3,850	2		—
BlackRock Cash Funds: Prime, SL Agency Shares		—		1,681,340	1		—			1,681,340	$	1,681,340	$	2,395	2		—
iShares Cohen & Steers REIT ETF		48,162		57,114			(16,487	)		88,789	$	8,811,420	$	250,922		$	152,096
iShares Core MSCI Total International Stock ETF		175,107		260,068			(4,000	)		431,175	$	21,334,539	$	393,822		$	(13,978	)
iShares International Developed Real Estate ETF		132,547		153,100			(32,064	)		253,583	$	7,071,162	$	208,890		$	(80,677	)
iShares MSCI EAFE Small-Cap ETF		36,496		11,321			(26,600	)		21,217	$	1,059,789	$	28,425		$	65,058
Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	$	32,623,835	$	22,524,072	1		—		$	55,147,907	$	55,147,907	$	898,221		$	3,650,273	3
Master Small Cap Index Series	$	1,436,584	$	737,062	1		—		$	2,173,646	$	2,173,646	$	27,603		$	45,739	3
Total International ex U.S. Index Master Portfolio (fka ACWI ex-U.S. Index Master Portfolio)	$	7,348,791	$	3,354,292	1		—		$	10,703,083	$	10,703,083	$	328,186		$	(104,623	)
U.S. Total Bond Index Master Portfolio (fka Bond Index Master Portfolio)	$	703,501	$	366,708	1		—		$	1,070,209	$	1,070,209	$	18,916		$	20,553
1   Represents net shares/beneficial interest purchased.
2   Represents all or a portion of 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.
3   Includes the following gains and (losses) from in-kind redemptions from affiliated holdings. See Note 2 of the Notes to Financial Statements.

Large Cap Index Master Portfolio (fka Russell 1000® Index Master Portfolio)	Master Small Cap Index Series
$4,362,247	$380,519

(b) Security, or a portion of security, is on loan.

(c) Current yield as of period end.

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

See Notes to Financial Statements.

BLACKROCK FUNDS III DECEMBER 31, 2015 81

Schedule of Investments (concluded) LifePath Index 2055 Master Portfolio

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments. For information about LifePath Index Master Portfolio’s policy regarding valuation of investments, refer to the Notes to Financial Statements.

The following table summarizes LifePath Index Master Portfolio’s investments categorized in the disclosure hierarchy:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies:
Equity Funds	$	38,276,910	$	68,024,636		—	$	106,301,546
Fixed Income Funds		—		1,070,209		—		1,070,209
Short-Term Securities		4,683,204		—		—		4,683,204
Total	$	42,960,114	$	69,094,845		—	$	112,054,959

The LifePath Index Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, collateral on securities loaned at value of $3,858,813 is categorized as Level 2 within the disclosure hierarchy.

During the year ended December 31, 2015, there were no transfers between levels.

See Notes to Financial Statements.

82 BLACKROCK FUNDS III DECEMBER 31, 2015

Statements of Assets and Liabilities Master Investment Portfolio

December 31, 2015	LifePath Index Retirement Master Portfolio			LifePath Index 2020 Master Portfolio			LifePath Index 2025 Master Portfolio			LifePath Index 2030 Master Portfolio			LifePath Index 2035 Master Portfolio
Assets
Investments at value — affiliated1,2	$	502,054,055		$	1,101,929,128		$	784,068,535		$	1,084,302,950		$	613,718,121
Receivables:
Investments sold — affiliated		5,682,237			1,729,000			—			17,682,328			2,976,609
Securities lending income — affiliated		71			335			251			—			101
Prepaid expenses		2,075			4,628			3,056			4,425			2,414
Total assets		507,738,438			1,103,663,091			784,071,842			1,101,989,703			616,697,245
Liabilities
Collateral on securities loaned at value		525,690			6,233,400			4,322,900			463,785			1,432,162
Payables:
Withdrawals to investors		5,769,816			18,882,108			290,749			23,026,318			2,511,011
Investments purchased		1,653,609			3,323,835			2,869,065			1,750,011			3,142,418
Professional fees		18,013			18,617			18,959			18,566			17,990
Investment advisory fees		16,102			37,496			26,449			37,902			14,009
Independent Trustees’ fees		4,188			7,750			5,385			7,456			4,376
Custodian fees		1,540			2,111			2,477			3,075			3,073
Other accrued expenses		464			994			512			1,104			343
Total liabilities		7,989,422			28,506,311			7,536,496			25,308,217			7,125,382
Net Assets	$	499,749,016		$	1,075,156,780		$	776,535,346		$	1,076,681,486		$	609,571,863
Net Assets Consist of
Investors’ capital	$	504,750,550		$	1,086,168,020		$	787,513,430		$	1,090,873,315		$	620,101,738
Net unrealized appreciation (depreciation)		(5,001,534	)		(11,011,240	)		(10,978,084	)		(14,191,829	)		(10,529,875	)
Net Assets	$	499,749,016		$	1,075,156,780		$	776,535,346		$	1,076,681,486		$	609,571,863
1   Investments at cost — affiliated	$	507,055,589		$	1,112,940,368		$	795,046,619		$	1,098,494,779		$	624,247,996
2   Securities loaned at value	$	513,436		$	6,101,904		$	4,229,189		$	450,083		$	1,387,711

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	83

Statements of Assets and Liabilities Master Investment Portfolio

December 31, 2015	LifePath Index 2040 Master Portfolio			LifePath Index 2045 Master Portfolio			LifePath Index 2050 Master Portfolio			LifePath Index 2055 Master Portfolio
Assets
Investments at value — affiliated1,2	$	757,026,425		$	344,545,491		$	342,935,708		$	112,054,959
Receivables:
Investment advisor		—			—			—			6,326
Investments sold — affiliated		14,747,030			3,332,893			6,875,910			1,708,892
Securities lending income — affiliated		135			218			136			840
Prepaid expenses		3,053			1,330			1,363			418
Total assets		771,776,643			347,879,932			349,813,117			113,771,435
Liabilities
Collateral on securities loaned at value		—			703,076			2,774,318			3,858,813
Payables:
Withdrawals to investors		17,003,924			3,801,861			7,830,751			1,849,436
Investments purchased		3,420,273			2,115,440			2,113,938			1,035,163
Investment advisory fees		20,164			5,517			4,574			—
Professional fees		18,132			18,027			18,055			17,649
Independent Trustees’ fees		5,444			3,010			3,077			1,747
Custodian fees		2,608			2,544			3,603			3,701
Printing fees		—			121			120			281
Other accrued expenses		532			260			272			556
Total liabilities		20,471,077			6,649,856			12,748,708			6,767,346
Net Assets	$	751,305,566		$	341,230,076		$	337,064,409		$	107,004,089
Net Assets Consist of
Investors’ capital	$	764,659,580		$	348,698,942		$	345,203,440		$	109,015,259
Net unrealized appreciation (depreciation)		(13,354,014	)		(7,468,866	)		(8,139,031	)		(2,011,170	)
Net Assets	$	751,305,566		$	341,230,076		$	337,064,409		$	107,004,089
1   Investments at cost — affiliated	$	770,380,439		$	352,014,357		$	351,074,739		$	114,066,129
2   Securities loaned at value		—		$	685,963		$	2,688,209		$	3,745,218

See Notes to Financial Statements.
84	BLACKROCK FUNDS III	DECEMBER 31, 2015

Statements of Operations Master Investment Portfolio

Year Ended December 31, 2015	LifePath Index Retirement Master Portfolio			LifePath Index 2020 Master Portfolio			LifePath Index 2025 Master Portfolio			LifePath Index 2030 Master Portfolio			LifePath Index 2035 Master Portfolio
Investment Income
Dividends — affiliated	$	877,222		$	2,853,936		$	3,026,492		$	5,049,532		$	3,470,949
Securities lending — affiliated — net		8,904			9,125			12,961			8,095			5,241
Income — affiliated		2,057			4,315			3,785			5,295			3,249
Net investment income allocated from the applicable Underlying Master Portfolios:
Dividends		3,502,835			9,791,521			6,923,115			12,703,098			7,031,258
Interest		4,918,283			8,403,906			4,136,694			4,502,724			1,456,883
Expenses		(240,570	)		(503,574	)		(275,041	)		(451,659	)		(215,826	)
Fees waived		49,059			85,690			23,080			50,155			18,047
Total income		9,117,790			20,644,919			13,851,086			21,867,240			11,769,801
Expenses
Investment advisory		241,024			517,435			327,774			498,138			256,036
Professional		30,066			32,524			30,778			32,280			30,225
Independent Trustees		19,214			33,617			23,765			32,466			19,863
Accounting services		5,655			7,096			7,724			8,616			7,736
Printing		428			608			489			608			130
Miscellaneous		4,680			9,875			6,185			9,446			4,843
Total expenses		301,067			601,155			396,715			581,554			318,833
Less fees waived by the Manager		(60,059	)		(83,791	)		(69,035	)		(83,536	)		(99,009	)
Total expenses after fees waived		241,008			517,364			327,680			498,018			219,824
Net investment income		8,876,782			20,127,555			13,523,406			21,369,222			11,549,977
Realized and Unrealized Gain (Loss)
Net realized gain from:
Investments — affiliated		148,600			522,137			472,867			1,207,123			710,369
Allocation from the applicable Underlying Master Portfolios from investments, financial futures contracts and foreign currency transactions		11,339,221			22,651,191			2,874,577			18,380,441			1,371,015
Allocation from the applicable Underlying Master Portfolios from in-kind redemptions1		13,604,721			34,295,470			26,223,109			41,924,754			24,936,347
		25,092,542			57,468,798			29,570,553			61,512,318			27,017,731
Net change in unrealized appreciation (depreciation) on:
Investments — affiliated		(2,550,726	)		(5,693,905	)		(6,125,338	)		(8,560,103	)		(6,173,874	)
Allocation from the applicable Underlying Master Portfolios from investments, financial futures contracts and foreign currency translations		(33,300,539	)		(78,178,067	)		(42,179,226	)		(82,427,308	)		(37,222,975	)
		(35,851,265	)		(83,871,972	)		(48,304,565	)		(90,987,411	)		(43,396,849	)
Net realized and unrealized loss		(10,758,723	)		(26,403,174	)		(18,734,012	)		(29,475,093	)		(16,379,118	)
Net Decrease in Net Assets Resulting from Operations	$	(1,881,941	)	$	(6,275,619	)	$	(5,210,606	)	$	(8,105,871	)	$	(4,829,141	)
1    See Note 2 of the Notes to Financial Statements.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	85

Statements of Operations Master Investment Portfolio

Year Ended December 31, 2015	LifePath Index 2040 Master Portfolio			LifePath Index 2045 Master Portfolio			LifePath Index 2050 Master Portfolio			LifePath Index 2055 Master Portfolio
Investment Income
Dividends — affiliated	$	4,964,858		$	2,553,832		$	2,690,214		$	882,059
Securities lending — affiliated — net		8,679			2,806			9,589			5,496
Income — affiliated		4,130			2,011			1,999			749
Net investment income allocated from the applicable Underlying Master Portfolios:
Dividends		10,476,926			4,414,514			4,613,439			1,261,593
Interest		933,752			176,267			146,695			41,782
Expenses		(286,168	)		(113,115	)		(117,444	)		(31,685	)
Fees waived		14,989			4,422			4,262			1,236
Total income		16,117,166			7,040,737			7,348,754			2,161,230
Expenses
Investment advisory		339,847			145,186			151,381			43,855
Professional		30,315			29,145			29,299			28,105
Independent Trustees		24,276			14,291			14,686			9,085
Accounting services		7,456			7,090			9,019			9,525
Printing		517			–			–			–
Miscellaneous		6,434			2,662			2,730			135
Total expenses		408,845			198,374			207,115			90,705
Less fees waived by the Manager		(116,744	)		(94,135	)		(98,379	)		(65,686	)
Total expenses after fees waived		292,101			104,239			108,736			25,019
Net investment income		15,825,065			6,936,498			7,240,018			2,136,211
Realized and Unrealized Gain (Loss)
Net realized gain from:
Investments — affiliated		822,507			387,262			432,892			122,499
Allocation from the applicable Underlying Master Portfolios from investments, financial futures contracts and foreign currency transactions		8,857,338			(273,904	)		(450,721	)		(1,130,824	)
Allocation from the applicable Underlying Master Portfolios from in-kind redemptions1		33,677,686			15,147,030			15,546,514			4,742,766
		43,357,531			15,260,388			15,528,685			3,734,441
Net change in unrealized appreciation (depreciation) on:
Investments — affiliated		(7,627,121	)		(4,242,116	)		(4,513,581	)		(1,683,867	)
Allocation from the applicable Underlying Master Portfolios from investments, financial futures contracts and foreign currency translations		(58,452,082	)		(21,007,529	)		(21,600,666	)		(5,237,858	)
		(66,079,203	)		(25,249,645	)		(26,114,247	)		(6,921,725	)
Net realized and unrealized loss		(22,721,672	)		(9,989,257	)		(10,585,562	)		(3,187,284	)
Net Decrease in Net Assets Resulting from Operations	$	(6,896,607	)	$	(3,052,759	)	$	(3,345,544	)	$	(1,051,073	)
1    See Note 2 of the Notes to Financial Statements.

See Notes to Financial Statements.
86	BLACKROCK FUNDS III	DECEMBER 31, 2015

Statements of Changes in Net Assets Master Investment Portfolio

	LifePath Index Retirement Master Portfolio						LifePath Index 2020 Master Portfolio
	Year Ended December 31,						Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014			2015			2014
Operations
Net investment income	$	8,876,782		$	6,893,461		$	20,127,555		$	14,842,949
Net realized gain		25,092,542			5,267,174			57,468,798			9,750,758
Net change in unrealized appreciation (depreciation)		(35,851,265	)		8,358,818			(83,871,972	)		19,682,904
Net increase (decrease) in net assets resulting from operations		(1,881,941	)		20,519,453			(6,275,619	)		44,276,611
Capital Transactions
Proceeds from contributions		257,415,807			143,397,604			463,686,148			277,711,443
Value of withdrawals		(187,579,951	)		(53,715,954	)		(263,577,292	)		(56,667,691	)
Net increase in net assets derived from capital transactions		69,835,856			89,681,650			200,108,856			221,043,752
Net Assets
Total increase in net assets		67,953,915			110,201,103			193,833,237			265,320,363
Beginning of year		431,795,101			321,593,998			881,323,543			616,003,180
End of year	$	499,749,016		$	431,795,101		$	1,075,156,780		$	881,323,543

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	87

Statements of Changes in Net Assets Master Investment Portfolio

	LifePath Index 2025 Master Portfolio						LifePath Index 2030 Master Portfolio
	Year Ended December 31,						Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014			2015			2014
Operations
Net investment income	$	13,523,406		$	8,199,564		$	21,369,222		$	14,418,016
Net realized gain		29,570,553			4,244,272			61,512,318			7,450,561
Net change in unrealized appreciation (depreciation)		(48,304,565	)		11,493,328			(90,987,411	)		20,621,754
Net increase (decrease) in net assets resulting from operations		(5,210,606	)		23,937,164			(8,105,871	)		42,490,331
Capital Transactions
Proceeds from contributions		395,913,568			243,638,235			478,277,878			282,820,961
Value of withdrawals		(132,362,034	)		(27,988,660	)		(211,785,714	)		(35,497,084	)
Net increase in net assets derived from capital transactions		263,551,534			215,649,575			266,492,164			247,323,877
Net Assets
Total increase in net assets		258,340,928			239,586,739			258,386,293			289,814,208
Beginning of year		518,194,418			278,607,679			818,295,193			528,480,985
End of year	$	776,535,346		$	518,194,418		$	1,076,681,486		$	818,295,193

See Notes to Financial Statements.
88	BLACKROCK FUNDS III	DECEMBER 31, 2015

Statements of Changes in Net Assets Master Investment Portfolio

	LifePath Index 2035 Master Portfolio						LifePath Index 2040 Master Portfolio
	Year Ended December 31,						Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014			2015			2014
Operations
Net investment income	$	11,549,977		$	6,809,249		$	15,825,065		$	9,812,969
Net realized gain		27,017,731			2,778,041			43,357,531			4,085,183
Net change in unrealized appreciation (depreciation)		(43,396,849	)		9,904,541			(66,079,203	)		14,271,929
Net increase (decrease) in net assets resulting from operations		(4,829,141	)		19,491,831			(6,896,607	)		28,170,081
Capital Transactions
Proceeds from contributions		304,017,851			198,363,584			361,059,136			215,183,238
Value of withdrawals		(99,656,977	)		(14,990,358	)		(149,358,428	)		(23,545,222	)
Net increase in net assets derived from capital transactions		204,360,874			183,373,226			211,700,708			191,638,016
Net Assets
Total increase in net assets		199,531,733			202,865,057			204,804,101			219,808,097
Beginning of year		410,040,130			207,175,073			546,501,465			326,693,368
End of year	$	609,571,863		$	410,040,130		$	751,305,566		$	546,501,465

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	89

Statements of Changes in Net Assets Master Investment Portfolio

	LifePath Index 2045 Master Portfolio						LifePath Index 2050 Master Portfolio
	Year Ended December 31,						Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014			2015			2014
Operations
Net investment income	$	6,936,498		$	3,844,455		$	7,240,018		$	3,884,535
Net realized gain		15,260,388			1,288,616			15,528,685			1,121,033
Net change in unrealized appreciation (depreciation)		(25,249,645	)		5,861,518			(26,114,247	)		6,166,746
Net increase (decrease) in net assets resulting from operations		(3,052,759	)		10,994,589			(3,345,544	)		11,172,314
Capital Transactions
Proceeds from contributions		183,002,452			117,709,595			203,855,020			127,679,053
Value of withdrawals		(65,515,857	)		(6,474,693	)		(96,352,760	)		(9,666,042	)
Net increase in net assets derived from capital transactions		117,486,595			111,234,902			107,502,260			118,013,011
Net Assets
Total increase in net assets		114,433,836			122,229,491			104,156,716			129,185,325
Beginning of year		226,796,240			104,566,749			232,907,693			103,722,368
End of year	$	341,230,076		$	226,796,240		$	337,064,409		$	232,907,693

See Notes to Financial Statements.
90	BLACKROCK FUNDS III	DECEMBER 31, 2015

Statements of Changes in Net Assets Master Investment Portfolio

	LifePath Index 2055 Master Portfolio
	Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014
Operations
Net investment income	$	2,136,211		$	986,900
Net realized gain		3,734,441			250,120
Net change in unrealized appreciation (depreciation)		(6,921,725	)		1,524,141
Net increase (decrease) in net assets resulting from operations		(1,051,073	)		2,761,161
Capital Transactions
Proceeds from contributions		79,310,091			40,430,983
Value of withdrawals		(33,130,687	)		(5,284,411	)
Net increase in net assets derived from capital transactions		46,179,404			35,146,572
Net Assets
Total increase in net assets		45,128,331			37,907,733
Beginning of year		61,875,758			23,968,025
End of year	$	107,004,089		$	61,875,758

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	91

Financial Highlights Master Investment Portfolio

	LifePath Index Retirement Master Portfolio
	Year Ended December 31,												Period May 31, 20111 to December 31, 2011
	2015			2014			2013			2012
Total Return
Total return		(0.31)%			5.78%			7.72%			9.17%			(0.59)%	2
Ratios to Average Net Assets
Total expenses3,4,5		0.10%			0.13%			0.16%			0.18%			3.44%	6,7
Total expenses after fees waived3,4,5		0.09%			0.11%			0.14%			0.15%			0.15%	6
Net investment income4,5,8		1.84%			1.87%			1.74%			2.02%			2.87%	6
Supplemental Data
Net assets, end of period (000)		$ 499,749			$ 431,795			$ 321,594			$ 201,972			$ 1,968
Portfolio turnover rate		25%	9		15%	9		18%	9		1%	10		1%	10

¹  Commencement of operations.

²  Aggregate total return.

³  Includes the LifePath Index Master Portfolio’s pro rata portion of expenses from Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio (collectively, the “Underlying Master Portfolios”). These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Cash Funds: Prime and iShares exchange-traded funds.

⁴  Includes the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated fees waived of 0.01%, 0.01%, 0.00%, 0.02% and 0.08% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁵  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.03%, 0.03%, 0.02%, 0.02% and 0.04% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively, although the ratio does include the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated expenses and/or net investment income.

⁶  Annualized.

⁷  Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 3.45%.

⁸  Includes the LifePath Index Master Portfolio’s share of the allocated net investment income from the Underlying Master Portfolios.

⁹  Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

¹⁰  Excludes purchases and sales of the Underlying Master Portfolios. If these transactions had been included to conform to the current year presentation, portfolio turnover rate would have been 15% and 9% for the year ended December 31, 2012 and the period ended December 31, 2011, respectively.

See Notes to Financial Statements.
92	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights Master Investment Portfolio

	LifePath Index 2020 Master Portfolio
	Year Ended December 31,												Period May 31, 20111 to December 31, 2011
	2015			2014			2013			2012
Total Return
Total return		(0.42)%			6.15%			11.36%			11.36%			(3.71)%	2
Ratios to Average Net Assets
Total expenses3,4,5		0.10%			0.12%			0.16%			0.19%			3.55%	6,7
Total expenses after fees waived3,4,5		0.09%			0.11%			0.14%			0.16%			0.18%	6
Net investment income4,5,8		1.95%			1.99%			2.01%			2.19%			2.70%	6
Supplemental Data
Net assets, end of period (000)		$ 1,075,157			$ 881,324			$ 616,003			$ 286,973			$ 1,908
Portfolio turnover rate		14%	9		12%	9		12%	9		1%	10		1%	10

¹  Commencement of operations.

²  Aggregate total return.

³  Includes the LifePath Index Master Portfolio’s pro rata portion of expenses from Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio (collectively, the “Underlying Master Portfolios”). These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Cash Funds: Prime and iShares exchange-traded funds.

⁴  Includes the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated fees waived of 0.01%, 0.01%, 0.00%, 0.02% and 0.10% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁵  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.04%, 0.04%, 0.03%, 0.03% and 0.05% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively, although the ratio does include the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated expenses and/or net investment income.

⁶  Annualized.

⁷  Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 3.56%.

⁸  Includes the LifePath Index Master Portfolio’s share of the allocated net investment income from the Underlying Master Portfolios.

⁹  Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

¹⁰  Excludes purchases and sales of the Underlying Master Portfolios. If these transactions had been included to conform to the current year presentation, portfolio turnover rate would have been 13% and 8% for the year ended December 31, 2012 and the period ended December 31, 2011, respectively.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	93

Financial Highlights Master Investment Portfolio

	LifePath Index 2025 Master Portfolio
	Year Ended December 31,												Period May 31, 20111 to December 31, 2011
	2015			2014			2013			2012
Total Return
Total return		(0.45)%			6.47%			13.48%			12.34%			(5.10)%	2
Ratios to Average Net Assets
Total expenses3,4,5		0.10%			0.12%			0.17%			0.23%			3.59%	6,7
Total expenses after fees waived3,4,5		0.09%			0.11%			0.14%			0.16%			0.18%	6
Net investment income4,5,8		2.06%			2.08%			2.19%			2.27%			2.58%	6
Supplemental Data
Net assets, end of period (000)		$ 776,535			$ 518,194			$ 278,608			$ 122,448			$ 1,882
Portfolio turnover rate		12%	9		15%	9		13%	9		0%	10,11		0%	10,11

¹  Commencement of operations.

²  Aggregate total return.

³  Includes the LifePath Index Master Portfolio’s pro rata portion of expenses from Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio (collectively, the “Underlying Master Portfolios”). These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Cash Funds: Prime and iShares exchange-traded funds.

⁴  Includes the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated fees waived of 0.00%, 0.01%, 0.00%, 0.02% and 0.11% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁵  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.05%, 0.05%, 0.04%, 0.03% and 0.06% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively, although the ratio does include the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated expenses and/or net investment income.

⁶  Annualized.

⁷  Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 3.60%.

⁸  Includes the LifePath Index Master Portfolio’s share of the allocated net investment income from the Underlying Master Portfolios.

⁹  Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

¹⁰  Excludes purchases and sales of the Underlying Master Portfolios. If these transactions had been included to conform to the current year presentation, portfolio turnover rate would have been 14% and 8% for the year ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹¹  Rounds to less than 1%.

See Notes to Financial Statements.
94	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights Master Investment Portfolio

	LifePath Index 2030 Master Portfolio
	Year Ended December 31,												Period May 31, 20111 to December 31, 2011
	2015			2014			2013			2012
Total Return
Total return		(0.50)%			6.64%			15.40%			13.28%			(6.28)%	2
Ratios to Average Net Assets
Total expenses3,4,5		0.10%			0.12%			0.16%			0.21%			3.63%	6,7
Total expenses after fees waived3,4,5		0.09%			0.11%			0.15%			0.17%			0.19%	6
Net investment income4,5,8		2.15%			2.14%			2.33%			2.36%			2.50%	6
Supplemental Data
Net assets, end of period (000)		$ 1,076,681			$ 818,295			$ 528,481			$ 206,007			$ 1,859
Portfolio turnover rate		12%	9		20%	9		12%	9		2%	10		0%	10,11

¹  Commencement of operations.

²  Aggregate total return.

³  Includes the LifePath Index Master Portfolio’s pro rata portion of expenses from Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio (collectively, the “Underlying Master Portfolios”). These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Cash Funds: Prime and iShares exchange-traded funds.

⁴  Includes the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated fees waived of 0.01%, 0.01%, 0.00%, 0.02% and 0.12% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁵  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.06%, 0.05%, 0.04%, 0.04% and 0.06% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively, although the ratio does include the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated expenses and/or net investment income.

⁶  Annualized.

⁷  Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 3.64%.

⁸  Includes the LifePath Index Master Portfolio’s share of the allocated net investment income from the Underlying Master Portfolios.

⁹  Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

¹⁰  Excludes purchases and sales of the Underlying Master Portfolios. If these transactions had been included to conform to the current year presentation, portfolio turnover rate would have been 18% and 6% for the year ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹¹  Rounds to less than 1%.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	95

Financial Highlights Master Investment Portfolio

	LifePath Index 2035 Master Portfolio
	Year Ended December 31,												Period May 31, 20111 to December 31, 2011
	2015			2014			2013			2012
Total Return
Total return		(0.56)%			6.82%			17.02%			14.07%			(7.35)%	2
Ratios to Average Net Assets
Total expenses3,4,5		0.10%			0.12%			0.18%			0.26%			3.67%	6,7
Total expenses after fees waived3,4,5		0.08%			0.11%			0.15%			0.17%			0.19%	6
Net investment income4,5,8		2.26%			2.22%			2.47%			2.44%			2.43%	6
Supplemental Data
Net assets, end of period (000)		$ 609,572			$ 410,040			$ 207,175			$ 81,763			$ 1,838
Portfolio turnover rate		10%	9		25%	9		12%	9		1%	10		0%	10,11

¹  Commencement of operations.

²  Aggregate total return.

³  Includes the LifePath Index Master Portfolio’s pro rata portion of expenses from Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio (collectively, the “Underlying Master Portfolios”). These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Cash Funds: Prime and iShares exchange-traded funds.

⁴  Includes the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated fees waived of 0.00%, 0.01%, 0.00%, 0.02% and 0.13% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁵  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.07%, 0.06%, 0.05%, 0.04% and 0.06% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively, although the ratio does include the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated expenses and/or net investment income.

⁶  Annualized.

⁷  Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 3.68%.

⁸  Includes the LifePath Index Master Portfolio’s share of the allocated net investment income from the Underlying Master Portfolios.

⁹  Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

¹⁰  Excludes purchases and sales of the Underlying Master Portfolios. If these transactions had been included to conform to the current year presentation, portfolio turnover rate would have been 24% and 7% for the year ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹¹  Rounds to less than 1%.

See Notes to Financial Statements.
96	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights Master Investment Portfolio

	LifePath Index 2040 Master Portfolio
	Year Ended December 31,												Period May 31, 20111 to December 31, 2011
	2015			2014			2013			2012
Total Return
Total return		(0.56)%			6.90%			18.66%			15.03%			(8.42)%	2
Ratios to Average Net Assets
Total expenses3,4,5		0.10%			0.12%			0.17%			0.24%			3.70%	6,7
Total expenses after fees waived3,4,5		0.08%			0.11%			0.15%			0.18%			0.20%	6
Net investment income4,5,8		2.33%			2.27%			2.59%			2.50%			2.36%	6
Supplemental Data
Net assets, end of period (000)		$ 751,306			$ 546,501			$ 326,693			$ 107,671			$ 1,819
Portfolio turnover rate		11%	9		29%	9		12%	9		3%	10		0%	10,11

¹  Commencement of operations.

²  Aggregate total return.

³  Includes the LifePath Index Master Portfolio’s pro rata portion of expenses from Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio (collectively, the “Underlying Master Portfolios”). These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Cash Funds: Prime and iShares exchange-traded funds.

⁴  Includes the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated fees waived of 0.00%, 0.01%, 0.00%,0.02% and 0.14% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁵  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.07%, 0.06%, 0.05%,0.04% and 0.07% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively, although the ratio does include the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated expenses and/or net investment income.

⁶  Annualized.

⁷  Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 3.71%.

⁸  Includes the LifePath Index Master Portfolio’s share of the allocated net investment income from the Underlying Master Portfolios.

⁹  Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

¹⁰  Excludes purchases and sales of the Underlying Master Portfolios. If these transactions had been included to conform to the current year presentation, portfolio turnover rate would have been 21% and 5% for the year ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹¹  Rounds to less than 1%.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	97

Financial Highlights Master Investment Portfolio

	LifePath Index 2045 Master Portfolio
	Year Ended December 31,												Period May 31, 20111 to December 31, 2011
	2015			2014			2013			2012
Total Return
Total return		(0.64)%			7.10%			20.33%			15.61%			(9.49)%	2
Ratios to Average Net Assets
Total expenses3,4,5		0.11%			0.13%			0.21%			0.41%			3.74%	6,7
Total expenses after fees waived3,4,5		0.07%			0.10%			0.15%			0.17%			0.21%	6
Net investment income4,5,8		2.39%			2.34%			2.77%			2.62%			2.29%	6
Supplemental Data
Net assets, end of period (000)		$ 341,230			$ 226,796			$ 104,567			$ 33,177			$ 1,799
Portfolio turnover rate		10%	9		30%	9		12%	9		2%	10		0%	10,11

¹  Commencement of operations.

²  Aggregate total return.

³  Includes the LifePath Index Master Portfolio’s pro rata portion of expenses from Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio (collectively, the “Underlying Master Portfolios”). These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Cash Funds: Prime and iShares exchange-traded funds.

⁴  Includes the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated fees waived of 0.00%, 0.00%, 0.00%, 0.02% and 0.15% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁵  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.08%, 0.07%, 0.05%, 0.04% and 0.07% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively, although the ratio does include the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated expenses and/or net investment income.

⁶  Annualized.

⁷  Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 3.75%.

⁸  Includes the LifePath Index Master Portfolio’s share of the allocated net investment income from the Underlying Master Portfolios.

⁹  Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

¹⁰  Excludes purchases and sales of the Underlying Master Portfolios. If these transactions had been included to conform to the current year presentation, portfolio turnover rate would have been 22% and 6% for the year ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹¹  Rounds to less than 1%.

See Notes to Financial Statements.
98	BLACKROCK FUNDS III	DECEMBER 31, 2015

Financial Highlights Master Investment Portfolio

	LifePath Index 2050 Master Portfolio
	Year Ended December 31,												Period May 31, 20111 to December 31, 2011
	2015			2014			2013			2012
Total Return
Total return		(0.67)%			7.28%			21.62%			16.37%			(10.34)%	2
Ratios to Average Net Assets
Total expenses3,4,5		0.11%			0.13%			0.21%			0.46%			3.76%	6,7
Total expenses after fees waived3,4,5		0.07%			0.10%			0.15%			0.18%			0.21%	6
Net investment income4,5,8		2.39%			2.38%			2.91%			2.67%			2.25%	6
Supplemental Data
Net assets, end of period (000)		$ 337,064			$ 232,908			$ 103,722			$ 26,037			$ 1,784
Portfolio turnover rate		14%	9		22%	9		12%	9		3%	10		0%	10,11

¹  Commencement of operations.

²  Aggregate total return.

³  Includes the LifePath Index Master Portfolio’s pro rata portion of expenses from Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio (collectively, the “Underlying Master Portfolios”). These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Cash Funds: Prime and iShares exchange-traded funds.

⁴  Includes the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated fees waived of 0.00%, 0.00%, 0.00%, 0.02% and 0.15% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁵  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.09%, 0.08%, 0.06%, 0.05% and 0.07% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively, although the ratio does include the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated expenses and/or net investment income.

⁶  Annualized.

⁷  Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 3.77%.

⁸  Includes the LifePath Index Master Portfolio’s share of the allocated net investment income from the Underlying Master Portfolios.

⁹  Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

¹⁰  Excludes purchases and sales of the Underlying Master Portfolios. If these transactions had been included to conform to the current year presentation, portfolio turnover rate would have been 26% and 5% for the year ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹¹  Rounds to less than 1%.

See Notes to Financial Statements.
	BLACKROCK FUNDS III	DECEMBER 31, 2015	99

Financial Highlights Master Investment Portfolio

	LifePath Index 2055 Master Portfolio
	Year Ended December 31,												Period May 31, 20111 to December 31, 2011
	2015			2014			2013			2012
Total Return
Total return		(0.60)%			7.50%			22.99%			16.83%			(10.96)%	2
Ratios to Average Net Assets
Total expenses3,4,5		0.14%			0.20%			0.42%			1.39%			3.79%	6,7
Total expenses after fees waived3,4,5		0.06%			0.10%			0.15%			0.15%			0.21%	6
Net investment income4,5,8		2.44%			2.46%			3.09%			2.76%			2.24%	6
Supplemental Data
Net assets, end of period (000)		$ 107,004			$ 61,856			$ 23,968			$ 4,908			$ 1,769
Portfolio turnover rate		17%	9		22%	9		15%	9		8%	10		0%	10,11

¹  Commencement of operations.

²  Aggregate total return.

³  Includes the LifePath Index Master Portfolio’s pro rata portion of expenses from Large Cap Index Master Portfolio, Master International Index Series, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio (collectively, the “Underlying Master Portfolios”). These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional, BlackRock Cash Funds: Prime and iShares exchange-traded funds.

⁴  Includes the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated fees waived of 0.00%, 0.00%, 0.00%,0.02% and 0.15% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁵  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.09%, 0.09%, 0.06%, 0.05% and 0.08% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively, although the ratio does include the LifePath Index Master Portfolio’s share of the Underlying Master Portfolios’ allocated expenses and/or net investment income.

⁶  Annualized.

⁷  Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 3.79%.

⁸  Includes the LifePath Index Master Portfolio’s share of the allocated net investment income from the Underlying Master Portfolios.

⁹  Includes the purchases and sales of the underlying funds and the Underlying Master Portfolios.

¹⁰  Excludes purchases and sales of the Underlying Master Portfolios. If these transactions had been included to conform to the current year presentation, portfolio turnover rate would have been 53% and 13% for the year ended December 31, 2012 and the period ended December 31, 2011, respectively.

¹¹  Rounds to less than 1%.

See Notes to Financial Statements.
100	BLACKROCK FUNDS III	DECEMBER 31, 2015

Notes to Financial Statements Master Investment Portfolio

1. Organization:

Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a diversified, open-end management investment company. MIP is organized as a Delaware statutory trust. The financial statements and these accompanying notes relate to nine series of MIP: LifePath^® Index Retirement Master Portfolio, LifePath^® Index 2020 Master Portfolio, LifePath^® Index 2025 Master Portfolio, LifePath^® Index 2030 Master Portfolio, LifePath^® Index 2035 Master Portfolio, LifePath^® Index 2040 Master Portfolio, LifePath^® Index 2045 Master Portfolio, LifePath^® Index 2050 Master Portfolio and LifePath^® Index 2055 Master Portfolio (each, a “LifePath Index Master Portfolio” and together, the “LifePath Index Master Portfolios”).

As of period end, the investment of LifePath Index Master Retirement Portfolio, LifePath Index 2020 Master Portfolio, LifePath Index 2025 Master Portfolio, LifePath Index 2030 Master Portfolio, LifePath Index 2035 Master Portfolio, LifePath Index 2040 Master Portfolio, LifePath Index 2045 Master Portfolio, LifePath Index 2050 Master Portfolio and LifePath Index 2055 Master Portfolio in the Large Cap Index Master Portfolio represented 22.4%, 28.9%, 34.3%, 39.9%, 45.3%, 49.6%, 51.4%, 51.5% and 51.5%, respectively, of net assets. The investment of LifePath Index Retirement Master Portfolio, LifePath Index 2020 Master Portfolio and LifePath Index 2025 Master Portfolio in the U.S. Total Bond Index Master Portfolio represented 51.0%, 42.2% and 32.0%, respectively, of net assets. As such, financial statements of Large Cap Index Master Portfolio and the U.S. Total Bond Index Master Portfolio, including the Schedules of Investments, should be read in conjunction with each respective LifePath Index Master Portfolio’s financial statements. The financial statements of Large Cap Index Master Portfolio, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio are included in filings by MIP, except the financial statements of Master Small Cap Index Series, which are included in filings by Quantitative Master Series LLC, are available, without charge, on the U.S. Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

The LifePath Index Master Portfolios will generally invest in other registered investment companies (each, an “Underlying Fund” and collectively the “Underlying Funds”) that are managed by subsidiaries of BlackRock, Inc. (“BlackRock”) and its affiliates and affiliates of the LifePath Index Master Portfolios. The LifePath Index Master Portfolios may also invest in other master portfolios (“Underlying Master Portfolios”) that are managed by subsidiaries of BlackRock.

The value of a LifePath Index Master Portfolio’s investment in each of Large Cap Index Master Portfolio, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio reflects that LifePath Index Master Portfolio’s proportionate interest in the net assets of that master portfolio. As of period end, the LifePath Index Master Portfolios held interests in Large Cap Index Master Portfolio, Master Small Cap Index Series, Total International ex U.S. Index Master Portfolio and U.S. Total Bond Index Master Portfolio as follows:

	Large Cap Index Master Portfolio		Master Small Cap Index Series		Total International ex U.S. Index Master Portfolio		U.S. Total Bond Index Master Portfolio
LifePath Index Retirement Master Portfolio		4.40%		4.29%		3.82%		16.05%
LifePath Index 2020 Master Portfolio		12.22%		8.33%		12.77%		28.59%
LifePath Index 2025 Master Portfolio		10.47%		5.17%		8.13%		15.65%
LifePath Index 2030 Master Portfolio		16.90%		6.15%		16.99%		15.43%
LifePath Index 2035 Master Portfolio		10.86%		2.94%		8.90%		5.40%
LifePath Index 2040 Master Portfolio		14.65%		3.19%		14.08%		2.89%
LifePath Index 2045 Master Portfolio		6.90%		1.44%		5.47%		0.40%
LifePath Index 2050 Master Portfolio		6.83%		1.47%		5.57%		0.21%
LifePath Index 2055 Master Portfolio		2.17%		0.47%		1.28%		0.07%

The LifePath Index Master Portfolios, together with certain other registered investment companies advised by BlackRock Fund Advisors (“BFA” or the “Manager”) or its affiliates, are included in a complex of open-end funds referred to as the Equity-Liquidity 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. Each LifePath Index 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 Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the LifePath Index Master Portfolios are 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, some 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 the accrual basis.

BLACKROCK FUNDS III DECEMBER 31, 2015 101

Notes to Financial Statements (continued) Master Investment Portfolio

Each LifePath Index Master Portfolio records daily its proportionate share of the Underlying Master Portfolios’ income, expenses and realized and unrealized gains and losses.

In-Kind Redemptions: Certain underlying investments in the LifePath Index Master Portfolios satisfied redemptions in investors’ capital through an in-kind redemption of securities and cash received from the Master Portfolios upon their redemptions from the Master Portfolios. For financial reporting purposes, these transactions were treated as a sale of securities and the resulting gains and losses were recognized based on the market value of the securities on the date of the redemption. Gains and losses resulting from such redemptions in-kind are included in allocation from the applicable Underlying Master Portfolios from in-kind redemptions in the Statements of Operations. For tax purposes, no gains or losses were recognized.

Indemnifications: In the normal course of business, a LifePath Index Master Portfolio enters into contracts that contain a variety of representations that provide general indemnification. A LifePath Index Master Portfolio’s maximum exposure under these arrangements is unknown because it involves future potential claims against a LifePath Index Master Portfolio, which cannot be predicted with any certainty.

Other: Expenses directly related to a LifePath Index Master Portfolio are charged to that LifePath Index 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 LifePath Index Master Portfolios have an arrangement with their custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statements of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges. Effective September 2015, the arrangement with their custodian for earning credits on uninvested cash balances has ceased and the custodian will be imposing fees on certain uninvested cash balances.

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: The LifePath Index Master Portfolios’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the LifePath Index Master Portfolios would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The LifePath Index Master Portfolios determine the fair values of their financial instruments using independent dealers or pricing services under policies approved by the Board of Trustees of MIP (the “Board”). The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to provide oversight of the pricing function for the LifePath Index Master Portfolios for all financial instruments.

Fair Value Inputs and Methodologies: The following methods (or “techniques”) and inputs are used to establish the fair value of each LifePath Index Master Portfolio’s assets and liabilities:

• The market value of the LifePath Index Master Portfolios’ investments in the underlying open-end mutual fund is based on the published net asset value (“NAV”) of each fund computed as of the close of regular trading on the NYSE on days when the NYSE is open.

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such instruments, 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”). When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each LifePath Index 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 consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

Fair Value Hierarchy: Various inputs are used in determining the fair value of investments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:

• Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each LifePath Index 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 each LifePath Index Master Portfolio’s own assumptions used in determining the fair value of investments)

102 BLACKROCK FUNDS III DECEMBER 31, 2015

Notes to Financial Statements (continued) Master Investment Portfolio

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. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as Level 3. The fair value hierarchy for each LifePath Index Master Portfolio’s investments has been included in the Schedules of Investments.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with each LifePath Index Master Portfolio’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments is based on the pricing transparency of the investments and is not necessarily an indication of the risks associated with investing in those securities.

4. Securities and Other Investments:

Securities Lending: Certain LifePath Index Master Portfolios may lend their securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the LifePath Index Master Portfolios 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 each LifePath Index 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 LifePath Index Master Portfolio and any additional required collateral is delivered to the LifePath Index Master Portfolio, or excess collateral returned by the LifePath Index Master Portfolio, on the next business day. During the term of the loan, the LifePath Index Master Portfolios are entitled to all distributions made on or in respect of the loaned securities. 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 affiliated investments in the LifePath Index Master Portfolios’ Schedules of Investments, and the value of any related collateral are shown separately in the Statements 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. The cash collateral invested by the securities lending agent, BlackRock Institutional Trust Company, N.A. (“BTC”), if any, is disclosed in the Schedules of Investments.

Securities lending transactions are entered into by the LifePath Index Master Portfolios 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 LifePath Index Master Portfolios, 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 a LifePath Index 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 LifePath Index Master Portfolios’ securities lending agreements by counterparty which are subject to offset under an MSLA:

LifePath Index Retirement Master Portfolio
Counterparty	Securities Loaned at Value		Cash Collateral Received1			Net Amount
Credit Suisse Securities (USA) LLC	$	272,140	$	(272,140	)		—
UBS Securities LLC		241,296		(241,296	)		—
Total	$	513,436	$	(513,436	)		—

BLACKROCK FUNDS III DECEMBER 31, 2015 103

Notes to Financial Statements (continued) Master Investment Portfolio

LifePath Index 2020 Master Portfolio
Counterparty	Securities Loaned at Value		Cash Collateral Received1			Net Amount
Credit Suisse Securities (USA) LLC	$	1,634,232	$	(1,634,232	)		—
JP Morgan Securities LLC		4,017,984		(4,017,984	)		—
UBS Securities LLC		449,688		(449,688	)		—
Total	$	6,101,904	$	(6,101,904	)		—
LifePath Index 2025 Master Portfolio
Counterparty	Securities Loaned at Value		Cash Collateral Received1			Net Amount
BNP Paribas S.A.	$	225,869	$	(225,869	)		—
JP Morgan Securities LLC		4,003,320		(4,003,320	)		—
Total	$	4,229,189	$	(4,229,189	)		—
LifePath Index 2030 Master Portfolio
Counterparty	Securities Loaned at Value		Cash Collateral Received1			Net Amount
SG Americas Securities LLC	$	441,717	$	(441,717	)		—
UBS Securities LLC		8,366		(8,366	)		—
Total	$	450,083	$	(450,083	)		—
LifePath Index 2035 Master Portfolio
Counterparty	Securities Loaned at Value		Cash Collateral Received1			Net Amount
Citigroup Global Markets, Inc.	$	1,387,711	$	(1,387,711	)		—
LifePath Index 2045 Master Portfolio
Counterparty	Securities Loaned at Value		Cash Collateral Received1			Net Amount
JP Morgan Securities LLC	$	413,823	$	(413,823	)		—
Morgan Stanley		272,140		(272,140	)		—
Total	$	685,963	$	(685,963	)		—
LifePath Index 2050 Master Portfolio
Counterparty	Securities Loaned at Value		Cash Collateral Received1			Net Amount
Citigroup Global Markets, Inc.	$	2,688,209	$	(2,688,209	)		—
LifePath Index 2055 Master Portfolio
Counterparty	Securities Loaned at Value		Cash Collateral Received1			Net Amount
SG Americas Securities LLC	$	3,745,218	$	(3,745,218	)		—

¹  Collateral received in excess of the value of securities loaned from the individual counterparty is not shown for financial reporting purposes in the tables above. Collateral has been received in connection with securities lending agreements as follows:

LifePath Index Retirement Master Portfolio	LifePath Index 2020 Master Portfolio	LifePath Index 2025 Master Portfolio	LifePath Index 2030 Master Portfolio	LifePath Index 2035 Master Portfolio	LifePath Index 2045 Master Portfolio	LifePath Index 2050 Master Portfolio	LifePath Index 2055 Master Portfolio
$525,690	$6,233,400	$4,322,900	$463,785	$1,432,162	$703,076	$2,774,318	$3,858,813

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 LifePath Index Master Portfolios benefit from a borrower default indemnity provided by BlackRock. BlackRock’s indemnity allows for full replacement of the securities loaned if the collateral received does not cover the value on the securities loaned in the event of borrower default. Each LifePath Index Master Portfolio could suffer 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.

104 BLACKROCK FUNDS III DECEMBER 31, 2015

Notes to Financial Statements (continued) Master Investment Portfolio

5. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock for 1940 Act purposes.

MIP, on behalf of the LifePath Index Master Portfolios, entered into an Investment Advisory Agreement with BFA, the LifePath Index Master Portfolios’ investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory services. The Manager is responsible for the management of each LifePath Index Master Portfolio’s investments and provides the personnel, facilities, equipment and certain other services necessary to the operations of each LifePath Index Master Portfolio. For such services, each LifePath Index Master Portfolio pays BFA a monthly fee based on a percentage of each LifePath Index Master Portfolio’s average daily net assets at an annual rate of 0.05%.

MIP, on behalf of the LifePath Index Master Portfolios, entered into an Administration Agreement with BlackRock Advisors, LLC (“BAL”), which has agreed to provide general administration services (other than investment advice and related portfolio activities). BAL, in consideration thereof, has agreed to bear all of the LifePath Index Master Portfolios’ ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by the LifePath Index Master Portfolios.

From time to time, BAL may waive such fees in whole or in part. Any such waiver will reduce the expenses of the LifePath Index Master Portfolios and, accordingly, have a favorable impact on its performance. BAL may delegate certain of its administration duties to sub-administrators.

BAL is not entitled to compensation for providing administration service to the LifePath Index Master Portfolios, for so long as BAL is entitled to compensation for providing administration service to corresponding feeder funds that invest substantially all of their assets in the LifePath Index Master Portfolios, or BAL (or an affiliate) receives investment advisory fees from the LifePath Index Master Portfolios.

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each LifePath Index Master Portfolio pays to the Manager indirectly through its investments in affiliated money market funds. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with each LifePath Index Master Portfolio’s investment in other affiliated investment companies, if any. These amounts are included in fees waived by the Manager in the Statements of Operations. For the year ended December 31, 2015, the amounts waived were as follows:

LifePath Index Retirement Master Portfolio	LifePath Index 2020 Master Portfolio	LifePath Index 2025 Master Portfolio	LifePath Index 2030 Master Portfolio	LifePath Index 2035 Master Portfolio	LifePath Index 2040 Master Portfolio	LifePath Index 2045 Master Portfolio	LifePath Index 2050 Master Portfolio	LifePath Index 2055 Master Portfolio
$743	$1,570	$1,364	$1,926	$1,163	$1,489	$710	$169	$265

The SEC has issued an exemptive order which permits BTC, an affiliate of the Manager, to serve as securities lending agent for the LifePath Index Master Portfolios, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending. The LifePath Index Master Portfolios are responsible for fees in connection with the investment of cash collateral received for securities on loan in a money market funds managed by the Manager or its affiliates, however, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees the LifePath Index Master Portfolios bears to an annual rate of 0.04% (the “collateral investment fees”).

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 fees. Each LifePath Index Master Portfolio retains a portion of securities lending income and remits a remaining portion to BTC as compensation for its services as securities lending agent.

Pursuant to a securities lending agreement, each LifePath Index Master Portfolio retains 80% of securities lending income, and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees. In addition, commencing the business day following the date that the aggregate securities lending income earned across certain funds in the Equity-Liquidity Complex in a calendar year exceeds a specified threshold, each LifePath Index Master Portfolio, pursuant to the securities lending agreement, will retain for the remainder of the calendar year securities lending income in an amount equal to 85% of securities lending income, and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

The share of securities lending income earned by each LifePath Index Master Portfolio is shown as securities lending — affiliated — net in the Statements of Operations. For the year ended December 31, 2015, each LifePath Index Master Portfolio paid BTC the following amounts in total for securities lending agent services and collateral investment fees:

LifePath Index Retirement Master Portfolio	LifePath Index 2020 Master Portfolio	LifePath Index 2025 Master Portfolio	LifePath Index 2030 Master Portfolio	LifePath Index 2035 Master Portfolio	LifePath Index 2040 Master Portfolio	LifePath Index 2045 Master Portfolio	LifePath Index 2050 Master Portfolio	LifePath Index 2055 Master Portfolio
$2,022	$2,025	$3,073	$1,793	$1,054	$1,909	$555	$2,244	$1,008

BLACKROCK FUNDS III DECEMBER 31, 2015 105

Notes to Financial Statements (continued) Master Investment Portfolio

Each LifePath Index Master Portfolio may invest its positive cash balances in certain money market funds managed by the Manager or an affiliate. The income earned on these temporary cash investments is shown as income — affiliated in the Statements of Operations.

Certain officers and/or trustees of MIP are officers and/or directors of BlackRock or its affiliates.

6. Purchases and Sales:

For the year ended December 31, 2015, purchases and sales of investments in the Underlying Funds and Underlying Master Portfolios, excluding short-term securities, were as follows:

	LifePath Index Retirement Master Portfolio	LifePath Index 2020 Master Portfolio	LifePath Index 2025 Master Portfolio	LifePath Index 2030 Master Portfolio	LifePath Index 2035 Master Portfolio	LifePath Index 2040 Master Portfolio	LifePath Index 2045 Master Portfolio	LifePath Index 2050 Master Portfolio	LifePath Index 2055 Master Portfolio
Purchases	$192,803,783	$362,680,256	$343,639,069	$396,812,783	$255,923,333	$294,025,408	$149,962,931	$154,139,741	$61,878,194
Sales	$121,120,713	$141,608,466	$78,173,736	$120,841,634	$48,455,771	$73,619,430	$29,165,799	$42,724,168	$14,383,190

7. Income Tax Information:

The LifePath Index Master Portfolios are classified as a partnership for federal income tax purposes. As such, each investor in the LifePath Index Master Portfolios is treated as the owner of its proportionate share of net assets, income, expenses and realized and unrealized gains and losses of the LifePath Index Master Portfolios. Therefore, no federal income tax provision is required. It is intended that the LifePath Index Master Portfolios’ assets will be managed so an investor in the LifePath Index Master Portfolios can satisfy the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended.

Each LifePath Index 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 each LifePath Index Master Portfolio’s U.S. federal tax returns remains open for each of the four years ended December 31, 2015. The statutes of limitations on each LifePath Index 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 LifePath Index Master Portfolios as of December 31, 2015, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the LifePath Index Master Portfolios’ financial statements.

As of period end, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

	LifePath Index Retirement Master Portfolio			LifePath Index 2020 Master Portfolio			LifePath Index 2025 Master Portfolio			LifePath Index 2030 Master Portfolio			LifePath Index 2035 Master Portfolio			LifePath Index 2040 Master Portfolio			LifePath Index 2045 Master Portfolio			LifePath Index 2050 Master Portfolio			LifePath Index 2055 Master Portfolio
Tax cost	$	488,461,775		$	1,067,774,133		$	771,438,777		$	1,049,837,813		$	602,938,760		$	736,246,989		$	340,011,876		$	338,790,584		$	111,922,408
Gross unrealized appreciation	$	29,368,854		$	73,637,120		$	39,312,976		$	81,114,665		$	22,799,838		$	43,513,282		$	22,199,602		$	22,659,726		$	6,053,585
Gross unrealized depreciation		(15,776,574	)		(39,482,125	)		(26,683,218	)		(46,649,528	)		(12,020,477	)		(22,733,846	)		(17,665,987	)		(18,514,602	)		(5,921,034	)
Net unrealized appreciation	$	13,592,280		$	34,154,995		$	12,629,758		$	34,465,137		$	10,779,361		$	20,779,436		$	4,533,615		$	4,145,124		$	132,551

8. Bank Borrowings:

MIP, on behalf of the LifePath Index Master Portfolios, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is a party to a 364-day, $2.1 billion credit agreement with a group of lenders, under which the LifePath Index Master Portfolios may borrow to fund shareholder redemptions. Excluding commitments designated for certain funds, the Participating Funds, including the LifePath Index Master Portfolios, can borrow up to an aggregate commitment amount of $1.6 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 0.06% 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 2016 unless extended or renewed. Participating Funds paid administration, legal and arrangement fees, which, if applicable, are included in miscellaneous expenses in the Statements of Operations, and along with commitment 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 December 31, 2015, the LifePath Index Master Portfolios did not borrow under the credit agreement.

106 BLACKROCK FUNDS III DECEMBER 31, 2015

Notes to Financial Statements (concluded) Master Investment Portfolio

9. Principal Risks:

In the normal course of business, certain LifePath Index Master Portfolios invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities held by the LifePath Index Master Portfolios may decline in response to certain events, including those directly involving the issuers of securities owned by the LifePath Index Master Portfolios. Changes arising from the general economy, the overall market and local, regional or global political or/and social instability, as well as currency, interest rate and price fluctuations, may also affect the securities’ value.

Counterparty Credit Risk: Similar to issuer credit risk, the LifePath Index Master Portfolios may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The LifePath Index Master Portfolios manage 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 LifePath Index Master Portfolios to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the LifePath Index Master Portfolios’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the LifePath Index Master Portfolios.

10. Subsequent Events:

Management has evaluated the impact of all subsequent events on the LifePath Index Master Portfolios 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.

BLACKROCK FUNDS III DECEMBER 31, 2015 107

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Master Investment Portfolio and the Interestholders of LifePath^® Index Retirement Master Portfolio, LifePath^® Index 2020 Master Portfolio, LifePath^® Index 2025 Master Portfolio, LifePath^® Index 2030 Master Portfolio, LifePath^® Index 2035 Master Portfolio, LifePath^® Index 2040 Master Portfolio, LifePath^® Index 2045 Master Portfolio, LifePath^® Index 2050 Master Portfolio and LifePath^® Index 2055 Master Portfolio:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of LifePath^® Index Retirement Master Portfolio, LifePath^® Index 2020 Master Portfolio, LifePath^® Index 2025 Master Portfolio, LifePath^® Index 2030 Master Portfolio, LifePath^® Index 2035 Master Portfolio, LifePath^® Index 2040 Master Portfolio, LifePath^® Index 2045 Master Portfolio, LifePath^® Index 2050 Master Portfolio and LifePath^® Index 2055 Master Portfolio (the “Master Portfolios”), each a series of Master Investment Portfolio, at December 31, 2015, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Master Portfolios’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2015 by correspondence with the custodian, transfer agent, and brokers, provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 24, 2016

108 BLACKROCK FUNDS III DECEMBER 31, 2015

Officers and Trustees

Name, Address1 and Year of Birth	Position(s) Held with the Trust/MIP	Length of Time Served as a Trustee3	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Independent Trustees2
Rodney D. Johnson 1941	Chair of the Board and Trustee	Since 2009	President, Fairmount Capital Advisors, Inc. from 1987 to 2013; Member of the Archdiocesan Investment Committee of the Archdiocese of Philadelphia from 2004 to 2012; Director, The Committee of Seventy (civic) from 2006 to 2012; Director, Fox Chase Cancer Center from 2004 to 2011.	33 RICs consisting of 155 Portfolios	None
David O. Beim 1940	Trustee	Since 2009	Professor of Professional Practice at the Columbia University Graduate School of Business since 1991; Trustee, Phillips Exeter Academy from 2002 to 2012; Chairman, Wave Hill, Inc. (public garden and cultural center) from 1990 to 2006.	33 RICs consisting of 155 Portfolios	None
Collette Chilton 1958	Trustee	Since 2015	Chief Investment Officer, Williams College since 2006; Chief Investment Officer, Lucent Asset Management Corporation from 1998 to 2006.	33 RICs consisting of 155 Portfolios	None
Frank J. Fabozzi 1948	Trustee	Since 2014	Editor of and Consultant for The Journal of Portfolio Management since 2006; Professor of Finance, EDHEC Business School since 2011; Visiting Professor, Princeton University from 2013 to 2014; Professor in the Practice of Finance and Becton Fellow, Yale University School of Management from 2006 to 2011.	108 RICs consisting of 230 Portfolios	None
Dr. Matina S. Horner 1939	Trustee	Since 2009	Executive Vice President, Teachers Insurance and Annuity Association and College Retirement Equities Fund from 1989 to 2003.	33 RICs consisting of 155 Portfolios	NSTAR (electric and gas utility)
Herbert I. London 1939	Trustee	Since 2009	Professor Emeritus, New York University since 2005; President, London Center for Policy Research since 2012; John M. Olin Professor of Humanities, New York University from 1993 to 2005 and Professor thereof from 1980 to 2005; President Emeritus, Hudson Institute (policy research organization) from 2011 to 2012, President thereof from 1997 to 2011 and Trustee from 1980 to 2012; Chairman of the Board of Trustees for Grantham University since 2006; Director, InnoCentive, Inc. (global internet service) since 2005; Director, Cerego, LLC (educational software) since 2005; Director, Cybersettle (online adjudication) since 2009; Director, AIMS Worldwide, Inc. (marketing) from 2007 to 2012.	33 RICs consisting of 155 Portfolios	None
Cynthia A. Montgomery 1952	Trustee	Since 2009	Professor, Harvard Business School since 1989; Director, McLean Hospital from 2005 to 2012; Director, Harvard Business School Publishing from 2005 to 2010.	33 RICs consisting of 155 Portfolios	Newell Rubbermaid, Inc. (manufacturing)
Joseph P. Platt 1947	Trustee	Since 2009	Director, Jones and Brown (Canadian insurance broker) since 1998; General Partner, Thorn Partners, LP (private investments) since 1998; Director, WQED Multi-Media (public broadcasting not-for-profit) since 2001; Director, The West Penn Allegheny Health System (a not-for-profit health system) from 2008 to 2013; Partner, Amarna Corporation, LLC (private investment company) from 2002 to 2008.	33 RICs consisting of 155 Portfolios	Greenlight Capital Re, Ltd. (reinsurance company)
Robert C. Robb, Jr. 1945	Trustee	Since 2009	Partner, Lewis, Eckert, Robb and Company (management and financial consulting firm) since 1981.	33 RICs consisting of 155 Portfolios	None
Toby Rosenblatt 1938	Trustee	Since 2009	President, Founders Investments Ltd. (private investments) since 1999; Director, Forward Management, LLC since 2007; Director, College Futures Foundation (philanthropic foundation) since 2009; Director, The James Irvine Foundation (philanthropic foundation) from 1998 to 2008.	33 RICs consisting of 155 Portfolios	None

BLACKROCK FUNDS III DECEMBER 31, 2015 109

Officers and Trustees (continued)

Name, Address1 and Year of Birth	Position(s) Held with the Trust/MIP	Length of Time Served as a Trustee3	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Independent Trustees2 (concluded)
Mark Stalnecker 1951	Trustee	Since 2015	Chief Investment Officer, University of Delaware from 1999 to 2013; Trustee, Winterthur Museum and Country Estate since 2001; Member of the Investment Committee, Delaware Public Employees’ Retirement System since 2002; Member of the Investment Committee, Christiana Care Health System since 2009; Member of the Investment Committee, Delaware Community Foundation from 2013 to 2014.	33 RICs consisting of 155 Portfolios	None
Kenneth L. Urish 1951	Trustee	Since 2009	Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Immediate 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 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.	33 RICs consisting of 155 Portfolios	None
Frederick W. Winter 1945	Trustee	Since 2009	Director, Alkon Corporation (pneumatics) since 1992; Professor and Dean Emeritus of the Joseph M. Katz School of Business, University of Pittsburgh from 2005 to 2013 and Dean thereof from 1997 to 2005; Director, Tippman Sports (recreation) from 2005 to 2013; Director, Indotronix International (IT services) from 2004 to 2008.	33 RICs consisting of 155 Portfolios	None
	1    The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.
	2    Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board has determined to extend the terms of Independent Trustees on a case-by-case basis, as appropriate. The Board has unanimously approved extending the mandatory retirement age for David O. Beim and Dr. Matina S. Horner until December 31, 2016, which the Board believes is in the best interests of shareholders of the Trust/MIP.
	3    Date shown is the earliest date a person has served for the Trust/MIP. In connection with the acquisition of Barclay’s Global Investors by BlackRock, Inc. (“BlackRock”) in December 2009, the Trustees were elected to the Trust/MIP’s Board. As a result, although the chart shows certain Independent Trustees as joining the Trust/MIP’s board in 2009, those Independent Trustees first became members of the boards of other funds advised by BlackRock Advisors, LLC or its affiliates as follows: David O. Beim, 1998; Dr. Matina S. Horner, 2004; Rodney D. Johnson, 1995; Herbert I. London, 1987; Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Robert C. Robb, Jr., 1998; Toby Rosenblatt, 2005; Kenneth L. Urish, 1999; and Frederick W. Winter, 1999. Frank J. Fabozzi first became a member of the boards of other funds advised by BlackRock Advisors, LLC or its affiliates in 1988.
Interested Trustees4
Barbara G. Novick 1960	Trustee	Since 2015	Vice Chairman of BlackRock since 2006; Chair of BlackRock’s Government Relations Steering Committee since 2009; Head of the Global Client Group of BlackRock from 1988 to 2008.	108 RICs consisting of 230 Portfolios	None
John M. Perlowski 1964	Trustee, President, and Chief Executive Officer	Since 2015 (Trustee); Since 2010 (President and Chief Executive Officer)	Managing Director of BlackRock since 2009; Head of BlackRock Global Fund Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.	136 RICs consisting of 328 Portfolios	None
	4    Mr. Perlowski and Ms. Novick are both “interested persons,” as defined in the 1940 Act, of the Trust/MIP based on their positions with BlackRock and its affiliates. Mr. Perlowski and Ms. Novick are also board members of a complex of BlackRock registered open-end funds. Mr. Perlowski is also a board member of the BlackRock Equity-Bond Complex and the BlackRock Equity-Liquidity Complex, and Ms. Novick is also a board member of the BlackRock Equity-Liquidity Complex. Interested Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The maximum age limitation may be waived as to any Trustee by action of a majority of the Trustees upon a finding of good cause therefor.

110 BLACKROCK FUNDS III DECEMBER 31, 2015

Officers and Trustees (concluded)

Name, Address1 and Year of Birth	Position(s) Held with the Trust/MIP	Length of Time Served as an Officer	Principal Occupation(s) During Past Five Years
Officers2
John M. Perlowski 1964	Trustee, President and Chief Executive Officer	Since 2015 (Trustee); Since 2010 (President and Chief Executive Officer)	Managing Director of BlackRock since 2009; Head of BlackRock Global Fund Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.
Richard Hoerner, CFA 1958	Vice President	Since 2009	Managing Director of BlackRock since 2000; Head of the Global Cash Group since 2013; Co-head of the Global Cash and Securities Lending Group from 2010 to 2013; Member of the Cash Management Group Executive Committee since 2005.
Jennifer McGovern 1977	Vice President	Since 2014	Director of BlackRock since 2011; Head of Product Structure and Oversight for BlackRock’s U.S. Wealth Advisory Group since 2013; Vice President of BlackRock from 2008 to 2010.
Neal Andrews 1966	Chief Financial Officer	Since 2009	Managing Director of BlackRock since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.
Jay Fife 1970	Treasurer	Since 2009	Managing Director of BlackRock since 2007; Director of BlackRock in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.
Charles Park 1967	Chief Compliance Officer	Since 2014	Anti-Money Laundering Compliance Officer for the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End Complex from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End 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.
Fernanda Piedra 1969	Anti-Money Laundering Compliance Officer	Since 2015	Director of BlackRock since 2014; Anti-Money Laundering Compliance Officer and Regional Head of Financial Crime for the Americas at BlackRock since 2014; Head of Regulatory Changes and Remediation for the Asset Wealth Management Division of Deutsche Bank from 2010 to 2014; Vice President of Goldman Sachs (Anti-Money Laundering/Suspicious Activities Group) from 2004 to 2010.
Benjamin Archibald 1975	Secretary	Since 2012	Managing Director of BlackRock since 2014; Director of BlackRock from 2010 to 2013; Secretary of the iShares exchange traded funds since 2015; Secretary of the BlackRock-advised mutual funds since 2012.
	1    The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.
	2    Officers of the Trust/MIP serve at the pleasure of the Board.

Effective September 25, 2015, John M. Perlowski was appointed to serve as a Trustee of the Trust/MIP.

Effective December 31, 2015, Herbert I. London and Toby Rosenblatt retired as Trustees of the Trust/MIP.

Investment Advisor BlackRock Fund Advisors San Francisco, CA 94105	Custodian and Accounting Agent State Street Bank and Trust Company Boston, MA 02110	Distributor BlackRock Investments, LLC New York, NY 10022	Legal Counsel Sidley Austin LLP New York, NY 10019
Administrator BlackRock Advisors, LLC Wilmington, DE 19809	Transfer Agent BNY Mellon Investment Servicing (US) Inc. Wilmington, DE 19809	Independent Registered Public Accounting Firm PricewaterhouseCoopers LLP Philadelphia, PA 19103	Address of the Trust/MIP 400 Howard Street San Francisco, CA 94105

BLACKROCK FUNDS III DECEMBER 31, 2015 111

Additional Information

General Information

Householding

The LifePath Index Funds 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 LifePath Index Funds at (800) 441-7762.

Availability of Quarterly Schedule of Investments

The LifePath Index Funds/LifePath Index Master Portfolios file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The LifePath Index Funds’/LifePath Index Master Portfolios’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The LifePath Index Funds’/ LifePath Index Master Portfolios’ Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the LifePath Index Funds/LifePath Index Master Portfolios 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 http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the LifePath Index Funds/LifePath Index Master Portfolios voted proxies relating to securities held in the LifePath Index Funds’/LifePath Index Master Portfolios’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC’s website at http://www.sec.gov.

BlackRock’s Mutual Fund Family

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

Shareholder Privileges

Account Information

Call us at (800) 441-7762 from 8:00 AM to 6:00 PM EST on any business day to get information about your account balances, recent transactions and share prices. You can also reach us on the Web at http://www.blackrock.com/funds.

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.

112 BLACKROCK FUNDS III DECEMBER 31, 2015

Additional Information (concluded)

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.

BLACKROCK FUNDS III DECEMBER 31, 2015 113

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 a LifePath Index Fund unless preceded or accompanied by that LifePath Index 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.

LPindex-12/15-AR

DECEMBER 31, 2015

  ANNUAL REPORT  

BlackRock S&P 500 Index Fund  |  of BlackRock Funds III

Not FDIC Insured • May Lose Value • No Bank Guarantee

Table of Contents

	Page
The Markets in Review		3
Annual Report:
Fund Summary		4
About Fund Performance		6
Disclosure of Expenses		6
Derivative Financial Instruments		6
Fund Financial Statements:
Statement of Assets and Liabilities		7
Statement of Operations		8
Statements of Changes in Net Assets		9
Fund Financial Highlights		10
Fund Notes to Financial Statements		15
Fund Report of Independent Registered Public Accounting Firm		19
Important Tax Information		19
Master Portfolio Information		20
Master Portfolio Financial Statements:
Schedule of Investments		21
Statement of Assets and Liabilities		29
Statement of Operations		30
Statements of Changes in Net Assets		31
Master Portfolio Financial Highlights		31
Master Portfolio Notes to Financial Statements		32
Master Portfolio Report of Independent Registered Public Accounting Firm		38
Officers and Trustees		39
Additional Information		42

2 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2015

The Markets in Review

Dear Shareholder,

Diverging monetary policies and shifting economic outlooks across regions have been the overarching themes driving financial markets over the past couple of years. With U.S. growth outpacing the global economic recovery in 2015 while inflationary pressures remained low, investors spent most of the year anticipating a short-term rate hike from the Federal Reserve (the “Fed”), which ultimately came to fruition in December. In contrast, the European Central Bank (“ECB”) and the Bank of Japan moved to a more accommodative stance during the year. In this environment, the U.S. dollar strengthened considerably, causing profit challenges for U.S. exporters and high levels of volatility in emerging market currencies and commodities. Oil prices were particularly volatile and below the historical norm due to an ongoing imbalance in global supply and demand.

Market volatility broadly increased in the middle of 2015, beginning with a sharp, but temporary, selloff in June as Greece’s long-brewing debt troubles came to an impasse. Just as these concerns abated, Chinese equities tumbled amid weakness in the country’s economy. This, combined with a depreciation of the yuan and declining confidence in China’s policymakers, stoked worries about the potential impact to the broader world economy, causing heightened volatility to spread throughout markets globally. Given a dearth of meaningful growth across most of the world, financial markets became more reliant on central bank policies to drive performance. In that vein, risk assets (such as equities and high yield bonds) rallied in October when China’s central bank provided more stimulus, the ECB hinted at further easing, and soft U.S. data pushed back expectations for a Fed rate hike. As the period came to a close, however, the ECB disappointed investors with its subdued policy changes. The Fed’s December rate hike had a positive impact on the markets as it removed a source of uncertainty, but this was counteracted by the dampening effect of a stronger U.S. dollar, falling oil prices and tighter credit conditions.

At BlackRock, we believe investors need to think globally, extend their scope across a broad array of asset classes and be prepared to move freely as market conditions change over time. 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 December 31, 2015
	6-month			12-month
U.S. large cap equities (S&P 500® Index)		0.15	%		1.38	%
U.S. small cap equities (Russell 2000® Index)		(8.75	)		(4.41	)
International equities (MSCI Europe, Australasia, Far East Index)		(6.01	)		(0.81	)
Emerging market equities (MSCI Emerging Markets Index)		(17.35	)		(14.92	)
3-month Treasury bills (BofA Merrill Lynch 3-Month U.S. Treasury Bill Index)		0.04			0.05
U.S. Treasury securities (BofA Merrill Lynch 10-Year U.S. Treasury Index)		1.43			0.91
U.S. investment-grade bonds (Barclays U.S. Aggregate Bond Index)		0.65			0.55
Tax-exempt municipal bonds (S&P Municipal Bond Index)		3.31			3.32
U.S. high yield bonds (Barclays U.S. Corporate High Yield 2% Issuer Capped Index)		(6.79	)		(4.43	)
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

THIS PAGE NOT PART OF YOUR FUND REPORT 3

Fund Summary as of December 31, 2015

Investment Objective

BlackRock S&P 500 Index Fund’s (the “Fund”) (formerly known as BlackRock S&P 500 Stock Fund) investment objective is to provide investment results that correspond to the total return performance of publicly-traded common stocks in the aggregate, as represented by the Standard & Poor’s (“S&P”) 500^® Index.

Portfolio Management Commentary

How did the Fund perform?

• For the 12-month period ended December 31, 2015, the Fund’s Institutional Shares returned 1.28%, Service Shares returned 1.16%, Investor A Shares returned 1.03%, Investor C1 Shares returned 0.30% and Class K Shares returned 1.35%. The benchmark S&P 500^® Index returned 1.38% for the same period.

• Returns for the Fund’s respective share classes differ from the benchmark index due to individual share-class expenses. The Fund invests all of its assets in S&P 500 Index Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio.

Describe the market environment.

• The year started with U.S. stock prices falling as lower oil prices punished the energy sector and the negative impact of a stronger dollar began to show in the earnings of large global exporting companies. U.S. equities came back into favor in the spring, after a powerful rally in European equities left valuations in the United States looking more appealing by comparison. U.S. stocks continued to outperform international markets into the summer as increasing turmoil around Greece’s debt troubles drove investors to the relative stability of U.S. markets.

• The second half of the year started well with strong manufacturing and construction data and merger and acquisition activity. This momentum stuttered as volatility and uncertainty became major themes through the remainder of 2015 given a sharp selloff in Chinese equities, falling oil prices and anticipation of a rate hike from the Federal Reserve (the “Fed”).

• With easy monetary policy in the beginning of 2015, many markets reached all-time highs, but hit considerable headwinds in the latter half

of the year. Geopolitical strife in the Middle East and Russia, terrorist attacks in France and San Bernardino, California, slowing growth globally, oil price instability, and the Fed starting a tightening cycle were significant events that shaped 2015 market returns.

• The U.S. dollar strengthened against most major currencies for the year, posting a 19.9% gain against the Canadian dollar, a 12.5% gain versus the Australian dollar, an 11.4% gain versus the euro, a 5.8% gain versus the British pound. A key theme heading into 2016 is the divergence in monetary policy between the United States and the rest of the world.

• From a sector perspective, consumer discretionary stocks (10%) generated the strongest returns in the S&P 500^® Index for the year, followed by health care (7%), consumer staples (7%), information technology (6%) and telecommunications services (3%). Conversely, the energy sector (-21%) produced the lowest returns for the year, followed by materials (-8%), utilities (-5%), industrials (-3%) and financials (-1%).

Describe recent portfolio activity.

• During the period, as changes were made to the composition of the S&P 500^® Index, the Master Portfolio purchased and sold securities to maintain its objective of replicating the risks and return of the benchmark index.

Describe portfolio positioning at period end.

• The Master Portfolio remains positioned to match the risk characteristics of its benchmark index, irrespective of the market’s future direction.

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 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2015

Total Return Based on a $10,000 Investment

¹  Assuming transaction costs and other operating expenses, including administration fees, if any.

²  The Fund invests all of its assets in the Master Portfolio. The Master Portfolio invests primarily in a diversified portfolio of equity securities of large companies located in the United States.

³  An unmanaged index that covers 500 leading companies and captures approximately 80% coverage of available market capitalization.

Performance Summary for the Period Ended December 31, 2015

	6-Month Total Returns			Average Annual Total Returns4
				1 Year			5 Years			10 Years
				w/o sales charge			w/o sales charge			w/o sales charge
Institutional		0.08	%		1.28	%		12.38	%		7.14	%
Service		0.02			1.16			12.23			7.00
Investor A		(0.05	)		1.03			12.09			6.87
Investor C1		(0.41	)		0.30			11.29			6.10
Class K		0.12			1.35			12.46			7.21
S&P 500® Index		0.15			1.38			12.57			7.31

⁴  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 6 for a detailed description of share classes, including any related sales charges and fees.

Past performance is not indicative of future results.

Expense Example

	Actual						Hypothetical6
	Beginning Account Value July 1, 2015		Ending Account Value December 31, 2015		Expenses Paid During the Period5		Beginning Account Value July 1, 2015		Ending Account Value December 31, 2015		Expenses Paid During the Period5		Annualized Expense Ratio
Institutional	$	1,000.00	$	1,000.80	$	0.55	$	1,000.00	$	1,024.65	$	0.56		0.11	%
Service	$	1,000.00	$	1,000.20	$	1.16	$	1,000.00	$	1,024.05	$	1.17		0.23	%
Investor A	$	1,000.00	$	999.50	$	1.81	$	1,000.00	$	1,023.39	$	1.84		0.36	%
Investor C1	$	1,000.00	$	995.90	$	5.43	$	1,000.00	$	1,019.76	$	5.50		1.08	%
Class K	$	1,000.00	$	1,001.20	$	0.20	$	1,000.00	$	1,025.00	$	0.20		0.04	%

⁵  For each class of the Fund, expenses are equal to the annualized net expense ratio for the class, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). Because the Fund invests significantly in the Master Portfolio, the expense example reflects the net expenses of both the Fund and the Master Portfolio in which it invests.

⁶  Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365.

See “Disclosure of Expenses” on page 6 for further information on how expenses were calculated.

BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2015 5

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.

• Service Shares are not subject to any sales charge. These shares are subject to a service fee of 0.15% per year (but no distribution fee) and are available only to certain eligible investors.

• Investor A Shares are not subject to any sales charge and bear no ongoing distribution fee. These shares are subject to an ongoing service fee of 0.25% per year. These shares are generally available through financial intermediaries.

• Investor C1 Shares are not subject to any sales charge. These shares are subject to a distribution fee of 0.75% per year and a service fee of 0.15% per year. These shares are only available for dividend and capital gain reinvestment by existing shareholders and for purchase by certain employer-sponsored retirement plans.

Performance information reflects past performance and does not guarantee future results. Current performance may be lower or higher than the performance data quoted. Refer to www.blackrock.com/funds

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 table on the previous page assume reinvestment of all distributions, if any, at net asset value (“NAV”) on the ex-dividend date. 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 administration, service and distribution fees applicable to each class, which are deducted from the income available to be paid to shareholders. BlackRock Advisors, LLC (“BAL” or the “Administrator”), the Fund’s administrator, voluntarily waived a portion of the Fund’s expenses. Without such waiver, the Fund’s performance would have been lower. The Administrator is under no obligation to waive or to continue waiving its fees and such voluntary waiver may be reduced or discontinued at any time. See Note 4 of the Notes to Financial Statements for additional information on waivers.

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 on previous page (which is based on a hypothetical investment of $1,000 invested on July 1, 2015 and held through December 31, 2015) 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 any 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 Master Portfolio may invest in various derivative financial instruments. Derivative financial instruments are used to obtain exposure to a security, index and/or market without owning or taking physical custody of securities 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. Derivative financial instruments also 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 derivative financial instrument. The Master Portfolio’s ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Master Portfolio can realize on an investment and/or may result in lower distributions paid to shareholders. The Master Portfolio’s investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.

6 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2015

Statement of Assets and Liabilities BlackRock S&P 500 Index Fund

December 31, 2015
Assets
Investments at value — Master Portfolio (cost — $4,464,101,283)	$	6,053,620,189
Capital shares sold receivable		61,785,347
Total assets		6,115,405,536
Liabilities
Payables:
Capital shares redeemed		40,682,016
Contributions to the Master Portfolio		21,103,331
Service and distribution fees		366,240
Administration fees		285,122
Professional fees		12,003
Other accrued expenses		298
Total liabilities		62,449,010
Net Assets	$	6,052,956,526
Net Assets Consist of
Paid-in capital	$	4,320,374,234
Distributions in excess of net investment income		(2,630,085	)
Accumulated net realized gain allocated from the Master Portfolio		145,693,471
Net unrealized appreciation (depreciation) allocated from the Master Portfolio		1,589,518,906
Net Assets	$	6,052,956,526
Net Asset Value
Institutional — Based on net assets of $3,247,607,247 and 13,281,384 shares outstanding, unlimited number of shares authorized, no par value	$	244.52
Service — Based on net assets of $304,087,740 and 1,243,610 shares outstanding, unlimited number of shares authorized, no par value	$	244.52
Investor A — Based on net assets of $1,281,537,815 and 5,241,067 shares outstanding, unlimited number of shares authorized, no par value	$	244.52
Investor C1 — Based on net assets of $74,558,241 and 304,823 shares outstanding, unlimited number of shares authorized, no par value	$	244.59
Class K — Based on net assets of $1,145,165,483 and 4,682,592 shares outstanding, unlimited number of shares authorized, no par value	$	244.56

See Notes to Financial Statements.
	BLACKROCK S&P 500 INDEX FUND	DECEMBER 31, 2015	7

Statement of Operations BlackRock S&P 500 Index Fund

Year Ended December 31, 2015
Investment Income
Net investment income allocated from the Master Portfolio:
Dividends — unaffiliated	$	109,646,924
Dividends — affiliated		639,209
Interest — affiliated		389,646
Securities lending — affiliated — net		286,990
Foreign taxes withheld		(7,526	)
Expenses		(2,523,867	)
Fees waived		327,295
Total income		108,758,671
Fund Expenses
Administration — Institutional		1,993,000
Administration — Service		115,428
Administration — Investor A		846,466
Administration — Investor C1		108,289
Service — Service		433,111
Service — Investor A		3,024,575
Service and distribution — Investor C1		696,136
Professional		20,087
Miscellaneous		325
Total expenses		7,237,417
Less administration fees waived		(20,087	)
Total expenses after fees waived		7,217,330
Net investment income		101,541,341
Realized and Unrealized Gain (Loss) Allocation from the Master Portfolio
Net realized gain from investments and financial futures contracts		78,044,657
Net change in unrealized appreciation (depreciation) on investments and financial futures contracts		(128,478,964	)
Net realized and unrealized loss		(50,434,307	)
Net Increase in Net Assets Resulting from Operations	$	51,107,034

See Notes to Financial Statements.
8	BLACKROCK S&P 500 INDEX FUND	DECEMBER 31, 2015

Statements of Changes in Net Assets BlackRock S&P 500 Index Fund

	Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014
Operations
Net investment income	$	101,541,341		$	72,193,968
Net realized gain		78,044,657			57,400,988
Net change in unrealized appreciation (depreciation)		(128,478,964	)		382,247,974
Net increase in net assets resulting from operations		51,107,034			511,842,930
Distributions to Shareholders1
From net investment income:
Institutional		(57,769,260	)		(32,595,160	)
Service		(5,322,477	)		(4,674,737	)
Investor A		(20,472,384	)		(17,698,998	)
Investor C1		(718,684	)		(685,660	)
Class K		(20,537,451	)		(16,857,221	)
From net realized gain:
Institutional		(15,240,580	)		—
Service		(1,436,649	)		—
Investor A		(5,932,833	)		—
Investor C1		(349,393	)		—
Class K		(5,391,331	)		—
Decrease in net assets resulting from distributions to shareholders		(133,171,042	)		(72,511,776	)
Capital Share Transactions
Net increase in net assets derived from capital share transactions		1,795,625,047			127,074,885
Net Assets
Total increase in net assets		1,713,561,039			566,406,039
Beginning of year		4,339,395,487			3,772,989,448
End of year	$	6,052,956,526		$	4,339,395,487
Undistributed (distributions in excess of) net investment income, end of year	$	(2,630,085	)	$	648,830
1    Distributions for annual periods determined in accordance with federal income tax regulations.

See Notes to Financial Statements.
	BLACKROCK S&P 500 INDEX FUND	DECEMBER 31, 2015	9

Financial Highlights BlackRock S&P 500 Index Fund

	Institutional
	Year Ended December 31,						Period April 10, 20131 to December 31, 2013
	2015			2014
Per Share Operating Performance
Net asset value, beginning of period	$	247.36		$	221.97		$	190.60
Net investment income2		4.79			4.28			2.89
Net realized and unrealized gain (loss)		(1.71	)		25.50			31.21
Net increase from investment operations		3.08			29.78			34.10
Distributions:3
From net investment income		(4.77	)		(4.39	)		(2.73	)
From net realized gain		(1.15	)		—			—
Total distributions		(5.92	)		(4.39	)		(2.73	)
Net asset value, end of period	$	244.52		$	247.36		$	221.97
Total Return4
Based on net asset value		1.28%			13.53%			18.03%	5
Ratios to Average Net Assets6
Total expenses		0.11%	7		0.14%	8		0.23%	8,9
Total expenses after fees waived		0.11%	7		0.14%	8		0.23%	8,9
Net investment income		1.93%	7		1.84%	8		1.93%	8,9
Supplemental Data
Net assets, end of period (000)	$	3,247,607		$	1,909,077		$	1,570,760
Portfolio turnover rate of the Master Portfolio		2%			3%			2%

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Aggregate total return.

⁶  Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁷  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.01%.

⁸  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of less than 0.01%.

⁹  Annualized.

See Notes to Financial Statements.
10	BLACKROCK S&P 500 INDEX FUND	DECEMBER 31, 2015

Financial Highlights (continued) BlackRock S&P 500 Index Fund

	Service
	Year Ended December 31,						Period April 19, 20131 to December  31, 2013
	2015			2014
Per Share Operating Performance
Net asset value, beginning of period	$	247.35		$	221.97		$	186.71
Net investment income2		4.48			3.98			2.59
Net realized and unrealized gain (loss)		(1.69	)		25.50			35.22
Net increase from investment operations		2.79			29.48			37.81
Distributions:3
From net investment income		(4.47	)		(4.10	)		(2.55	)
From net realized gain		(1.15	)		—			—
Total distributions		(5.62	)		(4.10	)		(2.55	)
Net asset value, end of period	$	244.52		$	247.35		$	221.97
Total Return4
Based on net asset value		1.16%			13.39%			20.39%	5
Ratios to Average Net Assets6
Total expenses		0.23%	7		0.27%	8		0.35%	8,9
Total expenses after fees waived		0.23%	7		0.27%	8		0.35%	8,9
Net investment income		1.81%	7		1.71%	8		1.81%	8,9
Supplemental Data
Net assets, end of period (000)	$	304,088		$	277,856		$	252,419
Portfolio turnover rate of the Master Portfolio		2%			3%			2%

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Aggregate total return.

⁶  Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income.

⁷  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.01%.

⁸  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of less than 0.01%.

⁹  Annualized.

See Notes to Financial Statements.
	BLACKROCK S&P 500 INDEX FUND	DECEMBER 31, 2015	11

Financial Highlights (continued) BlackRock S&P 500 Index Fund

	Investor A
	Year Ended December 31,						Period April 10, 20131 to December 31, 2013
	2015			2014
Per Share Operating Performance
Net asset value, beginning of period	$	247.35		$	221.96		$	190.60
Net investment income2		4.16			3.68			2.50
Net realized and unrealized gain (loss)		(1.69	)		25.51			31.23
Net increase from investment operations		2.47			29.19			33.73
Distributions:3
From net investment income		(4.15	)		(3.80	)		(2.37	)
From net realized gain		(1.15	)		—			—
Total distributions		(5.30	)		(3.80	)		(2.37	)
Net asset value, end of period	$	244.52		$	247.35		$	221.96
Total Return4
Based on net asset value		1.03%			13.25%			17.82%	5
Ratios to Average Net Assets6
Total expenses		0.36%	7		0.39%	8		0.48%	8,9
Total expenses after fees waived		0.36%	7		0.39%	8		0.48%	8,9
Net investment income		1.68%	7		1.59%	8		1.67%	8,9
Supplemental Data
Net assets, end of period (000)	$	1,281,538		$	1,149,714		$	1,046,428
Portfolio turnover rate of the Master Portfolio		2%			3%			2%

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Aggregate total return.

⁶  Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁷  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.01%.

⁸  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of less than 0.01%.

⁹  Annualized.

See Notes to Financial Statements.
12	BLACKROCK S&P 500 INDEX FUND	DECEMBER 31, 2015

Financial Highlights (continued) BlackRock S&P 500 Index Fund

	Investor C1
	Year Ended December 31,						Period April 19, 20131 to December  31, 2013
	2015			2014
Per Share Operating Performance
Net asset value, beginning of period	$	247.36		$	221.98		$	186.71
Net investment income2		2.36			1.98			1.38
Net realized and unrealized gain (loss)		(1.65	)		25.48			35.22
Net increase from investment operations		0.71			27.46			36.60
Distributions:3
From net investment income		(2.33	)		(2.08	)		(1.33	)
Form net realized gain		(1.15	)		—			—
Total distributions		(3.48	)		(2.08	)		(1.33	)
Net asset value, end of period	$	244.59		$	247.36		$	221.98
Total Return4
Based on net asset value		0.30%			12.42%			19.68%	5
Ratios to Average Net Assets6
Total expenses		1.08%	7		1.12%	8		1.19%	8,9
Total expenses after fees waived		1.08%	7		1.12%	8		1.19%	8,9
Net investment income		0.95%	7		0.85%	8		0.97%	8,9
Supplemental Data
Net assets, end of period (000)	$	74,558		$	79,476		$	77,040
Portfolio turnover rate of the Master Portfolio		2%			3%			2%

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Aggregate total return.

⁶  Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁷  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.01%.

⁸  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of less than 0.01%.

⁹  Annualized.

See Notes to Financial Statements.
	BLACKROCK S&P 500 INDEX FUND	DECEMBER 31, 2015	13

Financial Highlights (concluded) BlackRock S&P 500 Index Fund

	Class K
	Year Ended December 31,
	2015		2014		2013		2012		2011
Per Share Operating Performance
Net asset value, beginning of year	$	247.39	$	221.99	$	171.12	$	150.57	$	150.60
Net investment income1		4.97		4.44		3.91		3.57		2.97
Net realized and unrealized gain (loss)		(1.72)		25.51		50.74		20.23		(0.05)
Net increase from investment operations		3.25		29.95		54.65		23.80		2.92
Distributions:2
From net investment income		(4.93)		(4.55)		(3.78)		(3.25)		(2.92)
From net realized gain		(1.15)		—		—		—		—
From return of capital		—		—		—		—		(0.03)
Total distributions		(6.08)		(4.55)		(3.78)		(3.25)		(2.95)
Net asset value, end of year	$	244.56	$	247.39	$	221.99	$	171.12	$	150.57
Total Return3
Based on net asset value		1.35%		13.61%		32.21%		15.85%		2.00%
Ratios to Average Net Assets4
Total expenses		0.04%5		0.07%6		0.17%6		0.26%5		0.19%6
Total expenses after fees waived		0.04%5		0.07%6		0.16%6		0.18%5		0.18%6
Net investment income		2.00%5		1.91%6		1.96%6		2.15%5		1.95%6
Supplemental Data
Net assets, end of year (000)	$	1,145,165	$	923,271	$	826,342	$	380,066	$	255,280
Portfolio turnover rate of the Master Portfolio		2%		3%		2%		10%		5%

¹  Based on average shares outstanding.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Where applicable, assumes the reinvestment of distributions.

⁴  Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income.

⁵  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.01%.

⁶  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of less than 0.01%.

See Notes to Financial Statements.
14	BLACKROCK S&P 500 INDEX FUND	DECEMBER 31, 2015

Notes to Financial Statements BlackRock S&P 500 Index Fund

1. Organization:

BlackRock S&P 500 Index Fund (the “Fund”) (formerly known as BlackRock S&P 500 Stock Fund), a series of BlackRock Funds III (the “Trust”), is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a diversified, open-end management investment company. The Trust is organized as a Delaware statutory trust. The Fund seeks to achieve its investment objective by investing all of its assets in S&P 500 Index Master Portfolio (the “Master Portfolio”) (formerly known as S&P 500 Stock Master Portfolio), a series of Master Investment Portfolio (“MIP”), an affiliate of the Fund, which has the same investment objective and strategies as the Fund. The value of the Fund’s investment in the Master Portfolio reflects the Fund’s proportionate interest in the net assets of the Master Portfolio. The performance of the Fund is directly affected by the performance of the Master Portfolio. At December 31, 2015, the percentage of the Master Portfolio owned by the Fund was 84.0%. The financial statements of the Master Portfolio, including the Schedule 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 Service, Investor A and Investor C1 Shares bear certain expenses related to shareholder servicing of such shares, and Investor C1 Shares also bears certain expenses related to distribution of such shares. Institutional and Class K Shares are sold only certain eligible investors. Investor A Shares are generally available through financial intermediaries. Investor C1 Shares are only available through distribution reinvestments by current holders and for purchase by certain employer-sponsored retirement plans. Each class has exclusive voting rights with respect to matters relating to its shareholder servicing and distribution expenditures. The Board of Trustees of the Trust and Boards of Trustees of MIP are referred to throughout this report as the “Board of Trustees” or the “Board” and the members are referred to as “Trustees.”

Share Class	Initial Sales Charge		CDSC		Conversion Privilege
Institutional Shares		No		No		None
Service Shares		No		No		None
Investor A Shares		No		No		None
Investor C1 Shares		No		No		None
Class K Shares		No		No		None

The Fund, together with certain other registered investment companies advised by BAL or its affiliates, is included in a complex of open-end funds referred to as the Equity-Liquidity 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 Investment Income: For financial reporting purposes, contributions to and withdrawals from the Master Portfolio are accounted on a trade date basis. The Fund records daily its proportionate share of the Master Portfolio’s income, expenses and realized and unrealized gains and losses. Realized and unrealized gains and losses are adjusted utilizing partnership tax allocation rules. In addition, the Fund accrues its own expenses. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.

Distributions: Distributions paid by the Fund are recorded on the ex-dividend date. The character and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.

Indemnifications: In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against the Fund, which cannot be predicted with any certainty.

Other: Expenses directly related to the Fund or its classes are charged to the Fund or the applicable class. Other operating expenses shared by several funds, including other funds managed by the Administrator, are prorated among those funds on the basis of relative net assets or other appropriate methods. Expenses directly related to the Fund and other shared expenses prorated to the Fund are allocated daily to each class based on its relative net assets or other appropriate methods.

BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2015 15

Notes to Financial Statements (continued) BlackRock S&P 500 Index Fund

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: The Fund’s policy is to fair value its financial instruments at fair value. The Fund records its investment in the Master Portfolio at fair value based on the Fund’s proportionate interest in the net assets of the Master Portfolio. Valuation of securities held by the Master Portfolio is discussed in Note 3 of the Master Portfolio’s Notes to Financial Statements, which are included elsewhere in this report.

4. Administration Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

The Trust, on behalf of the Fund, entered into an Administration Agreement BAL, which has agreed to provide general administration services (other than investment advice and related portfolio activities). BAL, in consideration thereof, has agreed to bear all of the Fund’s ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by the Fund. BAL is entitled to receive for these administration services an annual fee based on the average daily net assets attributed to each share class of the Fund as follows:

	Institutional		Service		Investor A		Investor C1		Class K
Rate		0.07%		0.04%		0.07%		0.14%		0.00%

From time to time, BAL may waive such fees in whole or in part. Any such waiver will reduce the expenses of the Fund and, accordingly, have a favorable impact on its performance. BAL may delegate certain of its administration duties to sub-administrators.

The fees and expenses of the Trust’s trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and the Trust’s independent registered public accounting firm (together, the “independent expenses”) are paid directly by the Fund. BAL has contractually agreed to provide an offsetting credit against the administration fees paid by the Fund in an amount equal to the independent expenses through April 30, 2016.

The Trust, on behalf of the Fund, entered into a Distribution Agreement and a Distribution and Service Plan with BlackRock Investments, LLC (“BRIL”), an affiliate of BAL. Pursuant to the Distribution and Service Plan 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:

	Service		Investor A		Investor C1
Service Fee		0.15%		0.25%		0.15%
Distribution Fee		—		—		0.75%

Pursuant to sub-agreements with BRIL, broker-dealers and 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 the shareholders.

For the year ended December 31, 2015, affiliates received CDSCs of $1,534 for Investor C1 Shares.

Certain officers and/or trustees of the Trust are officers and/or directors of BlackRock or its affiliates.

5. 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 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 remains open for each of the four years ended December 31, 2015. 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 December 31, 2015, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the Fund’s financial statements.

16 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2015

Notes to Financial Statements (continued) BlackRock S&P 500 Index Fund

The tax character of distributions paid was as follows:

	12/31/15		12/31/14
Ordinary income	$	104,820,256	$	72,511,776
Long-term capital gains		28,350,786		—
Total		133,171,042		72,511,776

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

Undistributed ordinary income	$	3,134,110
Undistributed long-term capital gains		7,688,407
Capital loss carryforwards		(101,398,044	)
Net unrealized gains (losses)1		1,823,157,819
Total	$	1,732,582,292

¹  The differences between book-basis and tax-basis net unrealized gains (losses) was attributable primarily to the limiting and recognition of partnership income.

As of period end, the Fund had a capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

Expires December 31,
2016	$	50,950,914
2017		21,080,621
2018		29,366,509
Total	$	101,398,044

During the year ended December 31, 2015, the Fund utilized $47,062,978 of its capital loss carryforward.

6. Capital Share Transactions:

Transactions in capital shares for each class were as follows:

	Year Ended December 31, 2015						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount
Institutional
Shares sold		9,491,979		$	2,366,531,483			3,533,974		$	824,534,139
Shares issued to shareholders in reinvestment of distributions		294,747			71,632,015			134,268			31,617,898
Shares redeemed		(4,223,183	)		(1,045,339,030)			(3,026,858	)		(706,662,787	)
Net increase		5,563,543		$	1,392,824,468			641,384		$	149,489,250
Service
Shares sold		363,978		$	87,835,046			171,454		$	40,125,114
Shares issued to shareholders in reinvestment of distributions		27,395			6,655,833			19,512			4,591,617
Shares redeemed		(271,091	)		(67,543,403	)		(204,834	)		(47,833,460	)
Net increase (decrease)		120,282		$	26,947,476			(13,868	)	$	(3,116,729	)
Investor A
Shares sold		1,779,017		$	439,866,474			1,367,982		$	318,342,711
Shares issued to shareholders in reinvestment of distributions		103,205			25,099,530			71,007			16,706,046
Shares redeemed		(1,289,344	)		(319,724,415	)		(1,505,189	)		(350,176,620	)
Net increase (decrease)		592,878		$	145,241,589			(66,200	)	$	(15,127,863	)

BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2015 17

Notes to Financial Statements (concluded) BlackRock S&P 500 Index Fund

	Year Ended December 31, 2015						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount
Investor C1
Shares sold		109		$	27,271			44		$	10,057
Shares issued to shareholders in reinvestment of distributions		3,910			952,238			2,574			605,881
Shares redeemed		(20,498	)		(5,108,301	)		(28,378	)		(6,561,824	)
Net decrease		(16,479	)	$	(4,128,792	)		(25,760	)	$	(5,945,886	)
Class K
Shares sold		1,648,844		$	408,582,198			931,025		$	217,851,261
Shares issued to shareholders in reinvestment of distributions		86,179			20,954,346			54,585			12,850,253
Shares redeemed		(784,525	)		(194,796,238	)		(975,948	)		(228,925,401	)
Net increase		950,498		$	234,740,306			9,662		$	1,776,113
Total Net Increase		7,210,722		$	1,795,625,047			545,218		$	127,074,885

7. 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.

18 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2015

Report of Independent Registered Public Accounting Firm BlackRock S&P 500 Index Fund

To the Board of Trustees of BlackRock Funds III and the Shareholders of BlackRock S&P 500 Index Fund:

In our opinion, the accompanying statement of assets and liabilities and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of BlackRock S&P 500 Index Fund (the “Fund”), a series of BlackRock Funds III, at December 31, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 18, 2016

Important Tax Information (Unaudited)

During the fiscal year ended December 31, 2015, the following information is provided with respect to the ordinary income distributions paid by the Fund.

	January 2015 — December 2015
Qualified Dividend Income for Individuals1		100.00%
Dividends Qualifying for the Dividends Received Deduction for Corporations1		100.00%

¹  The Fund hereby designates the percentage indicated above or the maximum amount allowable by law.

Additionally, the Fund distributed long-term capital gains of $1.168146806 per share to shareholders on record December 8, 2015.

BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2015 19

Master Portfolio Information S&P 500 Index Master Portfolio

As of December 31, 2015

Ten Largest Holdings Percent of Net Assets

Apple, Inc.	3	%
Microsoft Corp.	2
Exxon Mobil Corp.	2
General Electric Co.	2
Johnson & Johnson	2
Amazon.com, Inc.	1
Wells Fargo & Co.	1
Berkshire Hathaway, Inc., Class B	1
JPMorgan Chase & Co.	1
Facebook, Inc., Class A	1

Sector Allocation Percent of Net Assets

Information Technology	20	%
Financials	16
Health Care	14
Consumer Discretionary	12
Consumer Staples	10
Industrials	9
Energy	6
Utilities	3
Materials	2
Telecommunication Services	2
Short-Term Securities	6

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 advisor. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

20 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2015

Schedule of Investments December 31, 2015 S&P 500 Index Master Portfolio (Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Aerospace & Defense — 2.6%
Boeing Co.		240,495	$	34,773,172
General Dynamics Corp.		113,371		15,572,640
Honeywell International, Inc.		294,035		30,453,205
L-3 Communications Holdings, Inc.		30,482		3,642,904
Lockheed Martin Corp.		100,838		21,896,972
Northrop Grumman Corp.		69,580		13,137,400
Precision Castparts Corp.		52,489		12,177,973
Raytheon Co.		115,181		14,343,490
Rockwell Collins, Inc.		50,000		4,615,000
Textron, Inc.		104,888		4,406,345
United Technologies Corp.		314,280		30,192,879
				185,211,980
Air Freight & Logistics — 0.6%
C.H. Robinson Worldwide, Inc.		53,806		3,337,048
Expeditors International of Washington, Inc.		72,048		3,249,365
FedEx Corp.		100,157		14,922,391
United Parcel Service, Inc., Class B		265,024		25,503,260
				47,012,064
Airlines — 0.6%
American Airlines Group, Inc.		239,207		10,130,417
Delta Air Lines, Inc.		300,068		15,210,447
Southwest Airlines Co.		248,101		10,683,229
United Continental Holdings, Inc. (a)		143,341		8,213,439
				44,237,532
Auto Components — 0.4%
BorgWarner, Inc.		85,875		3,712,376
Delphi Automotive PLC		106,934		9,167,452
Goodyear Tire & Rubber Co.		102,223		3,339,625
Johnson Controls, Inc.		248,185		9,800,826
				26,020,279
Automobiles — 0.6%
Ford Motor Co.		1,487,023		20,952,154
General Motors Co.		540,199		18,372,168
Harley-Davidson, Inc.		73,196		3,322,366
				42,646,688
Banks — 5.7%
Bank of America Corp.		3,972,257		66,853,085
BB&T Corp.		295,820		11,184,954
Citigroup, Inc.		1,136,435		58,810,511
Comerica, Inc.		67,515		2,824,153
Fifth Third Bancorp		304,791		6,126,299
Huntington Bancshares, Inc.		304,770		3,370,756
JPMorgan Chase & Co.		1,403,220		92,654,617
KeyCorp		319,063		4,208,441
M&T Bank Corp.		61,034		7,396,100
PNC Financial Services Group, Inc. (c)		193,874		18,478,131
Regions Financial Corp.		502,732		4,826,227
SunTrust Banks, Inc.		194,546		8,334,351
US Bancorp		628,115		26,801,667
Wells Fargo & Co.		1,774,929		96,485,141
Zions Bancorporation		77,740		2,122,302
				410,476,735
Beverages — 2.2%
Brown-Forman Corp., Class B		38,763		3,848,391
Coca-Cola Co.		1,493,137		64,145,166
Coca-Cola Enterprises, Inc.		79,972		3,937,821

Common Stocks	Shares		Value
Beverages (continued)
Constellation Brands, Inc., Class A		66,106	$	9,416,139
Dr Pepper Snapple Group, Inc.		72,432		6,750,662
Molson Coors Brewing Co., Class B		59,969		5,632,288
Monster Beverage Corp. (a)		57,702		8,595,290
PepsiCo, Inc.		556,258		55,581,299
				157,907,056
Biotechnology — 3.0%
Alexion Pharmaceuticals, Inc. (a)		85,814		16,369,020
Amgen, Inc.		287,716		46,704,938
Baxalta, Inc.		205,499		8,020,626
Biogen, Inc. (a)		85,037		26,051,085
Celgene Corp. (a)		299,968		35,924,168
Gilead Sciences, Inc.		549,816		55,635,881
Regeneron Pharmaceuticals, Inc. (a)		29,618		16,078,724
Vertex Pharmaceuticals, Inc. (a)		93,745		11,795,933
				216,580,375
Building Products — 0.1%
Allegion PLC		36,356		2,396,587
Masco Corp.		128,376		3,633,041
				6,029,628
Capital Markets — 2.0%
Affiliated Managers Group, Inc. (a)		20,598		3,290,736
Ameriprise Financial, Inc.		66,424		7,068,842
Bank of New York Mellon Corp.		417,285		17,200,488
BlackRock, Inc. (c)		48,211		16,416,810
Charles Schwab Corp.		457,474		15,064,619
E*Trade Financial Corp. (a)		110,106		3,263,542
Franklin Resources, Inc.		144,547		5,322,220
Goldman Sachs Group, Inc.		151,335		27,275,107
Invesco Ltd.		162,677		5,446,426
Legg Mason, Inc.		42,074		1,650,563
Morgan Stanley		578,141		18,390,665
Northern Trust Corp.		83,055		5,987,435
State Street Corp.		154,858		10,276,377
T. Rowe Price Group, Inc.		95,798		6,848,599
				143,502,429
Chemicals — 2.0%
Air Products & Chemicals, Inc.		73,970		9,624,237
Airgas, Inc.		25,115		3,473,907
CF Industries Holdings, Inc.		88,430		3,608,828
Dow Chemical Co.		429,352		22,103,041
E.I. du Pont de Nemours & Co.		334,641		22,287,091
Eastman Chemical Co.		56,411		3,808,307
Ecolab, Inc.		101,467		11,605,795
FMC Corp.		51,233		2,004,747
International Flavors & Fragrances, Inc.		30,579		3,658,472
LyondellBasell Industries NV, Class A		137,177		11,920,681
Monsanto Co.		167,907		16,542,198
Mosaic Co.		127,934		3,529,699
PPG Industries, Inc.		102,725		10,151,285
Praxair, Inc.		108,701		11,130,982
Sherwin-Williams Co.		30,064		7,804,614
				143,253,884
Commercial Services & Supplies — 0.4%
ADT Corp. (b)		64,481		2,126,583
Cintas Corp.		33,874		3,084,228
Iron Mountain, Inc.		72,798		1,966,274

See Notes to Financial Statements.

BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2015 21

Schedule of Investments (continued) S&P 500 Index Master Portfolio

Common Stocks	Shares		Value
Commercial Services & Supplies (continued)
Pitney Bowes, Inc.		76,940	$	1,588,811
Republic Services, Inc.		91,353		4,018,619
Stericycle, Inc. (a)		32,190		3,882,114
Tyco International PLC		159,943		5,100,582
Waste Management, Inc.		159,593		8,517,478
				30,284,689
Communications Equipment — 1.3%
Cisco Systems, Inc.		1,936,152		52,576,207
F5 Networks, Inc. (a)		27,190		2,636,342
Harris Corp.		47,079		4,091,165
Juniper Networks, Inc.		134,201		3,703,948
Motorola Solutions, Inc.		61,006		4,175,861
QUALCOMM, Inc.		573,823		28,682,543
				95,866,066
Construction & Engineering — 0.1%
Fluor Corp.		54,461		2,571,648
Jacobs Engineering Group, Inc. (a)		46,610		1,955,289
Quanta Services, Inc. (a)		60,930		1,233,833
				5,760,770
Construction Materials — 0.1%
Martin Marietta Materials, Inc.		25,424		3,472,410
Vulcan Materials Co.		50,538		4,799,594
				8,272,004
Consumer Finance — 0.8%
American Express Co.		319,160		22,197,578
Capital One Financial Corp.		203,158		14,663,944
Discover Financial Services		163,062		8,743,384
Navient Corp.		143,530		1,643,419
Synchrony Financial (a)		318,136		9,674,516
				56,922,841
Containers & Packaging — 0.2%
Avery Dennison Corp.		34,921		2,188,150
Ball Corp.		52,428		3,813,088
Owens-Illinois, Inc. (a)		60,630		1,056,175
Sealed Air Corp.		75,305		3,358,603
WestRock Co.		99,358		4,532,712
				14,948,728
Distributors — 0.1%
Genuine Parts Co.		57,524		4,940,736
Diversified Consumer Services — 0.0%
H&R Block, Inc.		89,468		2,980,179
Diversified Financial Services — 1.9%
Berkshire Hathaway, Inc., Class B (a)		715,094		94,421,012
CME Group, Inc.		129,039		11,690,933
IntercontinentalExchange Group, Inc.		45,292		11,606,528
Leucadia National Corp.		128,188		2,229,189
McGraw-Hill Financial, Inc.		103,400		10,193,172
Moody’s Corp.		66,123		6,634,782
NASDAQ OMX Group, Inc.		43,853		2,550,929
				139,326,545
Diversified Telecommunication Services — 2.3%
AT&T, Inc.		2,346,504		80,743,203
CenturyLink, Inc.		209,466		5,270,164
Frontier Communications Corp.		443,273		2,070,085

Common Stocks	Shares		Value
Diversified Telecommunication Services (continued)
Level 3 Communications, Inc. (a)		109,366	$	5,945,136
Verizon Communications, Inc.		1,551,983		71,732,654
				165,761,242
Electric Utilities — 1.6%
American Electric Power Co., Inc.		187,420		10,920,963
Duke Energy Corp.		262,794		18,760,864
Edison International		123,628		7,320,014
Entergy Corp.		68,122		4,656,820
Eversource Energy		120,351		6,146,326
Exelon Corp.		350,758		9,740,550
FirstEnergy Corp.		160,299		5,086,287
NextEra Energy, Inc.		175,850		18,269,056
Pepco Holdings, Inc.		96,326		2,505,439
Pinnacle West Capital Corp.		42,049		2,711,319
PPL Corp.		256,275		8,746,666
Southern Co.		346,768		16,225,275
Xcel Energy, Inc.		192,460		6,911,239
				118,000,818
Electrical Equipment — 0.4%
AMETEK, Inc.		91,889		4,924,332
Eaton Corp. PLC		177,392		9,231,480
Emerson Electric Co.		249,350		11,926,410
Rockwell Automation, Inc.		50,887		5,221,515
				31,303,737
Electronic Equipment, Instruments & Components — 0.3%
Amphenol Corp., Class A		117,305		6,126,840
Corning, Inc.		451,663		8,256,400
FLIR Systems, Inc.		53,634		1,505,506
TE Connectivity Ltd.		147,391		9,522,933
				25,411,679
Energy Equipment & Services — 1.0%
Baker Hughes, Inc.		165,395		7,632,979
Cameron International Corp. (a)		72,670		4,592,744
Diamond Offshore Drilling, Inc.		23,577		497,475
Ensco PLC, Class A		89,455		1,376,712
FMC Technologies, Inc. (a)		87,231		2,530,571
Halliburton Co.		326,476		11,113,243
Helmerich & Payne, Inc.		41,087		2,200,209
National Oilwell Varco, Inc.		143,343		4,800,557
Schlumberger Ltd.		480,171		33,491,927
Transocean Ltd. (a)(b)		127,604		1,579,738
				69,816,155
Food & Staples Retailing — 2.2%
Costco Wholesale Corp.		166,763		26,932,224
CVS Health Corp.		422,889		41,345,858
Kroger Co.		371,604		15,544,195
Sysco Corp.		200,307		8,212,587
Wal-Mart Stores, Inc.		598,794		36,706,072
Walgreens Boots Alliance, Inc.		332,546		28,317,955
Whole Foods Market, Inc.		130,299		4,365,017
				161,423,908
Food Products — 1.6%
Archer-Daniels-Midland Co.		227,849		8,357,501
Campbell Soup Co.		68,340		3,591,267
ConAgra Foods, Inc.		163,821		6,906,693
General Mills, Inc.		227,190		13,099,776

See Notes to Financial Statements.

22 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2015

Schedule of Investments (continued) S&P 500 Index Master Portfolio

Common Stocks	Shares		Value
Food Products (continued)
Hershey Co.		55,424	$	4,947,701
Hormel Foods Corp.		51,142		4,044,309
J.M. Smucker Co.		45,407		5,600,499
Kellogg Co.		96,599		6,981,210
Keurig Green Mountain, Inc.		44,305		3,986,564
Kraft Heinz Co.		227,025		16,518,339
McCormick & Co., Inc.		44,003		3,764,897
Mead Johnson Nutrition Co.		75,219		5,938,540
Mondelez International, Inc., Class A		606,301		27,186,537
Tyson Foods, Inc., Class A		112,895		6,020,690
				116,944,523
Gas Utilities — 0.0%
AGL Resources, Inc.		45,568		2,907,694
Health Care Equipment & Supplies — 2.0%
Abbott Laboratories		569,068		25,556,844
Baxter International, Inc.		207,004		7,897,203
Becton Dickinson & Co.		80,403		12,389,298
Boston Scientific Corp. (a)		509,961		9,403,681
C.R. Bard, Inc.		28,155		5,333,683
DENTSPLY International, Inc.		53,050		3,228,092
Edwards Lifesciences Corp. (a)		81,594		6,444,294
Intuitive Surgical, Inc. (a)		14,254		7,784,965
Medtronic PLC		536,610		41,276,041
St. Jude Medical, Inc.		106,908		6,603,707
Stryker Corp.		120,023		11,154,938
Varian Medical Systems, Inc. (a)		37,730		3,048,584
Zimmer Biomet Holdings, Inc.		64,820		6,649,884
				146,771,214
Health Care Providers & Services — 2.6%
Aetna, Inc.		133,113		14,392,178
AmerisourceBergen Corp.		74,585		7,735,210
Anthem, Inc.		99,259		13,840,675
Cardinal Health, Inc.		125,525		11,205,617
Cigna Corp.		98,290		14,382,776
DaVita HealthCare Partners, Inc. (a)		64,598		4,503,127
Express Scripts Holding Co. (a)(b)		258,008		22,552,479
HCA Holdings, Inc. (a)(b)		119,741		8,098,084
Henry Schein, Inc. (a)		31,645		5,005,922
Humana, Inc.		56,213		10,034,583
Laboratory Corp. of America Holdings (a)		38,173		4,719,710
McKesson Corp.		87,784		17,313,638
Patterson Cos., Inc.		32,950		1,489,669
Quest Diagnostics, Inc.		54,471		3,875,067
Tenet Healthcare Corp. (a)(b)		37,071		1,123,251
UnitedHealth Group, Inc.		363,912		42,810,608
Universal Health Services, Inc., Class B		34,809		4,159,327
				187,241,921
Health Care Technology — 0.1%
Cerner Corp. (a)		116,535		7,011,911
Hotels, Restaurants & Leisure — 1.8%
Carnival Corp.		175,645		9,569,140
Chipotle Mexican Grill, Inc. (a)(b)		11,817		5,670,388
Darden Restaurants, Inc.		43,263		2,753,257
Marriott International, Inc., Class A		73,547		4,930,591
McDonald’s Corp.		350,624		41,422,719
Royal Caribbean Cruises Ltd.		65,097		6,588,467
Starbucks Corp.		566,482		34,005,915
Starwood Hotels & Resorts Worldwide, Inc.		64,650		4,478,952

Common Stocks	Shares		Value
Hotels, Restaurants & Leisure (continued)
Wyndham Worldwide Corp.		44,319	$	3,219,775
Wynn Resorts Ltd.		31,147		2,155,061
Yum! Brands, Inc.		163,620		11,952,441
				126,746,706
Household Durables — 0.4%
D.R. Horton, Inc.		123,864		3,967,364
Garmin Ltd.		45,658		1,697,108
Harman International Industries, Inc.		27,006		2,544,235
Leggett & Platt, Inc.		51,213		2,151,970
Lennar Corp., Class A		68,310		3,341,042
Mohawk Industries, Inc. (a)		24,120		4,568,087
Newell Rubbermaid, Inc.		101,616		4,479,233
PulteGroup, Inc.		123,123		2,194,052
Whirlpool Corp.		29,756		4,370,264
				29,313,355
Household Products — 1.8%
Church & Dwight Co., Inc.		50,034		4,246,886
Clorox Co.		48,814		6,191,079
Colgate-Palmolive Co.		341,553		22,754,261
Kimberly-Clark Corp.		138,223		17,595,788
Procter & Gamble Co.		1,037,965		82,424,801
				133,212,815
Independent Power and Renewable Electricity Producers — 0.1%
AES Corp.		259,097		2,479,558
NRG Energy, Inc.		124,274		1,462,705
				3,942,263
Industrial Conglomerates — 2.4%
3M Co.		234,929		35,389,705
Danaher Corp.		227,608		21,140,231
General Electric Co.		3,600,797		112,164,827
Roper Industries, Inc.		38,198		7,249,598
				175,944,361
Insurance — 2.6%
ACE Ltd.		123,702		14,454,579
Aflac, Inc.		163,426		9,789,217
Allstate Corp.		147,749		9,173,735
American International Group, Inc.		472,012		29,250,584
Aon PLC		104,502		9,636,129
Assurant, Inc.		25,099		2,021,473
Chubb Corp.		86,703		11,500,286
Cincinnati Financial Corp.		56,039		3,315,828
Hartford Financial Services Group, Inc.		157,412		6,841,125
Lincoln National Corp.		95,223		4,785,908
Loews Corp.		106,892		4,104,653
Marsh & McLennan Cos., Inc.		199,002		11,034,661
MetLife, Inc.		423,797		20,431,253
Principal Financial Group, Inc.		104,012		4,678,460
Progressive Corp.		222,331		7,070,126
Prudential Financial, Inc.		171,131		13,931,775
Torchmark Corp.		44,249		2,529,273
Travelers Cos., Inc.		116,058		13,098,306
Unum Group		94,148		3,134,187
XL Group PLC		115,071		4,508,482
				185,290,040
Internet & Catalog Retail — 2.1%
Amazon.com, Inc. (a)		146,627		99,103,723
Expedia, Inc.		44,430		5,522,649

See Notes to Financial Statements.

BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2015 23

Schedule of Investments (continued) S&P 500 Index Master Portfolio

Common Stocks	Shares		Value
Internet & Catalog Retail (continued)
Netflix, Inc. (a)		163,054	$	18,650,117
Priceline Group, Inc. (a)		19,009		24,235,525
TripAdvisor, Inc. (a)(b)		42,846		3,652,621
				151,164,635
Internet Software & Services — 4.2%
Akamai Technologies, Inc. (a)		67,768		3,566,630
Alphabet, Inc., Class A (a)		111,137		86,465,698
Alphabet, Inc., Class C (a)		113,316		85,993,246
eBay, Inc. (a)		421,413		11,580,429
Equinix, Inc.		23,643		7,149,643
Facebook, Inc., Class A (a)		866,111		90,647,177
VeriSign, Inc. (a)(b)		37,897		3,310,682
Yahoo!, Inc. (a)		331,457		11,024,260
				299,737,765
IT Services — 3.5%
Accenture PLC, Class A		238,296		24,901,932
Alliance Data Systems Corp. (a)(b)		23,311		6,447,123
Automatic Data Processing, Inc.		176,751		14,974,345
Cognizant Technology Solutions Corp., Class A (a)		231,284		13,881,666
CSRA, Inc.		52,490		1,574,700
Fidelity National Information Services, Inc.		106,846		6,474,868
Fiserv, Inc. (a)		87,186		7,974,031
International Business Machines Corp.		340,397		46,845,435
Mastercard, Inc., Class A		378,687		36,868,966
Paychex, Inc.		121,983		6,451,681
PayPal Holdings, Inc. (a)		424,460		15,365,452
Teradata Corp. (a)(b)		52,962		1,399,256
Total System Services, Inc.		64,216		3,197,957
Visa, Inc., Class A		742,527		57,582,969
Western Union Co.		194,260		3,479,197
Xerox Corp.		363,316		3,862,049
				251,281,627
Leisure Products — 0.1%
Hasbro, Inc.		42,655		2,873,241
Mattel, Inc.		128,486		3,490,964
				6,364,205
Life Sciences Tools & Services — 0.6%
Agilent Technologies, Inc.		125,750		5,257,608
Illumina, Inc. (a)		55,849		10,719,936
PerkinElmer, Inc.		43,434		2,326,759
Thermo Fisher Scientific, Inc.		152,246		21,596,095
Waters Corp. (a)(b)		31,218		4,201,319
				44,101,717
Machinery — 1.1%
Caterpillar, Inc.		222,112		15,094,732
Cummins, Inc.		63,044		5,548,502
Deere & Co.		118,296		9,022,436
Dover Corp.		59,371		3,640,036
Flowserve Corp.		49,918		2,100,549
Illinois Tool Works, Inc.		125,021		11,586,946
Ingersoll-Rand PLC		100,688		5,567,040
PACCAR, Inc.		134,692		6,384,401
Parker Hannifin Corp.		52,523		5,093,681
Pentair PLC		68,322		3,383,989
Snap-on, Inc.		22,074		3,784,146
Stanley Black & Decker, Inc.		57,121		6,096,524
Xylem, Inc.		69,479		2,535,983
				79,838,965

Common Stocks	Shares		Value
Media — 2.9%
Cablevision Systems Corp., New York Group, Class A		84,366	$	2,691,275
CBS Corp., Class B		165,455		7,797,894
Comcast Corp., Class A		931,729		52,577,467
Discovery Communications, Inc., Class A (a)(b)		57,385		1,531,032
Discovery Communications, Inc., Class C (a)(b)		97,018		2,446,794
Interpublic Group of Cos., Inc.		155,726		3,625,301
News Corp., Class A		145,390		1,942,410
News Corp., Class B		39,823		555,929
Omnicom Group, Inc.		92,186		6,974,793
Scripps Networks Interactive, Inc., Class A		35,252		1,946,263
TEGNA, Inc.		86,854		2,216,514
Time Warner Cable, Inc.		108,106		20,063,393
Time Warner, Inc.		305,259		19,741,100
Twenty-First Century Fox, Inc., Class A		446,680		12,131,829
Twenty-First Century Fox, Inc., Class B		163,618		4,455,318
Viacom, Inc., Class B		131,843		5,426,658
Walt Disney Co.		580,156		60,962,793
				207,086,763
Metals & Mining — 0.2%
Alcoa, Inc.		497,001		4,905,400
Freeport-McMoRan, Inc. (a)		431,404		2,920,605
Newmont Mining Corp.		200,749		3,611,474
Nucor Corp.		121,272		4,887,262
				16,324,741
Multi-Utilities — 1.1%
Ameren Corp.		92,068		3,980,100
CenterPoint Energy, Inc.		163,262		2,997,490
CMS Energy Corp.		104,981		3,787,714
Consolidated Edison, Inc.		111,130		7,142,325
Dominion Resources, Inc.		227,110		15,361,720
DTE Energy Co.		68,102		5,461,099
NiSource, Inc.		121,657		2,373,528
PG&E Corp.		187,118		9,952,806
Public Service Enterprise Group, Inc.		191,949		7,426,507
SCANA Corp.		54,230		3,280,373
Sempra Energy		89,368		8,401,486
TECO Energy, Inc.		89,252		2,378,566
WEC Energy Group, Inc.		119,786		6,146,220
				78,689,934
Multiline Retail — 0.6%
Dollar General Corp.		111,808		8,035,641
Dollar Tree, Inc. (a)		89,064		6,877,522
Kohl’s Corp.		72,396		3,448,221
Macy’s, Inc.		119,921		4,194,836
Nordstrom, Inc. (b)		53,112		2,645,509
Target Corp.		235,019		17,064,730
				42,266,459
Oil, Gas & Consumable Fuels — 5.2%
Anadarko Petroleum Corp.		192,764		9,364,475
Apache Corp.		143,426		6,378,154
Cabot Oil & Gas Corp.		157,019		2,777,666
Chesapeake Energy Corp. (a)(b)		196,223		883,003
Chevron Corp.		718,560		64,641,658
Cimarex Energy Co.		35,842		3,203,558
Columbia Pipeline Group, Inc.		148,442		2,968,840
ConocoPhillips		471,123		21,996,733
CONSOL Energy, Inc. (b)		83,199		657,272
Devon Energy Corp.		146,596		4,691,072

See Notes to Financial Statements.

24 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2015

Schedule of Investments (continued) S&P 500 Index Master Portfolio

Common Stocks	Shares		Value
Oil, Gas & Consumable Fuels (continued)
EOG Resources, Inc.		209,657	$	14,841,619
EQT Corp.		57,830		3,014,678
Exxon Mobil Corp.		1,589,368		123,891,236
Hess Corp.		91,496		4,435,726
Kinder Morgan, Inc.		698,588		10,422,933
Marathon Oil Corp.		256,956		3,235,076
Marathon Petroleum Corp.		203,444		10,546,537
Murphy Oil Corp.		62,282		1,398,231
Newfield Exploration Co. (a)		62,278		2,027,772
Noble Energy, Inc.		161,290		5,311,280
Occidental Petroleum Corp.		291,350		19,698,173
ONEOK, Inc.		79,368		1,957,215
Phillips 66		181,687		14,861,997
Pioneer Natural Resources Co.		56,655		7,103,404
Range Resources Corp. (b)		64,264		1,581,537
Southwestern Energy Co. (a)(b)		143,267		1,018,628
Spectra Energy Corp.		254,747		6,098,643
Tesoro Corp.		45,930		4,839,644
Valero Energy Corp.		183,710		12,990,134
Williams Cos., Inc.		258,873		6,653,036
				373,489,930
Paper & Forest Products — 0.1%
International Paper Co.		158,511		5,975,865
Personal Products — 0.1%
Estee Lauder Cos., Inc., Class A		84,910		7,477,175
Pharmaceuticals — 6.0%
AbbVie, Inc.		624,263		36,981,340
Allergan PLC (a)		150,475		47,023,438
Bristol-Myers Squibb Co.		636,922		43,813,864
Eli Lilly & Co.		372,353		31,374,464
Endo International PLC (a)		79,034		4,838,462
Johnson & Johnson		1,055,453		108,416,132
Mallinckrodt PLC (a)		44,526		3,322,975
Merck & Co., Inc.		1,065,671		56,288,742
Mylan NV (a)		156,676		8,471,471
Perrigo Co. PLC		55,506		8,031,718
Pfizer, Inc.		2,354,389		75,999,677
Zoetis, Inc.		174,177		8,346,562
				432,908,845
Professional Services — 0.3%
Dun & Bradstreet Corp.		13,739		1,427,894
Equifax, Inc.		44,868		4,996,949
Nielsen Holdings PLC		139,204		6,486,907
Robert Half International, Inc.		51,201		2,413,615
Verisk Analytics, Inc. (a)(b)		58,818		4,521,928
				19,847,293
Real Estate Investment Trusts (REITs) — 2.4%
American Tower Corp.		161,543		15,661,594
Apartment Investment & Management Co., Class A		58,207		2,330,026
AvalonBay Communities, Inc.		52,218		9,614,900
Boston Properties, Inc.		58,274		7,432,266
Crown Castle International Corp.		126,644		10,948,374
Equity Residential		138,150		11,271,658
Essex Property Trust, Inc.		24,947		5,972,561
General Growth Properties, Inc.		221,800		6,035,178
HCP, Inc.		177,556		6,789,741
Host Hotels & Resorts, Inc.		285,012		4,372,084
Kimco Realty Corp.		156,763		4,147,949

Common Stocks	Shares		Value
Real Estate Investment Trusts (REITs) (continued)
Macerich Co.		51,064	$	4,120,354
Plum Creek Timber Co., Inc.		66,550		3,175,766
Prologis, Inc. (b)		198,879		8,535,887
Public Storage		56,134		13,904,392
Realty Income Corp. (b)		94,705		4,889,619
Simon Property Group, Inc.		118,036		22,950,920
SL Green Realty Corp.		37,799		4,270,531
Ventas, Inc. (b)		126,167		7,119,604
Vornado Realty Trust		67,234		6,720,711
Welltower, Inc.		134,996		9,183,778
Weyerhaeuser Co.		195,110		5,849,398
				175,297,291
Real Estate Management & Development — 0.1%
CBRE Group, Inc., Class A (a)		109,989		3,803,420
Road & Rail — 0.7%
CSX Corp.		373,276		9,686,512
JB Hunt Transport Services, Inc.		34,926		2,562,171
Kansas City Southern		41,876		3,126,881
Norfolk Southern Corp.		114,361		9,673,797
Ryder System, Inc.		20,253		1,150,978
Union Pacific Corp.		325,793		25,477,013
				51,677,352
Semiconductors & Semiconductor Equipment — 2.3%
Analog Devices, Inc.		119,023		6,584,352
Applied Materials, Inc.		438,421		8,185,320
Avago Technologies Ltd.		100,096		14,528,935
Broadcom Corp., Class A		214,004		12,373,711
First Solar, Inc. (a)		28,806		1,900,908
Intel Corp.		1,800,270		62,019,302
KLA-Tencor Corp.		59,344		4,115,506
Lam Research Corp.		60,024		4,767,106
Linear Technology Corp.		90,976		3,863,751
Microchip Technology, Inc.		77,565		3,609,875
Micron Technology, Inc. (a)		414,099		5,863,642
NVIDIA Corp.		194,296		6,403,996
Qorvo, Inc. (a)		53,969		2,747,022
Skyworks Solutions, Inc.		72,375		5,560,571
Texas Instruments, Inc.		387,326		21,229,338
Xilinx, Inc.		98,147		4,609,965
				168,363,300
Software — 4.2%
Activision Blizzard, Inc.		190,871		7,388,616
Adobe Systems, Inc. (a)		190,237		17,870,864
Autodesk, Inc. (a)		85,831		5,229,683
CA, Inc.		119,417		3,410,550
Citrix Systems, Inc. (a)(b)		58,728		4,442,773
Electronic Arts, Inc. (a)		118,292		8,129,026
Intuit, Inc.		100,694		9,716,971
Microsoft Corp.		3,049,891		169,207,953
Oracle Corp.		1,221,699		44,628,664
Red Hat, Inc. (a)		69,623		5,765,481
Salesforce.com, Inc. (a)		238,045		18,662,728
Symantec Corp.		259,608		5,451,768
				299,905,077
Specialty Retail — 2.5%
Advance Auto Parts, Inc.		27,782		4,181,469
AutoNation, Inc. (a)		29,995		1,789,502

See Notes to Financial Statements.

BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2015 25

Schedule of Investments (continued) S&P 500 Index Master Portfolio

Common Stocks	Shares		Value
Specialty Retail (continued)
AutoZone, Inc. (a)		11,715	$	8,691,476
Bed Bath & Beyond, Inc. (a)(b)		64,412		3,107,879
Best Buy Co., Inc.		113,776		3,464,479
CarMax, Inc. (a)		77,312		4,172,529
GameStop Corp., Class A (b)		40,988		1,149,303
Gap, Inc.		87,395		2,158,656
Home Depot, Inc.		483,709		63,970,515
L Brands, Inc.		97,491		9,341,588
Lowe’s Cos., Inc.		349,065		26,542,902
O’Reilly Automotive, Inc. (a)		37,719		9,558,749
Ross Stores, Inc.		154,507		8,314,022
Signet Jewelers Ltd.		30,201		3,735,562
Staples, Inc.		244,200		2,312,574
Tiffany & Co.		42,568		3,247,513
TJX Cos., Inc.		255,888		18,145,018
Tractor Supply Co.		51,537		4,406,413
Urban Outfitters, Inc. (a)(b)		35,003		796,318
				179,086,467
Technology Hardware, Storage & Peripherals — 3.9%
Apple, Inc.		2,128,677		224,064,541
EMC Corp.		739,659		18,994,443
Hewlett Packard Enterprise Co.		685,439		10,418,673
HP, Inc.		685,439		8,115,598
NetApp, Inc.		113,866		3,020,865
SanDisk Corp. (a)		76,543		5,816,502
Seagate Technology PLC		114,606		4,201,456
Western Digital Corp.		87,426		5,249,931
				279,882,009
Textiles, Apparel & Luxury Goods — 0.9%
Coach, Inc.		104,966		3,435,537
Fossil Group, Inc. (a)(b)		15,506		566,899
Hanesbrands, Inc.		149,505		4,399,932
Michael Kors Holdings Ltd. (a)		70,282		2,815,497
NIKE, Inc., Class B		514,450		32,153,125

Common Stocks	Shares		Value
Textiles, Apparel & Luxury Goods (continued)
PVH Corp.		31,321	$	2,306,792
Ralph Lauren Corp.		22,311		2,487,230
Under Armour, Inc., Class A (a)		68,287		5,504,615
VF Corp.		129,207		8,043,136
				61,712,763
Thrifts & Mortgage Finance — 0.0%
People’s United Financial, Inc.		117,626		1,899,660
Tobacco — 1.5%
Altria Group, Inc.		748,557		43,573,503
Philip Morris International, Inc.		591,603		52,007,820
Reynolds American, Inc.		316,220		14,593,553
				110,174,876
Trading Companies & Distributors — 0.2%
Fastenal Co.		110,103		4,494,404
United Rentals, Inc. (a)		35,826		2,598,818
W.W. Grainger, Inc.		22,039		4,464,881
				11,558,103
Total Long-Term Investments (Cost — $4,307,043,966) — 94.7%				6,829,141,787
Short-Term Securities
Money Market Funds
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.35% (c)(d)(e)		374,887,021		374,887,021
BlackRock Cash Funds: Prime, SL Agency Shares, 0.31% (c)(d)(e)		26,986,879		26,986,879
Total Short-Term Securities (Cost — $401,873,900) — 5.6%				401,873,900
Total Investments (Cost — $4,708,917,866) — 100.3%				7,231,015,687
Liabilities in Excess of Other Assets — (0.3)%				(21,158,377	)
Net Assets — 100.0%			$	7,209,857,310

Notes to Schedule of Investments

(a) Non-income producing security.

(b) Security, or a portion of security, is on loan.

(c) During the year ended December 31, 2015, investments in issuers considered to be affiliates of the Master Portfolio for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares Held at December 31, 2014	Shares Purchased			Shares Sold			Shares Held at December 31, 2015		Value at December 31, 2015		Income			Realized Gain
BlackRock, Inc.	39,755		9,010			(554	)		48,211	$	16,416,810	$	397,804		$	6,560
BlackRock Cash Funds: Institutional, SL Agency Shares	76,063,771		298,823,250	1		—			374,887,021	$	374,887,021	$	677,147	2		—
BlackRock Cash Funds: Prime, SL Agency Shares	6,710,893		20,275,986	1		—			26,986,879	$	26,986,879	$	154,137	2		—
PNC Financial Services Group, Inc.	164,243		33,605			(3,974	)		193,874	$	18,478,131	$	363,494		$	58,747
1   Represents net shares purchased.
2   Represents all or a portion of 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.

(d) Current yield as of period end.

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

See Notes to Financial Statements.

26 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2015

Schedule of Investments (continued) S&P 500 Index Master Portfolio

Derivative Financial Instruments Outstanding as of Period End

Financial Futures Contracts

Contracts Long		Issue	Expiration	Notional Value		Unrealized Depreciation
	3,529	S&P 500 E-Mini Index	March 2016	$	359,146,330	$	(2,019,844	)

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

Liabilities — Derivative Financial Instruments		Commodity Contracts	Credit Contracts	Equity Contracts	Foreign Currency Exchange Contracts	Interest Rate Contracts	Other Contacts	Total
Financial futures contracts	Net unrealized depreciation1	—	—	$2,019,844	—	—	—	$	2,019,844
1    Includes cumulative (depreciation) on financial futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

For the year ended December 31, 2015, the effect of derivative financial instruments in the Statements of Operations was as follows:

Net Realized Gain (Loss) From:	Commodity Contracts	Credit Contracts	Equity Contracts			Foreign Currency Exchange Contracts	Interest Rate Contracts	Other Contacts	Total
Financial futures contracts	—	—		$6,310,848		—	—	—		$6,310,848
Net Change in Unrealized Appreciation (Depreciation) on:
Financial futures contracts	—	—	$	(2,629,831	)	—	—	—	$	(2,629,831	)

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Financial futures contracts:
Average notional value of contracts — long	$	257,192,816

For more information about the Master Portfolio’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 investments and derivative financial instruments. For information about the Master Portfolio’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Long-Term Investments:
Common Stocks1	$	6,829,141,787		—		—	$	6,829,141,787
Short-Term Securities
Money Market Funds		401,873,900		—		—		401,873,900
Total	$	7,231,015,687		—		—	$	7,231,015,687
1    See above Schedule of Investments for values in each industry.

See Notes to Financial Statements.

BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2015 27

Schedule of Investments (concluded) S&P 500 Index Master Portfolio

	Level 1			Level 2		Level 3		Total
Derivative Financial Instruments1
Liabilities:
Equity contracts	$	(2,019,844	)		—		—	$	(2,019,844	)
1    Derivative financial instruments are financial futures contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

	Level 1		Level 2			Level 3		Total
Assets:
Cash	$	8,150		—			—	$	8,150
Cash pledged for financial futures contracts		15,709,800		—			—		15,709,800
Liabilities:
Collateral on securities loaned at value		—	$	(61,937,100	)		—		(61,937,100	)
Total	$	15,717,950	$	(61,937,100	)		—	$	(46,219,150	)

During the year ended December 31, 2015, there were no transfers between levels.

See Notes to Financial Statements.

28 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2015

Statement of Assets and Liabilities S&P 500 Index Master Portfolio

December 31, 2015
Assets
Investments at value — unaffiliated (including securities loaned of $60,341,198) (cost — $4,285,016,231)	$	6,794,246,846
Investments at value — affiliated (cost — $423,901,635)		436,768,841
Cash		8,150
Cash pledged for financial futures contracts		15,709,800
Receivables:
Contributions from investors		21,561,549
Dividends		9,155,425
Securities lending income — affiliated		26,300
Total assets		7,277,476,911
Liabilities
Collateral on securities loaned at value		61,937,100
Variation margin payable on financial futures contracts		3,372,685
Payables:
Withdrawals to investors		1,167,056
Investments purchased		865,403
Investment advisory fees		208,644
Officer’s and Trustees’ fees		45,108
Professional fees		23,605
Total liabilities		67,619,601
Net Assets	$	7,209,857,310
Net Assets Consist of
Investors’ capital	$	4,689,779,333
Net unrealized appreciation (depreciation)		2,520,077,977
Net Assets	$	7,209,857,310

See Notes to Financial Statements.
	BLACKROCK S&P 500 INDEX FUND	DECEMBER 31, 2015	29

Statement of Operations S&P 500 Index Master Portfolio

Year Ended December 31, 2015
Investment Income
Dividends — unaffiliated	$	135,199,455
Dividends — affiliated		761,298
Interest — affiliated		477,528
Securities lending — affiliated — net		353,756
Foreign taxes withheld		(9,763	)
Total income		136,782,274
Expenses
Investment advisory		2,888,352
Officer and Directors		183,446
Professional		48,834
Total expenses		3,120,632
Less fees waived by the Manager		(402,964	)
Total expenses after fees waived		2,717,668
Net investment income		134,064,606
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments — unaffiliated		103,859,579
Investments — affiliated		65,307
Financial futures contracts		6,310,848
		110,235,734
Net change in unrealized appreciation (depreciation) on:
Investments — unaffiliated		(165,569,685	)
Investments — affiliated		(177,627	)
Financial futures contracts		(2,629,831	)
		(168,377,143	)
Net realized and unrealized loss		(58,141,409	)
Net Increase in Net Assets Resulting from Operations	$	75,923,197

See Notes to Financial Statements.
30	BLACKROCK S&P 500 INDEX FUND	DECEMBER 31, 2015

Statements of Changes in Net Assets S&P 500 Index Master Portfolio

	Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014
Operations
Net investment income	$	134,064,606		$	108,892,318
Net realized gain		110,235,734			76,733,344
Net change in unrealized appreciation (depreciation)		(168,377,143	)		527,569,116
Net increase in net assets resulting from operations		75,923,197			713,194,778
Capital Transactions
Proceeds from contributions		3,573,168,628			539,481,303
Value of withdrawals		(2,187,812,801	)		(775,228,002	)
Net increase (decrease) in net assets derived from capital transactions		1,385,355,827			(235,746,699	)
Net Assets
Total increase in net assets		1,461,279,024			477,448,079
Beginning of year		5,748,578,286			5,271,130,207
End of year	$	7,209,857,310		$	5,748,578,286

Financial Highlights S&P 500 Index Master Portfolio

	Year Ended December 31,
	2015		2014		2013		2012		2011
Total Return
Total return		1.35%		13.63%		32.33%		15.98%		2.13%
Ratios to Average Net Assets
Total expenses		0.05%		0.05%		0.05%		0.06%		0.06%
Total expenses after fees waived and paid indirectly		0.04%		0.05%		0.05%		0.05%		0.05%
Net investment income		2.00%		1.98%		2.08%		2.22%		2.08%
Supplemental Data
Net assets, end of year (000)		$7,209,857		$5,748,578		$5,271,130		$1,717,932		$2,108,316
Portfolio turnover rate		2%		3%		2%		10%		5%

See Notes to Financial Statements.
	BLACKROCK S&P 500 INDEX FUND	DECEMBER 31, 2015	31

Notes to Financial Statements S&P 500 Index Master Portfolio

1. Organization:

S&P 500 Index Master Portfolio (the “Master Portfolio”) (formerly known as S&P 500 Master Portfolio), a series of Master Investment Portfolio (“MIP”), is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a diversified, open-end management investment company. MIP is organized as a Delaware statutory trust.

The Master Portfolio, together with certain other registered investment companies advised by BlackRock Fund Advisors (the “Manager”) or its affiliates, is included in a complex of open-end funds referred to as the Equity-Liquidity 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 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:

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

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Master Portfolio is informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, some 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 the accrual basis.

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 fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statement of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges. Effective September 2015, the arrangement with its custodian for earning credits on uninvested cash balances has ceased and the custodian will be imposing fees on certain uninvested cash balances.

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: The Master Portfolio’s investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the 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 independent dealers or pricing services under policies approved by the Board of Trustees of MIP (the “Board”). The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to provide oversight of the pricing function for the Master Portfolio for all financial instruments.

32 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2015

Notes to Financial Statements (continued) S&P 500 Index Master Portfolio

Fair Value Inputs and Methodologies: The following methods (or “techniques”) and inputs are used to establish the fair value of the Master Portfolio’s assets and liabilities:

• Equity investments traded on a recognized securities exchange are valued at the official close price each day, if available. For equity investments traded on more than one exchange, the official close price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price.

• Investments in open-end U.S. mutual funds are valued at NAV each business day.

• Financial futures contracts traded on exchanges are valued at their last sale price.

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

Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:

• Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Master Portfolio has the ability to access

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

• Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Master Portfolio’s own assumptions used in determining the fair value of investments and derivative financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as Level 3. The fair value hierarchy for the Master Portfolio’s investments and derivative financial instruments has been included in the Schedule of Investments.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Master Portfolio’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

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,

BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2015 33

Notes to Financial Statements (continued) S&P 500 Index 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. 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. The cash collateral invested by the securities lending agent, BlackRock Institutional Trust Company, N.A. (“BTC”), 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 securities lending agreements by counterparty which are subject to offset under an MSLA:

Counterparty	Securities Loaned at Value		Cash Collateral Received1			Net Amount2
Barclays Capital, Inc.	$	833,142	$	(761,663	)	$	71,479
BNP Paribas S.A.		92,963		(92,963	)		—
Citigroup Global Markets, Inc.		9,411,295		(9,411,295	)		—
Credit Suisse Securities (USA) LLC		1,681,290		(1,681,290	)		—
Deutsche Bank Securities Inc.		2,725,596		(2,725,596	)		—
Goldman Sachs & Co.		1,772,090		(1,772,090	)		—
JP Morgan Securities LLC		10,281,600		(10,281,600	)		—
Merrill Lynch, Pierce, Fenner & Smith, Inc.		22,211,301		(22,211,301	)		—
Morgan Stanley		24,669		(24,669	)		—
National Financial Services LLC		490,035		(490,035	)		—
Scotia Capital (USA) Inc		6,814		(6,814	)		—
State Street Bank & Trust Co.		7,480,420		(7,480,420	)		—
UBS Securities LLC		3,144,497		(3,144,497	)		—
Wells Fargo Securities LLC		185,486		(169,572	)		15,914
Total	$	60,341,198	$	(60,253,805	)	$	87,393

¹  Collateral with a value of $61,937,100 has been received in connection with securities lending agreements. Collateral received in excess of the value of securities loaned from the individual counterparty is not shown for financial reporting purposes in the table above.

² The market value of the loaned securities is determined as of December 31, 2015. Additional collateral is delivered to the Master Portfolio on the next business day in accordance with the MSLA. The net amount would be subject to the borrower default indemnity in the event of default by the counterparty.

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 BlackRock, Inc. (“BlackRock”). BlackRock’s indemnity allows for full replacement of the securities loaned if the collateral received does not cover the value on the securities loaned in the event of borrower default. The Master Portfolio could suffer a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received.

5. Derivative Financial Instruments:

The Master Portfolio engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Master Portfolio and/or to manage economically its exposure to certain risks such as equity risk. These contracts may be transacted on an exchange or over-the-counter (“OTC”).

34 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2015

Notes to Financial Statements (continued) S&P 500 Index Master Portfolio

Financial Futures Contracts: The Master Portfolio invests in long and/or short positions in financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in the value of equity securities (equity risk). Financial 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 at a specified date. Depending on the terms of the particular contract, financial futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date.

Upon entering into a financial 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. Securities deposited as initial margin are designated on the Schedule of Investments and cash deposited, if any, is recorded on the Statement of Assets and Liabilities as cash pledged for financial futures contracts. 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 value of the contract. Such receipts or payments are known as variation margin. Variation margin is recorded by the the Master Portfolio as unrealized appreciation (depreciation) and, if applicable, as a receivable or payable for variation margin in the Statement of Assets and Liabilities.

When the contract is closed, the Master Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest or foreign currency exchange rates and the underlying assets.

6. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock for 1940 Act purposes.

MIP, on behalf of the Master Portfolio, entered into an Investment Advisory Agreement with the Manager, the Master Portfolio’s investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory services. The Manager is responsible for the management of the Master Portfolio’s investments 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 based on a percentage of the Master Portfolio’s average daily net assets an annual rate of 0.04%. Prior to April 30, 2015, the annual rate as a percentage of average daily net assets was 0.05%.

MIP entered into an Administration Agreement with BlackRock Advisors, LLC (“BAL”), which has agreed to provide general administration services (other than investment advice and related portfolio activities). BAL may delegate certain of its administration duties to sub-administrators.

BAL, in consideration thereof, has agreed to bear all of the Master Portfolio’s and MIP’s ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by the Master Portfolio.

BAL is not entitled to compensation for providing administration service to the Master Portfolio, for so long as BAL is entitled to compensation for providing administration service to corresponding feeder funds that invest substantially all of their assets in the Master Portfolio, or BAL (or an affiliate) receives investment advisory fees from the Master Portfolio.

The Manager, with respect to the Master Portfolio, voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the Master Portfolio pays to the Manager indirectly through its investment in affiliated money market funds. This amount is included in fees waived by the Manager in the Statement of Operations. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with the Master Portfolio’s investments in other affiliated investment companies, if any. For the year ended December 31, 2015, the amount waived was $170,684.

The fees and expenses of the MIP’s trustees who are not “interested persons” of the MIP, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and the MIP’s independent registered public accounting firm (together, the “independent expenses”) are paid directly by the Master Portfolio. The Manager has contractually agreed to cap the expenses of the Master Portfolio at the rate at which the Master Portfolio pays an advisory fee to the Manager by providing an offsetting credit against the investment advisory fees paid by the Master Portfolio in an amount equal to the independent expenses. This contractual waiver is effective through April 30, 2016. The amount of the waiver, if any, is shown as fees waived in the Statement of Operations.

The U.S. Securities and Exchange Commission has issued an exemptive order which permits BTC, an affiliate of the Manager, to serve as securities lending agent for the Master Portfolio, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to

BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2015 35

Notes to Financial Statements (continued) S&P 500 Index Master Portfolio

securities lending. The Master Portfolio is responsible for fees in connection with the investment of cash collateral received for securities on loan in a money market fund managed by the Manager or its affiliates, however, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees the Master Portfolio bears to an annual rate of 0.04% (the “collateral investment fees”).

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 fees. The Master Portfolio retains a portion of securities lending income and remits a remaining portion to BTC as compensation for its services as securities lending agent.

Pursuant to a securities lending agreement, BTC may lend securities only when the difference between the borrower rebate rate and the risk free rate exceeds a certain level (such securities, the “specials only securities”).

Pursuant to a securities lending agreement effective March 9, 2015, the Master Portfolio retains 71.5% of securities lending income, and this amount retained can never be less than 65% of the total of securities lending income plus the collateral investment fees. In addition, commencing the business day following the date that the aggregate securities lending income earned across certain funds in the Equity-Liquidity Complex in a calendar year exceeds a specified threshold, the Master Portfolio, pursuant to the securities lending agreement, will retain for the remainder of the calendar year securities lending income in an amount equal to 75% of securities lending income, and this amount retained can never be less than 65% of the total of securities lending income plus the collateral investment fees. For the period January 1, 2015 through March 8, 2015, BTC could lend securities with respect to the Master Portfolio only when the difference between the borrower rebate rate and the risk free rate exceeded a certain level, and the Master Portfolio retained 80% (85% commencing on the business day following the date that the aggregate securities lending income earned across the Equity-Liquidity Complex in the calendar year 2014 exceeded a specified threshold and for the remainder of that calendar year) of securities lending income.

The share of securities lending income earned by the Master Portfolio is shown as securities lending — affiliated — net in the Statement of Operations. For the year ended December 31, 2015, the Master Portfolio Fund paid BTC $122,996 in total for securities lending agent services and collateral investment fees.

Certain officers and/or trustees of MIP are officers and/or directors of BlackRock or its affiliates.

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 advisor, common officers, or common trustees. For the year ended December 31, 2015, the purchase and sale transactions with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were $164,503,416 and $27,151,440, respectively.

7. Purchases and Sales:

For the year ended December 31, 2015, purchases and sales of investments, excluding short-term securities and in-kind redemptions, were $1,406,173,833 and $148,458,723, respectively.

8. Income Tax Information:

The Master Portfolio is classified as a partnership for 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 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 remains open for each of the four years ended December 31, 2015. 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 December 31, 2015, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the the Master Portfolio’s financial statements.

As of period end, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

Tax cost	$	4,376,528,200
Gross unrealized appreciation	$	3,014,070,617
Gross unrealized depreciation		(159,583,130	)
Net unrealized appreciation	$	2,854,487,487

36 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2015

Notes to Financial Statements (concluded) S&P 500 Index Master Portfolio

9. Bank Borrowings:

MIP, 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, $2.1 billion credit agreement with a group of lenders, under which the Master Portfolio may borrow to fund shareholder redemptions. Excluding commitments designated for certain funds, the Participating Funds, including the Master Portfolio, can borrow up to an aggregate commitment amount of $1.6 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 0.06% 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 2016 unless extended or renewed. Participating Funds paid administration, legal and arrangement fees, which, if applicable, are included in miscellaneous expenses in the Statement of Operations, and along with commitment 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 December 31, 2015, 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 and enters into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities held by the Master Portfolio may decline in response to certain events, including those directly involving the issuers of securities owned by the Master Portfolio. Changes arising from the general economy, the overall market and local, regional or global political or/and social instability, as well as currency, interest rate and price fluctuations, may also affect the securities’ value.

Counterparty Credit Risk: Similar to issuer credit risk, the Master Portfolio may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Master Portfolio manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Master Portfolio to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent 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.

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.

BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2015 37

Report of Independent Registered Public Accounting Firm S&P 500 Index Master Portfolio

To the Board of Trustees of Master Investment Portfolio and the Interestholders of S&P 500 Index Master Portfolio:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of S&P 500 Index Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio, at December 31, 2015, 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. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Master Portfolio’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2015 by correspondence with the custodian, transfer agent, and brokers, provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 18, 2016

38 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2015

Officers and Trustees

Name, Address1 and Year of Birth	Position(s) Held with the Trust/MIP	Length of Time Served as a Trustee3	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Independent Trustees2
Rodney D. Johnson 1941	Chair of the Board and Trustee	Since 2009	President, Fairmount Capital Advisors, Inc. from 1987 to 2013; Member of the Archdiocesan Investment Committee of the Archdiocese of Philadelphia from 2004 to 2012; Director, The Committee of Seventy (civic) from 2006 to 2012; Director, Fox Chase Cancer Center from 2004 to 2011.	33 RICs consisting of 155 Portfolios	None
David O. Beim 1940	Trustee	Since 2009	Professor of Professional Practice at the Columbia University Graduate School of Business since 1991; Trustee, Phillips Exeter Academy from 2002 to 2012; Chairman, Wave Hill, Inc. (public garden and cultural center) from 1990 to 2006.	33 RICs consisting of 155 Portfolios	None
Collette Chilton 1958	Trustee	Since 2015	Chief Investment Officer, Williams College since 2006; Chief Investment Officer, Lucent Asset Management Corporation from 1998 to 2006.	33 RICs consisting of 155 Portfolios	None
Frank J. Fabozzi 1948	Trustee	Since 2014	Editor of and Consultant for The Journal of Portfolio Management since 2006; Professor of Finance, EDHEC Business School since 2011; Visiting Professor, Princeton University from 2013 to 2014; Professor in the Practice of Finance and Becton Fellow, Yale University School of Management from 2006 to 2011.	108 RICs consisting of 230 Portfolios	None
Dr. Matina S. Horner 1939	Trustee	Since 2009	Executive Vice President, Teachers Insurance and Annuity Association and College Retirement Equities Fund from 1989 to 2003.	33 RICs consisting of 155 Portfolios	NSTAR (electric and gas utility)
Herbert I. London 1939	Trustee	Since 2009	Professor Emeritus, New York University since 2005; President, London Center for Policy Research since 2012; John M. Olin Professor of Humanities, New York University from 1993 to 2005 and Professor thereof from 1980 to 2005; President Emeritus, Hudson Institute (policy research organization) from 2011 to 2012, President thereof from 1997 to 2011 and Trustee from 1980 to 2012; Chairman of the Board of Trustees for Grantham University since 2006; Director, InnoCentive, Inc. (global internet service) since 2005; Director, Cerego, LLC (educational software) since 2005; Director, Cybersettle (online adjudication) since 2009; Director, AIMS Worldwide, Inc. (marketing) from 2007 to 2012.	33 RICs consisting of 155 Portfolios	None
Cynthia A. Montgomery 1952	Trustee	Since 2009	Professor, Harvard Business School since 1989; Director, McLean Hospital from 2005 to 2012; Director, Harvard Business School Publishing from 2005 to 2010.	33 RICs consisting of 155 Portfolios	Newell Rubbermaid, Inc. (manufacturing)
Joseph P. Platt 1947	Trustee	Since 2009	Director, Jones and Brown (Canadian insurance broker) since 1998; General Partner, Thorn Partners, LP (private investments) since 1998; Director, WQED Multi-Media (public broadcasting not-for-profit) since 2001; Director, The West Penn Allegheny Health System (a not-for-profit health system) from 2008 to 2013; Partner, Amarna Corporation, LLC (private investment company) from 2002 to 2008.	33 RICs consisting of 155 Portfolios	Greenlight Capital Re, Ltd. (reinsurance company)
Robert C. Robb, Jr. 1945	Trustee	Since 2009	Partner, Lewis, Eckert, Robb and Company (management and financial consulting firm) since 1981.	33 RICs consisting of 155 Portfolios	None
Toby Rosenblatt 1938	Trustee	Since 2009	President, Founders Investments Ltd. (private investments) since 1999; Director, Forward Management, LLC since 2007; Director, College Futures Foundation (philanthropic foundation) since 2009; Director, The James Irvine Foundation (philanthropic foundation) from 1998 to 2008.	33 RICs consisting of 155 Portfolios	None

BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2015 39

Officers and Trustees (continued)

Name, Address1 and Year of Birth	Position(s) Held with the Trust/MIP	Length of Time Served as a Trustee3	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Independent Trustees2
Mark Stalnecker 1951	Trustee	Since 2015	Chief Investment Officer, University of Delaware from 1999 to 2013; Trustee, Winterthur Museum and Country Estate since 2001; Member of the Investment Committee, Delaware Public Employees’ Retirement System since 2002; Member of the Investment Committee, Christiana Care Health System since 2009; Member of the Investment Committee, Delaware Community Foundation from 2013 to 2014.	33 RICs consisting of 155 Portfolios	None
Kenneth L. Urish 1951	Trustee	Since 2009	Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Immediate 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 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.	33 RICs consisting of 155 Portfolios	None
Frederick W. Winter 1945	Trustee	Since 2009	Director, Alkon Corporation (pneumatics) since 1992; Professor and Dean Emeritus of the Joseph M. Katz School of Business, University of Pittsburgh from 2005 to 2013 and Dean thereof from 1997 to 2005; Director, Tippman Sports (recreation) from 2005 to 2013; Director, Indotronix International (IT services) from 2004 to 2008.	33 RICs consisting of 155 Portfolios	None
	1    The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.
	2    Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board has determined to extend the terms of Independent Trustees on a case-by-case basis, as appropriate. The Board has determined to extend the terms of Independent Trustees on a case-by-case basis, as appropriate. The Board has unanimously approved extending the mandatory retirement age for David O. Beim and Dr. Matina S. Horner until December 31, 2016, which the Board believes is in the best interests of shareholders of the Trust/MIP.
	3    Date shown is the earliest date a person has served for the Trust/MIP. In connection with the acquisition of Barclays Global Investors by BlackRock, Inc. (“BlackRock”) in December 2009, the Trustees were elected to the Trust/MIP Board. As a result, although the chart shows certain Independent Trustees as joining the Trust’s/MIP’s board in 2009, those Independent Trustees first became members of the boards of other funds advised by BlackRock Advisors, LLC or its affiliates as follows: David O. Beim, 1998; Dr. Matina S. Horner, 2004; Rodney D. Johnson, 1995; Herbert I. London, 1987; Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Robert C. Robb, Jr., 1998; Toby Rosenblatt, 2005; Kenneth L. Urish, 1999; and Frederick W. Winter, 1999. Frank J. Fabozzi first became a member of the board of other funds advised by BlackRock Advisors, LLC or its affiliates in 1988.
Interested Trustees4
Barbara G. Novick 1960	Trustee	Since 2015	Vice Chairman of BlackRock since 2006; Chair of BlackRock’s Government Relations Steering Committee since 2009; Head of the Global Client Group of BlackRock from 1988 to 2008.	108 RICs consisting of 230 Portfolios	None
John M. Perlowski 1964	Trustee, President and Chief Executive Officer	Since 2015 (Trustee); Since 2010 (President and Chief Executive Officer)	Managing Director of BlackRock since 2009; Head of BlackRock Global Fund Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.	136 RICs consisting of 328 Portfolios	None
	4    Mr. Perlowski and Ms. Novick are both “interested persons,” as defined in the 1940 Act, of the Trust/MIP based on their positions with BlackRock and its affiliates. Mr. Perlowski and Ms. Novick are also board members of a complex of BlackRock registered open-end funds. Mr. Perlowski is also a board member of the BlackRock Equity-Bond Complex and the BlackRock Equity-Liquidity Complex, and Ms. Novick is also a board member of the BlackRock Equity-Liquidity Complex. Interested Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The maximum age limitation may be waived as to any Trustee by action of a majority of the Trustees upon a finding of good cause therefor.

40 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2015

Officers and Trustees (concluded)

Name, Address1 and Year of Birth	Position(s) Held with the Trust/MIP	Length of Time Served as an Officer	Principal Occupation(s) During Past Five Years
Trust/MIP Officers2
John M. Perlowski 1964	Trustee, President and Chief Executive Officer	Since 2015 (Trustee); Since 2010 (President and Chief Executive Officer)	Managing Director of BlackRock since 2009; Head of BlackRock Global Fund Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.
Richard Hoerner, CFA 1958	Vice President	Since 2009	Managing Director of BlackRock since 2000; Head of the Global Cash Group since 2013; Co-head of the Global Cash and Securities Lending Group from 2010 to 2013; Member of the Cash Management Group Executive Committee since 2005.
Jennifer McGovern 1977	Vice President	Since 2014	Director of BlackRock since 2011; Head of Product Structure and Oversight for BlackRock’s U.S. Wealth Advisory Group since 2013; Vice President of BlackRock from 2008 to 2010.
Neal Andrews 1966	Chief Financial Officer	Since 2007	Managing Director of BlackRock since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.
Jay Fife 1970	Treasurer	Since 2007	Managing Director of BlackRock since 2007; Director of BlackRock in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.
Charles Park 1967	Chief Compliance Officer	Since 2014	Anti-Money Laundering Compliance Officer for the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End Complex from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End 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.
Fernanda Piedra 1969	Anti-Money Laundering Compliance Officer	Since 2015	Director of BlackRock since 2014; Anti-Money Laundering Compliance Officer and Regional Head of Financial Crime for the Americas at BlackRock since 2014; Head of Regulatory Changes and Remediation for the Asset Wealth Management Division of Deutsche Bank from 2010 to 2014; Vice President of Goldman Sachs (Anti-Money Laundering/Suspicious Activities Group) from 2004 to 2010.
Benjamin Archibald 1975	Secretary	Since 2012	Managing Director of BlackRock since 2014; Director of BlackRock from 2010 to 2013; Secretary of the iShares exchange traded funds since 2015; Secretary of the BlackRock-advised mutual funds since 2012.
	1    The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.
	2    Officers of the Trust/MIP serve at the pleasure of the Board.
	Further information about the Officers and Trustees is available in the Trust’s/MIP’s Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762

Effective September 25, 2015, John M. Perlowski was appointed to serve as a Trustee of the Trust/MIP.

Effective December 31, 2015, Herbert I. London and Toby Rosenblatt retired as Trustees of the Trust/MIP.

Investment Advisor BlackRock Fund Advisors San Francisco, CA 94105	Accounting Agent and Custodian State Street Bank and Trust Company Boston, MA 02110	Distributor BlackRock Investments, LLC New York, NY 10022	Legal Counsel Sidley Austin LLP New York, NY 10019
Administrator BlackRock Advisors, LLC Wilmington, DE 19809	Transfer Agent BNY Mellon Investment Servicing (US) Inc. Wilmington, DE 19809	Independent Registered Public Accounting Firm PricewaterhouseCoopers LLP Philadelphia, PA 19103	Address of the Trust/MIP 400 Howard Street San Francisco, CA 94105

BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2015 41

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 Portfolio file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s/Master Portfolio’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Fund’s/Master Portfolio’s Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Fund/Master Portfolio 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 http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Fund/Master Portfolio voted proxies relating to securities held in the Fund’s/Master Portfolio’s portfolio during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC’s website at http://www.sec.gov.

BlackRock’s Mutual Fund Family

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

Shareholder Privileges

Account Information

Call us at (800) 441-7762 from 8:00 AM to 6:00 PM EST on any business day to get information about your account balances, recent transactions and share prices. You can also reach us on the Web at http://www.blackrock.com/funds.

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.

42 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2015

Additional Information (concluded)

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.

BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2015 43

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.

SPSF-12/15-AR

DECEMBER 31, 2015

  ANNUAL REPORT  

BlackRock Total International ex U.S. Index Fund  |  of BlackRock Funds III

Not FDIC Insured • May Lose Value • No Bank Guarantee

Table of Contents

	Page
The Markets in Review		3
Annual Report:
Fund Summary		4
About Fund Performance		6
Disclosure of Expenses		6
Derivative Financial Instruments		6
Fund Financial Statements:
Statement of Assets and Liabilities		7
Statement of Operations		8
Statements of Changes in Net Assets		9
Fund Financial Highlights		10
Fund Notes to Financial Statements		13
Fund Report of Independent Registered Public Accounting Firm		17
Important Tax Information		17
Master Portfolio Information		18
Master Portfolio Financial Statements:
Schedule of Investments		19
Statement of Assets and Liabilities		39
Statement of Operations		40
Statements of Changes in Net Assets		41
Master Portfolio Financial Highlights		41
Master Portfolio Notes to Financial Statements		42
Master Portfolio Report of Independent Registered Public Accounting Firm		50
Officers and Trustees		51
Additional Information		54

2 BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015

The Markets in Review

Dear Shareholder,

Diverging monetary policies and shifting economic outlooks across regions have been the overarching themes driving financial markets over the past couple of years. With U.S. growth outpacing the global economic recovery in 2015 while inflationary pressures remained low, investors spent most of the year anticipating a short-term rate hike from the Federal Reserve (the “Fed”), which ultimately came to fruition in December. In contrast, the European Central Bank (“ECB”) and the Bank of Japan moved to a more accommodative stance during the year. In this environment, the U.S. dollar strengthened considerably, causing profit challenges for U.S. exporters and high levels of volatility in emerging market currencies and commodities. Oil prices were particularly volatile and below the historical norm due to an ongoing imbalance in global supply and demand.

Market volatility broadly increased in the middle of 2015, beginning with a sharp, but temporary, selloff in June as Greece’s long-brewing debt troubles came to an impasse. Just as these concerns abated, Chinese equities tumbled amid weakness in the country’s economy. This, combined with a depreciation of the yuan and declining confidence in China’s policymakers, stoked worries about the potential impact to the broader world economy, causing heightened volatility to spread throughout markets globally. Given a dearth of meaningful growth across most of the world, financial markets became more reliant on central bank policies to drive performance. In that vein, risk assets (such as equities and high yield bonds) rallied in October when China’s central bank provided more stimulus, the ECB hinted at further easing, and soft U.S. data pushed back expectations for a Fed rate hike. As the period came to a close, however, the ECB disappointed investors with its subdued policy changes. The Fed’s December rate hike had a positive impact on the markets as it removed a source of uncertainty, but this was counteracted by the dampening effect of a stronger U.S. dollar, falling oil prices and tighter credit conditions.

At BlackRock, we believe investors need to think globally, extend their scope across a broad array of asset classes and be prepared to move freely as market conditions change over time. 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 December 31, 2015
	6-month			12-month
U.S. large cap equities (S&P 500® Index)		0.15	%		1.38	%
U.S. small cap equities (Russell 2000® Index)		(8.75	)		(4.41	)
International equities (MSCI Europe, Australasia, Far East Index)		(6.01	)		(0.81	)
Emerging market equities (MSCI Emerging Markets Index)		(17.35	)		(14.92	)
3-month Treasury bills (BofA Merrill Lynch 3-Month U.S. Treasury Bill Index)		0.04			0.05
U.S. Treasury securities (BofA Merrill Lynch 10-Year U.S. Treasury Index)		1.43			0.91
U.S. investment-grade bonds (Barclays U.S. Aggregate Bond Index)		0.65			0.55
Tax-exempt municipal bonds (S&P Municipal Bond Index)		3.31			3.32
U.S. high yield bonds (Barclays U.S. Corporate High Yield 2% Issuer Capped Index)		(6.79	)		(4.43	)
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

THIS PAGE NOT PART OF YOUR FUND REPORT 3

Fund Summary as of December 31, 2015

Investment Objective

BlackRock Total International ex U.S. Index Fund’s (the “Fund”) (formerly known as BlackRock ACWI ex-U.S. Index Fund) investment objective is to match the performance of the MSCI All Country World ex USA Index (the “MSCI ACWI ex USA Index”) in U.S. dollars with net dividends as closely as possible before the deduction of Fund expenses.

Portfolio Management Commentary

How did the Fund perform?

• For the 12-month period ended December 31, 2015, the Fund’s Institutional Shares returned (5.89)%, Investor A Shares returned (6.05)% and Class K Shares returned (5.83)%. The benchmark MSCI ACWI ex USA Index returned (5.66)% for the same period.

• Returns for the Fund’s respective share classes differ from the benchmark index due to individual share-class expenses. The Fund invests all of its assets in the Total International ex U.S. Index Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio.

Describe the market environment.

• The global equity indexes rallied early in the year driven by easy monetary policies. Central banks were center stage, with the European Central Bank (“ECB”) announcing its asset purchase program, and the Swiss National Bank abandoning its approach to align the Swiss Franc to the euro. Markets continued to rally on additional central bank intervention in Australia, China and Denmark. A cease fire agreement between Russia and Ukraine also lifted global markets as political tension in the region subsided.

• An important theme throughout the year was U.S. dollar strength and speculation of an impending rate hike from the Federal Reserve (the “Fed”). Indexes rallied following a strong start to the earnings season and merger and acquisition activity despite uncertainty around the Fed’s timing for raising rates and underperformance in the energy sector due to tumbling oil prices.

• Developed equity markets experienced negative performance in the second half of the year driven primarily by weaker global growth expectations. Volatility increased in the eurozone, Asia and the United States as a result of disappointing macro data. A significant selloff in the Chinese equity market, spread across all of the developed areas despite continued Chinese government intervention. This resulted in a European equities selloff into correction territory.

• The year neared its close with the Fed’s announcement that it would raise short-term rates for the first time in nearly a decade and an announcement from the ECB that it was not going to increase the value of bonds purchased each month under its asset purchase program. A key theme heading into 2016 is the divergence in monetary policy between the United States and the rest of the world.

Describe recent portfolio activity.

• During the period, as changes were made to the composition of the MSCI ACWI ex U.S. Index, the Master Portfolio purchased and sold securities to maintain its objective of replicating the risks and return of the benchmark index.

Describe portfolio positioning at period end.

• The Master Portfolio remains positioned to match the risk characteristics of its benchmark index, irrespective of the market’s future direction.

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 BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015

Total Return Based on a $10,000 Investment

¹  Assuming transaction costs and other operating expense, including administration fees, if any.

²  The Fund invests all of its assets in the Master Portfolio. The Master Portfolio will be substantially invested in securities in the MSCI ACWI ex USA Index, and will invest, under normal circumstances, at least 80% of its assets in securities or other financial instruments that are components of or have economic characteristics similar to the securities included in the MSCI ACWI ex USA Index.

³ The Index is a free float-adjusted market capitalization index designed to measure the combined equity market performance of developed and emerging market countries, excluding the United States.

⁴ Commencement of operations.

Performance Summary for the Period Ended December 31, 2015

	6-Month Total Returns			Average Annual Total  Returns5
				1 Year			Since  Inception6
Institutional		(9.81	)%		(5.89	)%		(0.54	)%
Investor A		(9.99	)		(6.05	)		(0.81	)
Class K		(9.87	)		(5.83	)		(0.04	)
MSCI ACWI ex USA Index	(9.32)			(5.66)			0.34

⁵  See “About Fund Performance” on page 6 for a detailed description of share classes, including any related sales charges and fees.

⁶  The Fund commenced operations on June 30, 2011.

Past performance is not indicative of future results.

Expense Example

	Actual						Hypothetical7
	Beginning Account Value July 1, 2015		Ending Account Value December 31, 2015		Expenses Paid During the Period6		Beginning Account Value July 1, 2015		Ending Account Value December 31, 2015		Expenses Paid During the Period6		Annualized Expense Ratio
Institutional	$	1,000.00	$	901.90	$	0.81	$	1,000.00	$	1,024.35	$	0.87		0.17	%
Investor A	$	1,000.00	$	900.10	$	1.82	$	1,000.00	$	1,023.29	$	1.94		0.38	%
Class K	$	1,000.00	$	901.30	$	0.53	$	1,000.00	$	1,024.65	$	0.56		0.11	%

⁶  For each class of the Fund, expenses are equal to the annualized net expense ratio for the class, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). Because the Fund invests all of its assets in the Master Portfolio, the expense example reflects the net expenses of both the Fund and the Master Portfolio in which it invests.

⁷  Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365.

See “Disclosure of Expenses” on page 6 for further information on how expenses were calculated.

BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015 5

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.

• Investor A Shares are not subject to any sales charge and bear no ongoing distribution fee. These shares are subject to an ongoing service fee of 0.25% per year. These shares are generally available through financial intermediaries.

Performance information reflects past performance and does not guarantee future results. Current performance may be lower or higher than the performance data quoted. Refer to www.blackrock.com/funds 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 table on the previous page assume reinvestment of all distributions, if any, at net asset value (“NAV”) on the ex-dividend date. 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 administration and distribution fees applicable to each class, which are deducted from the income available to be paid to shareholders.

BlackRock Advisors, LLC (the “Administrator”), the Fund’s administrator, has contractually agreed to waive and/or reimburse a portion of the Fund’s expenses. Without such waiver and/or reimbursement, the Fund’s performance would have been lower. The Administrator is under no obligation to continue waiving and/or reimbursing its fees after the applicable termination date of such agreement. See Note 4 of 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 on the previous page (which is based on a hypothetical investment of $1,000 invested on July 1, 2015 and held through December 31, 2015) 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 any 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 Master Portfolio may invest in various derivative financial instruments. Derivative financial instruments are used to obtain exposure to a security, index and/or market without owning or taking physical custody of securities 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. Derivative financial instruments also 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 derivative financial instrument. The Master Portfolio’s ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Master Portfolio can realize on an investment and/or may result in lower distributions paid to shareholders. The Master Portfolio’s investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.

6 BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015

Statement of Assets and Liabilities BlackRock Total International ex U.S. Index Fund

December 31, 2015
Assets
Investments at value — Master Portfolio (cost — $194,990,159)	$	192,233,826
Receivables:
Capital shares sold		1,156,678
From administrator		16,178
Prepaid expenses		20,845
Total assets		193,427,527
Liabilities
Payables:
Contributions to the Master Portfolio		1,062,996
Capital shares redeemed		93,682
Professional fees		34,007
Service fees		30,764
Income dividends		5,529
Officer’s fees		37
Other accrued expenses		9,953
Total liabilities		1,236,968
Net Assets	$	192,190,559
Net Assets Consist of
Paid-in capital	$	198,169,442
Distributions in excess of net investment income		(205,288	)
Accumulated net realized loss		(3,017,262	)
Net unrealized appreciation (depreciation)		(2,756,333	)
Net Assets	$	192,190,559
Net Asset Value
Institutional — Based on net assets of $40,716,175 and 5,321,230 shares outstanding, unlimited number of shares authorized, no par value	$	7.65
Investor A — Based on net assets of $144,177,277 and 18,889,943 shares outstanding, unlimited number of shares authorized, no par value	$	7.63
Class K — Based on net assets of $7,297,107 and 928,043 shares outstanding, unlimited number of shares authorized, no par value	$	7.86

See Notes to Financial Statements.
	BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	DECEMBER 31, 2015	7

Statement of Operations BlackRock Total International ex U.S. Index Fund

Year Ended December 31, 2015
Investment Income
Net investment income allocated from the Master Portfolio:
Dividends	$	1,914,106
Securities lending — affiliated — net		31,449
Income — affiliated		1,287
Expenses		(48,477	)
Foreign taxes withheld		(230,927	)
Fees waived		1,212
Total income		1,668,650
Fund Expenses
Administration		9,133
Service — Investor A		106,344
Transfer agent — Institutional		8,152
Transfer agent — Investor A		1,985
Registration		69,987
Professional		55,438
Printing		19,594
Recoupment of past fees waived and/or reimbursed — class specific		3,049
Officer		31
Miscellaneous		6,002
Total expenses		279,715
Less:
Administration fees waived		(7,139	)
Transfer agent fees waived — Institutional		(8	)
Transfer agent fees waived — Investor A		(240	)
Transfer agent fees reimbursed — Institutional		(2	)
Transfer agent fees reimbursed — Investor A		(225	)
Fees reimbursed by the administrator		(108,614	)
Total expenses after fees waived and/or reimbursed		163,487
Net investment income		1,505,163
Realized and Unrealized Gain (Loss) Allocated from the Master Portfolio
Net realized gain (loss) from investments, financial futures contracts, foreign capital gain tax and foreign currency transactions		1,963,965
Net change in unrealized appreciation (depreciation) on investments, financial futures contracts and foreign currency translations		(6,722,869	)
Net realized and unrealized loss		(4,758,904	)
Net Decrease in Net Assets Resulting from Operations	$	(3,253,741	)

See Notes to Financial Statements.
8	BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	DECEMBER 31, 2015

Statements of Changes in Net Assets BlackRock Total International ex U.S. Index Fund

	Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014
Operations
Net investment income	$	1,505,163		$	505,648
Net realized gain (loss)		1,963,965			2,081,148
Net change in unrealized appreciation (depreciation)		(6,722,869	)		(3,625,915	)
Net decrease in net assets resulting from operations		(3,253,741	)		(1,039,119	)
Distributions to Shareholders1
From net investment income:
Institutional		(571,448	)		(471,088	)
Investor A		(900,995	)		(3,912	)
Class K		(149,505	)		(33,598	)
From net realized gain:
Institutional		(493,712	)		(1,639,808	)
Investor A		(1,217,105	)		(31,240	)
Class K		(107,430	)		(476,304	)
Decrease in net assets resulting from distributions to shareholders		(3,440,195	)		(2,655,950	)
Capital Share Transactions
Net increase in net assets derived from capital share transactions		174,864,697			12,556,607
Net Assets
Total increase in net assets		168,170,761			8,861,538
Beginning of year		24,019,798			15,158,260
End of year	$	192,190,559		$	24,019,798
Distributions in excess of net investment income, end of year	$	(205,288	)	$	(88,503	)
1   Distributions for annual periods determined in accordance with federal income tax regulations.

See Notes to Financial Statements.
	BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	DECEMBER 31, 2015	9

Financial Highlights BlackRock Total International ex U.S. Index Fund

	Institutional
	Year Ended December 31,												Period from June 30, 20111 to December 31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	8.43		$	10.06		$	9.06		$	8.13		$	10.00
Net investment income2		0.21			0.30			0.22			0.17			0.08
Net realized and unrealized gain (loss)		(0.69	)		(0.75	)		1.02			1.16			(1.89	)
Net increase (decrease) from investment operations		(0.48	)		(0.45	)		1.24			1.33			(1.81	)
Distributions to Shareholders:3
From net investment income		(0.17	)		(0.29	)		(0.24	)		(0.40	)		(0.04	)
From net realized gain		(0.13	)		(0.89	)		—			—			—
From return of capital		—			—			—			(0.00	)4		(0.02	)
Total distributions		(0.30	)		(1.18	)		(0.24	)		(0.40	)		(0.06	)
Net asset value, end of period	$	7.65		$	8.43		$	10.06		$	9.06		$	8.13
Total Return5
Based on net asset value		(5.89)%			(4.78)%			13.94%			16.61%			(18.05)%	6
Ratios to Average Net Assets7
Total expenses8		0.45%			0.83%	9		1.25%			0.75%			2.04%	10,11
Total expenses after fees waived and/or reimbursed8		0.17%			0.21%	9		0.35%			0.34%			0.37%	10
Net investment income8		2.49%			3.00%	9		2.35%			1.95%			1.78%	10
Supplemental Data
Net assets, end of period (000)	$	40,716		$	17,380		$	15,013		$	9,602		$	46
Portfolio turnover rate of the Master Portfolio		6%			49%			36%			42%			4%

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Amount is greater than $(0.005) per share.

⁵  Where applicable, assumes the reinvestment of distributions.

⁶  Aggregate total return.

⁷  Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income.

⁸  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.00%, 0.03%, 0.01%, 0.08% and 1.14% for the years ended December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012, and the period ended December 31, 2011, respectively.

⁹  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.01%.

¹⁰  Annualized.

¹¹  Organization costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses for Institutional Shares would have been 2.08%.

See Notes to Financial Statements.
10	BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	DECEMBER 31, 2015

Financial Highlights (continued) BlackRock Total International ex U.S. Index Fund

	Investor A
	Year Ended December 31,												Period from June 30, 20111 to  December 31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	8.41		$	10.06		$	9.06		$	8.13		$	10.00
Net investment income2		0.13			0.22			0.21			0.19			0.08
Net realized and unrealized gain (loss)		(0.62	)		(0.71	)		1.00			1.12			(1.89	)
Net increase (decrease) from investment operations		(0.49	)		(0.49	)		1.21			1.31			(1.81	)
Distributions to Shareholders:3
From net investment income		(0.16	)		(0.27	)		(0.21	)		(0.38	)		(0.04	)
From net realized gain		(0.13	)		(0.89	)		—			—			—
From return of capital		—			—			—			(0.00	)4		(0.02	)
Total distributions		(0.29	)		(1.16	)		(0.21	)		(0.38	)		(0.06	)
Net asset value, end of period	$	7.63		$	8.41		$	10.06		$	9.06		$	8.13
Total Return5
Based on net asset value		(6.05)%			(5.19)%			13.63%			16.31%			(18.11)%	6
Ratios to Average Net Assets7
Total expenses8		0.43%			1.30%	9		1.91%			1.88%			2.30%	10,11
Total expenses after fees waived and/or reimbursed8		0.38%			0.46%	9		0.64%			0.63%			0.62%	10
Net investment income8		1.63%			2.28%	9		2.21%			2.18%			1.74%	10
Supplemental Data
Net assets, end of period (000)	$	144,177		$	372		$	65		$	39		$	20
Portfolio turnover rate of the Master Portfolio		6%			49%			36%			42%			4%

¹ Commencement of operations.

² Based on average shares outstanding.

³ Distributions for annual periods determined in accordance with federal income tax regulations.

⁴ Amount is greater than $(0.005) per share.

⁵ Where applicable, assumes the reinvestment of distributions.

⁶ Aggregate total return.

⁷ Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income.

⁸ Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.00%, 0.03%, 0.01%, 0.16% and 1.14% for the years ended December 31,2015, December 31, 2014, December 31, 2013 and December 31, 2012 and the period ended December 31, 2011, respectively.

⁹ Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.01%.

¹⁰ Annualized.

¹¹ Organization costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses for Institutional Shares would have been 2.36%.

See Notes to Financial Statements.
	BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	DECEMBER 31, 2015	11

Financial Highlights (concluded) BlackRock Total International ex U.S. Index Fund

	Class K
	Year Ended December 31,												Period from June 30, 20111 to December 31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	8.65		$	10.30		$	9.27		$	8.13		$	10.00
Net investment income2		0.23			0.19			0.23			0.28			0.09
Net realized and unrealized gain (loss)		(0.71	)		(0.65	)		1.04			1.27			(1.90	)
Net increase (decrease) from investment operations		(0.48	)		(0.46	)		1.27			1.55			(1.81	)
Distributions to Shareholders:3
From net investment income		(0.18	)		(0.30	)		(0.24	)		(0.41	)		(0.04	)
From net realized gain		(0.13	)		(0.89	)		—			—			—
From return of capital		—			—			—			(0.00	)4		(0.02	)
Total distributions		(0.31	)		(1.19	)		(0.24	)		(0.41	)		(0.06	)
Net asset value, end of period	$	7.86		$	8.65		$	10.30		$	9.27		$	8.13
Total Return5
Based on net asset value		(5.83)%			(4.84)%			13.96%			19.25%			(18.04)%	6
Ratios to Average Net Assets7
Total expenses8		0.46%			0.81%	9		1.36%			1.80%			1.73%	10,11
Total expenses after fees waived and/or reimbursed8		0.13%			0.15%	9		0.34%			0.33%			0.32%	10
Net investment income8		2.71%			2.02%	9		2.40%			3.31%			2.03%	10
Supplemental Data
Net assets, end of period (000)	$	7,297		$	6,267		$	80		$	50		$	16,224
Portfolio turnover rate of the Master Portfolio		6%			49%			36%			42%			4%

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Amount is greater than $(0.005) per share.

⁵  Where applicable, assumes the reinvestment of distributions.

⁶  Aggregate total return.

⁷  Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁸  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.00%, 0.03%, 0.01%, 0.29% and 1.14% for the years ended December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012, and the period ended December 31, 2011, respectively.

⁹  Includes the Fund’s share of the Series’ allocated fees waived of less than 0.01%.

¹⁰  Annualized.

¹¹  Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 1.79%.

See Notes to Financial Statements.
12	BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	DECEMBER 31, 2015

Notes to Financial Statements BlackRock Total International ex U.S. Index Fund

1. Organization:

BlackRock Total International ex U.S. Index Fund (the “Fund”) (formerly known as BlackRock ACWI ex-U.S. Index Fund), a series of BlackRock Funds III (the “Trust”), is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a non-diversified, open-end management investment company. The Trust is organized as a Delaware statutory trust. The Fund seeks to achieve its investment objective by investing all of its assets in Total International ex U.S. Index Master Portfolio (the “Master Portfolio”) (formerly known as BlackRock ACWI ex-U.S. Index Master Portfolio), a series of Master Investment Portfolio (“MIP”), an affiliate of the Fund, which has the same investment objective and strategies as the Fund. The value of the Fund’s investment in the Master Portfolio reflects the Fund’s proportionate interest in the net assets of the Master Portfolio. The performance of the Fund is directly affected by the performance of the Master Portfolio. At December 31, 2015, the percentage of the Master Portfolio owned by the Fund was 23.0%. As such, the financial statements of the Master Portfolio, including the Schedule 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 Investor A Shares bear certain expenses related to shareholder servicing of such shares. Institutional and Class K Shares are sold only certain eligible investors. Investor A Shares are generally available through financial intermediaries. Each class has exclusive voting rights with respect to matters relating to its shareholder servicing and distribution expenditures.

Share Class	Initial Sales Charge		CDSC		Conversion Privilege
Institutional Shares		No		No		None
Investor A Shares		No		No		None
Class K Shares		No		No		None

The Board of Trustees of the Fund and Board of Trustees of MIP are referred to throughout this report as the “Board of Trustees” or the “Board” and the members are referred to as “Trustees.”

The Fund, together with certain other registered companies advised by BlackRock Advisors, LLC (“BAL” or the “Administrator”) or its affiliates, is included in a complex of open-end funds referred to as the Equity Liquidity 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 Investment Income: For financial reporting purposes, contributions to and withdrawals from the Master Portfolio are accounted on a trade date basis. The Fund records daily its proportionate share of the Master Portfolio’s income, expenses and realized and unrealized gains and losses. Realized and unrealized gains and losses are adjusted utilizing partnership tax allocation rules. In addition, the Fund accrues its own expenses. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.

Distributions: Distributions paid by the Fund are recorded on the ex-dividend date. Distributions of capital gains are recorded on the ex-dividend date. The character and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.

Indemnifications: In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against the Fund, which cannot be predicted with any certainty.

Other: Expenses directly related to the Fund or its classes are charged to the Fund or the applicable class. Other operating expenses shared by several funds, including other funds managed by the Administrator, are prorated among those funds on the basis of relative net assets or other appropriate methods. Expenses directly related to the Fund and other shared expenses prorated to the Fund are allocated daily to each class based on its relative net assets or other appropriate methods.

BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015 13

Notes to Financial Statements (continued) BlackRock Total International ex U.S. Index Fund

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: The Fund’s policy is to fair value its financial instruments at fair value. The Fund records its investment in the Master Portfolio at fair value based on the Fund’s proportionate interest in the net assets of the Master Portfolio. Valuation of securities held by the Master Portfolio is discussed in Note 3 of the Master Portfolio’s Notes to Financial Statements, which are included elsewhere in this report.

4. Administration Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

The Trust, on behalf of the Fund, entered into an Administration Agreement with BlackRock Advisors, LLC (“BAL” or the “Administrator”), an indirect, wholly owned subsidiary of BlackRock, to provide administrative services (other than investment advice and related portfolio activities). Effective April 30, 2015, for such services, the Fund pays BAL a monthly fee at an annual rate of 0.01% of the average daily value of the Fund’s net assets. Prior to April 30, 2015, the Fund paid BAL a monthly fee at an annual rate of 0.03% of the average daily net assets of the Fund. The Fund does not pay an investment advisory fee or investment management fee.

BlackRock Fund Advisors, LLC (“BFA”), the investment advisor for the Master Portfolio, and BAL contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of Fund’s business. The expense limitation as a percentage of average daily net assets is as follows:

	Institutional		Investor A		Class K
Rate		0.17%		0.42%		0.12%

Prior to April 30, 2015, the expense limitations as a percentage of average daily net assets were as follows:

	Institutional		Investor A		Class K
Rate		0.20%		0.45%		0.15%

BFA and BAL have agreed not to reduce or discontinue this contractual waiver or reimbursement prior to May 1, 2016, unless approved by the Board, including a majority of the Independent Trustees. These amounts are shown as, or included in, administration fees waived, transfer agent fees waived — class specific, transfer agent fees reimbursed — class specific and fees reimbursed by administrator in the Statements of Operations.

If during the Fund’s fiscal year the operating expenses of a share class, that at any time during the prior two fiscal years received a waiver or reimbursement from BFA or BAL, are less than the expense limit for that share class, BFA or BAL is entitled to be reimbursed by such share class up to the lesser of (a) the amount of fees waived or expenses reimbursed during those prior two fiscal years under the agreement and (b) the amount by which the expense limit for that share class exceeds the operating expenses of the share class for the current fiscal year, provided that: (1) the Fund of which the share class is a part, has more than $50 million in assets for the fiscal year and (2) BFA or BAL or an affiliate continues to serve as the Fund’s investment advisor or administrator. In the event the expense limit for a share class is changed subsequent to a fiscal year in which the BFA or BAL, as applicable, becomes entitled to reimbursement for fees waived or reimbursed, the amount available to reimburse BFA or BAL, as applicable, shall be calculated by reference to the expense limit for that share class in effect at the time the BFA or BAL became entitled to receive such reimbursement, rather than the subsequently changed expense limit for that share class.

For the year ended December 31, 2015, BAL recouped the following class specific waivers and/or reimbursements previously recorded by the Fund:

Institutional	Investor A
$2,546	$503

As of period end, the Fund level and class specific waivers and/or reimbursements subject to possible future recoupment under the expense limitation agreement are as follows:

	Expiring December 31,
	2016		2017
Fund level………………………………………………………………………………………………………………………………	$	102,174	$	115,753
Institutional…………………………………………………………………………………………………………………	$	2,297	$	10
Investor A…………………………………………………………………………………………………………………………		—	$	465
Class K…………………………………………………………………………………………………………………………………………	$	18		—

14 BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015

Notes to Financial Statements (continued) BlackRock Total International ex U.S. Index Fund

The following Fund level and class specific waivers and/or reimbursements previously recorded by the Fund, which were subject to recoupment by BAL and BFA, expired on December 31, 2015:

Fund level	$	102,028
Institutional		—
Investor A		—
Class K	$	84

The Trust, on behalf of the Fund, entered into a Distribution Agreement and a Distribution and Service Plan with BlackRock Investments, LLC (“BRIL”), an affiliate of the Administrator. Pursuant to the Distribution and Service Plan 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 rate of 0.25% based upon the average daily net assets of the Investor A Shares.

Pursuant to sub-agreements with BRIL, broker-dealers and 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 Investor A shareholders.

BAL maintains a call center, which is responsible for providing certain shareholder services to the Fund, such as responding to shareholder inquiries and processing transactions based upon instructions from shareholders with respect to the subscription and redemption of Fund shares. For the year ended December 31, 2015, the Fund reimbursed the BAL the following amounts for costs incurred in running the call center, which are included in transfer agent — class specific in the Statements of Operations:

Institutional	Investor A		Class K
$139	$	141		—

Certain officers and/or trustees of the Trust are officers and/or directors of BlackRock or its affiliates. The Fund reimburses the Administrator for a portion of the compensation paid to the Trust’s Chief Compliance Officer, which is included in officer in the Statement of Operations.

5. 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 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 remains open for each of the four years ended December 31, 2015. 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 December 31, 2015, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the Fund’s financial statements.

The tax character of distributions paid was as follows:

Ordinary income	2015	$	2,079,999
	2014		602,300
Long-term capital gains	2015		1,360,196
	2014		2,053,650
Total	2015	$	3,440,195
	2014	$	2,655,950

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

Undistributed long-term capital gains	$	316,721
Net unrealized losses1		(6,290,268	)
Qualified late-year losses2		(5,336	)
Total	$	(5,978,883	)

¹ The difference between book-basis and tax-basis net unrealized losses was attributable primarily to the timing and recognition of partnership income.

²  The Fund has elected to defer certain qualified late-year losses and recognize such losses in the next taxable year.

BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015 15

Notes to Financial Statements (concluded) BlackRock Total International ex U.S. Index Fund

6. Capital Share Transactions:

Transactions in capital shares for each class were as follows:

	Year Ended December 31, 2015						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount
Institutional
Shares sold		3,607,468		$	29,199,121			489,164		$	4,780,732
Shares issued to shareholders in reinvestment of distributions		124,878			1,009,206			236,533			2,110,279
Shares redeemed		(474,006	)		(3,845,526	)		(154,562	)		(1,526,584	)
Net increase		3,258,340		$	26,362,801			571,135		$	5,364,427
Investor A
Shares sold		19,293,545		$	150,340,411			36,520		$	345,700
Shares issued to shareholders in reinvestment of distributions		275,490			2,118,100			3,748			32,243
Shares redeemed		(723,364	)		(5,709,494	)		(2,444	)		(24,614	)
Net increase		18,845,671		$	146,749,017			37,824		$	353,329
Class K
Shares sold		485,159		$	4,219,483			697,040		$	6,707,086
Shares issued to shareholders in reinvestment of distributions		30,429			256,936			58,087			506,140
Shares redeemed		(312,244	)		(2,723,540	)		(38,209	)		(374,375	)
Net increase		203,344			1,752,879			716,918			6,838,851
Total Net Increase		22,307,355		$	174,864,697			1,325,877		$	12,556,607

7. 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.

16 BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015

Report of Independent Registered Public Accounting Firm BlackRock Total International ex U.S. Index Fund

To the Board of Trustees of BlackRock Funds III and the Shareholders of BlackRock Total International ex U.S. Index Fund:

In our opinion, the accompanying statement of assets and liabilities and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of BlackRock Total International ex U.S Index Fund, (the “Fund”), a series of BlackRock Funds III, at December 31, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 24, 2016

Important Tax Information (Unaudited)

The following information is provided with respect to the ordinary income distributions paid during the taxable year ended December 31, 2015.

	Payable Dates
Qualified Dividend Income for Individuals1		Quarterly	79.52%
Foreign Source Income2		Quarterly	67.36%
Foreign Taxes Paid Per Share3		3/31/2015	$0.005018062
		6/30/2015	$0.008635247
		9/30/2015	$0.001272739
		12/31/2015	$0.003980734

¹  The Fund hereby designates the percentage indicated above or the maximum amount allowable by law.

²  Expressed as a percentage of distributions grossed up for foreign taxes.

³  The foreign taxes paid represent taxes paid by the Fund on income received by the Fund from foreign sources. Foreign taxes paid may be included in taxable income with an offsetting deduction from gross income or may be taken as a credit for taxes paid to foreign governments. You should consult your tax advisor regarding the appropriate treatment of foreign taxes paid.

Additionally, the Fund distributed long-term capital gains of $0.04257 and $0.048567134 per share to shareholders on record June 29, 2015 and December 29, 2015, respectively.

BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015 17

Master Portfolio Information Total International ex U.S. Index Master Portfolio

As of Period End

Ten Largest Holdings Percent of
Net Assets

Nestlé SA, Registered Shares	1	%
Novartis AG, Registered Shares	1
Roche Holding AG	1
Toyota Motor Corp.	1
HSBC Holdings PLC	1
Samsung Electronics Co. Ltd.	1
Novo Nordisk A/S	1
Taiwan Semiconductor Manufacturing Co. Ltd.	1
Commonwealth Bank of Australia	1
Tencent Holdings Ltd.	1

Geographic Allocation Percent of
Net Assets

Japan	17	%
United Kingdom	13
France	7
Switzerland	7
Germany	7
Canada	6
United States	5
Australia	5
China	4
Hong Kong	3
South Korea	3
Netherlands	3
Taiwan	2
Spain	2
Sweden	2
India	2
Italy	2
Other1	15
Liabilities in Excess of Other Assets	(5	)

¹  Other includes a 1% or less holding in each of the following countries: Austria, Belgium, Brazil, Chile, Columbia, Czech Republic, Denmark, Egypt, Finland, Greece, Hungary, Indonesia, Ireland, Israel, Luxembourg, Malaysia, Malta, Mexico, New Zealand, Norway, Peru, Philippines, Poland, Portugal, Qatar, Russia, Singapore, South Africa, Thailand, Turkey and United Arab Emirates.

18 BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015

Schedule of Investments December 31, 2015 Total International ex U.S. Index Master Portfolio (Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Australia — 5.0%
AGL Energy Ltd.		33,932	$	444,004
Alumina Ltd. (a)		80,719		67,363
Amcor Ltd.		61,970		602,053
AMP Ltd.		140,036		590,038
APA Group (b)		66,494		418,404
Aristocrat Leisure Ltd.		27,113		200,199
Asciano Ltd.		44,883		285,352
ASX Ltd.		9,130		280,889
Aurizon Holdings Ltd.		104,377		331,355
AusNet Services		34,747		37,407
Australia & New Zealand Banking Group Ltd.		139,444		2,813,949
Bank of Queensland Ltd. (a)		19,847		200,209
Bendigo & Adelaide Bank Ltd. (a)		16,747		144,859
BHP Billiton Ltd.		161,773		2,081,947
Boral Ltd.		39,580		169,226
Brambles Ltd.		85,150		713,123
Caltex Australia Ltd.		14,445		394,836
CIMIC Group Ltd.		1,949		34,189
Coca-Cola Amatil Ltd.		16,044		108,184
Cochlear Ltd.		3,188		220,614
Commonwealth Bank of Australia (a)		86,197		5,329,085
Computershare Ltd.		18,081		152,143
Crown Resorts Ltd. (a)		12,817		115,843
CSL Ltd.		23,163		1,765,939
Dexus Property Group		50,587		274,393
Flight Centre Travel Group Ltd. (a)		1,384		39,916
Fortescue Metals Group Ltd. (a)		63,976		86,095
Goodman Group		90,279		409,094
GPT Group		85,677		296,716
Harvey Norman Holdings Ltd.		13,921		42,082
Healthscope Ltd.		82,216		158,433
Iluka Resources Ltd.		34,250		151,502
Incitec Pivot Ltd.		96,223		274,951
Insurance Australia Group Ltd.		120,818		485,206
Lend Lease Group (b)		31,290		322,836
Macquarie Group Ltd.		15,644		935,870
Medibank Pvt Ltd.		149,927		233,783
Mirvac Group		212,978		304,886
National Australia Bank Ltd.		134,087		2,926,022
Newcrest Mining Ltd. (c)		43,527		411,862
Oil Search Ltd.		68,503		333,428
Orica Ltd. (a)		17,936		200,950
Origin Energy Ltd.		77,987		263,809
Platinum Asset Management Ltd.		9,023		52,725
Qantas Airways Ltd. (c)		21,423		63,499
QBE Insurance Group Ltd. (a)		69,084		628,331
Ramsay Health Care Ltd. (a)		7,590		373,217
REA Group Ltd.		1,087		43,250
Rio Tinto Ltd.		22,393		724,179
Santos Ltd. (a)		105,104		279,941
Scentre Group		288,676		875,596
Seek Ltd. (a)		11,674		129,933

Common Stocks	Shares		Value
Australia (continued)
Sonic Healthcare Ltd.		20,252	$	262,206
South32 Ltd. (c)		304,116		233,622
Stockland		120,177		356,743
Suncorp Group Ltd.		72,978		640,747
Sydney Airport (b)		56,475		259,916
Tabcorp Holdings Ltd.		54,398		185,216
Tatts Group Ltd.		59,669		189,442
Telstra Corp. Ltd.		194,368		789,852
TPG Telecom Ltd.		14,159		101,373
Transurban Group (b)		101,891		772,329
Transurban Group		5,661		43,191
Treasury Wine Estates Ltd.		48,858		293,350
Vicinity Centres		174,986		354,990
Wesfarmers Ltd.		53,148		1,602,310
Westfield Corp.		107,826		741,834
Westpac Banking Corp.		167,369		4,056,986
Woodside Petroleum Ltd. (a)		37,491		781,086
Woolworths Ltd. (a)		65,258		1,157,841
				41,646,749
Austria — 0.1%
Andritz AG		5,013		243,974
Erste Group Bank AG (c)		15,117		473,012
OMV AG		7,068		200,627
Raiffeisen Bank International AG (c)		4,478		65,626
Voestalpine AG		4,890		149,576
				1,132,815
Belgium — 1.1%
Ageas		9,520		441,860
Anheuser-Busch InBev NV (a)		41,592		5,176,005
Colruyt SA		3,569		183,601
Delhaize Group		5,181		504,249
Groupe Bruxelles Lambert SA		4,110		351,682
KBC Groep NV		12,394		774,949
Proximus		7,467		242,983
Solvay SA		4,091		436,629
Telenet Group Holding NV (c)		1,997		107,926
UCB SA (a)		6,867		619,836
Umicore SA		5,605		235,052
				9,074,772
Brazil — 1.1%
AMBEV SA		247,600		1,117,134
B2W Cia Digital (c)		17,200		66,213
Banco Bradesco SA — ADR		35,196		182,374
Banco Bradesco SA, Preference Shares		146,088		711,931
Banco do Brasil SA		36,400		135,617
Banco Santander Brasil SA		12,700		51,490
BB Seguridade Participacoes SA		47,500		292,114
BM&FBovespa SA		105,100		289,299
BR Malls Participacoes SA		13,700		38,438
Braskem SA, Preference A Shares		11,000		76,795

Portfolio Abbreviations

ADR	American Depositary Receipts
GDR	Global Depositary Receipt
NVDR	Non-voting Depository Receipts
REIT	Real Estate Investment Trust

See Notes to Financial Statements.

BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015 19

Schedule of Investments (continued) Total International ex U.S. Index Master Portfolio

Common Stocks	Shares		Value
Brazil (continued)
BRF SA		35,100	$	491,511
CCR SA		32,500		103,096
Centrais Eletricas Brasileiras SA, Preference ‘B’ Shares		1,600		4,222
CETIP SA — Mercados Organizado		9,411		89,204
Cia Energetica de Minas Gerais, Preference Shares		24,313		37,672
Cia Energetica de Sao Paulo, Preference ‘B’ Shares		4,000		13,548
Cia Paranaense de Energia, Preference ‘B’ Shares		11,500		70,635
Cielo SA		48,332		410,356
Companhia de Saneamento Basico do Estado de Sao Paulo		7,000		33,494
Companhia Siderurgica Nacional SA		48,700		49,239
Cosan SA Industria e Comercio		1,800		11,465
CPFL Energia SA (c)		3,715		14,254
Duratex SA		5,621		8,383
EDP — Energias do Brasil SA		900		2,739
Embraer SA		37,700		287,687
Equatorial Energia SA		13,600		117,703
Estacio Participacoes SA		21,100		74,400
Fibria Celulose SA		10,300		135,094
Gerdau SA, Preference Shares		30,600		35,966
Hypermarcas SA (c)		19,300		105,909
Itau Unibanco Holding SA, Preference Shares		164,045		1,091,767
Itausa — Investimentos Itau SA, Preference Shares		226,712		394,257
JBS SA		31,400		98,020
Klabin SA, Preference Shares		22,200		131,587
Kroton Educacional SA		59,168		142,527
Localiza Rent a Car SA		2,940		18,444
Lojas Americanas SA		6,000		18,912
Lojas Americanas SA, Preference Shares		12,320		60,413
Lojas Renner SA		21,500		92,929
M Dias Branco SA		1,500		25,213
Multiplan Empreendimentos Imobiliarios SA		4,600		44,183
Natura Cosmeticos SA		8,200		48,687
Odontoprev SA		600		1,433
Petroleo Brasileiro SA (c)		164,300		355,906
Petroleo Brasileiro SA, Preference Shares (c)		220,300		373,083
Porto Seguro SA		4,400		32,019
Qualicorp SA		8,500		30,358
Raia Drogasil SA		9,300		83,403
Sul America SA		36,638		172,343
Suzano Papel e Celulose SA, Preference ‘A’ Shares		13,600		64,249
Telefonica Brasil SA, Preference Shares		16,200		146,389
Tim Participacoes SA		41,040		71,162
Totvs SA		3,300		25,883
Tractebel Energia SA		4,600		38,939
Transmissora Alianca de Energia Eletrica SA		3,300		13,972
Ultrapar Participacoes SA		18,600		284,201
Vale SA		65,800		216,714
Vale SA, Preference Shares		114,000		295,356
WEG SA		18,720		70,740
				9,501,071
Canada — 5.9%
Agnico Eagle Mines Ltd.		12,637		332,158
Agrium, Inc.		7,173		641,096
Alimentation Couche Tard, Inc., Class B		20,794		915,345
AltaGas Ltd. (a)		5,249		117,218
ARC Resources Ltd. (a)		13,939		168,231
Atco Ltd. Class I		2,968		76,576
Bank of Montreal		32,859		1,854,181

Common Stocks	Shares		Value
Canada (continued)
Bank of Nova Scotia (a)		64,560	$	2,611,421
Barrick Gold Corp.		55,355		409,652
BCE, Inc.		7,340		283,585
BlackBerry Ltd. (a)(c)		17,331		160,822
Bombardier, Inc., Class B (a)		55,865		54,101
Brookfield Asset Management, Inc., Class A		44,288		1,397,103
CAE, Inc.		5,726		63,521
Cameco Corp.		17,020		209,967
Canadian Imperial Bank of Commerce (a)		18,546		1,222,237
Canadian National Railway Co.		40,915		2,287,183
Canadian Natural Resources Ltd.		56,684		1,237,978
Canadian Oil Sands Ltd.		19,702		117,753
Canadian Pacific Railway Ltd.		8,246		1,053,202
Canadian Tire Corp. Ltd., Class A		4,121		351,910
Canadian Utilities Ltd., Class A		9,258		213,703
Cenovus Energy, Inc.		39,944		505,182
CGI Group, Inc., Class A (c)		12,922		517,366
CI Financial Corp. (a)		11,539		255,181
Constellation Software, Inc.		1,101		459,019
Crescent Point Energy Corp.		30,179		351,583
Dollarama, Inc.		6,920		399,787
Eldorado Gold Corp.		17,582		52,097
Empire Co. Ltd., Class A		12,024		223,674
Enbridge, Inc.		42,824		1,423,650
Encana Corp.		30,957		157,280
Fairfax Financial Holdings Ltd.		1,258		597,234
Finning International, Inc.		7,357		99,320
First Capital Realty, Inc.		2,654		35,196
First Quantum Minerals Ltd. (a)		28,339		106,089
Fortis, Inc.		15,891		429,632
Franco-Nevada Corp.		9,282		424,623
George Weston Ltd.		3,435		265,476
Gildan Activewear, Inc.		13,076		371,764
Goldcorp, Inc.		40,940		473,101
Great-West Lifeco, Inc.		16,984		423,833
H&R Real Estate Investment Trust		2,945		42,673
Husky Energy, Inc.		15,026		155,397
IGM Financial, Inc.		4,062		103,744
Imperial Oil Ltd.		16,836		548,505
Industrial Alliance Insurance & Financial Services, Inc.		3,523		112,358
Intact Financial Corp.		8,105		519,442
Inter Pipeline Ltd.		18,400		295,341
Jean Coutu Group PJC, Inc., Class A		3,208		41,523
Keyera Corp.		8,330		242,369
Kinross Gold Corp. (c)		50,110		90,898
Loblaw Cos. Ltd.		13,102		618,692
Magna International, Inc.		21,261		862,302
Manulife Financial Corp.		100,351		1,504,141
MEG Energy Corp. (c)		7,620		44,166
Methanex Corp.		4,533		149,713
Metro, Inc.		13,402		375,221
National Bank of Canada (a)		19,207		559,539
Onex Corp.		5,499		337,085
Open Text Corp.		5,660		271,363
Pembina Pipeline Corp. (a)		18,933		412,539
Peyto Exploration & Development Corp.		6,142		110,394
Potash Corp. of Saskatchewan, Inc.		43,849		751,045
Power Corp. of Canada		21,464		448,918
Power Financial Corp. (a)		17,668		406,171
PrairieSky Royalty Ltd. (a)		5,018		79,493

See Notes to Financial Statements.

20 BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015

Schedule of Investments (continued) Total International ex U.S. Index Master Portfolio

Common Stocks	Shares		Value
Canada (continued)
Restaurant Brands International, Inc. (a)		11,133	$	416,371
RioCan Real Estate Investment Trust		3,112		53,280
Rogers Communications, Inc., Class B		18,164		626,426
Royal Bank of Canada		71,809		3,848,115
Saputo, Inc.		10,940		261,700
Shaw Communications, Inc., Class B		19,068		327,975
Silver Wheaton Corp.		17,253		214,462
SNC-Lavalin Group, Inc.		9,239		274,559
Sun Life Financial, Inc.		30,632		955,244
Suncor Energy, Inc.		72,194		1,863,677
Teck Resources Ltd., Class B (a)		19,684		75,965
TELUS Corp.		8,212		227,066
Thomson Reuters Corp.		19,582		741,702
Toronto-Dominion Bank		92,301		3,618,130
Tourmaline Oil Corp. (c)		10,430		168,469
TransCanada Corp. (a)		36,953		1,206,841
Turquoise Hill Resources Ltd. (c)		39,981		101,419
Valeant Pharmaceuticals International, Inc. (c)		16,850		1,711,669
Veresen, Inc.		9,589		61,400
Vermilion Energy, Inc. (a)		6,754		183,579
West Fraser Timber Co. Ltd.		2,687		102,008
Yamana Gold, Inc.		26,930		50,018
				49,523,137
Chile — 0.2%
AES Gener SA		90,837		40,311
Aguas Andinas SA, Class A		76,400		39,203
Banco de Chile		1,385,221		141,111
Banco de Credito e Inversiones		735		27,728
Banco Santander Chile SA		2,103,327		94,367
Cencosud SA		46,368		92,597
Colbun SA		466,420		111,379
Companhia Cervecerias Unidas SA		4,404		48,729
CorpBanca		2,375,874		19,106
Embotelladora Andina SA, Preference ‘B’ Shares		9,220		27,427
Empresa Nacional de Electricidad SA		204,788		253,936
Empresa Nacional de Telecomunicaciones SA		2,032		18,185
Empresas CMPC SA		36,023		77,729
Empresas COPEC SA		24,294		208,571
Enersis SA		1,181,655		285,291
Latam Airlines Group SA (c)		19,853		104,280
SACI Falabella		35,710		227,597
Sociedad Quimica y Minera de Chile SA, Preference ‘B’ Shares		1,850		34,746
SONDA SA		18,572		32,913
				1,885,206
China — 4.2%
AAC Technologies Holdings, Inc.		39,500		256,961
Agricultural Bank of China Ltd., Class H		1,110,000		451,715
Air China Ltd., Class H		62,000		48,626
Alibaba Group Holding Ltd. — SP ADR (c)		25,118		2,041,340
Aluminum Corp. of China Ltd., Class H (c)		64,000		21,009
Anhui Conch Cement Co. Ltd., Class H		79,500		212,510
ANTA Sports Products Ltd.		81,000		221,443
AviChina Industry & Technology Co. Ltd., Class H		116,000		90,640
Baidu, Inc. — ADR (c)		6,913		1,306,833
Bank of China Ltd., Class H		4,049,000		1,796,595
Bank of Communications Co. Ltd., Class H		470,700		330,091
Beijing Capital International Airport Co. Ltd., Class H		100,000		107,405

Common Stocks	Shares		Value
China (continued)
Byd Co. Ltd., Class H (a)(c)		26,500	$	144,553
CGN Power Co. Ltd. (d)		546,000		203,287
China Cinda Asset Management Co. Ltd.		681,000		250,648
China CITIC Bank Corp. Ltd., Class H (c)		448,000		288,742
China Coal Energy Co. Ltd., Class H (a)		107,000		40,861
China Communications Construction Co. Ltd., Class H		239,000		242,157
China Communications Services Corp. Ltd., Class H		44,000		16,459
China Conch Venture Holdings Ltd.		92,500		191,367
China Construction Bank Corp., Class H		4,300,000		2,933,235
China COSCO Holdings Co. Ltd., Class H (a)(c)		78,000		35,233
China Everbright Bank Co. Ltd., Class H		58,000		28,084
China Galaxy Securities Co. Ltd., Class H		132,500		120,421
China Huishan Dairy Holdings Co. Ltd. (a)		338,000		129,263
China International Marine Containers Group Co. Ltd., Class H		41,500		75,544
China Life Insurance Co. Ltd., Class H		346,000		1,110,728
China Longyuan Power Group Corp., Class H		125,000		93,997
China Medical System Holdings Ltd.		109,000		159,746
China Mengniu Dairy Co. Ltd.		170,000		275,968
China Merchants Bank Co. Ltd., Class H		263,078		615,823
China Minsheng Banking Corp. Ltd., Class H		306,400		302,263
China National Building Material Co. Ltd., Class H		132,000		62,794
China Oilfield Services Ltd., Class H (a)		64,000		54,996
China Pacific Insurance Group Co. Ltd., Class H		141,800		580,298
China Petroleum & Chemical Corp. Class H		1,278,400		767,711
China Railway Construction Corp. Ltd., Class H		72,000		88,615
China Railway Group Ltd., Class H		230,000		173,463
China Shenhua Energy Co. Ltd., Class H		179,500		280,289
China Shipping Container Lines Co. Ltd., Class H (c)		122,000		33,738
China Southern Airlines Co. Ltd., Class H		48,000		37,003
China Telecom Corp. Ltd., Class H		754,000		351,716
China Unicom Hong Kong Ltd.		340,000		410,721
China Vanke Co. Ltd., Class H		48,500		144,142
Chongqing Changan Automobile Co. Ltd.		21,400		47,117
Chongqing Rural Commercial Bank, Co. Ltd., Class H		122,000		73,276
CITIC Securities Co. Ltd., Class H		90,500		209,702
CNOOC Ltd.		958,000		997,063
Country Garden Holdings Co. Ltd.		214,270		87,327
CSPC Pharmaceutical Group Ltd.		154,000		157,004
CSR Corp. Ltd., Class H		222,350		273,148
Ctrip.com International Ltd. — ADR (c)		7,176		332,464
Dalian Wanda Commercial Properties Co. Ltd., Class H (d)		24,800		143,939
Datang International Power Generation Co. Ltd., Class H		98,000		29,668
Dongfeng Motor Group Co. Ltd., Class H		182,000		241,099
Evergrande Real Estate Group Ltd. (a)		286,000		250,385
Fosun International Ltd.		81,500		126,642
GF Securities Co. Ltd., Class H (c)		31,000		77,321
Great Wall Motor Co. Ltd., Class H		123,000		142,068
Guangzhou Automobile Group Co. Ltd., Class H		52,000		46,199
Guangzhou R&F Properties Co. Ltd., Class H (a)		13,200		16,185
Haitian International Holdings Ltd.		67,000		97,208
Haitong Securities Co. Ltd., Class H		163,200		286,198
Hengan International Group Co. Ltd.		39,000		366,137
Huadian Power International Corp. Ltd., Class H		68,000		44,001
Huaneng Power International, Inc., Class H		192,000		164,408
Huaneng Renewables Corp. Ltd., Class H		158,000		46,890

See Notes to Financial Statements.

BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015 21

Schedule of Investments (continued) Total International ex U.S. Index Master Portfolio

Common Stocks	Shares		Value
China (continued)
Huatai Securities Co. Ltd., Class H (c)(d)		68,800	$	159,046
Industrial & Commercial Bank of China Ltd., Class H		3,753,000		2,249,617
JD.com, Inc., ADR (c)		8,569		276,479
Jiangsu Expressway Co. Ltd., Class H		26,000		34,895
Jiangxi Copper Co. Ltd., Class H		36,000		42,491
Kingsoft Corp. Ltd. (a)		55,000		133,558
Lenovo Group Ltd.		446,000		450,100
Longfor Properties Co. Ltd.		51,500		76,596
Luye Pharma Group Ltd. (c)		189,500		197,160
NetEase, Inc., ADR		1,973		357,586
New China Life Insurance Co. Ltd., Class H		29,100		121,605
People’s Insurance Co. Group of China Ltd., Class H		272,000		132,430
PetroChina Co. Ltd., Class H		1,096,000		717,486
PICC Property & Casualty Co. Ltd., Class H		177,532		350,362
Ping An Insurance Group Co. of China Ltd., Class H		241,000		1,329,043
Qihoo 360 Technology Co. Ltd., ADR (c)		2,335		170,011
Semiconductor Manufacturing International Corp. (c)		1,051,000		106,881
Shandong Weigao Group Medical Polymer Co. Ltd., Class H		276,000		188,723
Shanghai Electric Group Co. Ltd., Class H (a)		104,000		54,780
Shanghai Fosun Pharmaceutical Group Co. Ltd., Class H		7,000		20,251
Shanghai Pharmaceuticals Holding Co. Ltd., Class H		19,100		41,168
Shenzhou International Group Holdings Ltd.		20,000		114,616
Shui On Land Ltd.		76,666		20,953
Sihuan Pharmaceutical Holdings Group Ltd.		249,000		32,129
Sino-Ocean Land Holdings Ltd.		137,000		87,353
Sinopec Engineering Group Co. Ltd., Class H		13,500		11,484
Sinopec Shanghai Petrochemical Co. Ltd., Class H (c)		123,000		48,647
Sinopharm Group Co. Ltd., Class H		47,200		188,433
Sinotrans Ltd., Class H		45,000		23,954
SOHO China Ltd. (c)		195,000		94,101
Sunac China Holdings Ltd.		149,000		114,488
Tencent Holdings Ltd.		266,500		5,218,062
Tingyi Cayman Islands Holding Corp.		138,000		196,054
Tsingtao Brewery Co. Ltd., Class H (a)		14,000		63,066
Vipshop Holdings Ltd. — ADR (c)		9,945		151,860
Want Want China Holdings Ltd.		339,000		251,601
Weichai Power Co. Ltd., Class H		24,400		26,871
Yanzhou Coal Mining Co. Ltd., Class H (a)		36,000		16,693
Zhejiang Expressway Co. Ltd., Class H		54,000		64,521
Zhuzhou CSR Times Electric Co. Ltd., Class H		25,000		144,164
Zijin Mining Group Co. Ltd., Class H		218,000		57,070
ZTE Corp., Class H		14,400		32,689
				35,553,559
Colombia — 0.1%
Bancolombia SA		15,644		106,445
Cementos Argos SA		38,031		116,447
Corp. Financiera Colombiana SA (c)		13		157
Corp. Financiera Colombiana SA		1,431		17,526
Ecopetrol SA		184,080		64,366
Grupo Argos SA		6,618		33,773
Grupo Aval Acciones y Valores		125,734		43,172
Grupo de Inversiones Suramericana SA		6,592		74,133

Common Stocks	Shares		Value
Colombia (continued)
Grupo de Inversiones Suramericana SA, Preference Shares		803	$	8,803
Interconexion Electrica SA		6,953		16,164
				480,986
Czech Republic — 0.0%
CEZ AS		9,764		174,132
Komercni Banka AS		558		110,780
				284,912
Denmark — 1.4%
A.P. Moeller — Maersk A/S, Class A		220		283,297
A.P. Moeller — Maersk A/S, Class B		371		483,897
Carlsberg A/S, Class B		4,333		383,868
Chr Hansen Holding A/S		4,943		309,186
Coloplast A/S, Class B		6,579		531,169
Danske Bank A/S		35,120		942,350
DSV A/S		8,213		323,294
ISS A/S		8,788		316,779
Novo Nordisk A/S, Class B		97,867		5,666,324
Novozymes A/S, Class B		12,683		607,247
Pandora A/S		5,500		693,461
TDC A/S		36,256		180,520
Tryg A/S		5,025		99,855
Vestas Wind Systems A/S		11,244		785,267
William Demant Holding A/S (c)		1,605		152,883
				11,759,397
Egypt — 0.0%
Commercial International Bank		46,150		224,501
Global Telecom Holding SAE (c)		69,057		18,348
Talaat Moustafa Group		21,412		17,664
				260,513
Finland — 0.7%
Elisa OYJ		8,970		337,495
Fortum OYJ		27,627		416,240
Kone OYJ, Class B (a)		16,423		695,367
Metso OYJ (a)		9,428		211,189
Neste Oil OYJ		5,327		158,989
Nokia OYJ		170,387		1,205,406
Nokian Renkaat OYJ		4,713		168,260
Orion OYJ, Class B		4,256		147,250
Sampo OYJ, Class A		21,894		1,111,826
Stora Enso OYJ, Class R		32,562		294,430
UPM — Kymmene OYJ		27,594		512,291
Wartsila OYJ		6,761		308,693
				5,567,436
France — 7.2%
Accor SA		10,752		465,668
Aeroports de Paris		1,132		131,729
Air Liquide SA		17,520		1,966,909
Airbus Group SE		28,300		1,907,061
Alcatel-Lucent (c)		114,729		455,088
Alstom SA (a)(c)		10,571		322,890
ArcelorMittal (a)		50,614		213,551
Arkema		3,739		261,725
AtoS		4,829		405,406
AXA SA		94,651		2,586,202
BNP Paribas SA		53,133		3,006,123
Bollore SA		36,855		171,731

See Notes to Financial Statements.

22 BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015

Schedule of Investments (continued) Total International ex U.S. Index Master Portfolio

Common Stocks	Shares		Value
France (continued)
Bouygues SA		11,139	$	441,668
Bureau Veritas SA		11,737		233,935
Cap Gemini SA		7,654		710,181
Carrefour SA		27,447		792,109
Casino Guichard-Perrachon SA		2,964		136,168
Christian Dior SA		2,982		506,530
Cie Generale des Etablissements Michelin		9,265		881,866
CNP Assurances		7,565		102,047
Compagnie de Saint-Gobain		23,437		1,015,649
Credit Agricole SA		52,014		612,940
Danone SA		29,515		1,994,431
Dassault Systemes SA		6,665		532,739
Edenred		13,608		257,233
Electricite de France SA (a)		14,412		212,252
Engie SA		75,110		1,330,439
Essilor International SA		10,093		1,257,950
Eurazeo		1,698		117,109
Eutelsat Communications SA		10,133		303,386
Fonciere Des Regions		2,240		200,349
Gecina SA		1,956		237,794
Groupe Eurotunnel SE, Registered Shares		23,156		288,086
Hermes International		1,327		448,559
ICADE		1,426		95,713
Iliad SA		1,504		358,521
Imerys SA		704		49,175
Ingenico Group SA		2,978		375,886
JCDecaux SA		4,756		182,320
Kering		4,140		707,836
Klepierre		10,381		461,433
L’Oreal SA		12,489		2,100,710
Lagardere SCA		4,159		124,110
Legrand SA		13,403		758,144
LVMH Moet Hennessy Louis Vuitton SA		14,269		2,241,235
Natixis SA		32,454		183,595
Numericable-SFR		5,463		198,460
Orange SA		99,208		1,659,325
Pernod Ricard SA		10,974		1,251,523
Peugeot SA (c)		21,557		377,871
Publicis Groupe SA		9,791		651,056
Remy Cointreau SA		2,524		180,782
Renault SA		9,933		994,248
Rexel SA		17,849		237,673
Safran SA		14,145		971,800
Sanofi		59,127		5,038,905
Schneider Electric SE		27,411		1,557,052
SCOR SE		9,355		350,043
SES SA		16,337		452,693
Societe BIC SA		1,438		236,630
Societe Generale SA		35,927		1,655,593
Sodexo SA		5,001		488,582
Suez Environnement Co.		19,703		368,511
Technip SA		5,041		250,690
Thales SA		4,833		361,749
Total SA		107,626		4,825,021
Unibail-Rodamco SE		4,674		1,186,873
Valeo SA		4,428		682,685
Veolia Environnement SA		23,837		565,551
Vinci SA		24,208		1,551,605
Vivendi SA		56,472		1,212,851
Wendel SA		1,358		161,500

Common Stocks	Shares		Value
France (continued)
Zodiac Aerospace		9,179	$	218,555
				59,834,008
Germany — 6.4%
adidas AG		10,707		1,039,211
Allianz SE, Registered Shares		22,421		3,952,329
Axel Springer AG		2,564		142,585
BASF SE		45,919		3,498,018
Bayer AG, Registered Shares		40,938		5,112,760
Bayerische Motoren Werke AG		17,155		1,807,305
Bayerische Motoren Werke AG, Preference Shares		2,023		169,255
Beiersdorf AG		5,135		466,727
Brenntag AG		8,520		443,958
Commerzbank AG (c)		59,739		616,421
Continental AG (a)		5,478		1,325,182
Daimler AG, Registered Shares		48,314		4,036,826
Deutsche Bank AG, Registered Shares		69,330		1,683,655
Deutsche Boerse AG		9,803		861,695
Deutsche Lufthansa AG, Registered Shares (a)(c)		12,602		198,495
Deutsche Post AG, Registered Shares		47,843		1,337,584
Deutsche Telekom AG, Registered Shares		161,500		2,900,644
Deutsche Wohnen AG, Bearer Shares		16,491		456,006
E.ON SE		97,260		933,890
Evonik Industries AG		7,842		259,390
Fraport AG Frankfurt Airport Services Worldwide		2,602		165,935
Fresenius Medical Care AG & Co. KGaA		11,508		967,070
Fresenius SE & Co. KGaA		18,714		1,333,039
Fuchs Petrolub SE, Preference Shares		3,377		159,011
GEA Group AG		10,847		438,228
Hannover Rueck SE		3,514		401,262
HeidelbergCement AG		7,796		635,355
Henkel AG & Co. KGaA		5,377		514,324
Hugo Boss AG		3,305		272,692
Infineon Technologies AG		59,995		874,649
K+S AG, Registered Shares		10,011		255,192
Kabel Deutschland Holding AG		984		121,587
Lanxess AG		5,116		235,424
Linde AG		9,262		1,337,973
MAN SE		2,023		203,295
Merck KGaA		6,678		646,569
Metro AG		7,442		237,082
Muenchener Rueckversicherungs AG, Registered Shares		8,057		1,605,252
OSRAM Licht AG		4,893		204,424
Porsche Automobil Holding SE, Preference Shares		9,061		487,639
ProSiebenSat.1 Media AG, Registered Shares		11,089		559,455
RWE AG (a)		24,137		304,304
SAP SE		48,938		3,883,383
Siemens AG, Registered Shares		39,225		3,794,855
Symrise AG		6,340		419,698
Telefonica Deutschland Holding AG (a)		33,908		178,854
ThyssenKrupp AG		19,076		378,150
TUI AG		24,966		445,770
United Internet AG, Registered Shares		6,889		378,751
Volkswagen AG		1,804		277,215
Vonovia SE		25,145		776,806
				53,735,179
Greece — 0.1%
Alpha Bank AE (c)		69,105		185,193
Eurobank Ergasias SA (c)		92,831		103,998

See Notes to Financial Statements.

BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015 23

Schedule of Investments (continued) Total International ex U.S. Index Master Portfolio

Common Stocks	Shares		Value
Greece (continued)
FF Group (c)		440	$	8,272
Hellenic Telecommunications Organization SA		12,770		127,803
JUMBO SA (c)		1,999		21,011
National Bank of Greece SA (c)		3,405		1,259
OPAP SA		8,833		77,512
Piraeus Bank SA (c)		864		258
Titan Cement Co. SA		990		18,908
				544,214
Hong Kong — 3.4%
AIA Group Ltd.		616,800		3,685,429
Alibaba Health Information Technology Ltd. (c)		176,000		120,972
Alibaba Pictures Group Ltd. (a)(c)		480,000		117,694
ASM Pacific Technology Ltd.		6,300		49,187
Bank of East Asia Ltd. (a)		59,000		218,859
Beijing Enterprises Holdings Ltd.		38,000		229,074
Beijing Enterprises Water Group Ltd. (c)		232,000		161,817
Belle International Holdings Ltd.		292,000		218,476
BOC Hong Kong Holdings Ltd.		206,500		628,384
Brilliance China Automotive Holdings Ltd.		148,000		185,111
Cathay Pacific Airways Ltd.		32,000		55,061
Cheung Kong Infrastructure Holdings Ltd. (a)		38,000		351,077
Cheung Kong Property Holdings Ltd.		142,008		918,647
China Everbright International Ltd.		107,000		136,819
China Everbright Ltd.		102,000		232,970
China Gas Holdings Ltd.		74,000		106,329
China Jinmao Holdings Group Ltd.		326,000		111,043
China Merchants Holdings International Co. Ltd.		60,000		189,772
China Mobile Ltd.		310,500		3,495,018
China Overseas Land & Investment Ltd.		216,000		751,974
China Power International Development Ltd.		139,000		80,013
China Resources Enterprise Ltd.		86,000		183,497
China Resources Gas Group Ltd.		48,000		143,055
China Resources Land Ltd.		163,111		471,994
China Resources Power Holdings Co. Ltd.		118,000		228,296
China State Construction International Holdings Ltd.		70,000		121,052
China Taiping Insurance Holdings Co. Ltd. (c)		67,872		208,334
CITIC Ltd.		220,000		387,913
CK Hutchison Holdings Ltd.		134,008		1,801,324
CLP Holdings Ltd.		96,500		817,934
COSCO Pacific Ltd.		36,000		39,572
ENN Energy Holdings Ltd.		34,000		180,357
Far East Horizon Ltd.		141,000		130,633
First Pacific Co. Ltd.		140,000		92,741
Galaxy Entertainment Group Ltd.		152,000		476,265
GCL-Poly Energy Holdings Ltd. (a)		431,000		64,083
Geely Automobile Holdings Ltd.		365,000		192,869
Goldin Properties Holdings Ltd. (a)(c)		39,647		45,516
GOME Electrical Appliances Holding Ltd.		627,000		103,936
Guangdong Investment Ltd.		164,000		231,605
Haier Electronics Group Co. Ltd.		48,000		96,888
Hanergy Thin Film Power Group Ltd. (a)(c)		382,000		—
Hang Lung Properties Ltd.		120,000		271,903
Hang Seng Bank Ltd.		39,400		746,762
Henderson Land Development Co. Ltd.		58,850		358,986
HKT Trust & HKT Ltd. (b)		142,900		182,542
Hong Kong & China Gas Co. Ltd.		361,330		707,137
Hong Kong Exchanges & Clearing Ltd.		56,400		1,436,778
Hysan Development Co. Ltd.		25,000		102,142
Kerry Properties Ltd.		16,500		44,903
Kunlun Energy Co. Ltd.		134,000		118,980

Common Stocks	Shares		Value
Hong Kong (continued)
Li & Fung Ltd.		250,000	$	169,072
Link REIT		126,500		754,178
MGM China Holdings Ltd.		27,200		33,806
MTR Corp.		67,500		333,302
New World China Land Ltd.		214,000		170,710
New World Development Co. Ltd.		280,666		275,596
Nine Dragons Paper Holdings Ltd.		178,000		104,525
NWS Holdings Ltd.		52,186		77,900
PCCW Ltd.		84,000		49,103
Power Assets Holdings Ltd.		78,500		719,652
Sands China Ltd.		138,800		470,559
Shanghai Industrial Holdings Ltd.		15,000		39,159
Shangri-La Asia Ltd.		32,000		31,158
Shimao Property Holdings Ltd.		51,000		89,901
Sino Biopharmaceutical Ltd.		198,000		179,015
Sino Land Co. Ltd.		112,800		164,322
SJM Holdings Ltd. (a)		69,000		48,896
Sun Art Retail Group Ltd. (a)		110,000		82,762
Sun Hung Kai Properties Ltd.		89,000		1,069,742
Swire Pacific Ltd., Class A		36,500		407,709
Swire Properties Ltd.		42,600		122,489
Techtronic Industries Co. Ltd.		74,000		299,570
WH Group Ltd. (c)(d)		335,500		186,729
Wharf Holdings Ltd.		73,000		402,484
Wheelock & Co. Ltd.		32,000		134,278
Wynn Macau Ltd.		121,200		140,809
Yue Yuen Industrial Holdings Ltd.		19,000		64,363
Yuexiu Property Co. Ltd.		284,400		48,960
				28,702,472
Hungary — 0.0%
MOL Hungarian Oil & Gas PLC		997		48,626
OTP Bank PLC		11,103		228,293
Richter Gedeon Nyrt		3,173		59,889
				336,808
India — 1.8%
ACC Ltd.		1,747		35,826
Adani Ports & Special Economic Zone Ltd.		43,145		169,636
Aditya Birla Nuvo Ltd.		1,463		47,687
Ambuja Cements Ltd.		26,422		80,801
Apollo Hospitals Enterprise Ltd.		8,931		197,455
Asian Paints Ltd.		11,155		148,604
Aurobindo Pharma Ltd.		13,516		178,270
Bajaj Auto Ltd.		3,253		124,106
Bharat Forge Ltd.		5,977		80,288
Bharat Heavy Electricals Ltd.		22,772		57,974
Bharat Petroleum Corp. Ltd.		6,728		90,371
Bharti Airtel Ltd.		67,324		344,965
Bharti Infratel Ltd.		20,489		132,193
Bosch Ltd.		292		82,126
Cairn India Ltd.		17,443		36,277
Cipla Ltd.		13,384		131,201
Coal India Ltd.		42,303		209,871
Container Corp. of India		2,401		47,588
Dabur India Ltd.		20,426		85,344
Divi’s Laboratories Ltd.		3,088		53,803
Dr. Reddy’s Laboratories Ltd.		1,820		85,442
Dr. Reddy’s Laboratories Ltd. — ADR		4,517		209,092
Eicher Motors Ltd.		723		183,534
GAIL India Ltd.		12,294		69,515

See Notes to Financial Statements.

24 BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015

Schedule of Investments (continued) Total International ex U.S. Index Master Portfolio

Common Stocks	Shares		Value
India (continued)
GlaxoSmithKline Consumer Healthcare Ltd.		391	$	37,862
Glenmark Pharmaceuticals Ltd.		5,797		80,483
Godrej Consumer Products Ltd.		4,619		91,852
HCL Technologies Ltd.		29,571		381,375
Hero MotoCorp Ltd.		1,935		78,517
Hindalco Industries Ltd.		43,227		55,105
Hindustan Unilever Ltd.		40,183		523,679
Housing Development Finance Corp.		76,688		1,458,593
ICICI Bank Ltd.		30,654		121,075
ICICI Bank Ltd. — ADR		20,733		162,339
Idea Cellular Ltd.		41,835		90,527
Indiabulls Housing Finance Ltd.		8,948		99,240
Infosys Ltd.		13,647		227,407
Infosys Ltd. — ADR		75,312		1,261,476
ITC Ltd.		114,631		566,829
JSW Steel Ltd.		3,280		51,004
Larsen & Toubro Ltd.		4,639		89,168
Larsen & Toubro Ltd. — GDR		12,158		234,853
LIC Housing Finance Ltd.		17,978		138,410
Lupin Ltd.		11,830		327,311
Mahindra & Mahindra Financial Services Ltd.		10,804		39,350
Mahindra & Mahindra Ltd.		3,478		66,764
Mahindra & Mahindra Ltd. — GDR		13,518		258,327
Marico Ltd.		11,032		37,656
Marico Ltd.		11,032		37,712
Maruti Suzuki India Ltd.		4,295		299,109
Motherson Sumi Systems Ltd.		12,306		54,337
Nestle India Ltd.		897		78,856
NTPC Ltd.		63,930		140,971
Oil & Natural Gas Corp. Ltd.		58,267		212,493
Piramal Enterprises Ltd.		8,297		125,961
Power Finance Corp. Ltd.		10,235		30,977
Reliance Communications Ltd. (c)		32,595		43,363
Reliance Industries Ltd.		11,768		180,184
Reliance Industries Ltd. — GDR (d)		27,499		841,469
Rural Electrification Corp. Ltd.		11,484		39,143
Shree Cement Ltd.		231		40,033
Shriram Transport Finance Co. Ltd.		5,718		73,930
Siemens Ltd.		2,761		49,961
State Bank of India		34,826		117,686
State Bank of India — GDR		5,712		192,099
Sun Pharmaceutical Industries Ltd.		47,910		592,658
Tata Consultancy Services Ltd.		23,603		867,730
Tata Motors Ltd. (c)		29,859		176,483
Tata Motors Ltd. — ADR (c)		6,008		177,056
Tata Power Co. Ltd.		42,988		43,910
Tata Steel Ltd.		11,672		45,526
Tech Mahindra Ltd.		11,300		88,721
UltraTech Cement Ltd.		1,383		57,979
United Breweries Ltd.		2,563		36,603
United Spirits Ltd. (c)		3,702		167,179
UPL Ltd.		13,245		87,226
Vedanta Ltd. — ADR		11,497		63,923
Wipro Ltd.		9,623		81,105
Wipro Ltd. — ADR		18,332		211,551
Zee Entertainment Enterprises Ltd.		20,478		134,991
				14,752,096
Indonesia — 0.5%
Adaro Energy Tbk PT		230,400		8,514
Astra Agro Lestari Tbk PT		11,500		13,109

Common Stocks	Shares		Value
Indonesia (continued)
Astra International Tbk PT		1,198,900	$	516,429
Bank Central Asia Tbk PT		705,900		676,308
Bank Danamon Indonesia Tbk PT		186,600		43,153
Bank Mandiri Persero Tbk PT		711,400		472,398
Bank Negara Indonesia Persero Tbk PT		405,600		145,212
Bank Rakyat Indonesia Persero Tbk PT		660,000		541,662
Bumi Serpong Damai Tbk PT		111,800		14,421
Charoen Pokphand Indonesia Tbk PT		271,300		50,555
Global Mediacom Tbk PT		137,600		10,892
Gudang Garam Tbk PT		9,800		38,895
Hanjaya Mandala Sampoerna Tbk PT		10,400		70,792
Indocement Tunggal Prakarsa Tbk PT		88,600		142,080
Indofood CBP Sukses Makmur Tbk PT		18,900		18,284
Indofood Sukses Makmur Tbk PT		331,300		123,316
Jasa Marga Persero Tbk PT		71,000		26,710
Kalbe Farma Tbk PT		858,400		81,672
Lippo Karawaci Tbk PT		819,500		61,332
Matahari Department Store Tbk PT		98,800		125,074
Media Nusantara Citra Tbk PT		60,162		8,010
Perusahaan Gas Negara Persero Tbk		426,200		84,031
Semen Indonesia Persero Tbk PT		106,000		86,855
Summarecon Agung Tbk PT		1,981,500		233,854
Surya Citra Media Tbk PT		84,000		18,731
Telekomunikasi Indonesia Persero Tbk PT		2,805,700		628,413
Tower Bersama Infrastructure Tbk PT (c)		38,000		16,075
Unilever Indonesia Tbk PT		62,700		167,372
United Tractors Tbk PT		67,700		82,432
XL Axiata Tbk PT (c)		82,000		21,583
				4,528,164
Ireland — 0.7%
Bank of Ireland (c)		1,442,740		528,266
CRH PLC		39,330		1,134,235
Experian PLC		51,781		915,198
James Hardie Industries PLC		24,629		310,521
Kerry Group PLC, Class A		8,083		668,785
Shire PLC		30,146		2,068,238
				5,625,243
Israel — 0.5%
Azrieli Group		1,500		55,879
Bank Hapoalim BM		66,126		341,342
Bank Leumi Le-Israel BM (c)		71,682		248,544
Bezeq The Israeli Telecommunication Corp. Ltd.		106,530		234,511
Check Point Software Technologies Ltd. (c)		3,390		275,878
Delek Group Ltd.		69		13,818
Israel Chemicals Ltd.		18,197		73,867
Mizrahi Tefahot Bank Ltd.		8,332		99,513
NICE Systems Ltd.		2,571		147,729
Teva Pharmaceutical Industries Ltd.		44,550		2,906,482
				4,397,563
Italy — 1.6%
Assicurazioni Generali SpA		55,938		1,021,802
Atlantia SpA		21,663		573,168
Banca Monte dei Paschi di Siena SpA (c)		108,878		144,134
Banco Popolare SC (c)		14,013		193,104
Enel Green Power SpA		101,500		206,305
Enel SpA		343,622		1,440,911
Eni SpA		126,625		1,881,418
Exor SpA		6,195		281,170

See Notes to Financial Statements.

BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015 25

Schedule of Investments (continued) Total International ex U.S. Index Master Portfolio

Common Stocks	Shares		Value
Italy (continued)
Finmeccanica SpA (c)		15,326	$	213,097
Intesa Sanpaolo SpA		716,693		2,371,093
Luxottica Group SpA (a)		9,215		600,496
Mediobanca SpA		34,909		334,640
Prysmian SpA		10,105		220,785
Saipem SpA (a)(c)		17,006		137,455
Snam SpA		108,925		568,472
Telecom Italia SpA (c)		577,797		732,249
Telecom Italia SpA, Non-Convertible Savings Shares		219,492		225,271
Tenaris SA (a)		27,208		322,179
Terna — Rete Elettrica Nazionale SpA		77,000		396,002
UniCredit SpA		237,637		1,313,821
Unione di Banche Italiane SCpA		40,601		271,273
UnipolSai SpA		92,405		235,088
				13,683,933
Japan — 17.1%
ABC-Mart, Inc.		300		16,421
Acom Co. Ltd. (c)		16,100		75,815
Aeon Co. Ltd.		34,200		526,940
AEON Financial Service Co. Ltd.		4,000		89,355
Aeon Mall Co. Ltd.		5,190		89,020
Air Water, Inc.		4,000		64,333
Aisin Seiki Co. Ltd.		10,800		464,814
Ajinomoto Co., Inc.		29,000		686,596
Alfresa Holdings Corp.		8,900		175,778
Alps Electric Co. Ltd.		9,900		268,468
Amada Co. Ltd.		12,700		121,192
ANA Holdings, Inc.		80,000		230,808
Aozora Bank Ltd.		70,000		244,287
Asahi Glass Co. Ltd.		49,000		280,714
Asahi Group Holdings Ltd.		20,300		635,479
Asahi Kasei Corp.		68,000		459,823
Asics Corp.		6,100		126,560
Astellas Pharma, Inc.		105,900		1,507,566
Bandai Namco Holdings, Inc.		10,000		211,271
Bank of Kyoto Ltd.		15,000		139,105
Bank of Yokohama Ltd.		56,000		343,257
Benesse Holdings, Inc. (a)		1,100		31,678
Bridgestone Corp. (a)		32,600		1,118,225
Brother Industries Ltd.		7,500		86,158
Calbee, Inc.		3,500		147,802
Canon, Inc. (a)		50,500		1,527,626
Casio Computer Co. Ltd.		8,100		189,352
Central Japan Railway Co.		7,200		1,278,244
Chiba Bank Ltd.		41,000		290,945
Chubu Electric Power Co., Inc.		33,600		460,109
Chugai Pharmaceutical Co. Ltd.		11,800		411,308
Chugoku Bank Ltd.		4,000		53,375
Chugoku Electric Power Co., Inc.		14,700		194,089
Citizen Holdings Co. Ltd.		14,200		102,059
Credit Saison Co. Ltd. (a)		7,700		151,707
Dai Nippon Printing Co. Ltd.		26,000		257,105
Dai-ichi Life Insurance Co. Ltd.		55,200		918,400
Daicel Corp.		12,000		178,583
Daihatsu Motor Co. Ltd.		8,100		109,269
Daiichi Sankyo Co. Ltd.		36,100		745,093
Daikin Industries Ltd.		12,000		873,860
Daito Trust Construction Co. Ltd.		4,000		462,042
Daiwa House Industry Co. Ltd.		29,900		859,516
Daiwa Securities Group, Inc.		96,000		586,915

Common Stocks	Shares		Value
Japan (continued)
Denso Corp.		24,600	$	1,175,523
Dentsu, Inc.		11,900		651,075
Don Quijote Holdings Co. Ltd.		6,600		231,784
East Japan Railway Co.		16,200		1,525,487
Eisai Co. Ltd.		13,100		866,575
Electric Power Development Co. Ltd.		7,100		252,878
FamilyMart Co. Ltd.		3,300		153,565
FANUC Corp.		10,100		1,740,128
Fast Retailing Co. Ltd. (a)		2,600		909,509
Fuji Electric Co. Ltd.		13,000		54,520
Fuji Heavy Industries Ltd.		29,000		1,194,692
FUJIFILM Holdings Corp.		24,300		1,014,100
Fujitsu Ltd.		103,000		514,085
Fukuoka Financial Group, Inc.		34,000		168,593
GungHo Online Entertainment, Inc.		8,800		23,906
Gunma Bank Ltd.		15,000		87,214
Hachijuni Bank Ltd.		10,000		61,200
Hakuhodo DY Holdings, Inc.		5,800		62,753
Hamamatsu Photonics KK		6,400		175,457
Hankyu Hanshin Holdings, Inc.		57,000		370,493
Hikari Tsushin, Inc.		1,800		122,580
Hino Motors Ltd.		8,600		99,394
Hirose Electric Co. Ltd.		1,335		161,631
Hiroshima Bank Ltd.		22,000		125,043
Hisamitsu Pharmaceutical Co., Inc.		1,100		46,181
Hitachi Chemical Co. Ltd.		1,600		25,383
Hitachi Construction Machinery Co. Ltd.		4,600		71,541
Hitachi High-Technologies Corp.		1,600		43,269
Hitachi Ltd.		241,000		1,365,595
Hitachi Metals Ltd.		8,000		98,706
Hokuhoku Financial Group, Inc.		45,000		91,734
Hokuriku Electric Power Co.		7,100		104,927
Honda Motor Co. Ltd.		78,900		2,521,763
Hoya Corp.		21,700		887,369
Hulic Co. Ltd. (a)		9,000		79,025
Idemitsu Kosan Co. Ltd.		2,400		38,321
IHI Corp.		58,000		160,109
Iida Group Holdings Co. Ltd.		6,800		126,031
Inpex Corp.		53,500		521,566
Isetan Mitsukoshi Holdings Ltd.		20,100		262,125
Isuzu Motors Ltd.		31,000		333,952
ITOCHU Corp.		80,100		947,458
Itochu Techno-Solutions Corp.		6,000		119,546
Iyo Bank Ltd.		8,700		84,526
J. Front Retailing Co. Ltd.		9,700		141,015
Japan Airlines Co. Ltd.		7,400		264,867
Japan Airport Terminal Co. Ltd. (a)		1,500		66,404
Japan Exchange Group, Inc.		29,800		465,826
Japan Post Bank Co. Ltd. (c)		20,200		294,105
Japan Post Holdings Co. Ltd. (c)		22,500		349,120
Japan Prime Realty Investment Corp. (a)		41		140,011
Japan Real Estate Investment Corp.		56		271,753
Japan Retail Fund Investment Corp.		141		271,267
Japan Tobacco, Inc.		54,600		2,004,571
JFE Holdings, Inc. (a)		22,200		348,593
JGC Corp.		15,000		229,593
Joyo Bank Ltd.		29,000		137,137
JSR Corp.		12,500		194,804
JTEKT Corp.		12,600		206,238
JX Holdings, Inc.		125,300		525,894
Kajima Corp.		47,000		279,718

See Notes to Financial Statements.

26 BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015

Schedule of Investments (continued) Total International ex U.S. Index Master Portfolio

Common Stocks	Shares		Value
Japan (continued)
Kakaku.com, Inc.		7,400	$	145,555
Kamigumi Co. Ltd.		18,000		154,977
Kaneka Corp.		19,000		197,491
Kansai Electric Power Co., Inc. (c)		38,500		461,607
Kansai Paint Co. Ltd.		8,000		121,262
Kao Corp.		25,800		1,325,829
Kawasaki Heavy Industries Ltd.		84,000		310,791
KDDI Corp.		87,000		2,259,405
Keihan Electric Railway Co. Ltd.		15,000		100,459
Keikyu Corp.		22,000		181,791
Keio Corp.		27,000		233,164
Keisei Electric Railway Co. Ltd.		16,000		204,132
Keyence Corp.		2,220		1,220,123
Kikkoman Corp. (a)		8,000		277,179
Kintetsu Group Holdings Co. Ltd.		91,000		369,987
Kirin Holdings Co. Ltd.		35,100		476,558
Kobe Steel Ltd.		126,000		136,901
Koito Manufacturing Co. Ltd.		6,000		246,045
Komatsu Ltd.		48,200		788,670
Konami Corp.		5,700		135,686
Konica Minolta, Inc.		23,700		237,360
Kose Corp.		1,700		157,184
Kubota Corp.		56,000		865,124
Kuraray Co. Ltd.		19,300		233,777
Kurita Water Industries Ltd.		7,400		154,966
Kyocera Corp. (a)		16,700		775,557
Kyowa Hakko Kirin Co. Ltd.		12,000		188,816
Kyushu Electric Power Co., Inc. (c)		25,500		277,927
Lawson, Inc.		3,800		308,450
LIXIL Group Corp.		13,600		302,052
M3, Inc. (a)		9,700		201,122
Mabuchi Motor Co. Ltd. (a)		2,300		124,648
Makita Corp.		5,800		334,235
Marubeni Corp.		87,100		447,789
Marui Group Co. Ltd.		9,500		154,590
Maruichi Steel Tube Ltd.		2,400		70,852
Mazda Motor Corp.		29,500		608,725
McDonald’s Holdings Co. Japan Ltd. (a)		1,500		32,620
Medipal Holdings Corp.		3,000		51,132
Meiji Holdings Co. Ltd.		6,200		512,118
Minebea Co. Ltd. (a)		19,000		162,677
Miraca Holdings, Inc.		2,400		105,604
Mitsubishi Chemical Holdings Corp.		70,100		444,765
Mitsubishi Corp.		68,400		1,137,705
Mitsubishi Electric Corp.		98,000		1,028,691
Mitsubishi Estate Co. Ltd.		59,000		1,226,806
Mitsubishi Gas Chemical Co., Inc. (a)		31,000		158,519
Mitsubishi Heavy Industries Ltd.		157,000		686,483
Mitsubishi Logistics Corp.		2,000		26,352
Mitsubishi Materials Corp.		62,000		195,278
Mitsubishi Motors Corp.		35,200		297,811
Mitsubishi Tanabe Pharma Corp.		11,400		196,406
Mitsubishi UFJ Financial Group, Inc.		649,600		4,023,784
Mitsubishi UFJ Lease & Finance Co. Ltd.		11,500		59,182
Mitsui & Co. Ltd.		84,200		1,000,467
Mitsui Chemicals, Inc.		37,000		164,095
Mitsui Fudosan Co. Ltd.		47,000		1,179,600
Mitsui OSK Lines Ltd.		47,000		118,547
Mixi, Inc.		1,800		67,326
Mizuho Financial Group, Inc.		1,191,800		2,383,600
MS&AD Insurance Group Holdings, Inc.		25,800		756,577

Common Stocks	Shares		Value
Japan (continued)
Murata Manufacturing Co. Ltd.		10,100	$	1,453,200
Nabtesco Corp.		3,900		79,229
Nagoya Railroad Co. Ltd.		31,000		129,025
NEC Corp.		108,000		342,200
Nexon Co. Ltd.		5,100		82,965
NGK Insulators Ltd.		15,000		338,103
NGK Spark Plug Co. Ltd. (a)		8,500		223,792
NH Foods Ltd.		8,000		156,799
NHK Spring Co. Ltd.		14,000		140,368
Nidec Corp.		11,100		804,927
Nikon Corp.		19,900		266,530
Nintendo Co. Ltd.		5,200		715,052
Nippon Building Fund, Inc. (a)		75		358,391
Nippon Electric Glass Co. Ltd. (a)		28,000		141,125
Nippon Express Co. Ltd.		31,000		145,676
Nippon Paint Holdings Co. Ltd. (a)		6,000		145,212
Nippon Steel & Sumitomo Metal		37,647		744,746
Nippon Telegraph & Telephone Corp.		37,500		1,492,429
Nippon Yusen KK		93,000		225,403
Nissan Motor Co. Ltd.		123,500		1,293,136
Nisshin Seifun Group, Inc.		9,000		147,010
Nissin Foods Holdings Co. Ltd.		3,500		185,723
Nitori Holdings Co. Ltd.		4,000		335,927
Nitto Denko Corp.		8,800		642,450
NOK Corp.		3,800		88,771
Nomura Holdings, Inc.		183,100		1,019,877
Nomura Real Estate Holdings, Inc.		5,200		96,472
Nomura Research Institute Ltd.		6,710		257,689
NSK Ltd.		24,800		269,475
NTT Data Corp.		6,800		328,753
NTT DoCoMo, Inc.		72,500		1,487,090
NTT Urban Development Corp.		2,400		23,060
Obayashi Corp.		33,000		304,498
Odakyu Electric Railway Co. Ltd.		34,000		366,071
Oji Holdings Corp.		39,000		156,741
Olympus Corp.		14,300		562,972
Omron Corp.		11,500		383,489
Ono Pharmaceutical Co. Ltd.		4,200		748,909
Oracle Corp. Japan		700		32,592
Oriental Land Co. Ltd.		11,100		671,511
ORIX Corp.		68,400		959,547
Osaka Gas Co. Ltd.		94,000		339,522
Otsuka Corp.		2,900		142,459
Otsuka Holdings Co. Ltd. (a)		21,300		756,766
Panasonic Corp.		112,700		1,142,497
Park24 Co. Ltd.		8,400		203,510
Rakuten, Inc.		48,300		556,308
Recruit Holdings Co. Ltd.		8,500		249,847
Resona Holdings, Inc.		113,000		548,755
Ricoh Co. Ltd.		39,000		401,575
Rinnai Corp.		2,100		186,067
Rohm Co. Ltd.		5,400		273,515
Ryohin Keikaku Co. Ltd.		1,000		202,511
Sankyo Co. Ltd. (a)		3,300		123,182
Sanrio Co. Ltd.		4,800		112,768
Santen Pharmaceutical Co. Ltd.		20,200		332,561
SBI Holdings, Inc.		8,850		95,499
Secom Co. Ltd.		10,900		738,690
Sega Sammy Holdings, Inc.		6,900		64,538
Seibu Holdings, Inc.		6,200		126,618
Seiko Epson Corp.		14,900		229,447

See Notes to Financial Statements.

BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015 27

Schedule of Investments (continued) Total International ex U.S. Index Master Portfolio

Common Stocks	Shares		Value
Japan (continued)
Sekisui Chemical Co. Ltd.		19,000	$	248,069
Sekisui House Ltd.		33,100		556,535
Seven & I Holdings Co. Ltd.		35,900		1,643,666
Seven Bank Ltd.		27,800		121,917
Shikoku Electric Power Co., Inc.		8,000		124,970
Shimadzu Corp.		11,000		184,139
Shimamura Co. Ltd.		900		105,398
Shimano, Inc. (a)		4,100		629,590
Shimizu Corp.		29,000		236,473
Shin-Etsu Chemical Co. Ltd.		19,800		1,076,443
Shinsei Bank Ltd.		100,000		184,029
Shionogi & Co. Ltd.		16,800		759,868
Shiseido Co. Ltd.		19,900		412,898
Shizuoka Bank Ltd.		30,000		290,941
Showa Shell Sekiyu KK		13,900		113,426
SMC Corp.		2,900		753,228
Softbank Group Corp.		46,400		2,341,827
Sompo Japan Nipponkoa Holdings, Inc.		18,100		594,308
Sony Corp.		62,700		1,540,965
Sony Financial Holdings, Inc.		6,900		123,422
Stanley Electric Co. Ltd.		5,100		111,882
Sumitomo Chemical Co. Ltd.		79,000		453,704
Sumitomo Corp.		64,200		654,540
Sumitomo Dainippon Pharma Co. Ltd. (a)		3,900		45,948
Sumitomo Electric Industries Ltd.		39,500		557,772
Sumitomo Heavy Industries Ltd.		20,000		89,657
Sumitomo Metal Mining Co. Ltd.		29,000		352,029
Sumitomo Mitsui Financial Group, Inc.		61,500		2,321,074
Sumitomo Mitsui Trust Holdings, Inc.		177,000		670,357
Sumitomo Realty & Development Co. Ltd.		19,000		542,311
Sumitomo Rubber Industries Ltd.		10,500		136,535
Suntory Beverage & Food Ltd.		8,500		372,097
Suruga Bank Ltd.		8,300		171,051
Suzuken Co. Ltd.		1,870		71,064
Suzuki Motor Corp.		18,900		574,254
Sysmex Corp.		7,800		500,328
T&D Holdings, Inc.		31,400		414,277
Taiheiyo Cement Corp.		49,000		143,095
Taisei Corp.		51,000		335,935
Taisho Pharmaceutical Holdings Co. Ltd.		800		56,500
Taiyo Nippon Sanso Corp. (a)		4,000		36,175
Takashimaya Co. Ltd. (a)		13,000		117,071
Takeda Pharmaceutical Co. Ltd.		39,500		1,969,448
TDK Corp.		6,800		435,499
Teijin Ltd.		59,000		201,064
Terumo Corp. (a)		16,500		511,391
THK Co. Ltd. (a)		4,000		74,136
Tobu Railway Co. Ltd.		57,000		281,148
Toho Co. Ltd.		5,000		138,361
Toho Gas Co. Ltd.		18,000		116,248
Tohoku Electric Power Co., Inc.		22,400		280,029
Tokio Marine Holdings, Inc.		33,800		1,305,511
Tokyo Electric Power Co., Inc. (c)		70,100		403,654
Tokyo Electron Ltd.		8,000		484,679
Tokyo Gas Co. Ltd.		124,000		582,650
Tokyo Tatemono Co. Ltd.		8,000		87,070
Tokyu Corp.		53,000		418,827
Tokyu Fudosan Holdings Corp.		30,800		193,050
TonenGeneral Sekiyu KK (a)		16,000		135,072
Toppan Printing Co. Ltd. (a)		23,000		211,903
Toray Industries, Inc.		80,000		743,402

Common Stocks	Shares		Value
Japan (continued)
Toshiba Corp. (c)		208,000	$	427,487
Toto Ltd.		8,500		298,622
Toyo Seikan Kaisha Ltd. (a)		8,500		157,668
Toyo Suisan Kaisha Ltd.		5,400		188,204
Toyoda Gosei Co. Ltd.		4,300		97,683
Toyota Industries Corp.		6,600		352,925
Toyota Motor Corp.		135,300		8,331,634
Toyota Tsusho Corp.		10,200		238,607
Trend Micro, Inc.		4,200		170,424
Unicharm Corp.		21,500		439,066
United Urban Investment Corp.		132		179,197
USS Co. Ltd.		12,100		181,812
West Japan Railway Co.		8,200		566,809
Yahoo! Japan Corp.		75,400		306,494
Yakult Honsha Co. Ltd.		5,200		254,512
Yamada Denki Co. Ltd.		39,300		169,757
Yamaguchi Financial Group, Inc.		4,000		47,389
Yamaha Corp.		9,600		231,882
Yamaha Motor Co. Ltd.		14,700		329,505
Yamato Holdings Co. Ltd.		17,700		375,030
Yamazaki Baking Co. Ltd.		7,000		157,400
Yaskawa Electric Corp.		8,100		110,214
Yokogawa Electric Corp.		8,400		101,018
Yokohama Rubber Co. Ltd.		5,000		76,789
				142,766,829
Luxembourg — 0.0%
RTL Group SA (c)		2,943		245,080
Malaysia — 0.7%
AirAsia Bhd		60,100		17,980
Alliance Financial Group Bhd		90,800		75,179
AMMB Holdings Bhd		68,900		72,507
Astro Malaysia Holdings Bhd		29,600		18,971
Axiata Group Bhd		165,600		246,783
Berjaya Sports Toto Bhd		118,478		84,164
British American Tobacco Malaysia Bhd		3,100		40,433
Bumi Armada Bhd (a)(c)		45,600		10,806
CIMB Group Holdings Bhd		239,100		252,104
Dialog Group Bhd		142,134		52,826
DiGi.Com Bhd (a)		169,300		212,564
Felda Global Ventures Holdings Bhd (a)		89,900		35,642
Gamuda Bhd		39,600		42,896
Genting Bhd		78,100		133,201
Genting Malaysia Bhd		106,100		108,088
Genting Plantations Bhd		10,000		24,688
Hong Leong Bank Bhd		14,040		43,749
Hong Leong Financial Group Bhd		7,000		22,704
IHH Healthcare Bhd		176,500		270,495
IJM Corp. Bhd		126,600		99,535
IOI Corp. Bhd		102,200		105,847
IOI Properties Group Sdn Bhd		23,273		12,168
Kuala Lumpur Kepong Bhd		17,500		93,080
Lafarge Malayan Cement Bhd		17,500		36,194
Malayan Banking Bhd (a)		324,600		633,883
Malaysia Airports Holdings Bhd		11,300		14,716
Maxis Bhd (a)		66,600		105,232
MISC Bhd		27,400		59,568
Petronas Chemicals Group Bhd		126,000		212,834
Petronas Dagangan Bhd		6,100		35,320
Petronas Gas Bhd		52,700		278,763

See Notes to Financial Statements.

28 BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015

Schedule of Investments (continued) Total International ex U.S. Index Master Portfolio

Common Stocks	Shares		Value
Malaysia (continued)
PPB Group Bhd		12,600	$	46,517
Public Bank Bhd		156,720		675,277
RHB Capital Bhd		12,900		17,001
Sapurakencana Petroleum Bhd (a)		220,700		103,543
Sime Darby Bhd		159,000		285,696
Telekom Malaysia Bhd		55,900		88,086
Tenaga Nasional Bhd		208,700		646,175
UMW Holdings Bhd		10,900		19,939
Westports Holdings Bhd		70,000		66,978
YTL Corp. Bhd		113,160		41,288
YTL Power International Bhd		42,000		14,450
				5,457,870
Malta — 0.0%
Brait SE (a)(c)		18,341		197,876
Mexico — 0.9%
Alfa SAB de CV, Series A		169,400		335,173
America Movil SAB de CV, Series L		1,602,800		1,127,154
Arca Continental SAB de CV		15,972		97,012
Cemex SAB de CV (c)		820,345		448,859
Coca-Cola Femsa SAB de CV, Series L (c)		24,300		174,694
Controladora Comercial Mexicana SAB de CV		4,900		13,451
El Puerto de Liverpool SAB de CV, Series C1		10,900		132,885
Fibra Uno Administracion SA de CV		129,500		285,457
Fomento Economico Mexicano SAB de CV		95,700		897,502
Gentera SAB de CV		37,100		71,791
Gruma SAB de CV		10,000		140,271
Grupo Aeroportuario del Pacifico SAB de CV, Class B		15,800		139,394
Grupo Aeroportuario del Sureste SAB de CV, Class B		10,700		151,419
Grupo Bimbo SAB de CV, Series A (c)		104,600		278,881
Grupo Carso SAB de CV, Series A1		14,900		61,365
Grupo Comercial Chedraui SA de CV		41,000		109,289
Grupo Financiero Banorte SAB de CV, Series O		142,200		783,752
Grupo Financiero Inbursa SAB de CV, Series O		99,700		179,911
Grupo Financiero Santander Mexico SAB de CV, Series B		92,800		162,883
Grupo Lala SAB de CV		9,900		23,017
Grupo Mexico SAB de CV, Series B		196,823		420,152
Grupo Televisa SAB CPO		132,200		723,650
Industrias Penoles SAB de CV		2,850		29,306
Kimberly-Clark de Mexico SAB de CV, Class A (c)		78,500		183,878
Mexichem SAB de CV		35,730		79,817
OHL Mexico SAB de CV (c)		42,200		44,172
Promotora y Operadora de Infraestructura SAB de CV (c)		9,700		114,101
Wal-Mart de Mexico SAB de CV		281,300		709,840
				7,919,076
Netherlands — 3.1%
Aegon NV		103,800		587,037
Akzo Nobel NV		12,760		852,606
Altice NV Class A (c)		14,627		210,150
Altice NV Class B (c)		3,659		53,331
ASML Holding NV		17,224		1,530,378
CNH Industrial NV (a)		45,146		309,202
Gemalto NV		4,250		255,008
Heineken Holding NV		5,586		430,048
Heineken NV		11,301		963,036
ING Groep NV CVA		196,445		2,657,908

Common Stocks	Shares		Value
Netherlands (continued)
Koninklijke Ahold NV		45,490	$	959,540
Koninklijke Boskalis Westminster NV		4,734		193,110
Koninklijke DSM NV		9,500		476,381
Koninklijke KPN NV		174,560		660,249
Koninklijke Philips Electronics NV		47,377		1,209,262
Koninklijke Vopak NV		2,494		107,404
NN Group NV		10,990		387,759
NXP Semiconductor NV (c)		5,978		503,646
OCI NV (c)		3,417		84,371
QIAGEN NV (c)		10,835		293,674
Randstad Holding NV		7,147		445,054
RELX NV		54,257		913,812
Royal Dutch Shell PLC, Class A		196,439		4,449,177
Royal Dutch Shell PLC, Class B		118,718		2,705,693
Steinhoff International Holdings NV		116,440		591,122
TNT Express NV		29,376		248,487
Unilever NV CVA		81,040		3,532,055
Wolters Kluwer NV		16,190		543,717
				26,153,217
New Zealand — 0.1%
Auckland International Airport Ltd.		55,568		217,999
Contact Energy Ltd.		39,025		126,310
Fletcher Building Ltd.		30,613		153,416
Meridian Energy Ltd.		95,908		156,405
Mighty River Power Ltd.		12,773		24,236
Ryman Healthcare Ltd.		13,399		77,762
Spark New Zealand Ltd.		65,332		147,106
				903,234
Norway — 0.4%
DnB NOR ASA		51,793		638,153
Gjensidige Forsikring ASA		15,619		249,984
Norsk Hydro ASA		59,486		221,116
Orkla ASA		51,519		406,429
Statoil ASA		57,162		797,225
Telenor ASA (a)		36,700		611,736
Yara International ASA		9,441		406,041
				3,330,684
Peru — 0.1%
Compania de Minas Buenaventura SA — ADR		4,924		21,075
Credicorp Ltd.		4,727		460,031
Southern Copper Corp.		10,147		265,040
				746,146
Philippines — 0.3%
Aboitiz Equity Ventures, Inc.		86,410		106,001
Aboitiz Power Corp.		29,200		25,877
Alliance Global Group, Inc.		35,800		12,202
Ayala Corp.		13,480		216,040
Ayala Land, Inc.		389,400		284,641
Bank of the Philippine Islands		45,031		80,204
BDO Unibank, Inc.		59,814		132,957
DMCI Holdings, Inc.		170,000		49,710
Energy Development Corp.		642,400		84,379
Globe Telecom, Inc.		845		33,194
GT Capital Holdings, Inc.		2,625		73,541
International Container Terminal Services, Inc.		9,550		14,225
JG Summit Holdings, Inc.		156,443		243,456
Jollibee Foods Corp.		12,070		56,031

See Notes to Financial Statements.

BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015 29

Schedule of Investments (continued) Total International ex U.S. Index Master Portfolio

Common Stocks		Shares		Value
Philippines (continued)
Megaworld Corp.			600,000	$	54,055
Metro Pacific Investments Corp.			1,468,000		161,949
Metropolitan Bank & Trust Co.			12,817		21,862
Philippine Long Distance Telephone Co.			6,185		270,396
SM Investments Corp.			6,035		110,244
SM Prime Holdings, Inc.			486,150		223,561
Universal Robina Corp.			34,300		135,349
					2,389,874
Poland — 0.3%
Alior Bank SA (c)			761		12,901
Bank Handlowy w Warszawie SA			502		9,172
Bank Millennium SA (c)			13,346		18,904
Bank Pekao SA			6,396		233,600
Bank Zachodni WBK SA (c)			1,160		83,585
CCC SA			981		34,534
Cyfrowy Polsat SA (c)			8,953		47,590
Enea SA			3,084		8,850
Energa SA			5,000		16,096
Eurocash SA			9,624		118,601
Grupa Azoty SA (c)			1,551		39,342
Grupa Lotos SA (c)			1,964		13,509
KGHM Polska Miedz SA			4,863		78,441
LPP SA			55		77,721
Mbank (c)			573		45,760
Orange Polska SA			32,359		54,115
PGE SA			64,372		208,699
Polski Koncern Naftowy Orlen SA			15,864		273,087
Polskie Gornictwo Naftowe i Gazownictwo SA			93,796		122,419
Powszechna Kasa Oszczednosci Bank Polski SA (c)			50,667		351,915
Powszechny Zaklad Ubezpieczen SA			33,880		292,282
Synthos SA			54,162		52,403
Tauron Polska Energia SA			20,989		15,378
					2,208,904
Portugal — 0.1%
Banco Comercial Portugues SA (a)(c)			1,716,504		90,961
EDP — Energias de Portugal SA			94,763		341,463
Galp Energia SGPS SA			18,382		214,494
Jeronimo Martins SGPS SA			11,973		155,797
					802,715
Qatar — 0.2%
Barwa Real Estate Co.			2,548		27,878
Commercial Bank of Qatar QSC			2,974		37,365
Doha Bank QSC			6,076		74,055
Ezdan Holding Group QSC			43,351		188,565
Industries Qatar QSC	��		10,894		331,332
Masraf Al Rayan			13,978		143,958
Ooredoo QSC			2,666		54,900
Qatar Electricity & Water Co.			1,002		59,557
Qatar Insurance Co. SAQ			3,794		85,421
Qatar Islamic Bank SAQ			1,671		48,817
Qatar National Bank			9,990		479,157
Vodafone Qatar			7,760		26,960
					1,557,965
Russia — 0.7%
AK Transneft OAO, Preference Shares			32		85,146
Alrosa AO			57,800		44,377
Federal Hydrogenerating Co. JSC			6,552,000		60,205

Common Stocks	Shares		Value
Russia (continued)
Gazprom OAO		357,230	$	666,550
Gazprom OAO — ADR		113,445		421,816
Lukoil OAO		17,457		563,316
Lukoil PJSC — ADR		12,969		419,824
Magnit OJSC — GDR		11,460		460,829
MegaFon OAO — GDR		2,296		26,710
MMC Norilsk Nickel		3,113		390,211
Mobile Telesystems — ADR		27,500		169,950
Moscow Exchange MICEX-RTS OAO		63,850		79,969
NovaTek OAO — GDR		4,662		383,985
Rosneft Oil Co.		21,260		74,181
Rosneft Oil Co. OJSC		20,000		69,716
Rostelecom OJSC		42,250		52,562
Sberbank of Russia		205,970		285,971
Sberbank of Russia — ADR		70,000		410,647
Severstal OAO		10,830		90,705
Sistema JSFC — GDR		2,940		17,309
Surgutneftegas OAO		301,050		140,401
Surgutneftegas OAO — ADR		24,155		112,037
Surgutneftegas OAO, Preference Shares		395,000		239,090
Tatneft OAO		79,770		345,364
VTB Bank OJSC		86,510,000		94,022
VTB Bank OJSC — GDR		50,000		105,252
				5,810,145
Singapore — 0.9%
Ascendas Real Estate Investment Trust		50,100		80,293
CapitaLand Commercial Trust Ltd		80,000		75,902
CapitaLand Ltd.		147,400		346,462
CapitaLand Mall Trust		210,100		285,083
City Developments Ltd.		14,000		75,315
ComfortDelGro Corp. Ltd.		86,000		184,150
DBS Group Holdings Ltd.		88,484		1,036,988
Genting Singapore PLC		233,000		125,721
Global Logistic Properties Ltd.		100,600		151,922
Golden Agri-Resources Ltd.		270,000		64,493
Hutchison Port Holdings Trust		309,000		163,282
Jardine Cycle & Carriage Ltd.		4,444		108,643
Keppel Corp. Ltd. (a)		76,700		350,379
Noble Group Ltd. (a)		131,000		36,617
Oversea-Chinese Banking Corp. Ltd.		166,949		1,032,149
SembCorp Industries Ltd.		40,000		85,739
SembCorp Marine Ltd. (a)		21,000		25,839
Singapore Airlines Ltd.		28,600		225,353
Singapore Exchange Ltd.		29,000		156,844
Singapore Press Holdings Ltd.		48,376		134,088
Singapore Technologies Engineering Ltd.		57,000		120,492
Singapore Telecommunications Ltd.		438,000		1,129,280
StarHub Ltd.		41,600		108,259
Suntec Real Estate Investment Trust		86,000		93,660
United Overseas Bank Ltd. (a)		65,100		897,521
UOL Group Ltd.		22,000		96,418
Wilmar International Ltd. (a)		108,500		223,871
Yangzijiang Shipbuilding Holdings Ltd.		76,800		59,334
				7,474,097
South Africa — 1.3%
African Bank Investments Ltd. (c)		20,398		13
Anglo American Platinum Ltd. (a)(c)		832		10,020
AngloGold Ashanti Ltd. (c)		19,921		136,622
Aspen Pharmacare Holdings Ltd. (c)		22,072		440,660

See Notes to Financial Statements.

30 BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015

Schedule of Investments (continued) Total International ex U.S. Index Master Portfolio

Common Stocks	Shares		Value
South Africa (continued)
Barclays Africa Group Ltd.		20,871	$	193,647
Barloworld Ltd.		5,200		20,917
Bidvest Group Ltd.		15,736		334,000
Capitec Bank Holdings Ltd.		1,291		44,896
Coronation Fund Managers Ltd.		27,149		92,984
Discovery Holdings Ltd.		20,716		177,673
Exxaro Resources Ltd. (a)		34,427		97,801
FirstRand Ltd.		194,558		531,718
Foschini Group Ltd.		6,363		50,000
Gold Fields Ltd.		86,627		236,901
Growthpoint Properties Ltd.		126,575		189,978
Hyprop Investments Ltd.		7,562		50,611
Impala Platinum Holdings Ltd. (c)		29,321		47,433
Imperial Holdings Ltd.		3,661		28,379
Investec Ltd.		7,549		53,328
Liberty Holdings Ltd.		1,922		14,304
Life Healthcare Group Holdings Ltd.		20,533		46,609
Massmart Holdings Ltd.		14,916		96,562
Mediclinic International Ltd.		28,346		218,035
MMI Holdings Ltd.		20,454		29,006
Mondi Ltd.		3,303		65,364
Mr Price Group Ltd.		10,819		139,916
MTN Group Ltd.		88,476		762,164
Naspers Ltd., Class N		19,485		2,663,293
Nedbank Group Ltd.		13,358		163,181
Netcare Ltd.		21,846		47,847
Pick n Pay Stores Ltd.		28,036		117,764
Pioneer Foods Group Ltd.		6,964		71,435
PSG Group Ltd.		2,684		38,803
Redefine Properties Ltd.		238,334		149,607
Remgro Ltd.		24,867		393,631
Resilient REIT Ltd.		17,014		126,584
RMB Holdings Ltd.		17,898		64,170
RMI Holdings		15,066		37,662
Sanlam Ltd.		87,998		344,221
Sappi Ltd. (c)		10,017		42,088
Sasol Ltd.		29,622		799,729
Shoprite Holdings Ltd.		26,136		242,204
Spar Group Ltd.		4,305		51,222
Standard Bank Group Ltd.		67,456		494,468
Telkom SA SOC Ltd.		11,210		46,574
Tiger Brands Ltd.		7,701		157,741
Truworths International Ltd. (a)		20,055		118,224
Tsogo Sun Holdings Ltd.		25,000		39,285
Vodacom Group Ltd.		23,375		230,377
Woolworths Holdings Ltd.		41,426		267,996
				10,817,647
South Korea — 3.1%
Amorepacific Corp.		2,183		706,461
Amorepacific Group		1,096		136,924
BGF Retail Co. Ltd.		612		88,600
BS Financial Group, Inc.		6,269		44,660
Celltrion, Inc. (c)		4,335		309,278
Cheil Industries, Inc. (c)		4,015		473,918
Cheil Worldwide, Inc. (c)		4,081		71,375
CJ CheilJedang Corp.		518		165,685
CJ Corp.		848		180,121
CJ Korea Express Co. Ltd. (c)		414		67,070
Coway Co. Ltd.		1,699		120,972
Daelim Industrial Co. Ltd.		1,073		60,588

Common Stocks	Shares		Value
South Korea (continued)
Daewoo Engineering & Construction Co. Ltd. (c)		19,237	$	90,982
Daewoo International Corp.		1,160		15,974
Daewoo Securities Co. Ltd.		8,184		64,784
DGB Financial Group, Inc.		5,100		43,447
Dongbu Insurance Co. Ltd.		1,160		69,404
Doosan Corp.		436		32,761
Doosan Heavy Industries & Construction Co. Ltd.		776		13,503
E-Mart, Inc.		1,071		171,852
GS Engineering & Construction Corp. (c)		6,155		101,979
GS Holdings Corp.		1,216		52,104
Hana Financial Group, Inc.		14,915		298,045
Hankook Tire Co. Ltd.		4,552		181,560
Hanmi Pharm Co. Ltd. (c)		208		127,409
Hanmi Science Co. Ltd. (c)		709		76,869
Hanon Systems		750		32,937
Hanssem Co. Ltd.		731		143,235
Hanwha Chemical Corp.		4,037		91,979
Hanwha Corp.		4,520		149,863
Hanwha Life Insurance Co. Ltd.		7,120		44,874
Hotel Shilla Co. Ltd.		1,174		76,872
Hyosung Corp.		1,140		112,750
Hyundai Department Store Co. Ltd.		314		33,654
Hyundai Development Co-Engineering & Construction		2,250		73,526
Hyundai Engineering & Construction Co. Ltd.		3,298		79,173
Hyundai Glovis Co. Ltd.		1,138		185,417
Hyundai Heavy Industries Co. Ltd. (c)		1,622		119,887
Hyundai Marine & Fire Insurance Co. Ltd.		1,200		36,768
Hyundai Mobis Co. Ltd.		3,433		718,285
Hyundai Motor Co.		7,769		979,855
Hyundai Motor Co., Preference Shares		852		74,497
Hyundai Motor Co., Second Preference Shares		1,756		156,297
Hyundai Steel Co.		5,604		236,150
Hyundai Wia Corp.		513		48,504
Industrial Bank of Korea		11,789		123,271
Kakao Corp.		1,108		108,555
Kangwon Land, Inc.		7,491		244,494
KB Financial Group, Inc.		19,467		548,459
KCC Corp.		266		93,837
KEPCO Plant Service & Engineering Co. Ltd.		707		53,480
Kia Motors Corp.		13,276		591,977
Korea Aerospace Industries Ltd.		2,530		167,012
Korea Electric Power Corp.		12,939		548,189
Korea Gas Corp.		753		23,495
Korea Investment Holdings Co. Ltd.		1,486		62,097
Korea Zinc Co. Ltd.		398		158,523
Korean Air Lines Co. Ltd. (c)		3,387		79,508
KT Corp. (c)		1,200		28,756
KT&G Corp.		5,534		491,779
Kumho Petrochemical Co. Ltd.		423		18,543
LG Chem Ltd.		2,692		743,216
LG Chem Ltd., Preference Shares		179		37,397
LG Corp.		5,702		342,761
LG Display Co. Ltd.		13,391		277,359
LG Electronics, Inc.		4,891		222,367
LG Household & Health Care Ltd.		443		393,376
LG Innotek Co. Ltd.		954		79,300
LG Uplus Corp.		5,020		44,328
Lotte Chemical Corp.		1,222		249,346
Lotte Confectionery Co. Ltd.		75		145,410
Lotte Shopping Co. Ltd.		752		147,932
Mirae Asset Securities Co. Ltd.		6,804		123,795

See Notes to Financial Statements.

BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015 31

Schedule of Investments (continued) Total International ex U.S. Index Master Portfolio

Common Stocks	Shares		Value
South Korea (continued)
NAVER Corp.		1,412	$	787,387
NCSoft Corp.		540		97,349
OCI Co. Ltd.		1,017		64,122
Orion Corp.		138		136,311
Paradise Co. Ltd. (c)		5,601		83,344
POSCO		3,514		492,245
S-1 Corp.		442		37,582
S-Oil Corp.		3,144		210,605
Samsung Card Co. Ltd.		1,210		31,678
Samsung Electro-Mechanics Co. Ltd.		2,177		115,669
Samsung Electronics Co. Ltd.		5,632		6,006,989
Samsung Fire & Marine Insurance Co. Ltd.		1,790		467,917
Samsung Heavy Industries Co. Ltd.		4,858		44,251
Samsung Life Insurance Co. Ltd.		4,848		453,044
Samsung SDI Co. Ltd.		2,189		210,439
Samsung SDS Co. Ltd.		1,671		359,410
Samsung Securities Co. Ltd.		2,400		84,231
Shinhan Financial Group Co. Ltd.		21,504		722,357
Shinsegae Co. Ltd.		670		130,356
SK Holdings Co. Ltd.		1,734		353,294
SK Hynix, Inc.		29,346		758,093
SK Innovation Co. Ltd. (c)		3,761		412,472
SK Networks Co. Ltd.		14,759		68,466
SK Telecom Co. Ltd.		390		71,377
Woori Bank		13,531		101,202
Woori Investment & Securities Co. Ltd.		5,312		44,946
Yuhan Corp.		122		28,144
				25,682,690
Spain — 2.3%
Abertis Infraestructuras SA		26,977		421,904
ACS Actividades de Construccion y Servicios SA		11,270		329,732
Aena SA (c)(d)		3,841		439,830
Amadeus IT Holding SA, Class A		23,234		1,024,030
Banco Bilbao Vizcaya Argentaria SA		321,616		2,349,979
Banco de Sabadell SA (a)		280,858		497,762
Banco Popular Espanol SA (a)		90,698		298,839
Banco Santander SA		716,016		3,522,347
Bankia SA (a)		308,381		358,868
Bankinter SA		38,876		275,682
CaixaBank SA		148,385		516,470
Distribuidora Internacional de Alimentacion SA (a)(c)		38,924		229,577
Enagas SA		3,839		108,290
Endesa SA		13,298		267,152
Ferrovial SA		25,225		570,418
Gas Natural SDG SA		17,935		365,735
Grifols SA		7,661		354,105
Iberdrola SA		276,622		1,960,965
Industria de Diseno Textil SA		54,636		1,876,971
International Consolidated Airlines Group SA		47,602		426,665
Mapfre SA		66,978		167,657
Red Electrica Corp. SA		2,074		173,240
Repsol SA		45,960		505,985
Telefonica SA		224,336		2,488,766
Zardoya Otis SA (a)		4,481		52,407
				19,583,376
Sweden — 2.1%
Alfa Laval AB		18,245		333,082
Assa Abloy AB		50,271		1,052,308
Atlas Copco AB, A Shares		33,572		823,346

Common Stocks	Shares		Value
Sweden (continued)
Atlas Copco AB, B Shares		19,981	$	459,371
Boliden AB		11,878		199,006
Electrolux AB, Class B		12,094		291,797
Getinge AB, Class B		11,241		294,461
Hennes & Mauritz AB, Class B		46,055		1,638,189
Hexagon AB, Class B		14,829		548,567
Husqvarna AB, Class B		17,215		113,609
ICA Gruppen AB		3,148		114,324
Industrivarden AB, Class C		8,883		151,970
Investment AB Kinnevik, Class B		12,764		393,148
Investor AB, Class B		22,400		823,203
Lundin Petroleum AB (c)		9,142		131,913
Millicom International Cellular SA		3,166		181,665
Nordea Bank AB		151,624		1,663,581
Sandvik AB		58,748		512,107
Securitas AB, Class B		18,887		288,800
Skandinaviska Enskilda Banken AB, Class A		77,659		816,700
Skanska AB, Class B		22,371		433,854
SKF AB, Class B		18,910		305,421
Svenska Cellulosa AB, B Shares		30,011		869,721
Svenska Handelsbanken AB, A Shares		76,689		1,018,543
Swedbank AB, Class A		46,483		1,023,721
Swedish Match AB		11,349		401,044
Tele2 AB, Class B		12,243		122,093
Telefonaktiebolaget LM Ericsson, Class B		154,231		1,486,987
TeliaSonera AB		135,866		674,695
Volvo AB, Class B		65,438		606,777
				17,774,003
Switzerland — 7.1%
ABB Ltd., Registered Shares (c)		110,190		1,966,628
Actelion Ltd., Registered Shares (c)		5,351		743,487
Adecco SA, Registered Shares (c)		9,034		618,311
Aryzta AG (a)(c)		3,776		191,023
Baloise Holding AG, Registered Shares		2,811		356,261
Barry Callebaut AG, Registered Shares (c)		143		155,329
Cie Financiere Richemont SA, Registered Shares		26,760		1,915,292
Coca-Cola HBC AG (c)		2,963		63,099
Credit Suisse Group AG, Registered Shares (c)		90,687		1,953,576
Dufry AG (c)		2,230		265,330
EMS-Chemie Holding AG, Registered Shares		450		198,044
Galenica AG		195		305,087
Geberit AG, Registered Shares		2,154		729,565
Givaudan SA, Registered Shares (c)		474		860,291
Glencore PLC (a)(c)		617,224		817,900
Julius Baer Group Ltd. (c)		9,335		451,601
Kuehne & Nagel International AG, Registered Shares		2,735		374,693
LafargeHolcim Ltd. (a)(c)		19,589		980,916
Lindt & Spruengli AG (c)		47		293,501
Lindt & Spruengli AG, Registered Shares (c)		6		447,005
Lonza Group AG, Registered Shares (c)		2,937		477,658
Nestle SA, Registered Shares		158,213		11,744,979
Novartis AG, Registered Shares		113,895		9,797,164
Pargesa Holding SA, Bearer Shares		734		46,371
Partners Group Holding AG (a)		939		337,697
Roche Holding AG		35,129		9,734,540
Schindler Holding AG, Participation Certificates		1,841		307,997
Schindler Holding AG, Registered Shares		1,042		175,722
SGS SA, Registered Shares		282		535,941
Sika AG, Bearer Shares (a)		114		411,973
Sonova Holding AG, Registered Shares		2,902		368,709

See Notes to Financial Statements.

32 BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015

Schedule of Investments (continued) Total International ex U.S. Index Master Portfolio

Common Stocks	Shares		Value
Switzerland (continued)
STMicroelectronics NV		37,953	$	254,086
Sulzer AG, Registered Shares (a)		1,058		99,445
Swatch Group AG, Bearer Shares (a)		1,687		585,836
Swatch Group AG, Registered Shares		1,971		133,103
Swiss Life Holding AG, Registered Shares (c)		1,676		451,430
Swiss Prime Site AG, Registered Shares (c)		2,212		172,750
Swiss Re AG		17,665		1,725,275
Swisscom AG, Registered Shares		1,123		561,954
Syngenta AG, Registered Shares		4,690		1,835,680
Transocean Ltd. (a)		22,257		278,224
UBS Group AG		186,028		3,608,843
Zurich Insurance Group AG (c)		7,515		1,930,602
				59,262,918
Taiwan — 2.5%
Acer, Inc. (c)		69,504		25,461
Advanced Semiconductor Engineering, Inc.		371,097		426,287
Advantech Co. Ltd.		8,795		56,321
Asia Cement Corp.		57,233		47,624
Asia Pacific Telecom Co. Ltd. (c)		33,000		11,640
Asustek Computer, Inc.		38,220		315,577
AU Optronics Corp.		320,000		94,341
Casetek Holdings Ltd.		6,000		24,367
Catcher Technology Co. Ltd.		36,000		300,111
Cathay Financial Holding Co. Ltd.		455,935		638,738
Chailease Holding Co. Ltd.		23,795		40,952
Chang Hwa Commercial Bank Ltd.		131,794		62,764
Cheng Shin Rubber Industry Co. Ltd.		71,436		115,459
Chicony Electronics Co. Ltd.		15,622		34,171
China Airlines Ltd. (c)		103,687		37,791
China Development Financial Holding Corp.		577,765		144,110
China Life Insurance Co. Ltd.		123,900		94,614
China Steel Corp.		540,638		294,744
Chunghwa Telecom Co. Ltd.		212,000		638,649
Compal Electronics, Inc.		192,000		107,443
CTBC Financial Holding Co. Ltd.		691,298		353,945
Delta Electronics, Inc.		87,000		409,212
E.Sun Financial Holding Co. Ltd.		359,437		208,683
Eclat Textile Co. Ltd.		7,160		98,387
Eva Airways Corp. (c)		67,689		38,226
Evergreen Marine Corp. Taiwan Ltd.		83,830		33,713
Far Eastern New Century Corp.		210,607		164,535
Far EasTone Telecommunications Co. Ltd.		95,000		195,244
Feng TAY Enterprise Co. Ltd.		14,420		73,333
First Financial Holding Co. Ltd.		445,555		206,951
Formosa Chemicals & Fibre Corp.		181,360		406,828
Formosa Petrochemical Corp.		74,000		177,003
Formosa Plastics Corp.		234,040		546,349
Formosa Taffeta Co. Ltd.		31,000		28,181
Foxconn Technology Co. Ltd.		42,582		89,700
Fubon Financial Holding Co. Ltd.		334,952		455,611
Giant Manufacturing Co. Ltd.		10,000		66,290
Hermes Microvision, Inc.		1,000		35,968
Highwealth Construction Corp.		62,400		71,674
Hiwin Technologies Corp.		10,871		42,564
Hon Hai Precision Industry Co. Ltd.		724,546		1,773,180
Hotai Motor Co. Ltd.		8,000		92,006
HTC Corp.		27,050		63,913
Hua Nan Financial Holdings Co. Ltd.		354,923		164,290
Innolux Corp.		658,494		197,924
Inotera Memories, Inc. (c)		93,000		78,445

Common Stocks	Shares		Value
Taiwan (continued)
Inventec Co. Ltd.		218,470	$	142,424
Largan Precision Co. Ltd.		5,000		342,124
Lite-On Technology Corp.		99,321		95,784
MediaTek, Inc.		86,255		652,390
Mega Financial Holding Co. Ltd.		510,110		328,875
Merida Industry Co. Ltd.		8,150		43,710
Nan Ya Plastics Corp.		292,790		540,904
Novatek Microelectronics Corp.		23,000		89,541
Pegatron Corp.		105,000		228,371
Phison Electronics Corp.		15,000		105,344
Pou Chen Corp.		92,000		120,053
Powertech Technology, Inc.		70,100		138,222
President Chain Store Corp.		37,000		230,925
Quanta Computer, Inc.		138,000		221,386
Radiant Opto-Electronics Corp.		7,729		17,589
Realtek Semiconductor Corp.		90,240		214,823
Ruentex Development Co. Ltd.		47,757		62,051
Ruentex Industries Ltd.		17,521		32,577
Shin Kong Financial Holding Co. Ltd.		292,832		63,439
Siliconware Precision Industries Co.		34,848		55,031
Simplo Technology Co. Ltd.		11,600		36,841
SinoPac Financial Holdings Co. Ltd.		494,136		140,305
Standard Foods Corp.		6,361		15,831
Synnex Technology International Corp.		30,000		29,107
Taishin Financial Holding Co. Ltd. (c)		299,398		103,446
Taiwan Business Bank (c)		242,073		60,109
Taiwan Cement Corp.		105,000		86,925
Taiwan Cooperative Financial Holding Co. Ltd.		389,833		162,376
Taiwan Fertilizer Co. Ltd.		12,000		15,654
Taiwan Mobile Co. Ltd.		98,800		300,043
Taiwan Semiconductor Manufacturing Co. Ltd.		1,249,000		5,388,486
Teco Electric and Machinery Co. Ltd.		39,000		31,076
Transcend Information, Inc.		29,000		75,324
Uni-President Enterprises Corp.		251,950		419,984
United Microelectronics Corp.		488,000		178,333
Vanguard International Semiconductor Corp.		11,000		14,205
Wistron Corp.		121,993		68,442
WPG Holdings Ltd.		28,270		26,837
Yuanta Financial Holding Co. Ltd.		319,260		117,107
Yulon Motor Co. Ltd.		14,000		12,744
Zhen Ding Technology Holding Ltd.		14,710		33,539
				20,625,596
Thailand — 0.4%
Advanced Info Service PCL — NVDR		52,400		220,465
Airports of Thailand PCL — NVDR		26,500		253,357
Bangkok Bank PCL — NVDR		22,400		94,504
Bangkok Bank PCL, Foreign Registered Shares		30,500		130,239
Bangkok Dusit Medical Services PCL — NVDR		54,300		33,548
Banpu PCL — NVDR (a)		29,500		13,046
BEC World PCL — NVDR		16,900		14,251
BTS Group Holdings PCL NVDR		152,700		38,546
Bumrungrad Hospital PCL NVDR		22,400		130,795
Central Pattana PCL — NVDR		27,100		35,213
Charoen Pokphand Foods PCL — NVDR		323,700		163,528
CP ALL PCL — NVDR		280,500		304,597
Delta Electronics Thailand PCL — NVDR		20,000		42,261
Energy Absolute PCL		45,000		27,998
Glow Energy PCL — NVDR		7,600		15,521
Home Product Center PCL		82,832		15,585
Indorama Ventures PCL — NVDR		39,200		22,955

See Notes to Financial Statements.

BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015 33

Schedule of Investments (continued) Total International ex U.S. Index Master Portfolio

Common Stocks	Shares		Value
Thailand (continued)
IRPC PCL — NVDR		492,400	$	58,393
Kasikornbank PCL — NVDR		36,500		151,716
Kasikornbank PCL, Foreign Registered Shares		48,700		201,293
Krung Thai Bank PCL — NVDR (a)		143,775		66,308
Minor International PCL — NVDR		34,980		35,034
PTT Exploration & Production PCL — NVDR		76,522		121,332
PTT Global Chemical PCL — NVDR		52,168		72,162
PTT PCL — NVDR		68,800		463,467
Siam Cement PCL — NVDR		5,700		72,531
Siam Cement PCL, Foreign Registered Shares		19,200		244,445
Siam Commercial Bank PCL — NVDR (a)		82,400		271,809
Thai Oil PCL — NVDR		17,800		32,444
Thai Union Group PCL		14,800		7,031
TMB Bank PCL		271,500		18,153
True Corp. PCL — NVDR (c)		350,483		64,869
				3,437,396
Turkey — 0.3%
Akbank TAS		183,187		420,052
Anadolu Efes Biracilik Ve Malt Sanayii AS		3,889		25,188
Arcelik AS		3,960		18,957
BIM Birlesik Magazalar AS		8,104		142,648
Coca-Cola Icecek AS		4,750		60,490
Emlak Konut Gayrimenkul Yatirim Ortakligi AS		92,969		82,764
Enka Insaat ve Sanayi AS		15,716		24,341
Eregli Demir ve Celik Fabrikalari TAS		51,754		53,856
Ford Otomotiv Sanayi		2,700		28,007
Haci Omer Sabanci Holding AS		32,457		92,010
KOC Holding AS		17,992		67,384
Petkim Petrokimya Holding (c)		37,514		58,967
TAV Havalimanlari Holding AS		2,171		13,533
Tofas Turk Otomobil Fabrikasi AS		4,704		30,538
Tupras Turkiye Petrol Rafinerileri AS (c)		5,076		121,064
Turk Hava Yollari (c)		26,638		67,378
Turk Telekomunikasyon AS		10,009		18,719
Turkcell Iletisim Hizmetleri AS		33,444		113,368
Turkiye Garanti Bankasi AS		133,513		325,260
Turkiye Halk Bankasi		79,553		282,750
Turkiye Is Bankasi, Class C		88,347		139,020
Turkiye Sise ve Cam Fabrikalari AS		39,778		43,474
Turkiye Vakiflar Bankasi Tao, Class D		29,827		39,089
Ulker Biskuvi Sanayi		3,956		23,876
Yapi ve Kredi Bankasi		65,139		73,305
				2,366,038
United Arab Emirates — 0.2%
Abu Dhabi Commercial Bank PJSC		80,031		142,787
Aldar Properties PJSC		61,586		38,522
Arabtec Holding Co. (c)		77,075		25,892
DP World Ltd.		10,522		213,437
Dubai Financial Market		39,225		13,001
Dubai Islamic Bank PJSC		36,085		60,391
Emaar Malls Group PJSC (c)		81,000		60,623
Emaar Properties PJSC		172,958		265,942
Emirates Telecommunications Group Co. PJSC		78,250		342,996
First Gulf Bank PJSC		37,011		127,098
National Bank of Abu Dhabi PJSC		28,159		61,025
				1,351,714
United Kingdom — 13.0%
3i Group PLC		35,640		252,467
Aberdeen Asset Management PLC		47,482		202,331

Common Stocks	Shares		Value
United Kingdom (continued)
Admiral Group PLC		11,495	$	280,887
Aggreko PLC		10,191		137,188
AMEC Foster Wheeler PLC		19,816		125,092
Anglo American PLC (a)		71,409		313,286
Antofagasta PLC		26,475		182,116
ARM Holdings PLC		70,055		1,067,780
Ashtead Group PLC		25,797		424,563
Associated British Foods PLC		18,131		892,174
AstraZeneca PLC		63,940		4,318,975
Aviva PLC		200,561		1,522,353
Babcock International Group PLC		15,027		224,881
BAE Systems PLC		153,801		1,132,361
Barclays PLC		837,787		2,696,642
Barratt Developments PLC		48,277		444,859
BG Group PLC		170,615		2,473,207
BHP Billiton PLC		107,556		1,199,444
BP PLC		916,964		4,765,169
British American Tobacco PLC		93,149		5,172,936
British Land Co. PLC		45,237		523,431
BT Group PLC		394,974		2,742,530
Bunzl PLC		19,227		533,440
Burberry Group PLC		21,472		377,779
Capita PLC		33,043		587,918
Carnival PLC		9,212		524,771
Centrica PLC		257,380		826,440
Cobham PLC		65,337		272,839
Compass Group PLC		80,904		1,401,921
Croda International PLC		7,271		325,776
Diageo PLC		125,886		3,437,662
Direct Line Insurance Group PLC		65,820		394,532	��
Dixons Carphone PLC		53,496		393,681
easyJet PLC		8,921		228,797
Fiat Chrysler Automobiles NV (c)		45,604		633,341
Fresnillo PLC		11,261		117,082
G4S PLC		93,084		309,205
GKN PLC		101,475		460,480
GlaxoSmithKline PLC		246,108		4,970,356
Hammerson PLC		42,497		375,689
Hargreaves Lansdown PLC		11,100		246,427
HSBC Holdings PLC		956,382		7,549,880
ICAP PLC		22,617		169,765
IMI PLC		17,672		224,245
Imperial Tobacco Group PLC		48,754		2,575,070
Inmarsat PLC		25,312		424,341
InterContinental Hotels Group PLC		10,956		427,049
Intertek Group PLC		7,802		319,153
Intu Properties PLC (a)		39,383		183,994
Investec PLC		22,696		160,029
ITV PLC		194,650		792,488
J. Sainsbury PLC (a)		77,432		294,877
Johnson Matthey PLC		10,652		416,684
Kingfisher PLC		117,839		570,751
Land Securities Group PLC		41,762		723,945
Legal & General Group PLC		291,372		1,149,725
Lloyds Banking Group PLC		2,821,957		3,036,408
London Stock Exchange Group PLC		15,659		633,533
Marks & Spencer Group PLC		87,368		581,713
Meggitt PLC		42,920		236,972
Melrose Industries PLC (c)		56,908		243,762
Merlin Entertainments PLC (d)		43,755		293,380
Mondi PLC		18,175		356,243

See Notes to Financial Statements.

34 BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015

Schedule of Investments (continued) Total International ex U.S. Index Master Portfolio

Common Stocks	Shares		Value
United Kingdom (continued)
National Grid PLC		184,134	$	2,539,498
Next PLC		7,051		757,072
Old Mutual PLC		250,936		660,127
Pearson PLC		43,957		475,195
Persimmon PLC (c)		15,176		452,751
Petrofac Ltd. (a)		14,308		167,828
Provident Financial PLC		7,347		364,284
Prudential PLC		126,665		2,853,698
Randgold Resources Ltd.		5,702		351,281
Reckitt Benckiser Group PLC		32,154		2,975,089
RELX PLC		54,420		959,746
Rexam PLC		41,271		368,117
Rio Tinto PLC (a)		60,525		1,762,201
Rolls-Royce Holdings PLC (a)(c)		94,268		798,489
Royal Bank of Scotland Group PLC (c)		158,796		705,858
Royal Mail PLC		43,082		282,182
RSA Insurance Group PLC		54,630		342,877
SABMiller PLC		48,428		2,897,156
Sage Group PLC		57,581		511,611
Schroders PLC		7,414		324,726
Segro PLC		45,868		290,274
Severn Trent PLC		12,513		399,998
Sky PLC		49,764		815,769
Smith & Nephew PLC		44,736		797,288
Smiths Group PLC		22,769		314,870
Sports Direct International PLC (c)		11,394		96,827
SSE PLC		49,071		1,101,827
St. James’s Place PLC		26,679		395,427
Standard Chartered PLC		158,628		1,316,161
Standard Life PLC		93,066		532,943
Tate & Lyle PLC (a)		18,661		164,372
Taylor Wimpey PLC		149,204		446,024
Tesco PLC (c)		414,229		910,175
Travis Perkins PLC		13,060		378,877
Unilever PLC		65,379		2,804,246
United Utilities Group PLC		37,850		521,168
Vodafone Group PLC		1,335,864		4,331,896
Weir Group PLC		13,734		201,736
Whitbread PLC		9,265		600,525
William Hill PLC		49,735		290,258
WM Morrison Supermarkets PLC (a)		110,313		240,359
Wolseley PLC		13,631		740,339
WPP PLC		63,087		1,451,113
				108,569,073
Total Common Stocks — 99.2%				830,244,396

Preferred Stocks	Shares		Value
Brazil — 0.0%
Cia Brasileira de Distribuicao Grupo Pao de Acucar, Preference Shares, 0.00%		5,400	$	57,136
Germany — 0.3%
Henkel AG & Co. KGaA, Preference Shares, 0.00%		8,849		987,565
Volkswagen AG, Preference Shares, 0.00%		7,730		1,116,052
				2,103,617
South Korea — 0.1%
Samsung Electronics Co. Ltd., Preference Shares, 0.00%		1,036		957,666
Total Preferred Stocks — 0.4%				3,118,419
Rights
Brazil — 0.0%
Banco Bradesco SA — ADR (Expires 02/05/16) (c)		5,937		2,882
Hong Kong — 0.0%
GCL — Poly Energy Holdings Ltd. (Expires 01/20/16) (c)		86,200		445
Italy — 0.0%
UBI Banca (Expires 01/12/16) (c)		40,601		—
Singapore — 0.0%
Ascendas Real Estate Investment Trust (Expires 01/13/16) (c)		1,878		82
Spain — 0.0%
Repsol SA (Expires 01/14/16) (a)(c)		45,960		22,926
Total Rights — 0.0%				26,335
Total Long-Term Investments (Cost — $873,415,819) — 99.6%				833,389,150
Short-Term Securities
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.35% (e)(f)(g)		25,023,891		25,023,891
BlackRock Cash Funds: Prime, SL Agency Shares, 0.31% (e)(f)(g)		16,634,043		16,634,043
Total Short-Term Securities (Cost — $41,657,934) — 5.0%				41,657,934
Total Investments (Cost — $915,073,753) — 104.6%				875,047,084
Liabilities in Excess of Other Assets — (4.6)%				(38,410,141	)
Net Assets — 100.0%			$	836,636,943

Notes to Schedule of Investments

(a) Security, or a portion of security, is on loan.

(b) A security contractually bound to one or more other securities to form a single saleable unit which cannot be sold separately.

(c) Non-income producing security.

(d) 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.

See Notes to Financial Statements.

BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015 35

Schedule of Investments (continued) Total International ex U.S. Index Master Portfolio

(e) During the year ended December 31, 2015, investments in issuers considered to be affiliates of the Master Portfolio for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares Held at December 31, 2014		Shares Purchased			Shares Sold			Shares Held at December 31, 2015		Value at December 31, 2015		Income			Realized Gain
BlackRock Cash Funds: Institutional, SL Agency Shares		22,280,035		—			2,743,856	1		25,023,891	$	25,023,891	$	201,619	2		—
BlackRock Cash Funds: Prime, SL Agency Shares		2,952,909		13,681,134	1		—			16,634,043	$	16,634,043	$	144,020	3		—
iShares India 50 ETF		288,798		65,800			(354,598	)		—		—		—		$	1,817,636
1   Represents net shares purchased 2   Represents all or portion of securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees, and other payments to and from borrower of securities, and less the collateral investment expenses.

(f) Current yield as of period end.

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

Derivative Financial Instruments Outstanding as of Period End

Financial Futures Contracts

Contracts Long		Issue	Expiration	Notional Value		Unrealized Appreciation
	60	E-Mini MSCI EAFE Index	March 2016	$	5,094,600	$	47,675
	36	MSCI Emerging Markets Mini Index	March 2016	$	1,417,500		16,842
	16	S&P/TSX 60 Index	March 2016	$	608,720		2,132
	Total					$	66,649

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statement of Assets and Liabilities were as follows:

Assets — Derivative Financial Instruments			Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contacts		Total
Financial futures contracts	Net unrealized appreciation	1		—		—	$	66,649		—		—		—	$	66,649

¹  Includes cumulative appreciation on financial futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

For the year ended December 31, 2015, the effect of derivative financial instruments in the Statement of Operations was as follows:

Net Realized Gain (Loss) From:	Commodity Contracts		Credit Contracts		Equity Contracts			Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contacts		Total
Financial futures contracts		—		—	$	(529,452	)		—		—		—	$	(529,452	)
Forward foreign currency exchange contracts		—		—		—		$	854		—		—		854
Total		—		—	$	(529,452	)	$	854		—		—	$	(528,598	)
Net Change in Unrealized Appreciation (Depreciation) on:
Financial futures contracts		—		—	$	59,206			—		—		—	$	59,206

See Notes to Financial Statements.

36 BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015

Schedule of Investments (continued) Total International ex U.S. Index Master Portfolio

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Financial futures contracts:
Average notional value of contracts — long	$	9,744,069
Forward foreign currency exchange contracts:
Average amounts purchased — in USD	$	4,647	1
Average amounts sold — in USD	$	27,744
1    Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter.

For more information about the Master Portfolio’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 investments and derivative financial instruments. For information about the Master Portfolio’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Common Stocks:
Australia		—	$	41,646,749		—	$	41,646,749
Austria		—		1,132,815		—		1,132,815
Belgium		—		9,074,772		—		9,074,772
Brazil	$	9,501,071		—		—		9,501,071
Canada		49,523,137		—		—		49,523,137
Chile		1,885,206		—		—		1,885,206
China		4,636,573		30,884,857	$	32,129		35,553,559
Colombia		480,829		157		—		480,986
Czech Republic		—		284,912		—		284,912
Denmark		—		11,759,397		—		11,759,397
Egypt		224,501		36,012		—		260,513
Finland		—		5,567,436		—		5,567,436
France		455,088		59,378,920		—		59,834,008
Germany		—		53,735,179		—		53,735,179
Greece		8,272		535,942		—		544,214
Hong Kong		182,542		28,519,930		—		28,702,472
Hungary		—		336,808		—		336,808
India		3,090,729		11,661,367		—		14,752,096
Indonesia		—		4,528,164		—		4,528,164
Ireland		—		5,625,243		—		5,625,243
Israel		275,878		4,121,685		—		4,397,563
Italy		—		13,683,933		—		13,683,933
Japan		643,225		142,123,604		—		142,766,829
Luxembourg		—		245,080		—		245,080
Malaysia		450,861		5,007,009		—		5,457,870
Malta		—		197,876		—		197,876
Mexico		7,919,076		—		—		7,919,076
Netherlands		6,693,609		19,459,608		—		26,153,217
New Zealand		—		903,234		—		903,234
Norway		—		3,330,684		—		3,330,684
Peru		746,146		—		—		746,146
Philippines		25,877		2,363,997		—		2,389,874
Poland		106,358		2,102,546		—		2,208,904
Portugal		—		802,715		—		802,715
Qatar		140,321		1,417,644		—		1,557,965
Russia		260,655		5,549,490		—		5,810,145
Singapore		—		7,474,097		—		7,474,097
South Africa		139,916		10,677,718		13		10,817,647
South Korea		82,456		25,600,234		—		25,682,690
Spain		—		19,583,376		—		19,583,376
Sweden		—		17,774,003		—		17,774,003

See Notes to Financial Statements.

BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015 37

Schedule of Investments (concluded) Total International ex U.S. Index Master Portfolio

	Level 1		Level 2			Level 3		Total
Assets (concluded):
Switzerland	$	447,005	$	58,815,913			—	$	59,262,918
Taiwan		—		20,625,596			—		20,625,596
Thailand		—		3,437,396			—		3,437,396
Turkey		—		2,366,038			—		2,366,038
United Arab Emirates		404,021		947,693			—		1,351,714
United Kingdom		—		108,569,073			—		108,569,073
Preferred Stocks		57,136		3,061,283			—		3,118,419
Rights		22,926		3,409			—		26,335
Short-Term Securities		41,657,934		—			—		41,657,934
Total	$	130,061,348	$	744,953,594		$	32,142	$	875,047,084
	Level 1		Level 2			Level 3		Total
Derivative Financial Instruments 1
Assets:
Equity contracts	$	66,649		—			—	$	66,649
1    Derivative financial instruments are financial futures contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.
The Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:
	Level 1		Level 2			Level 3		Total
Assets:
Cash	$	5,945		—			—	$	5,945
Cash pledged for financial futures contracts		267,620		—			—		267,620
Foreign currency at value		2,644,878		—			—		2,644,878
Liabilities:
Collateral on securities loaned at value		—	$	(38,176,492	)		—		(38,176,492	)
Total	$	2,918,443	$	(38,176,492	)		—	$	(35,258,049	)

During the year ended December 31, 2015, there were no transfers between levels.

See Notes to Financial Statements.

38 BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015

Statement of Assets and Liabilities Total International ex U.S. Index Master Portfolio

December 31, 2015
Assets
Investments at value — unaffiliated (including securities loaned of $35,663,020) (cost — $873,415,819)	$	833,389,150
Investments at value — affiliated (cost — $41,657,934)		41,657,934
Cash		5,945
Foreign currency at value (cost — $2,662,271)		2,644,878
Cash pledged for financial futures contracts		267,620
Receivables:
Contributions from investors		1,062,996
Dividends		1,074,645
Securities lending income — affiliated		22,989
Investments sold		12,882
Prepaid expenses		3,621
Total assets		880,142,660
Liabilities
Collateral on securities loaned at value		38,176,492
Payables:
Withdrawals to investors		5,100,000
Investment advisory fees		21,361
Trustees’ fees		6,434
Other accrued expenses		129,470
Variation margin payable on financial futures contracts		71,960
Total liabilities		43,505,717
Net Assets	$	836,636,943
Net Assets Consist of
Investors’ capital	$	876,624,576
Net unrealized appreciation (depreciation)		(39,987,633	)
Net Assets	$	836,636,943

See Notes to Financial Statements.
	BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	DECEMBER 31, 2015	39

Statement of Operations Total International ex U.S. Index Master Portfolio

Year Ended December 31, 2015
Investment Income
Dividends	$	24,180,563
Securities lending — affiliated — net		330,537
Income — affiliated		15,102
Foreign taxes withheld		(2,891,070	)
Total income		21,635,132
Expenses
Accounting services		260,787
Investment advisory		256,299
Professional		48,602
Independent Trustees		28,157
Printing		468
Miscellaneous		7,314
Total expenses		601,627
Less fees waived and/or reimbursed by the Manager		(26,495	)
Total expenses after fees waived and/or reimbursed		575,132
Net investment income		21,060,000
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments — unaffiliated (net of $3,929 foreign capital gain tax)		(6,705,799	)
Investments — affiliated		1,817,636
Financial futures contracts		(529,452	)
Foreign currency transactions		(775,345	)
		(6,192,960	)
Net change in unrealized appreciation (depreciation) on:
Investments — unaffiliated		(58,833,540	)
Investments — affiliated		(1,328,572	)
Financial futures contracts		59,206
Foreign currency translations		33,409
		(60,069,497	)
Net realized and unrealized loss		(66,262,457	)
Net Decrease in Net Assets Resulting from Operations	$	(45,202,457	)

See Notes to Financial Statements.
40	BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	DECEMBER 31, 2015

Statements of Changes in Net Assets Total International ex U.S. Index Master Portfolio

	Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014
Operations
Net investment income	$	21,060,000		$	13,100,009
Net realized gain (loss)		(6,192,960	)		23,574,766
Net change in unrealized appreciation (depreciation)		(60,069,497	)		(64,382,962	)
Net decrease in net assets resulting from operations		(45,202,457	)		(27,708,187	)
Capital Transactions
Proceeds from contributions		352,378,750			726,393,826
Value of withdrawals		(61,736,783	)		(663,931,697	)
Net increase in net assets derived from capital transactions		290,641,967			62,462,129
Net Assets
Total increase in net assets		245,439,510			34,753,942
Beginning of year		591,197,433			556,443,491
End of year	$	836,636,943		$	591,197,433

Financial Highlights Total International ex U.S. Index Master Portfolio

	Year Ended December 31,									Period from June 30, 20111 to December 31, 2011
	2015		2014			2013		2012
Total Return
Total Return		(5.80)%		(4.68)%			13.96%		16.65%		(18.04)%	2
Ratios to Average Net Assets
Total expenses		0.08%		0.15%	3		0.25%		0.42%		1.47%	4,5
Total expenses after fees waived and/or reimbursed		0.07%		0.12%	3		0.24%		0.32%		0.33%	4
Net investment income		2.71%		3.08%	3		2.60%		2.23%		1.76%	4
Supplemental Data
Net assets, end of period (000)		$  836,637		$  591,197			$  556,443		$  381,056		$43,554
Portfolio turnover rate		6%		49%			36%		42%		4%

¹  Commencement of operations.

²  Aggregate total return.

³  Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.01%.

⁴  Annualized.

⁵  Organization costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 1.48%.

See Notes to Financial Statements.
	BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND	DECEMBER 31, 2015	41

Notes to Financial Statements Total International ex U.S. Index Master Portfolio

1. Organization:

Total International ex U.S. Index Master Portfolio (the “Master Portfolio”) (formerly known as ACWI ex-U.S. Index Master Portfolio), a series of Master Investment Portfolio (“MIP”), is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a non-diversified, open-end management investment company. MIP is organized as a Delaware statutory trust.

The Master Portfolio, together with certain other registered investment companies advised by BlackRock Fund Advisors (the “Manager”) or its affiliates, is included in a complex of open-end funds referred to as the Equity-Liquidity 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 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:

Foreign Currency: The Master Portfolio’s books and records are maintained in U.S. dollars. 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 Master Portfolio’s investment 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 changes in the exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statement of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. The 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 federal income tax purposes.

Segregation and Collateralization: In cases where the Master Portfolio enters into certain investments (e.g., financial futures contracts and forward foreign currency exchange 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.

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Master Portfolio is informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, some 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.

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 fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statement of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges. Effective September 2015, the arrangement with its custodian for earning credits on uninvested cash balances has ceased and the custodian will be imposing fees on certain uninvested cash balances.

42 BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015

Notes to Financial Statements (continued) Total International ex U.S. Index Master Portfolio

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: The Master Portfolio’s investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time) 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 independent dealers or pricing services under policies approved by the Board of Trustees of MIP (the “Board”). The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to provide oversight of the pricing function for the Master Portfolio’s for all financial instruments.

Fair Value Inputs and Methodologies: The following methods (or “techniques”) and inputs are used to establish the fair value of the Master Portfolio’s assets and liabilities:

• Equity investments traded on a recognized securities exchange are valued at the official close price each day, if available. For equity investments traded on more than one exchange, the official close price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price. Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of the Master Portfolio’s net assets. Each business day, the Master Portfolio uses a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and [over-the-counter (“OTC”) options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of business on the NYSE, which follows the close of the local markets.

• Investments in open-end U.S. mutual funds are valued at net asset value (“NAV”) each business day.

• Financial futures contracts traded on exchanges are valued at their last sale price.

• 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 business on the NYSE. Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such instruments, 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”). 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 consistent with the principles of fair value measurement, which include the market approach, income approach and/or in the case of recent investments, the cost approach, as appropriate. The market approach generally consists of using comparable market transactions. The income approach generally is used to discount future cash flows to present value and is adjusted for liquidity as appropriate. These factors include but are not limited to: (i) attributes specific to the investment or asset; (ii) the principal market for the investment or asset; (iii) the customary participants in the principal market for the investment or asset; (iv) data assumptions by market participants for the investment or asset, if reasonably available; (v) quoted prices for similar investments or assets in active markets; and (vi) other factors, such as future cash flows, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. Due to the inherent uncertainty of valuations of such investments, the fair values may differ from the values that would have been used had an active market existed. The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market does not exist, including regular due diligence of the Master Portfolio’s pricing vendors, regular reviews of key inputs and assumptions, transactional back-testing or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015 43

Notes to Financial Statements (continued) Total International ex U.S. Index Master Portfolio

Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:

• Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Master Portfolio has the ability to access

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

• Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Master Portfolio’s own assumptions used in determining the fair value of investments and derivative financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as Level 3. The fair value hierarchy for the Master Portfolio’s investments and derivative financial instruments have been included in the Schedule of Investments.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Master Portfolio’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

4. Securities and Other Investments:

Preferred Stock: 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.

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. 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. The cash collateral invested by the securities lending agent, BlackRock Institutional Trust Company, N.A. (“BTC”), 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

44 BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015

Notes to Financial Statements (continued) Total International ex U.S. Index Master Portfolio

to the defaulting party or request additional collateral. In the event that a borrower defaults, the Master Portfolio as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, absent an event of default the borrower can resell or re-pledge the loaned securities, and the Master Portfolio can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties’ obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.

As of period end, the following table is a summary of the Master Portfolio’s securities lending agreements by counterparty which are subject to offset under an MSLA:

Counterparty	Securities Loaned at Value		Cash Collateral Received1			Net Amount
Citigroup Global Markets, Inc.	$	8,273,357	$	(8,273,357	)		—
Credit Suisse Securities (USA) LLC .		4,565,184		(4,565,184	)		—
Deutsche Bank AG		158,053		(158,053	)		—
Deutsche Bank Securities, Inc.		106,504		(106,504	)		—
Goldman Sachs & Co.		32,620		(32,620	)		—
JPMorgan Securities LLC .		2,394,373		(2,394,373	)		—
Merrill Lynch, Pierce, Fenner & Smith, Inc.		1,196,889		(1,196,889	)		—
Morgan Stanley & Co. International PLC		140,575		(140,575	)		—
Morgan Stanley & Co. LLC.		9,070,980		(9,070,980	)		—
SG Americas Securities LLC.		149,673		(149,673	)		—
State Street Bank and Trust Co.		9,574,812		(9,574,812	)		—
Total	$	35,663,020	$	(35,663,020	)		—

¹ Collateral with a value of $38,176,492 has been received in connection with securities lending agreements. Collateral received in excess of the value of securities loaned from the individual counterparty is not shown for financial reporting purposes in the table above.

The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Master Portfolio benefits from a borrower default indemnity provided by BlackRock, Inc. (“BlackRock”). BlackRock’s indemnity allows for full replacement of the securities loaned if the collateral received does not cover the value on the securities loaned in the event of borrower default. The Master Portfolio could suffer a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received.

5. Derivative Financial Instruments:

The Master Portfolio engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Master Portfolio and/or to manage economically its exposure to certain risks such as equity risk and foreign currency exchange rate risk. These contracts may be transacted on an exchange or over-the-counter (“OTC”).

Financial Futures Contracts: The Master Portfolio invests in long and/or short positions in financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk). Financial 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 at a specified date. Depending on the terms of the particular contract, financial futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date.

Upon entering into a financial 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. Securities deposited as initial margin are designated on the Schedule of Investment and cash deposited, if any, is recorded on the Statement of Assets and Liabilities as cash pledged for financial futures contracts. Pursuant to the contract, the Master Portfolio

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Notes to Financial Statements (continued) Total International ex U.S. Index Master Portfolio

agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin. Variation margin is recorded by the Master Portfolio as unrealized appreciation (depreciation) and, if applicable, as a receivable or payable for variation margin in the Statement of Assets and Liabilities.

When the contract is closed, the Master Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest or foreign currency exchange rates and the underlying assets.

Forward Foreign Currency Exchange Contracts: The Master Portfolio enters into forward foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to, or hedge exposure away from, 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 future date. Forward foreign currency exchange contracts, when used by the Master Portfolio, help to manage the overall exposure to the currencies in which some of the investments held by the the Master Portfolio is denominated. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The contract is marked-to-market daily and the change in market value is recorded by the Master Portfolio as an unrealized gain or loss. When the contract is closed, the Master Portfolio records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. 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.

In order to better define the Master Portfolio 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 each Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the 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. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event the Master Portfolio‘s net assets decline by a stated percentage or the Master Portfolio fails to meet the terms of its ISDA Master Agreements. The result would cause the Master Portfolio to accelerate payment of any net liability owed to the counterparty.

Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Master Portfolio and the counterparty.

Cash collateral that has been pledged to cover obligations of the Master Portfolio and cash collateral received from the counterparty, if any, is reported separately on 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 party has to exceed a minimum transfer amount threshold (typically either $250,000 or $500,000) 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 Master Portfolio’s 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, the Master Portfolio may pay interest pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Master Portfolio from its counterparties are not fully collateralized, the Master Portfolio 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, the Master Portfolio 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 to all derivative contracts.

For financial reporting purposes, the Master Portfolio not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statement of Assets and Liabilities.

46 BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015

Notes to Financial Statements (continued) Total International ex U.S. Index Master Portfolio

6. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock for 1940 Act purposes.

MIP, on behalf of the Master Portfolio entered into an Investment Advisory Agreement with the Manager, the Master Portfolio’s investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration 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. Effective April 30, 2015, for such services, the Master Portfolio pays the Manager a monthly fee based on a percentage of the Master Portfolio’s average daily net assets at an annual rate of 0.03%. Prior to April 30, 2015, the Master Portfolio paid the Manager a monthly fee at an annual rate of 0.04%.

The Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Master Portfolio’s business in order to limit expenses of certain feeder funds which invest their assets in the Master Portfolio. The Manager has agreed not to reduce or discontinue this contractual waiver or reimbursement prior to May 1, 2016, unless approved by the Board, including a majority of the Independent Trustees.

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the Master Portfolio pays to the Manager indirectly through its investment in the iShares India 50 ETF, an affiliated investment. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with the Master Portfolio’s investments in other affiliated investment companies, if any. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the year ended December 31, 2015, the amount waived was $20,753. This voluntary waiver expired on April 30, 2015.

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the Master Portfolio pays to the Manager indirectly through its investment in affiliated money market funds. This amount is included in fees waived by the Manager in the Statement of Operations. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with the Master Portfolio’s investments in other affiliated investment companies, if any. For the year ended December 31, 2015, the amount waived was $5,742.

The U.S. Securities and Exchange Commission has issued an exemptive order which permits BTC, an affiliate of the Manager, to serve as securities lending agent for the Master Portfolio, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending. The Master Portfolio is responsible for fees in connection with the investment of cash collateral received for securities on loan in a money market fund managed by the Manager or its affiliates, however, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees the Master Portfolio bears to an annual rate of 0.04% (the “collateral investment fees”).

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 fees. The Master Portfolio retains a portion of securities lending income and remits a remaining portion to BTC as compensation for its services as securities lending agent.

Pursuant to a securities lending agreement, the Master Portfolio retains 80% of securities lending income, and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees. In addition, commencing the business day following the date that the aggregate securities lending income earned across certain funds in the Equity-Liquidity Complex in a calendar year exceeds a specified threshold, the Master Portfolio, pursuant to the securities lending agreement, will retain for the remainder of the calendar year securities lending income in an amount equal to 85% of securities lending income, and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

The share of securities lending income earned by the Master Portfolio is shown as securities lending — affiliated — net in the Statement of Operations. For the year ended December 31, 2015, the Master Portfolio paid BTC $75,232 in total for securities lending agent services and collateral investment fees.

Certain officers and/or trustees of MIP are officers and/or directors of BlackRock or its affiliates.

7. Purchases and Sales:

For the year ended December 31, 2015, purchases and sales of investments, excluding short-term securities, were $374,737,644 and $42,071,197, respectively.

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Notes to Financial Statements (continued) Total International ex U.S. Index Master Portfolio

8. Income Tax Information:

The Master Portfolio is classified as a partnership for 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 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 remains open for each of the four years ended December 31, 2015. 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 December 31, 2015, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the Master Portfolio’s financial statements.

As of period end, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

Tax cost	$	918,646,020
Gross unrealized appreciation	$	61,626,989
Gross unrealized depreciation		(105,225,925	)
Net unrealized depreciation	$	(43,598,936	)

9. Bank Borrowings:

MIP, 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, $2.1 billion credit agreement with a group of lenders, under which the Master Portfolio may borrow to fund shareholder redemptions. Excluding commitments designated for certain funds, the Participating Funds, including the Master Portfolio, can borrow up to an aggregate commitment amount of $1.6 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 0.06% 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 2016 unless extended or renewed. Participating Funds paid administration, legal and arrangement fees, which, if applicable, are included in miscellaneous expenses in the Statement of Operations, and along with commitment 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 December 31, 2015, 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 and enters into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities held by the Master Portfolio may decline in response to certain events, including those directly involving the issuers of securities owned by the Master Portfolio. Changes arising from the general economy, the overall market and local, regional or global political or/and social instability, as well as currency, interest rate and price fluctuations, may also affect the securities’ value.

Counterparty Credit Risk: Similar to issuer credit risk, the Master Portfolio may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Master Portfolio manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Master Portfolio to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent 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.

48 BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015

Notes to Financial Statements (concluded) Total International ex U.S. Index Master Portfolio

The Master Portfolio’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by the Master Portfolio.

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:

The Master Portfolio invests a significant portion of its assets in securities of issuers located in Europe or with significant exposure to European issuers or countries. The European financial markets have recently experienced volatility and adverse trends due to concerns about economic downturns in, or rising government debt levels of, several European countries. These events may spread to other countries in Europe and may affect the value and liquidity of certain of the Master Portfolio’s investments.

The Master Portfolio invests a significant portion of its assets in securities of issuers located in Asia or with significant exposure to Asian issuers or countries. The Asian financial markets have recently experienced volatility and adverse trends due to concerns in several Asian countries regarding monetary policy, government intervention in the markets, rising government debt levels or economic downturns. These events may spread to other countries in Asia and may affect the value and liquidity of certain of the Master Portfolio’s investments.

As of period end, the Master Portfolio’s investments had the following industry classifications:

Industry	Percentage of Long Term Investment
Banks		14	%
Pharmaceuticals		8
Insurance		6
Oil, Gas & Consumable Fuels		6
Other1		66

¹  All other industries held were less than 5% of net assets.

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.

BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015 49

Report of Independent Registered Public Accounting Firm Total International ex U.S. Index Master Portfolio

To the Board of Trustees of Master Investment Portfolio and the Interestholders of Total International ex U.S. Index Master Portfolio:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Total International ex U.S. Index Master Portfolio, (the “Master Portfolio”), a series of Master Investment Portfolio, at December 31, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Master Portfolio’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2015 by correspondence with the custodian, transfer agent, and brokers, provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 24, 2016

50 BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015

Officers and Trustees

Name, Address1 and Year of Birth	Position(s) Held with the Trust/MIP	Length of Time Served as a Trustee3	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Independent Trustees2
Rodney D. Johnson 1941	Chair of the Board and Trustee	Since 2009	President, Fairmount Capital Advisors, Inc. from 1987 to 2013; Member of the Archdiocesan Investment Committee of the Archdiocese of Philadelphia from 2004 to 2012; Director, The Committee of Seventy (civic) from 2006 to 2012; Director, Fox Chase Cancer Center from 2004 to 2011.	33 RICs consisting of 155 Portfolios	None
David O. Beim 1940	Trustee	Since 2009	Professor of Professional Practice at the Columbia University Graduate School of Business since 1991; Trustee, Phillips Exeter Academy from 2002 to 2012; Chairman, Wave Hill, Inc. (public garden and cultural center) from 1990 to 2006.	33 RICs consisting of 155 Portfolios	None
Collette Chilton 1958	Trustee	Since 2015	Chief Investment Officer, Williams College since 2006; Chief Investment Officer, Lucent Asset Management Corporation from 1998 to 2006.	33 RICs consisting of 155 Portfolios	None
Frank J. Fabozzi 1948	Trustee	Since 2014	Editor of and Consultant for The Journal of Portfolio Management since 2006; Professor of Finance, EDHEC Business School since 2011; Visiting Professor, Princeton University from 2013 to 2014; Professor in the Practice of Finance and Becton Fellow, Yale University School of Management from 2006 to 2011.	108 RICs consisting of 230 Portfolios	None
Dr. Matina S. Horner 1939	Trustee	Since 2009	Executive Vice President, Teachers Insurance and Annuity Association and College Retirement Equities Fund from 1989 to 2003.	33 RICs consisting of 155 Portfolios	NSTAR (electric and gas utility)
Herbert I. London 1939	Trustee	Since 2009	Professor Emeritus, New York University since 2005; President, London Center for Policy Research since 2012; John M. Olin Professor of Humanities, New York University from 1993 to 2005 and Professor thereof from 1980 to 2005; President Emeritus, Hudson Institute (policy research organization) from 2011 to 2012, President thereof from 1997 to 2011 and Trustee from 1980 to 2012; Chairman of the Board of Trustees for Grantham University since 2006; Director, InnoCentive, Inc. (global internet service) since 2005; Director, Cerego, LLC (educational software) since 2005; Director, Cybersettle (online adjudication) since 2009; Director, AIMS Worldwide, Inc. (marketing) from 2007 to 2012.	33 RICs consisting of 155 Portfolios	None
Cynthia A. Montgomery 1952	Trustee	Since 2009	Professor, Harvard Business School since 1989; Director, McLean Hospital from 2005 to 2012; Director, Harvard Business School Publishing from 2005 to 2010.	33 RICs consisting of 155 Portfolios	Newell Rubbermaid, Inc. (manufacturing)
Joseph P. Platt 1947	Trustee	Since 2009	Director, Jones and Brown (Canadian insurance broker) since 1998; General Partner, Thorn Partners, LP (private investments) since 1998; Director, WQED Multi-Media (public broadcasting not-for-profit) since 2001; Director, The West Penn Allegheny Health System (a not-for-profit health system) from 2008 to 2013; Partner, Amarna Corporation, LLC (private investment company) from 2002 to 2008.	33 RICs consisting of 155 Portfolios	Greenlight Capital Re, Ltd. (reinsurance company)
Robert C. Robb, Jr. 1945	Trustee	Since 2009	Partner, Lewis, Eckert, Robb and Company (management and financial consulting firm) since 1981.	33 RICs consisting of 155 Portfolios	None
Toby Rosenblatt 1938	Trustee	Since 2009	President, Founders Investments Ltd. (private investments) since 1999; Director, Forward Management, LLC since 2007; Director, College Futures Foundation (philanthropic foundation) since 2009; Director, The James Irvine Foundation (philanthropic foundation) from 1998 to 2008.	33 RICs consisting of 155 Portfolios	None

BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015 51

Officers and Trustees (continued)

Name, Address1 and Year of Birth	Position(s) Held with the Trust/MIP	Length of Time Served as a Trustee3	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Independent Trustees2 (concluded)
Mark Stalnecker 1951	Trustee	Since 2015	Chief Investment Officer, University of Delaware from 1999 to 2013; Trustee, Winterthur Museum and Country Estate since 2001; Member of the Investment Committee, Delaware Public Employees’ Retirement System since 2002; Member of the Investment Committee, Christiana Care Health System since 2009; Member of the Investment Committee, Delaware Community Foundation from 2013 to 2014.	33 RICs consisting of 155 Portfolios	None
Kenneth L. Urish 1951	Trustee	Since 2009	Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Immediate 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 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.	33 RICs consisting of 155 Portfolios	None
Frederick W. Winter 1945	Trustee	Since 2009	Director, Alkon Corporation (pneumatics) since 1992; Professor and Dean Emeritus of the Joseph M. Katz School of Business, University of Pittsburgh from 2005 to 2013 and Dean thereof from 1997 to 2005; Director, Tippman Sports (recreation) from 2005 to 2013; Director, Indotronix International (IT services) from 2004 to 2008.	33 RICs consisting of 155 Portfolios	None
	1    The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.
	2    Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board has determined to extend the terms of Independent Trustees on a case-by-case basis, as appropriate. The Board has unanimously approved extending the mandatory retirement age for David O. Beim and Dr. Matina S. Horner until December 31, 2016, which the Board believes is in the best interests of shareholders of the Trust/MIP.
	3    Date shown is the earliest date a person has served for the Trust/MIP. In connection with the acquisition of Barclays Global Investors by BlackRock, Inc. (“BlackRock”) in December 2009, the Trustees were elected to the Trust/MIP Board. As a result, although the chart shows certain Independent Trustees as joining the Trust’s/MIP’s board in 2009, those Independent Trustees first became members of the boards of other funds advised by BlackRock Advisors, LLC or its affiliates as follows: David O. Beim, 1998; Dr. Matina S. Horner, 2004; Rodney D. Johnson, 1995; Herbert I. London, 1987; Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Robert C. Robb, Jr., 1998; Toby Rosenblatt, 2005; Kenneth L. Urish, 1999; and Frederick W. Winter, 1999. Frank J. Fabozzi first became a member of the board of other funds advised by BlackRock Advisors, LLC or its affiliates in 1988.
Interested Trustees4
Barbara G. Novick 1960	Trustee	Since 2015	Vice Chairman of BlackRock since 2006; Chair of BlackRock’s Government Relations Steering Committee since 2009; Head of the Global Client Group of BlackRock from 1988 to 2008.	108 RICs consisting of 230 Portfolios	None
John M. Perlowski 1964	Trustee, President, and Chief Executive Officer	Since 2015 (Trustee); Since 2010 (President and Chief Executive Officer)	Managing Director of BlackRock since 2009; Head of BlackRock Global Fund Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.	136 RICs consisting of 328 Portfolios	None
	4    Mr. Perlowski and Ms. Novick are both “interested persons,” as defined in the 1940 Act, of the Trust/MIP based on their positions with BlackRock and its affiliates. Mr. Perlowski and Ms. Novick are also board members of a complex of BlackRock registered open-end funds. Mr. Perlowski is also a board member of the BlackRock Equity-Bond Complex and the BlackRock Equity-Liquidity Complex, and Ms. Novick is also a board member of the BlackRock Equity-Liquidity Complex. Interested Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The maximum age limitation may be waived as to any Trustee by action of a majority of the Trustees upon a finding of good cause therefor.

52 BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015

Officers and Trustees (concluded)

Name, Address1 and Year of Birth	Position(s) Held with the Trust/MIP	Length of Time Served as an Officer	Principal Occupation(s) During Past Five Years
Trust/MIP Officers2
John M. Perlowski 1964	Trustee, President and Chief Executive Officer	Since 2015 (Trustee); Since 2010 (President and Chief Executive Officer)	Managing Director of BlackRock since 2009; Head of BlackRock Global Fund Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.
Richard Hoerner, CFA 1958	Vice President	Since 2009	Managing Director of BlackRock since 2000; Head of the Global Cash Group since 2013; Co-head of the Global Cash and Securities Lending Group from 2010 to 2013; Member of the Cash Management Group Executive Committee since 2005.
Jennifer McGovern 1977	Vice President	Since 2014	Director of BlackRock since 2011; Head of Product Structure and Oversight for BlackRock’s U.S. Wealth Advisory Group since 2013; Vice President of BlackRock from 2008 to 2010.
Neal Andrews 1966	Chief Financial Officer	Since 2007	Managing Director of BlackRock since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.
Jay Fife 1970	Treasurer	Since 2007	Managing Director of BlackRock since 2007; Director of BlackRock in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.
Charles Park 1967	Chief Compliance Officer	Since 2014	Anti-Money Laundering Compliance Officer for the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End Complex from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End 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.
Fernanda Piedra 1969	Anti-Money Laundering Compliance Officer	Since 2015	Director of BlackRock since 2014; Anti-Money Laundering Compliance Officer and Regional Head of Financial Crime for the Americas at BlackRock since 2014; Head of Regulatory Changes and Remediation for the Asset Wealth Management Division of Deutsche Bank from 2010 to 2014; Vice President of Goldman Sachs (Anti-Money Laundering/Suspicious Activities Group) from 2004 to 2010.
Benjamin Archibald 1975	Secretary	Since 2012	Managing Director of BlackRock since 2014; Director of BlackRock from 2010 to 2013; Secretary of the iShares exchange traded funds since 2015; Secretary of the BlackRock-advised mutual funds since 2012.
	1    The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.
	2    Officers of the Trust/MIP serve at the pleasure of the Board.
	Further information about the Officers and Trustees is available in the Trust’s/MIP’s Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762

Effective September 25, 2015, John M. Perlowski was appointed to serve as a Trustee of the Trust/MIP.

Effective December 31, 2015, Herbert I. London and Toby Rosenblatt retired as Trustees of the Trust/MIP.

Investment Advisor BlackRock Fund Advisors San Francisco, CA 94105	Accounting Agent and Custodian State Street Bank and Trust Company Boston, MA 02110	Distributor BlackRock Investments, LLC New York, NY 10022	Legal Counsel Sidley Austin LLP New York, NY 10019
Administrator BlackRock Advisors, LLC Wilmington, DE 19809	Transfer Agent BNY Mellon Investment Servicing (US) Inc. Wilmington, DE 19809	Independent Registered Public Accounting Firm PricewaterhouseCoopers LLP Philadelphia, PA 19103	Address of the Trust/MIP 400 Howard Street San Francisco, CA 94105

BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015 53

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 Portfolio file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s/Master Portfolio’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Fund’s/ Master Portfolio’s Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Fund/Master Portfolio 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 http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Fund/Master Portfolio voted proxies relating to securities held in the Fund’s/Master Portfolio’s portfolio during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com; or by calling (800) 441-7762; and (2) on the SEC’s website at http://www.sec.gov.

BlackRock’s Mutual Fund Family

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

Shareholder Privileges

Account Information

Call us at (800) 441-7762 from 8:00 AM to 6:00 PM EST on any business day to get information about your account balances, recent transactions and share prices. You can also reach us on the Web at http://www.blackrock.com/funds.

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.

54 BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015

Additional Information (concluded)

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.

BLACKROCK TOTAL INTERNATIONAL ex U.S. INDEX FUND DECEMBER 31, 2015 55

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.

TIEXUS-12/15-AR

DECEMBER 31, 2015

  ANNUAL REPORT  

BlackRock U.S. Total Bond Index Fund  |  of BlackRock Funds III

Not FDIC Insured • May Lose Value • No Bank Guarantee

Table of Contents

	Page
The Markets in Review		3
Annual Report:
Fund Summary		4
About Fund Performance		6
Disclosure of Expenses		6
Fund Financial Statements:
Statement of Assets and Liabilities		7
Statement of Operations		8
Statements of Changes in Net Assets		9
Fund Financial Highlights		10
Fund Notes to Financial Statements		13
Fund Report of Independent Registered Public Accounting Firm		16
Important Tax Information		16
Master Portfolio Information		17
Master Portfolio Financial Statements:
Schedule of Investments		18
Statement of Assets and Liabilities		43
Statement of Operations		44
Statements of Changes in Net Assets		45
Master Portfolio Financial Highlights		46
Master Portfolio Notes to Financial Statements		47
Master Portfolio Report of Independent Registered Public Accounting Firm		54
Officers and Trustees		55
Additional Information		58

2 BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015

The Markets in Review

Dear Shareholder,

Diverging monetary policies and shifting economic outlooks across regions have been the overarching themes driving financial markets over the past couple of years. With U.S. growth outpacing the global economic recovery in 2015 while inflationary pressures remained low, investors spent most of the year anticipating a short-term rate hike from the Federal Reserve (the “Fed”), which ultimately came to fruition in December. In contrast, the European Central Bank (“ECB”) and the Bank of Japan moved to a more accommodative stance during the year. In this environment, the U.S. dollar strengthened considerably, causing profit challenges for U.S. exporters and high levels of volatility in emerging market currencies and commodities. Oil prices were particularly volatile and below the historical norm due to an ongoing imbalance in global supply and demand.

Market volatility broadly increased in the middle of 2015, beginning with a sharp, but temporary, selloff in June as Greece’s long-brewing debt troubles came to an impasse. Just as these concerns abated, Chinese equities tumbled amid weakness in the country’s economy. This, combined with a depreciation of the yuan and declining confidence in China’s policymakers, stoked worries about the potential impact to the broader world economy, causing heightened volatility to spread throughout markets globally. Given a dearth of meaningful growth across most of the world, financial markets became more reliant on central bank policies to drive performance. In that vein, risk assets (such as equities and high yield bonds) rallied in October when China’s central bank provided more stimulus, the ECB hinted at further easing, and soft U.S. data pushed back expectations for a Fed rate hike. As the period came to a close, however, the ECB disappointed investors with its subdued policy changes. The Fed’s December rate hike had a positive impact on the markets as it removed a source of uncertainty, but this was counteracted by the dampening effect of a stronger U.S. dollar, falling oil prices and tighter credit conditions.

At BlackRock, we believe investors need to think globally, extend their scope across a broad array of asset classes and be prepared to move freely as market conditions change over time. 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 December 31, 2015
	6-month			12-month
U.S. large cap equities (S&P 500® Index)		0.15	%		1.38	%
U.S. small cap equities (Russell 2000® Index)		(8.75	)		(4.41	)
International equities (MSCI Europe, Australasia, Far East Index)		(6.01	)		(0.81	)
Emerging market equities (MSCI Emerging Markets Index)		(17.35	)		(14.92	)
3-month Treasury bills (BofA Merrill Lynch 3-Month U.S. Treasury Bill Index)		0.04			0.05
U.S. Treasury securities (BofA Merrill Lynch 10-Year U.S. Treasury Index)		1.43			0.91
U.S. investment-grade bonds (Barclays U.S. Aggregate Bond Index)		0.65			0.55
Tax-exempt municipal bonds (S&P Municipal Bond Index)		3.31			3.32
U.S. high yield bonds (Barclays U.S. Corporate High Yield 2% Issuer Capped Index)		(6.79	)		(4.43	)
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

THIS PAGE NOT PART OF YOUR FUND REPORT 3

Fund Summary as of December 31, 2015

Investment Objective

BlackRock U.S. Total Bond Index Fund’s (the “Fund”) (formerly known as BlackRock Bond Index Fund) investment objective is to seek to provide investment results that correspond to the total return performance of fixed-income securities in the aggregate, as represented by the Barclays U.S. Aggregate Bond Index (the “Index”).

Portfolio Management Commentary

How did the Fund perform?

• For the 12-month period ended December 31, 2015, the Fund’s Institutional Shares returned 0.33%, Investor A Shares returned 0.08% and Class K Shares returned 0.38%. For the same period, the benchmark Index returned 0.55%.

• Returns for the Fund’s respective share classes differ from the Index based on individual share-class expenses. The Fund invests all of its assets in U.S. Total Bond Index Master Portfolio (formerly known as Bond Index Master Portfolio) (the “Master Portfolio”), a series of Master Investment Portfolio.

Describe the market environment.

• During the first quarter of 2015, the European Central Bank’s quantitative easing program was a main theme in the global fixed income markets, pushing euro area debt yields to negative levels. This effectively anchored rates lower across the board in Europe, and central banks in emerging markets also announced rate cuts. Economic data in the United States was mixed early in the year, but U.S. labor markets continued to show strength. The much-anticipated March 18, 2015 Fed statement was interpreted as “dovish” by market participants. The highest returns during the quarter came from spread sectors, including commercial mortgage-backed securities, asset-backed securities and credit, while mortgages and agencies continued to underperform.

• In the second quarter, negative headlines surrounding the debt/liquidity crisis in Greece, combined with weakness in some economic data, prompted pessimistic evaluations of the U.S. economy. Such pessimism appeared to be unwarranted, as a number of economic indicators would show improvement, including payroll growth, that was arguably stronger than at any time over the past 20 years. Labor market strength was also seemingly confirmed by falling unemployment rates and favorable manufacturing reports.

• The third quarter of 2015 saw a continuation of two main themes in the markets for 2015: concerns regarding future demand and growth prospects in China (and in emerging market countries more broadly), and uncertainty over the timing of monetary policy tightening by the Fed. There was a broad-based negative response to the Fed’s inaction through the first three quarters of the year across asset classes and

geographies, as markets feared a global economic slowdown. Further complicating the market’s view of Fed policy, the third quarter ended on a weak note for labor markets. The quarter also concluded with a reversal of some of the improvements seen in the manufacturing sector at mid-year, with the September ISM Manufacturing Index ending the quarter at only a neutral level. In terms of the U.S. consumer, the quarter began on a weak note with both retail sales and consumer confidence figures disappointing, but these statistics recovered somewhat by quarter end.

• The fourth quarter of 2015 witnessed steady improvement in U.S. and European economic data, which contrasted with tepid growth in China and many other emerging market economies. Soft overall global growth, the effects of lower energy prices and a stronger U.S. dollar continued to weigh on trade and manufacturing data. Meanwhile, global risk sentiment remained muted, even as central banks outside the United States continued to be accommodative. Domestically, final third-quarter GDP growth came in at 2% annualized, slightly stronger than the consensus estimate. Oil prices continued to slump following OPEC’s decision not to cap crude oil production. Weaker commodity prices weighed on equity markets, as disappointing earnings growth led S&P 500 stocks to end the year with only a modest positive return after three years of double-digit gains. In large part due to energy-related distress, the Barclays U.S. Corporate High Yield Index closed significantly lower for the year, exacerbating concerns regarding a deteriorating credit cycle.

Describe recent portfolio activity.

• During the period, the Master Portfolio maintained its objective of seeking to provide investment results that correspond to the total return performance of the Index by selecting securities in accordance with their relative proportion within the Index. Other factors considered in security selection included credit quality, industry, maturity structure, coupon rates and call features.

• The Master Portfolio held cash committed for pending transactions. The cash balance did not have a material impact on performance.

Describe portfolio positioning at period end.

• The Master Portfolio remains positioned to attempt to match the risk characteristics of the Index, irrespective of the market’s future direction.

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 BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015

Total Return Based on a $10,000 Investment

¹ Assuming transaction costs and other operating expenses, including administration fees, if any.

²  The Fund invests all of its assets in the Master Portfolio. The Master Portfolio invests primarily in investment-grade U.S. Government securities and corporate bonds, as well as investment-grade mortgage-backed, asset-backed and commercial mortgage-backed securities.

³  A widely recognized unmanaged market-capitalization 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.

Performance Summary for the Period Ended December 31, 2015

	Standardized 30-Day  Yields			Unsubsidized 30-Day Yields			6-Month Total Returns			Average Annual Total Returns
										1 Year			5 Years			10 Years
Institutional		2.15	%		2.12	%		0.51	%		0.33	%		2.97	%		4.45	%
Investor A		1.90			1.87			0.38			0.08			2.73			4.23
Class K		2.19			2.17			0.54			0.38			3.03			4.48
Barclays U.S. Aggregate Bond Index		—			—			0.65			0.55			3.25			4.51

See “About Fund Performance” on page 6 for further information on how performance was calculated.

Past performance is not indicative of future results.

Expense Example

	Actual						Hypothetical5
	Beginning Account Value July 1, 2015		Ending Account Value December 31, 2015		Expenses Paid During the Period4		Beginning Account Value July 1, 2015		Ending Account Value December 31, 2015		Expenses Paid During the Period4		Annualized Expense Ratio
Institutional	$	1,000.00	$	1,005.10	$	0.51	$	1,000.00	$	1,024.70	$	0.51		0.10	%
Investor A	$	1,000.00	$	1,003.80	$	1.77	$	1,000.00	$	1,023.44	$	1.79		0.35	%
Class K	$	1,000.00	$	1,005.40	$	0.25	$	1,000.00	$	1,024.95	$	0.26		0.05	%

⁴  For each class of the Fund, expenses are equal to the annualized net expense ratio for the class, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). Because the Fund invests all of its assets in the Master Portfolio, the expense example reflects the net expenses of both the Fund and the Master Portfolio.

⁵  Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365.

See “Disclosure of Expenses” on page 6 for further information on how expenses were calculated.

BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015 5

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. Prior to March 31, 2011, Institutional Shares’ performance results are those of Class K Shares restated to reflect Institutional Shares’ fees.

• Investor A Shares are not subject to any sales charge and bear no ongoing distribution fee. These shares are subject to an ongoing service fee of 0.25% per year. These shares are generally available through financial intermediaries. Prior to March 31, 2011, Investor A Shares’ performance results are those of Class K Shares restated to reflect Investor A Shares’ fees.

Performance information reflects past performance and does not guarantee future results. Current performance may be lower or higher than the performance data quoted. Refer to www.blackrock.com/funds 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 table on the previous page assume reinvestment of all distributions, if any, at net asset value (“NAV”) on the ex-dividend date. 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 services, 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 “Administrator”), the Fund’s administrator, voluntarily waived a portion of the Fund’s expenses. Without such waiver, the Fund’s performance would have been lower. The Administrator is under no obligation to waive or to continue waiving its fees and such voluntary waiver may be reduced or discontinued at any time. See Note 4 of the Notes to Financial Statements for additional information on waivers. The standardized 30-day yield includes the effects of any waivers and/or reimbursements. The unsubsidized 30-day yield excludes the effects of any waivers and/or reimbursements.

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/or distribution fees, including 12b-1 fees, and other Fund expenses. The expense example shown on the previous page (which is based on a hypothetical investment of $1,000 invested on July 1, 2015 and held through December 31, 2015) 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 any 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.

6 BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015

Statement of Assets and Liabilities BlackRock U.S. Total Bond Index Fund

December 31, 2015
Assets
Investments at value — Master Portfolio (cost — $239,786,209)	$	243,411,312
Capital shares sold receivable		11,234,671
Total assets		254,645,983
Liabilities
Contributions payable to the Master Portfolio		11,050,500
Payables:
Capital shares redeemed		184,171
Administration fees		5,019
Service fees		3,955
Other accrued expenses		12,009
Total liabilities		11,255,654
Net Assets	$	243,390,329
Net Assets Consist of
Paid-in capital	$	241,777,876
Distributions in excess of net investment income		(780,668	)
Accumulated net realized loss		(1,231,982	)
Net unrealized appreciation (depreciation)		3,625,103
Net Assets	$	243,390,329
Net Asset Value
Institutional — Based on net assets of $58,043,185 and 5,808,690 shares outstanding, unlimited shares authorized, no par value	$	9.99
Investor A — Based on net assets of $19,144,640 and 1,916,393 shares outstanding, unlimited shares authorized, no par value	$	9.99
Class K — Based on net assets of $166,202,504 and 16,631,283 shares outstanding, unlimited shares authorized, no par value	$	9.99

See Notes to Financial Statements.
	BLACKROCK U.S. TOTAL BOND INDEX FUND	DECEMBER 31, 2015	7

Statement of Operations BlackRock U.S. Total Bond Index Fund

Year Ended December 31, 2015
Investment Income
Net investment income allocated from the Master Portfolio:
Interest	$	4,178,905
Income — affiliated		77,863
Securities lending — affiliated — net		1,450
Expenses		(127,818	)
Fees waived		39,652
Total income		4,170,052
Fund Expenses
Administration — Institutional		30,287
Administration — Investor A		10,254
Administration — Class K		31,704
Service — Investor A		36,720
Professional		19,443
Miscellaneous		325
Total expenses		128,733
Less administration fees waived		(19,442	)
Total expenses after fees waived		109,291
Net investment income		4,060,761
Realized and Unrealized Loss Allocated from the Master Portfolio
Net realized loss from investments		(76,251	)
Net change in unrealized appreciation (depreciation) on investments		(3,379,947	)
Net realized and unrealized loss		(3,456,198	)
Net Increase in Net Assets Resulting from Operations	$	604,563

See Notes to Financial Statements.
8	BLACKROCK U.S. TOTAL BOND INDEX FUND	DECEMBER 31, 2015

Statements of Changes in Net Assets BlackRock U.S. Total Bond Index Fund

	Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014
Operations
Net investment income	$	4,060,761		$	2,565,695
Net realized gain (loss)		(76,251	)		2,209,105
Net change in unrealized appreciation (depreciation)		(3,379,947	)		3,399,354
Net increase in net assets resulting from operations		604,563			8,174,154
Distributions to Shareholders1
From net investment income:
Institutional		(857,237	)		(404,342	)
Investor A		(260,313	)		(100,112	)
Class K		(3,138,838	)		(2,143,878	)
From net realized gain:
Institutional		(82,778	)		(203,671	)
Investor A		(28,069	)		(85,653	)
Class K		(302,505	)		(1,462,982	)
Decrease in net assets resulting from distributions to shareholders		(4,669,740	)		(4,400,638	)
Capital Share Transactions
Net increase in net assets derived from capital share transactions		42,736,554			78,078,795
Net Assets
Total increase in net assets		38,671,377			81,852,311
Beginning of year		204,718,952			122,866,641
End of year	$	243,390,329		$	204,718,952
Distributions in excess of net investment income, end of year	$	(780,668	)	$	(585,041	)
1    Distributions for annual periods determined in accordance with federal income tax regulations.

See Notes to Financial Statements.
	BLACKROCK U.S. TOTAL BOND INDEX FUND	DECEMBER 31, 2015	9

Financial Highlights BlackRock U.S. Total Bond Index Fund

	Institutional
	Year Ended December 31,												Period March 31, 20111 to December 31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	10.17		$	9.85		$	10.65		$	10.57		$	10.11
Net investment income2		0.19			0.17			0.15			0.19			0.25
Net realized and unrealized gain (loss)		(0.16	)		0.41			(0.40	)		0.22			0.46
Net increase (decrease) from investment operations		0.03			0.58			(0.25	)		0.41			0.71
Distributions:3
From net investment income		(0.19	)		(0.17	)		(0.18	)		(0.22	)		(0.25	)
From net realized gain		(0.02	)		(0.09	)		(0.37	)		(0.11	)		(0.00	)4
Total distributions		(0.21	)		(0.26	)		(0.55	)		(0.33	)		(0.25	)
Net asset value, end of period	$	9.99		$	10.17		$	9.85		$	10.65		$	10.57
Total Return5
Based on net asset value		0.33%			5.88%			(2.39)%			3.91%			7.18%	6
Ratios to Average Net Assets7
Total expenses		0.12%	8,9		0.17%	8,9		0.26%	10		0.26%	10		0.27%	11,12
Total expenses after fees waived		0.11%	8,9		0.16%	8,9		0.25%	10		0.25%	10		0.25%	11,12
Net investment income		1.85%	8,9		1.67%	8,9		1.48%	10		1.71%	10		2.98%	11,12
Supplemental Data
Net assets, end of period (000)	$	58,043		$	34,538		$	22,939		$	11,534		$	53
Portfolio turnover rate of the Master Portfolio13		356%			476%			417%			436%			122%

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Amount is greater than $(0.005) per share.

⁵  Where applicable, assumes the reinvestment of distributions.

⁶  Aggregate total return.

⁷  Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁸  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.02%.

⁹  Ratios do not include expenses incurred indirectly as a result of investments in underlying funds of approximately 0.02%.

¹⁰  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.01%.

¹¹  Annualized.

¹²  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.05%.

¹³  Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows:

	Year Ended December 31,								Period March 31, 20111 to December 31, 2011
	2015		2014		2013		2012
Portfolio turnover rate (excluding MDRs)		300%		244%		214%		231%		121%

See Notes to Financial Statements.
10	BLACKROCK U.S. TOTAL BOND INDEX FUND	DECEMBER 31, 2015

Financial Highlights (continued) BlackRock U.S. Total Bond Index Fund

	Investor A
	Year Ended December 31,												Period March 31, 20111 to December 31, 2011
	2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	10.17		$	9.85		$	10.65		$	10.57		$	10.11
Net investment income2		0.16			0.15			0.11			0.16			0.22
Net realized and unrealized gain (loss)		(0.15	)		0.41			(0.39	)		0.22			0.48
Net increase (decrease) from investment operations		0.01			0.56			(0.28	)		0.38			0.70
Distributions:3
From net investment income		(0.17	)		(0.15	)		(0.15	)		(0.19	)		(0.24	)
From net realized gain		(0.02	)		(0.09	)		(0.37	)		(0.11	)		(0.00	)4
Total distributions		(0.19	)		(0.24	)		(0.52	)		(0.30	)		(0.24	)
Net asset value, end of period	$	9.99		$	10.17		$	9.85		$	10.65		$	10.57
Total Return5
Based on net asset value		0.08%			5.63%			(2.63)	%		3.66%			7.01%	6
Ratios to Average Net Assets7
Total expenses		0.37%	8,9		0.41%	8,9		0.51%	10		0.51%	10		0.53%	11,12
Total expenses after fees waived		0.36%	8,9		0.40%	8,9		0.50%	10		0.50%	10		0.50%	11,12
Net investment income		1.61%	8,9		1.44%	8,9		1.10%	10		1.45%	10		2.65%	11,12
Supplemental Data
Net assets, end of period (000)	$	19,145		$	10,732		$	3,735		$	1,805		$	202
Portfolio turnover rate of the Master Portfolio13		356%			476%			417%			436%			122%

¹  Commencement of operations.

²  Based on average shares outstanding.

³  Distributions for annual periods determined in accordance with federal income tax regulations.

⁴  Amount is greater than $(0.005) per share.

⁵  Where applicable, assumes the reinvestment of distributions.

⁶  Aggregate total return.

⁷  Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁸  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.02%.

⁹  Ratios do not include expenses incurred indirectly as a result of investments in underlying funds of approximately 0.02%.

¹⁰  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.01%.

¹¹  Annualized.

¹²  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.05%.

¹³  Includes MDRs. Additional information regarding portfolio turnover rate is as follows:

	Year Ended December 31,								Period March 31, 20111 to December 31, 2011
	2015		2014		2013		2012
Portfolio turnover rate (excluding MDRs)		300%		244%		214%		231%		121%

See Notes to Financial Statements.
	BLACKROCK U.S. TOTAL BOND INDEX FUND	DECEMBER 31, 2015	11

Financial Highlights (concluded) BlackRock U.S. Total Bond Index Fund

	Class K
	Year Ended December 31,
	2015			2014			2013			2012			2011
Per Share Operating Performance
Net asset value, beginning of year	$	10.17		$	9.85		$	10.65		$	10.57		$	10.17
Net investment income1		0.19			0.17			0.16			0.22			0.35
Net realized and unrealized gain (loss)		(0.15	)		0.41			(0.41	)		0.19			0.40
Net increase (decrease) from investment operations		0.04			0.58			(0.25	)		0.41			0.75
Distributions:2
From net investment income		(0.20	)		(0.17	)		(0.18	)		(0.22	)		(0.35	)
From net realized gain		(0.02	)		(0.09	)		(0.37	)		(0.11	)		(0.00	)3
Total distributions		(0.22	)		(0.26	)		(0.55	)		(0.33	)		(0.35	)
Net asset value, end of year	$	9.99		$	10.17		$	9.85		$	10.65		$	10.57
Total Return4
Based on net asset value		0.38%			5.94%			(2.35)%			3.94%			7.55%
Ratios to Average Net Assets5
Total expenses		0.07%	6,7		0.12%	6,7		0.21%	8		0.21%	6		0.23%	9
Total expenses after fees waived		0.06%	6,7		0.10%	6,7		0.20%	8		0.20%	6		0.20%	9
Net investment income		1.89%	6,7		1.72%	6,7		1.52%	8		1.96%	6		3.19%	9
Supplemental Data
Net assets, end of year (000)	$	166,203		$	159,449		$	96,193		$	115,516		$	122,015
Portfolio turnover rate of the Master Portfolio10		356%			476%			417%			436%			122%

¹  Based on average shares outstanding.

²  Distributions for annual periods determined in accordance with federal income tax regulations.

³  Amount is greater than $(0.005) per share.

⁴  Where applicable, assumes the reinvestment of distributions.

⁵  Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

⁶  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.02%.

⁷  Ratios do not include expenses incurred indirectly as a result of investments in underlying funds of approximately 0.02%.

⁸  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.01%.

⁹  Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.05%.

¹⁰  Includes MDRs. Additional information regarding portfolio turnover rate is as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Portfolio turnover rate (excluding MDRs)		300%		244%		214%		231%		121%

See Notes to Financial Statements.
12	BLACKROCK U.S. TOTAL BOND INDEX FUND	DECEMBER 31, 2015

Notes to Financial Statements BlackRock U.S. Total Bond Index Fund

1. Organization:

BlackRock U.S. Total Bond Index Fund (the “Fund”) (formerly known as BlackRock Bond Index Fund), a series of BlackRock Funds III (the “Trust”), is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a diversified, open-end management investment company. The Trust is organized as a Delaware statutory trust. The Fund seeks to achieve its investment objective by investing all of its assets in U.S. Total Bond Index Master Portfolio (the “Master Portfolio”) (formerly known as Bond Index Master Portfolio), a series of Master Investment Portfolio (“MIP”), an affiliate of the Fund, which has the same investment objective and strategies as the Fund. The value of the Fund’s investment in the Master Portfolio reflects the Fund’s proportionate interest in the net assets of the Master Portfolio. The performance of the Fund is directly affected by the performance of the Master Portfolio. At December 31, 2015, the percentage of the Master Portfolio owned by the Fund was 15.3%. As such, the financial statements of the Master Portfolio, including the Schedule 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 Investor A Shares bear certain expenses related to shareholder servicing of such shares. Institutional and Class K Shares are sold only certain eligible investors. Investor A Shares are generally available through financial intermediaries. Each class has exclusive voting rights with respect to matters relating to its shareholder servicing and distribution expenditures.

Share Class	Initial Sales Charge		CDSC		Conversion Privilege
Institutional Shares		No		No		None
Investor A Shares		No		No		None
Class K Shares		No		No		None

The Board of Trustees of the Trust and Board of Trustees of MIP are referred to throughout this report as the “Board of Trustees” or the “Board” and the members are referred to as “Trustees.”

The Fund, together with certain other registered investment companies advised by BlackRock Advisors, LLC (“BAL” or the “Administrator”) or its affiliates, is included in a complex of open-end funds referred to as the Equity-Liquidity 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 Investment Income: For financial reporting purposes, contributions to and withdrawals from the Master Portfolio are accounted on a trade date basis. The Fund records daily its proportionate share of the Master Portfolio’s income, expenses and realized and unrealized gains and losses. In addition, the Fund accrues its own expenses. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.

Distributions: Distributions paid by the Fund are recorded on the ex-dividend date. Distributions of capital gains are recorded on the ex-dividend date. The character and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.

Indemnifications: In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against the Fund, which cannot be predicted with any certainty.

Other: Expenses directly related to the Fund or its classes are charged to the Fund or the applicable class. Other operating expenses shared by several funds, including other funds managed by the Administrator, are prorated among those funds on the basis of relative net assets or other appropriate methods. Expenses directly related to the Fund and other shared expenses prorated to the Fund are allocated daily to each class based on its relative net assets or other appropriate methods.

BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015 13

Notes to Financial Statements (continued) BlackRock U.S. Total Bond Index Fund

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: The Fund’s policy is to fair value its financial instruments at fair value. The Fund records its investment in the Master Portfolio at fair value based on the Fund’s proportionate interest in the net assets of the Master Portfolio. Valuation of securities held by the Master Portfolio is discussed in Note 3 of the Master Portfolio’s Notes to Financial Statements, which are included elsewhere in this report.

4. Administration Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

The Trust, on behalf of the Fund, entered into an Administration Agreement with BlackRock Advisors, LLC (“BAL” or the “Administrator”), an indirect, wholly owned subsidiary of BlackRock, to provide administration services (other than investment advice and related portfolio activities). BAL, in consideration thereof, has agreed to bear all of the Fund’s ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by the Fund. BAL is entitled to receive for these administration services an annual fee of 0.02% based on the average daily net assets of Class K Shares and 0.07% of the average daily net assets of Institutional and Investor A Shares.

From time to time, BAL may waive such fees in whole or in part. Any such waiver will reduce the expenses of the Fund and, accordingly, have a favorable impact on its performance. BAL may delegate certain of its administration duties to sub-administrators. For the year ended December 31, 2015, the administrator waived $19,442.

The fees and expenses of the Trust’s trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and the Trust’s independent registered public accounting firm (together, the “independent expenses”) are paid directly by the Fund. BAL has contractually agreed to provide an offsetting credit against the administration fees paid by the Fund in an amount equal to the independent expenses through April 30, 2016.

The Trust, on behalf of the Fund, entered into a Distribution Agreement and a Distribution and Service Plan with BlackRock Investments, LLC (“BRIL”), an affiliate of the Administrator. Pursuant to the Distribution and Service Plan 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 of 0.25% based upon the average daily net assets of the Investor A Shares.

Pursuant to sub-agreements with BRIL, broker-dealers and 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 Investor A shareholders.

Certain officers and/or trustees of the Trust are officers and/or directors of BlackRock or its affiliates.

5. 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 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 remains open for each of the four years ended December 31, 2015. 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 December 31, 2015, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the Fund’s financial statements.

The tax character of distributions paid was as follows:

	2015		2014
Ordinary income	$	4,669,740	$	4,362,707
Long-term capital gains		—		37,931
Total	$	4,669,740	$	4,400,638

14 BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015

Notes to Financial Statements (concluded) BlackRock U.S. Total Bond Index Fund

As of December 31, 2015, the tax components of accumulated net earnings were as follows:

Undistributed ordinary income	$	35,792
Capital Loss Carryforward		(24,583	)
Net unrealized gains1		1,893,454
Qualified late-year losses2		(292,210	)
Total	$	1,612,453

¹  The differences between book-basis and tax-basis net unrealized gains (losses) was attributable primarily to the timing and recognition of partnership income.

²  The Fund has elected to defer certain qualified late-year losses and recognize such losses in the next taxable year.

As of December 31, 2015, the Fund had a capital loss carryforward, with no expiration date, available to offset future realized capital gains of $24,583.

6. Capital Share Transactions:

Transactions in capital shares for each class were as follows:

	Year Ended December 31, 2015						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount
Institutional
Shares sold		3,494,789		$	35,345,100			1,738,605		$	17,601,977
Shares issued to shareholders in reinvestment of distributions		92,751			940,015			60,060			608,013
Shares redeemed		(1,175,402	)		(11,908,283	)		(731,418	)		(7,404,180	)
Net increase		2,412,138		$	24,376,832			1,067,247		$	10,805,810
Investor A
Shares sold		1,692,928		$	17,181,316			953,418		$	9,634,368
Shares issued to shareholders in reinvestment of distributions		28,480			288,368			18,313			185,765
Shares redeemed		(860,554	)		(8,749,332	)		(295,415	)		(2,963,720	)
Net increase		860,854		$	8,720,352			676,316		$	6,856,413
Class K
Shares sold		6,441,775		$	65,411,564			10,203,581		$	103,895,691
Shares issued to shareholders in reinvestment of distributions		336,986			3,418,699			354,853			3,596,678
Shares redeemed		(5,827,054	)		(59,190,893	)		(4,643,962	)		(47,075,797	)
Net increase		951,707		$	9,639,370			5,914,472		$	60,416,572
Total Net Increase		4,224,699		$	42,736,554			7,658,035		$	78,078,795

7. 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.

BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015 15

Report of Independent Registered Public Accounting Firm BlackRock U.S. Total Bond Index Fund

To the Board of Trustees of BlackRock Funds III and the Shareholders of BlackRock U.S Total Bond Index Fund:

In our opinion, the accompanying statement of assets and liabilities and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of BlackRock U.S. Total Bond Index Fund, (the “Fund”), a series of BlackRock Funds III, at December 31, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 24, 2016

Important Tax Information (Unaudited)

The following information is provided with respect to the ordinary income distributions during the fiscal year ended December 31, 2015.

	January — December 2015
Federal Obligation Interest1	27.35%
Interest-Related Dividends for Non-U.S. Residents2	81.54%

¹  The law varies in each state as to whether and what percentage of dividend income attributable to federal obligations is exempt from state income tax. We recommend that you consult your tax advisor to determine if any portion of the dividends you received is exempt from state income taxes.

²  Represents the portion of the taxable ordinary income dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations.

16 BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015

Master Portfolio Information U.S. Total Bond Index Master Portfolio

As of December 31, 2015

Portfolio Composition Percent of
Total Investments

U.S. Treasury Obligations	34	%
U.S. Government Sponsored Agency Securities	29
Corporate Bonds	22
Foreign Agency Obligations	3
Non-Agency Mortgage-Backed Securities	1
Municipal Bonds	1
Short-Term Securities	11
TBA Sale Commitments	(1	)

Credit Quality Allocation¹ Percent of Total Investments

AAA/Aaa2	66	%
AA/Aa	4
A	9
BBB/Baa	10
NR	11

¹ For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s or Moody’s Investors Service. 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.

²  The investment advisor evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuer. Using this approach, the investment advisor has deemed U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa.

BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015 17

Schedule of Investments December 31, 2015 U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets)

Asset-Backed Securities	Par   (000)		Value
Asset-Backed Securities — 0.5%
BMW Vehicle Owner Trust, Series 2014-A, Class A4, 1.50%, 2/25/21	$	200	$	199,595
Capital One Multi-Asset Execution Trust:
Series 2007-A7, Class A7, 5.75%, 7/15/20		1,500		1,603,147
Series 2014-A5, Class A, 1.48%, 7/15/20		400		400,075
Chase Issuance Trust, Series 2014-A1, Class A, 1.15%, 1/15/19		1,000		999,227
Citibank Credit Card Issuance Trust, Series 2008-A1, Class A1, 5.35%, 2/07/20		170		182,831
Discover Card Execution Note Trust, Series 2014-A3, Class A3, 1.22%, 10/15/19		1,000		998,894
GE Capital Credit Card Master Note Trust, Series 2013-1, Class A, 1.35%, 3/15/21		750		741,562
Honda Auto Receivables Owner Trust, Series 2015-3, Class A4, 1.56%, 10/18/21		2,000		1,987,350
Hyundai Auto Receivables Trust, Series 2015-B, Class A3, 1.12%, 11/15/19		1,000		992,306
Nissan Auto Lease Trust, Series 2014-B, Class A4, 1.29%, 3/16/20		200		199,181
Toyota Auto Receivables Owner Trust, Series 2014-C, Class A4, 1.44%, 4/15/20		200		199,644
				8,503,812
Total Asset-Backed Securities — 0.5%				8,503,812
Corporate Bonds
Aerospace & Defense — 0.4%
Boeing Co.:
2.35%, 10/30/21		75		74,336
6.13%, 2/15/33		100		125,962
3.30%, 3/01/35		65		59,314
Crane Co., 4.45%, 12/15/23		125		128,739
Dover Corp., 3.15%, 11/15/25		250		246,388
Eaton Corp.:
2.75%, 11/02/22		250		241,911
4.00%, 11/02/32		200		190,611
General Dynamics Corp., 3.88%, 7/15/21		50		53,079
Harris Corp.:
3.83%, 4/27/25		250		246,232
4.85%, 4/27/35		65		63,957
Honeywell International, Inc.,
5.30%, 3/01/18		100		107,915
Ingersoll-Rand Luxembourg Finance SA, 4.65%, 11/01/44		30		28,713
L-3 Communications Corp.:
1.50%, 5/28/17		250		246,903
4.95%, 2/15/21		250		257,610
Lockheed Martin Corp.:
3.55%, 1/15/26		250		250,880
3.60%, 3/01/35		65		58,127
4.07%, 12/15/42		100		92,542
3.80%, 3/01/45		500		443,185
4.70%, 5/15/46		250		256,093

Corporate Bonds	Par   (000)		Value
Aerospace & Defense (continued)
Northrop Grumman Corp.:
1.75%, 6/01/18	$	250	$	247,771
4.75%, 6/01/43		125		128,654
Parker-Hannifin Corp., 4.20%, 11/21/34		250		253,707
Precision Castparts Corp.:
1.25%, 1/15/18		75		74,420
2.50%, 1/15/23		150		145,011
4.20%, 6/15/35		250		248,650
Raytheon Co.:
4.88%, 10/15/40		250		273,651
4.70%, 12/15/41		100		108,552
Textron, Inc., 3.65%, 3/01/21		350		352,183
Tyco Electronics Group SA, 3.45%, 8/01/24		75		74,655
Tyco International Finance SA, 5.13%, 9/14/45		250		259,550
United Technologies Corp.:
1.80%, 6/01/17		250		251,411
3.10%, 6/01/22		100		101,775
5.70%, 4/15/40		50		58,608
4.50%, 6/01/42		450		453,167
4.15%, 5/15/45		250		238,868
				6,443,130
Agriculture, Fishing & Ranching — 0.0%
Bunge Ltd. Finance Corp., 3.20%, 6/15/17		150		151,470
Air Freight & Logistics — 0.1%
FedEx Corp.:
4.00%, 1/15/24		250		260,920
3.90%, 2/01/35		190		172,955
3.88%, 8/01/42		50		43,277
4.75%, 11/15/45		160		158,522
United Parcel Service, Inc.:
5.13%, 4/01/19		50		55,174
2.45%, 10/01/22		500		494,584
6.20%, 1/15/38		100		128,265
				1,313,697
Airlines — 0.0%
American Airlines Pass-Through Trust, Series 2013-2, Class A, 4.95%, 7/15/24		174		183,112
Continental Airlines Pass Through Trust, Series 2012-1, Class A, 4.15%, 10/11/25		44		44,988
Delta Air Lines Pass-Through Trust, Series 2012-1, Class A, 4.75%, 11/07/21		78		82,526
Southwest Airlines Co., 2.75%, 11/06/19		75		75,582
United Airlines Pass-Through Trust, Series 2013-1, Class A, 4.30%, 2/15/27		190		197,061
				583,269
Auto Components — 0.0%
BorgWarner, Inc., 3.38%, 3/15/25		70		66,084
Delphi Corp., 5.00%, 2/15/23		250		264,500
Johnson Controls, Inc.:
3.63%, 7/02/24		80		77,230

Portfolio Abbreviations

COP	Certificates of Participation	GO	General Obligation Bonds	RB	Revenue Bonds
EDA	Economic Development Authority	NPFGC	National Public Finance Guarantee Corp.	TBA	To-be-announced

See Notes to Financial Statements.

18 BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015

Schedule of Investments (continued) U.S. Total Bond Index Master Portfolio

Corporate Bonds	Par   (000)		Value
Auto Components (continued)
Johnson Controls, Inc. (continued):
4.95%, 7/02/64	$	250	$	203,061
				610,875
Automobiles — 0.1%
Daimler Finance North America LLC, 8.50%, 1/18/31		100		145,050
Ford Motor Co.:
7.45%, 7/16/31		150		185,102
4.75%, 1/15/43		350		329,921
General Motors Co.:
4.88%, 10/02/23		100		102,266
5.20%, 4/01/45		250		234,432
Toyota Motor Credit Corp.:
2.10%, 1/17/19		250		250,525
2.13%, 7/18/19		350		350,627
2.15%, 3/12/20		500		499,871
				2,097,794
Banks — 3.0%
Abbey National Treasury Services PLC:
1.38%, 3/13/17		250		248,967
1.65%, 9/29/17		250		250,227
2.00%, 8/24/18		195		194,697
2.38%, 3/16/20		250		249,590
Asian Development Bank:
1.75%, 9/11/18		500		503,976
1.88%, 4/12/19		500		504,560
Australia & New Zealand Banking Group Ltd.:
1.25%, 6/13/17		250		249,362
1.50%, 1/16/18		250		248,582
2.25%, 6/13/19		250		249,501
Bancolombia SA, 5.95%, 6/03/21		100		103,125
Bank of Montreal:
2.50%, 1/11/17		150		151,788
1.40%, 4/10/18		230		227,879
Bank of New York Mellon Corp.:
1.35%, 3/06/18		250		249,110
2.20%, 5/15/19		250		250,371
2.30%, 9/11/19		500		501,471
3.55%, 9/23/21		50		52,450
3.00%, 2/24/25		105		103,256
Bank of Nova Scotia:
1.10%, 12/13/16		500		499,705
1.30%, 7/21/17		250		249,216
1.38%, 12/18/17		100		99,520
2.05%, 10/30/18		250		250,598
Barclays Bank PLC:
2.00%, 3/16/18		500		497,016
5.13%, 1/08/20		200		219,848
3.75%, 5/15/24		250		254,818
3.65%, 3/16/25		450		432,461
BB&T Corp.:
5.25%, 11/01/19		100		109,319
2.45%, 1/15/20		250		251,675
2.63%, 6/29/20		250		251,454
BNP Paribas SA:
2.38%, 9/14/17		250		252,970
5.00%, 1/15/21		100		110,648
3.25%, 3/03/23		250		249,678
4.25%, 10/15/24		250		247,651

Corporate Bonds	Par   (000)		Value
Banks (continued)
BPCE SA:
2.50%, 12/10/18	$	250	$	252,119
4.00%, 4/15/24		250		256,851
Branch Banking & Trust Co.:
2.30%, 10/15/18		250		252,497
3.80%, 10/30/26		250		253,810
Capital One Financial Corp., 4.20%, 10/29/25		340		335,699
Citizens Bank NA/Providence, 1.60%, 12/04/17		250		247,670
Commonwealth Bank of Australia, New York:
1.63%, 3/12/18		500		498,324
2.25%, 3/13/19		250		250,519
2.30%, 3/12/20		250		247,470
Compass Bank:
2.75%, 9/29/19		250		247,499
3.88%, 4/10/25		250		229,143
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA:
1.70%, 3/19/18		250		249,873
2.25%, 1/14/19		250		250,806
4.63%, 12/01/23		500		521,072
3.38%, 5/21/25		500		495,054
5.25%, 5/24/41		25		28,509
5.25%, 8/04/45		250		261,972
Credit Suisse Group Funding Guernsey Ltd. (a):
3.75%, 3/26/25		500		483,642
4.88%, 5/15/45		250		246,522
Credit Suisse, New York:
1.75%, 1/29/18		500		498,595
2.30%, 5/28/19		600		600,516
5.40%, 1/14/20		150		164,237
3.00%, 10/29/21		250		249,005
Discover Bank/Greenwood Delaware, 7.00%, 4/15/20		500		569,291
Export-Import Bank of Korea:
4.00%, 1/11/17		400		408,611
1.75%, 2/27/18		500		495,011
Fifth Third Bancorp:
1.45%, 2/28/18		200		198,187
2.88%, 10/01/21		200		199,195
3.50%, 3/15/22		100		101,343
4.30%, 1/16/24		250		256,087
HSBC Bank USA NA, 4.88%, 8/24/20		500		545,874
HSBC Holdings PLC:
4.88%, 1/14/22		150		164,535
4.25%, 3/14/24		500		501,813
4.25%, 8/18/25		250		248,102
6.50%, 5/02/36		200		238,696
6.80%, 6/01/38		250		311,187
5.25%, 3/14/44		250		259,406
HSBC USA, Inc.:
2.25%, 6/23/19		250		248,915
2.35%, 3/05/20		1,000		988,375
2.75%, 8/07/20		250		250,025
Huntington National Bank, 1.38%, 4/24/17		250		248,491
Intesa Sanpaolo SpA:
3.88%, 1/16/18		200		205,082
5.25%, 1/12/24		250		267,571
KeyCorp:
2.30%, 12/13/18		340		340,506
2.90%, 9/15/20		500		498,120

See Notes to Financial Statements.

BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015 19

Schedule of Investments (continued) U.S. Total Bond Index Master Portfolio

Corporate Bonds	Par   (000)		Value
Banks (continued)
KeyCorp (continued):
5.10%, 3/24/21	$	100	$	109,295
KFW:
0.88%, 12/15/17		1,000		993,362
1.00%, 1/26/18		500		497,270
1.13%, 8/06/18		1,500		1,487,742
1.88%, 6/30/20		750		748,964
2.13%, 1/17/23		200		197,617
Korea Development Bank:
1.50%, 1/22/18		200		198,130
3.00%, 3/17/19		350		357,619
Landwirtschaftliche Rentenbank:
0.88%, 9/12/17		750		746,418
2.25%, 10/01/21		500		502,294
Lloyds Bank PLC:
2.35%, 9/05/19		350		349,961
2.40%, 3/17/20		750		745,015
2.70%, 8/17/20		250		251,767
Lloyds TSB Bank PLC, 4.20%, 3/28/17		50		51,537
Manufacturers & Traders Trust Co.:
1.40%, 7/25/17		250		248,853
1.45%, 3/07/18		250		247,342
MUFG Union Bank NA, 2.63%, 9/26/18		250		252,400
Oesterreichische Kontrollbank AG, 1.63%, 3/12/19		500		499,308
PNC Bank NA (b):
2.20%, 1/28/19		500		501,632
2.25%, 7/02/19		350		351,554
2.30%, 6/01/20		500		495,523
2.45%, 11/05/20		250		248,877
2.95%, 1/30/23		250		242,404
PNC Funding Corp. (b):
5.63%, 2/01/17		150		155,944
3.30%, 3/08/22		150		153,574
Rabobank Nederland:
3.38%, 1/19/17		300		306,670
3.88%, 2/08/22		150		158,308
Regions Financial Corp., 2.00%, 5/15/18		250		248,233
Royal Bank of Canada:
1.25%, 6/16/17		250		249,750
1.40%, 10/13/17		225		224,421
2.20%, 7/27/18		250		252,019
1.80%, 7/30/18		250		249,234
2.00%, 12/10/18		250		249,787
2.15%, 3/06/20		250		247,545
Santander Holdings USA, Inc.:
3.45%, 8/27/18		250		254,161
2.65%, 4/17/20		150		147,160
Santander Issuances SAU, 5.18%, 11/19/25		200		196,970
Santander UK Group Holdings PLC, 2.88%, 10/16/20		65		64,559
Sumitomo Mitsui Banking Corp.:
1.35%, 7/11/17		250		248,479
1.80%, 7/18/17		250		249,877
2.45%, 1/10/19		250		250,892
2.45%, 1/16/20		250		248,581
2.45%, 10/20/20		500		493,888
SunTrust Banks, Inc.:
3.50%, 1/20/17		50		50,863
2.35%, 11/01/18		250		251,307

Corporate Bonds	Par   (000)		Value
Banks (continued)
Svenska Handelsbanken AB, 1.63%, 3/21/18	$	250	$	248,890
Toronto-Dominion Bank:
1.63%, 3/13/18		500		498,625
1.40%, 4/30/18		250		247,912
2.25%, 11/05/19		300		299,821
US Bancorp:
1.65%, 5/15/17		250		250,756
1.95%, 11/15/18		225		226,382
4.13%, 5/24/21		50		53,938
US Bank NA:
1.35%, 1/26/18		500		498,291
2.13%, 10/28/19		250		249,811
2.80%, 1/27/25		500		486,462
Wells Fargo & Co.:
2.10%, 5/08/17		150		151,488
5.63%, 12/11/17		250		268,210
1.50%, 1/16/18		250		248,935
2.15%, 1/15/19		250		251,397
2.13%, 4/22/19		350		350,423
2.15%, 1/30/20		460		455,970
2.60%, 7/22/20		500		498,719
3.00%, 1/22/21		250		252,739
3.45%, 2/13/23		450		451,060
4.48%, 1/16/24		250		262,941
3.55%, 9/29/25		1,000		1,008,995
4.10%, 6/03/26		520		524,885
4.30%, 7/22/27		200		204,307
5.38%, 11/02/43		150		160,537
5.61%, 1/15/44		306		339,935
4.65%, 11/04/44		345		335,643
3.90%, 5/01/45		150		138,315
4.90%, 11/17/45		250		252,230
Westpac Banking Corp.:
1.50%, 12/01/17		250		249,204
1.60%, 1/12/18		250		249,515
2.25%, 1/17/19		350		350,904
4.88%, 11/19/19		50		54,463
				48,380,125
Beverages — 0.5%
Anheuser-Busch Cos. LLC, 6.45%, 9/01/37		100		118,394
Anheuser-Busch InBev Finance, Inc.:
2.15%, 2/01/19		500		497,110
2.63%, 1/17/23		500		479,838
4.63%, 2/01/44		400		397,576
Anheuser-Busch InBev Worldwide, Inc.:
1.38%, 7/15/17		500		498,337
7.75%, 1/15/19		250		288,984
2.50%, 7/15/22		200		192,417
8.20%, 1/15/39		150		216,218
3.75%, 7/15/42		50		42,960
Beam, Inc., 1.88%, 5/15/17		100		100,109
Coca-Cola Co.:
1.15%, 4/01/18		250		249,298
1.65%, 11/01/18		500		504,169
2.45%, 11/01/20		350		356,375
Coca-Cola Femsa SAB de CV, 2.38%, 11/26/18		250		249,637
Diageo Capital PLC:
1.50%, 5/11/17		200		199,895
5.75%, 10/23/17		100		107,364

See Notes to Financial Statements.

20 BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015

Schedule of Investments (continued) U.S. Total Bond Index Master Portfolio

Corporate Bonds	Par   (000)		Value
Beverages (continued)
Diageo Capital PLC (continued):
3.88%, 4/29/43	$	125	$	116,334
Diageo Investment Corp.:
2.88%, 5/11/22		100		99,119
4.25%, 5/11/42		250		246,221
Dr Pepper Snapple Group, Inc.:
3.20%, 11/15/21		25		25,111
2.70%, 11/15/22		100		96,135
Molson Coors Brewing Co., 3.50%, 5/01/22		75		75,412
PepsiCo, Inc.:
1.25%, 8/13/17		500		500,145
2.25%, 1/07/19		250		253,358
2.75%, 3/05/22		250		250,614
3.10%, 7/17/22		500		513,206
2.75%, 3/01/23		300		298,798
3.60%, 3/01/24		250		261,546
3.50%, 7/17/25		250		258,515
4.88%, 11/01/40		100		106,849
3.60%, 8/13/42		100		90,538
4.45%, 4/14/46		250		258,238
				7,948,820
Biotechnology — 0.4%
Amgen, Inc.:
2.13%, 5/15/17		300		301,831
1.25%, 5/22/17		750		747,180
2.20%, 5/22/19		250		249,684
3.45%, 10/01/20		100		102,916
5.15%, 11/15/41		550		558,379
5.38%, 5/15/43		250		265,603
4.40%, 5/01/45		175		162,141
Biogen, Inc.:
4.05%, 9/15/25		95		95,431
5.20%, 9/15/45		250		250,094
Celgene Corp.:
3.25%, 8/15/22		150		148,811
3.55%, 8/15/22		750		757,291
3.88%, 8/15/25		500		497,975
5.25%, 8/15/43		145		148,154
Gilead Sciences, Inc.:
3.05%, 12/01/16		150		152,537
3.70%, 4/01/24		500		512,159
3.50%, 2/01/25		170		171,418
3.65%, 3/01/26		75		75,636
5.65%, 12/01/41		50		56,966
4.50%, 2/01/45		150		146,725
4.75%, 3/01/46		500		506,013
				5,906,944
Building Products — 0.0%
Owens Corning, 4.20%, 12/15/22		150		150,087
Capital Markets — 1.0%
American Express Credit Corp., 2.60%, 9/14/20		145		145,335
Ameriprise Financial, Inc., 4.00%, 10/15/23		150		155,822
Ares Capital Corp., 3.88%, 1/15/20		300		304,556
Brookfield Asset Management, Inc., 4.00%, 1/15/25		250		244,089
Charles Schwab Corp.:
2.20%, 7/25/18		75		75,156
4.45%, 7/22/20		100		108,838
3.00%, 3/10/25		80		78,681

Corporate Bonds	Par   (000)		Value
Capital Markets (continued)
CME Group, Inc.:
3.00%, 3/15/25	$	250	$	245,264
5.30%, 9/15/43		100		114,494
FMS Wertmanagement AoeR, 0.63%, 1/30/17		500		497,712
Franklin Resources, Inc., 2.80%, 9/15/22		150		146,437
Goldman Sachs Capital I, 6.35%, 2/15/34		250		292,472
Goldman Sachs Group, Inc.:
5.95%, 1/18/18		300		323,093
2.38%, 1/22/18		250		252,160
2.90%, 7/19/18		500		509,773
2.63%, 1/31/19		500		503,575
7.50%, 2/15/19		150		171,639
2.55%, 10/23/19		755		754,705
2.60%, 4/23/20		600		595,444
5.75%, 1/24/22		350		398,027
3.63%, 1/22/23		150		151,703
4.00%, 3/03/24		425		436,211
3.75%, 5/22/25		250		251,667
6.13%, 2/15/33		400		468,574
6.75%, 10/01/37		650		759,808
5.15%, 5/22/45		250		242,847
Invesco Finance PLC, 4.00%, 1/30/24		250		258,457
Lazard Group LLC, 4.25%, 11/14/20		150		155,366
Legg Mason, Inc., 5.63%, 1/15/44		125		124,163
Morgan Stanley:
4.75%, 3/22/17		760		787,222
1.88%, 1/05/18		250		249,755
6.63%, 4/01/18		500		548,265
2.38%, 7/23/19		500		498,324
5.63%, 9/23/19		250		275,900
5.50%, 7/28/21		100		112,037
4.10%, 5/22/23		250		252,550
3.88%, 4/29/24		250		254,845
3.70%, 10/23/24		500		502,404
4.00%, 7/23/25		155		159,615
5.00%, 11/24/25		250		265,387
4.35%, 9/08/26		500		501,634
3.95%, 4/23/27		250		242,645
7.25%, 4/01/32		50		65,528
6.38%, 7/24/42		50		61,827
4.30%, 1/27/45		250		238,527
Murray Street Investment Trust I, 4.65%, 3/09/17 (c)		200		206,059
NASDAQ OMX Group, Inc., 4.25%, 6/01/24		250		252,134
Nomura Holdings, Inc., 2.75%, 3/19/19		250		251,349
State Street Corp.:
3.10%, 5/15/23		250		247,051
3.30%, 12/16/24		405		408,825
TD Ameritrade Holding Corp., 2.95%, 4/01/22		250		247,635
				15,395,586
Chemicals — 0.5%
Agrium, Inc.:
3.15%, 10/01/22		50		47,833
3.50%, 6/01/23		250		238,649
3.38%, 3/15/25		145		132,292
Airgas, Inc., 2.38%, 2/15/20		250		247,040
Albemarle Corp., 4.15%, 12/01/24		250		238,918
CF Industries, Inc.:
6.88%, 5/01/18		200		216,704
5.15%, 3/15/34		250		219,929

See Notes to Financial Statements.

BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015 21

Schedule of Investments (continued) U.S. Total Bond Index Master Portfolio

Corporate Bonds	Par   (000)		Value
Chemicals (continued)
Cytec Industries, Inc., 3.50%, 4/01/23	$	250	$	235,682
Dow Chemical Co.:
8.55%, 5/15/19		100		117,865
4.25%, 11/15/20		186		194,698
4.13%, 11/15/21		50		52,420
3.00%, 11/15/22		250		239,329
4.25%, 10/01/34		250		225,630
5.25%, 11/15/41		100		97,476
E.I. du Pont de Nemours & Co.:
6.00%, 7/15/18		325		354,349
2.80%, 2/15/23		250		237,556
Eastman Chemical Co.:
3.60%, 8/15/22		200		199,046
3.80%, 3/15/25		300		290,530
Ecolab, Inc.:
2.25%, 1/12/20		135		134,223
4.35%, 12/08/21		150		160,165
EI du Pont de Nemours & Co., 4.25%, 4/01/21		500		529,783
LYB International Finance BV:
4.00%, 7/15/23		200		199,373
5.25%, 7/15/43		75		72,007
LyondellBasell Industries NV:
6.00%, 11/15/21		250		280,621
4.63%, 2/26/55		100		81,098
Methanex Corp., 3.25%, 12/15/19		250		238,576
Monsanto Co.:
4.20%, 7/15/34		300		257,991
4.40%, 7/15/44		150		124,190
3.95%, 4/15/45		120		93,109
Mosaic Co.:
3.75%, 11/15/21		50		50,134
5.45%, 11/15/33		250		252,670
Potash Corp. of Saskatchewan, Inc.:
3.25%, 12/01/17		250		255,430
3.63%, 3/15/24		250		243,121
3.00%, 4/01/25		250		234,858
PPG Industries, Inc., 2.30%, 11/15/19		350		346,382
Praxair, Inc.:
1.25%, 11/07/18		250		246,655
2.65%, 2/05/25		165		158,035
3.20%, 1/30/26		250		250,617
Rohm & Haas Co., 7.85%, 7/15/29		250		318,125
Sherwin-Williams Co., 1.35%, 12/15/17		200		198,291
				8,311,400
Commercial Services & Supplies — 0.1%
3M Co., 1.63%, 6/15/19		350		349,730
Northwestern University, 3.87%, 12/01/48		100		97,978
Republic Services, Inc.:
5.25%, 11/15/21		50		55,277
3.55%, 6/01/22		250		255,297
3.20%, 3/15/25		250		240,675
Vanderbilt University, 5.25%, 4/01/19		100		109,754
Waste Management, Inc.:
4.60%, 3/01/21		100		107,858
2.90%, 9/15/22		200		196,292
3.90%, 3/01/35		315		293,322
				1,706,183

Corporate Bonds	Par   (000)		Value
Commercial Services & Supplies — 0.0%
3M Co., 3.00%, 8/07/25	$	250	$	255,043
Communications Equipment — 0.2%
Cisco Systems, Inc.:
1.10%, 3/03/17		500		500,421
2.13%, 3/01/19		500		504,292
2.45%, 6/15/20		500		504,746
2.90%, 3/04/21		125		128,490
5.50%, 1/15/40		350		410,459
Motorola Solutions, Inc.:
3.75%, 5/15/22		150		137,426
3.50%, 3/01/23		250		219,311
				2,405,145
Construction & Engineering — 0.0%
ABB Finance USA, Inc.:
1.63%, 5/08/17		150		150,101
2.88%, 5/08/22		100		98,558
Fluor Corp., 3.50%, 12/15/24		250		249,793
				498,452
Consumer Finance — 0.3%
American Express Co.:
1.55%, 5/22/18		250		248,048
3.63%, 12/05/24		300		293,604
4.05%, 12/03/42		67		63,973
Automatic Data Processing, Inc., 2.25%, 9/15/20		500		501,893
Block Financial LLC, 4.13%, 10/01/20		500		506,270
Capital One Bank USA NA:
1.30%, 6/05/17		250		247,993
2.25%, 2/13/19		250		248,901
Capital One Financial Corp.:
2.45%, 4/24/19		250		250,457
3.50%, 6/15/23		110		109,328
Caterpillar Financial Services Corp.:
1.70%, 6/16/18		250		249,882
3.30%, 6/09/24		250		248,292
Discover Financial Services, 3.75%, 3/04/25		75		72,023
HSBC Finance Corp., 6.68%, 1/15/21		161		184,776
MasterCard, Inc., 3.38%, 4/01/24		250		255,485
Synchrony Financial:
3.75%, 8/15/21		500		499,453
4.50%, 7/23/25		190		189,550
Visa, Inc., 3.15%, 12/14/25		195		195,241
				4,365,169
Containers & Packaging — 0.0%
Packaging Corp. of America, 4.50%, 11/01/23		250		262,506
Diversified Financial Services — 2.8%
Air Lease Corp.:
2.13%, 1/15/18		175		171,938
3.38%, 1/15/19		250		251,250
3.88%, 4/01/21		175		175,875
American Express Credit Corp.:
2.38%, 3/24/17		100		101,086
1.13%, 6/05/17		500		497,694
1.55%, 9/22/17		105		104,958
2.13%, 3/18/19		400		399,961
2.25%, 8/15/19		250		250,044
American Honda Finance Corp.:
1.55%, 12/11/17		250		250,055

See Notes to Financial Statements.

22 BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015

Schedule of Investments (continued) U.S. Total Bond Index Master Portfolio

Corporate Bonds	Par   (000)		Value
Diversified Financial Services (continued)
American Honda Finance Corp. (continued):
2.15%, 3/13/20	$	250	$	248,779
Bank of America Corp.:
3.88%, 3/22/17		300		306,559
1.70%, 8/25/17		250		249,285
2.00%, 1/11/18		1,050		1,048,661
6.88%, 4/25/18		400		441,303
2.60%, 1/15/19		500		501,629
5.63%, 7/01/20		150		166,615
2.63%, 10/19/20		750		740,566
5.00%, 5/13/21		100		109,255
5.70%, 1/24/22		100		112,769
4.20%, 8/26/24		500		496,089
4.00%, 1/22/25		250		244,732
3.88%, 8/01/25		250		253,782
4.25%, 10/22/26		290		287,052
6.11%, 1/29/37		100		113,470
7.75%, 5/14/38		200		271,356
5.88%, 2/07/42		100		116,708
5.00%, 1/21/44		250		260,923
4.88%, 4/01/44		175		181,204
Series L, 2.65%, 4/01/19		500		501,219
Series L, 3.95%, 4/21/25		655		637,819
Bank of America NA:
1.65%, 3/26/18		750		744,358
1.75%, 6/05/18		1,000		993,571
Bank of New York Mellon Corp., 2.45%, 11/27/20		190		189,163
Barclays PLC, 4.38%, 9/11/24		500		488,911
Boeing Capital Corp., 4.70%, 10/27/19		250		274,285
Capital One Bank USA NA, 3.38%, 2/15/23		350		342,502
Citigroup, Inc.:
1.35%, 3/10/17		250		249,075
1.80%, 2/05/18		480		478,163
2.50%, 9/26/18		350		353,040
2.05%, 12/07/18		250		248,679
2.50%, 7/29/19		250		249,623
2.40%, 2/18/20		695		686,868
4.05%, 7/30/22		250		255,716
3.50%, 5/15/23		250		245,804
3.88%, 3/26/25		500		486,644
3.30%, 4/27/25		155		152,224
4.40%, 6/10/25		500		505,004
4.30%, 11/20/26		150		149,260
4.45%, 9/29/27		500		496,690
6.63%, 6/15/32		100		118,013
6.13%, 8/25/36		184		209,193
8.13%, 7/15/39		75		107,571
6.68%, 9/13/43		250		306,542
Credit Suisse Group Funding Guernsey Ltd. 3.13%, 12/10/20 (a)		250		248,865
Deutsche Bank AG, London:
1.40%, 2/13/17		500		497,173
2.50%, 2/13/19		250		251,864
3.70%, 5/30/24		215		214,136
Ford Motor Credit Co. LLC:
4.25%, 2/03/17		250		255,427
1.72%, 12/06/17		250		246,149
2.38%, 1/16/18		250		249,403

Corporate Bonds	Par   (000)		Value
Diversified Financial Services (continued)
Ford Motor Credit Co. LLC (continued):
2.24%, 6/15/18	$	250	$	247,727
2.38%, 3/12/19		500		492,903
2.60%, 11/04/19		250		245,460
2.46%, 3/27/20		250		242,373
4.38%, 8/06/23		220		226,068
4.13%, 8/04/25		500		498,207
GE Capital International Funding Co. (a):
2.34%, 11/15/20		770		763,578
3.37%, 11/15/25		227		231,105
4.42%, 11/15/35		1,435		1,464,392
General Electric Capital Corp.:
2.90%, 1/09/17		100		101,666
6.00%, 8/07/19		100		113,284
4.38%, 9/16/20		50		54,279
4.63%, 1/07/21		72		79,083
4.65%, 10/17/21		201		222,541
3.45%, 5/15/24		86		88,909
6.75%, 3/15/32		144		188,151
5.88%, 1/14/38		215		263,066
6.88%, 1/10/39		72		98,141
General Motors Financial Co., Inc.:
2.40%, 4/10/18		155		154,239
3.20%, 7/13/20		1,000		984,603
3.45%, 4/10/22		150		143,889
4.00%, 1/15/25		250		237,189
Goldman Sachs Group, Inc., 4.25%, 10/21/25		1,050		1,041,975
Intercontinental Exchange, Inc.:
2.50%, 10/15/18		250		252,190
3.75%, 12/01/25		115		115,316
Jefferies Group LLC:
8.50%, 7/15/19		125		145,582
5.13%, 1/20/23		150		148,819
John Deere Capital Corp.:
1.95%, 12/13/18		500		502,126
2.25%, 4/17/19		100		100,433
2.05%, 3/10/20		1,000		987,760
2.80%, 3/04/21		250		250,577
3.90%, 7/12/21		50		52,961
JPMorgan Chase & Co.:
1.35%, 2/15/17		1,250		1,247,481
2.00%, 8/15/17		250		250,848
1.80%, 1/25/18		1,000		998,655
1.63%, 5/15/18		500		496,290
2.35%, 1/28/19		500		502,121
2.20%, 10/22/19		500		495,951
2.55%, 10/29/20		500		495,805
4.35%, 8/15/21		500		532,116
4.50%, 1/24/22		300		323,582
3.25%, 9/23/22		200		201,154
3.20%, 1/25/23		150		149,510
3.38%, 5/01/23		250		245,704
3.88%, 9/10/24		300		298,423
3.13%, 1/23/25		250		243,200
3.90%, 7/15/25		250		257,631
4.13%, 12/15/26		250		249,311
6.40%, 5/15/38		100		127,456
5.50%, 10/15/40		125		141,420
5.60%, 7/15/41		50		57,714
5.63%, 8/16/43		500		544,100

See Notes to Financial Statements.

BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015 23

Schedule of Investments (continued) U.S. Total Bond Index Master Portfolio

Corporate Bonds	Par   (000)		Value
Diversified Financial Services (continued)
JPMorgan Chase & Co. (continued):
4.85%, 2/01/44	$	100	$	106,618
4.95%, 6/01/45		250		249,952
JPMorgan Chase Bank NA, 6.00%, 10/01/17		250		267,290
Leucadia National Corp., 5.50%, 10/18/23		150		146,428
Moody’s Corp.:
2.75%, 7/15/19		40		40,339
4.50%, 9/01/22		50		52,991
Morgan Stanley:
2.65%, 1/27/20		500		498,640
4.88%, 11/01/22		500		530,626
MUFG Americas Holdings Corp., 3.00%, 2/10/25		250		239,344
National Rural Utilities Cooperative Finance Corp.:
2.30%, 11/15/19		250		248,840
3.40%, 11/15/23		350		358,916
2.85%, 1/27/25		250		243,396
NCUA Guaranteed Notes, 3.00%, 6/12/19		1,000		1,043,850
ORIX Corp., 3.75%, 3/09/17		100		101,877
PACCAR Financial Corp., 2.20%, 9/15/19		250		248,984
Royal Bank of Scotland Group PLC:
1.88%, 3/31/17		175		174,268
6.40%, 10/21/19		250		277,370
Toyota Motor Credit Corp., 1.38%, 1/10/18		200		200,406
UBS AG/Stamford CT:
2.38%, 8/14/19		800		799,064
2.35%, 3/26/20		500		499,414
				44,712,229
Diversified Telecommunication Services — 1.1%
AT&T, Inc.:
1.70%, 6/01/17		500		501,379
2.38%, 11/27/18		500		503,407
2.45%, 6/30/20		1,500		1,477,236
3.40%, 5/15/25		500		480,545
4.50%, 5/15/35		310		286,707
6.30%, 1/15/38		200		218,863
5.35%, 9/01/40		463		457,313
5.55%, 8/15/41		200		200,974
4.30%, 12/15/42		151		129,029
4.35%, 6/15/45		759		649,302
4.75%, 5/15/46		350		320,459
British Telecommunications PLC:
2.35%, 2/14/19		250		250,669
9.63%, 12/15/30		150		218,873
CC Holdings GS V LLC/Crown Castle GS III Corp., 2.38%, 12/15/17		325		325,358
Deutsche Telekom International Finance BV, 8.75%, 6/15/30		400		554,576
Embarq Corp., 8.00%, 6/01/36		100		103,000
Orange SA:
4.13%, 9/14/21		650		687,825
5.38%, 1/13/42		225		232,521
Qwest Corp.:
6.50%, 6/01/17		150		156,971
6.75%, 12/01/21		50		52,375
6.88%, 9/15/33		212		203,434
Telefonaktiebolaget LM Ericsson, 4.13%, 5/15/22		100		102,522
Telefonica Emisiones SAU:
3.19%, 4/27/18		250		254,851

Corporate Bonds	Par   (000)		Value
Diversified Telecommunication Services (continued)
Telefonica Emisiones SAU (continued):
5.46%, 2/16/21	$	50	$	55,881
4.57%, 4/27/23		200		209,665
7.05%, 6/20/36		75		90,131
Telefonica Europe BV, 8.25%, 9/15/30		300		392,240
Verizon Communications, Inc.:
1.35%, 6/09/17		250		249,278
1.10%, 11/01/17		250		247,707
3.65%, 9/14/18		500		522,845
2.55%, 6/17/19		500		506,301
2.63%, 2/21/20		250		250,869
3.50%, 11/01/21		400		408,400
5.15%, 9/15/23		500		549,663
4.15%, 3/15/24		250		256,916
3.50%, 11/01/24		500		493,850
7.75%, 12/01/30		100		128,036
6.40%, 9/15/33		500		569,639
5.05%, 3/15/34		500		498,159
4.40%, 11/01/34		500		461,315
4.27%, 1/15/36		250		225,700
6.40%, 2/15/38		200		228,082
6.00%, 4/01/41		250		270,045
3.85%, 11/01/42		250		204,346
6.55%, 9/15/43		750		890,407
5.01%, 8/21/54		650		595,134
4.67%, 3/15/55		250		217,050
				16,889,848
Electric Utilities — 1.4%
Alabama Power Co.:
5.50%, 10/15/17		100		106,009
3.75%, 3/01/45		250		224,611
Ameren Illinois Co.:
2.70%, 9/01/22		100		98,313
4.30%, 7/01/44		250		251,200
American Electric Power Co., Inc.:
1.65%, 12/15/17		200		198,520
Series F, 2.95%, 12/15/22		500		493,868
Arizona Public Service Co., 3.15%, 5/15/25		250		249,071
Berkshire Hathaway Energy Co.:
1.10%, 5/15/17		500		495,431
2.00%, 11/15/18		500		496,713
3.50%, 2/01/25		110		109,080
6.13%, 4/01/36		250		291,536
5.15%, 11/15/43		250		263,808
4.50%, 2/01/45		400		384,317
CenterPoint Energy Houston Electric LLC, 3.55%, 8/01/42		100		89,934
Commonwealth Edison Co.:
2.15%, 1/15/19		500		497,674
3.10%, 11/01/24		250		247,617
5.90%, 3/15/36		50		60,326
Connecticut Light & Power Co., 2.50%, 1/15/23		150		145,219
Consolidated Edison Co. of New York, Inc., 3.30%, 12/01/24		250		249,670
Dominion Gas Holdings LLC, 3.60%, 12/15/24		250		247,402
Dominion Resources, Inc., 7.00%, 6/15/38		250		300,552
DTE Electric Co.:
4.00%, 4/01/43		150		145,253

See Notes to Financial Statements.

24 BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015

Schedule of Investments (continued) U.S. Total Bond Index Master Portfolio

Corporate Bonds	Par   (000)		Value
Electric Utilities (continued)
DTE Electric Co. (continued):
3.70%, 3/15/45	$	145	$	133,231
Duke Energy Carolinas LLC, 6.05%, 4/15/38		100		124,149
Duke Energy Corp.:
1.63%, 8/15/17		250		249,662
3.95%, 10/15/23		250		257,286
Duke Energy Indiana, Inc.:
4.20%, 3/15/42		150		147,029
4.90%, 7/15/43		250		270,136
Duke Energy Progress, Inc.:
4.10%, 5/15/42		150		145,427
4.10%, 3/15/43		250		242,645
4.38%, 3/30/44		100		101,576
4.20%, 8/15/45		250		246,308
Entergy Corp.:
4.70%, 1/15/17		150		153,815
4.00%, 7/15/22		200		204,036
Entergy Louisiana LLC, 4.05%, 9/01/23		250		257,868
Eversource Energy, Series H, 3.15%, 1/15/25		125		122,008
Exelon Corp. (a):
3.95%, 6/15/25		250		249,667
5.10%, 6/15/45		250		251,823
Exelon Generation Co. LLC, 6.25%, 10/01/39		150		151,739
Florida Power & Light Co.:
2.75%, 6/01/23		250		247,178
5.95%, 2/01/38		50		62,279
Georgia Power Co., 4.30%, 3/15/42		200		184,721
Great Plains Energy, Inc., 5.29%, 6/15/22 (c)		150		164,032
Indiana Michigan Power Co., 6.05%, 3/15/37		175		198,928
Interstate Power & Light Co., 3.25%, 12/01/24		250		251,328
Kansas City Power & Light Co., 3.65%, 8/15/25		150		151,055
LG&E and KU Energy LLC, 3.75%, 11/15/20		50		51,626
Louisville Gas & Electric Co., 4.65%, 11/15/43		250		263,711
Nevada Power Co., 5.45%, 5/15/41		50		56,182
NextEra Energy Capital Holdings, Inc., 3.63%, 6/15/23		1,000		996,278
Nisource Finance Corp.:
6.13%, 3/01/22		500		572,314
5.95%, 6/15/41		50		57,407
5.25%, 2/15/43		75		79,680
Northeast Utilities, 1.45%, 5/01/18		250		245,922
Northern States Power Co.:
3.40%, 8/15/42		200		176,541
4.00%, 8/15/45		85		83,092
Oglethorpe Power Corp., 4.55%, 6/01/44		250		236,906
Oncor Electric Delivery Co. LLC:
7.00%, 9/01/22		100		120,075
5.30%, 6/01/42		75		78,057
3.75%, 4/01/45		250		207,783
Pacific Gas & Electric Co.:
3.25%, 6/15/23		500		501,184
6.05%, 3/01/34		250		294,560
5.13%, 11/15/43		250		273,488
4.75%, 2/15/44		250		259,786
PacifiCorp:
2.95%, 2/01/22		100		100,742
2.95%, 6/01/23		300		299,418
Pennsylvania Electric Co., 6.15%, 10/01/38		250		264,894
Potomac Electric Power Co., 3.60%, 3/15/24		250		258,583

Corporate Bonds	Par   (000)		Value
Electric Utilities (continued)
PPL Capital Funding, Inc.:
1.90%, 6/01/18	$	250	$	247,656
3.40%, 6/01/23		250		249,184
PPL Electric Utilities Corp., 4.75%, 7/15/43		250		269,696
Progress Energy, Inc.:
4.40%, 1/15/21		100		105,772
7.75%, 3/01/31		50		64,435
Public Service Co. of Colorado:
3.95%, 3/15/43		200		194,757
4.30%, 3/15/44		75		76,501
Public Service Electric & Gas Co.:
1.80%, 6/01/19		250		247,426
3.50%, 8/15/20		50		52,198
2.38%, 5/15/23		250		239,343
3.05%, 11/15/24		250		248,986
3.95%, 5/01/42		50		48,267
3.65%, 9/01/42		50		46,152
Series K, 4.05%, 5/01/45		500		489,571
Puget Energy, Inc.:
5.63%, 7/15/22		500		554,690
3.65%, 5/15/25		250		242,222
South Carolina Electric & Gas Co., 4.60%, 6/15/43		250		250,951
Southern California Edison Co.:
1.13%, 5/01/17		500		496,740
2.40%, 2/01/22		250		245,154
5.50%, 3/15/40		50		58,971
4.65%, 10/01/43		350		369,472
Tampa Electric Co., 4.10%, 6/15/42		250		237,306
Toledo Edison Co., 6.15%, 5/15/37		100		112,564
Virginia Electric & Power Co.:
2.95%, 1/15/22		400		402,342
4.00%, 1/15/43		250		239,251
4.45%, 2/15/44		150		154,280
WEC Energy Group, Inc., 3.55%, 6/15/25		350		351,969
				21,988,135
Electrical Equipment — 0.1%
Amphenol Corp., 2.55%, 1/30/19		350		350,061
Emerson Electric Co.:
5.00%, 4/15/19		100		109,083
2.63%, 2/15/23		350		342,654
Pentair Finance SA, 1.88%, 9/15/17		250		247,285
Roper Industries, Inc., 3.13%, 11/15/22		150		145,810
				1,194,893
Electronic Equipment, Instruments & Components — 0.1%
Arrow Electronics, Inc., 3.00%, 3/01/18		750		749,396
Corning, Inc.:
3.70%, 11/15/23		250		246,181
4.75%, 3/15/42		50		46,934
Ingram Micro, Inc., 4.95%, 12/15/24		200		199,263
Jabil Circuit, Inc., 4.70%, 9/15/22		250		242,500
Tyco Electronics Group SA:
6.55%, 10/01/17		50		53,884
3.50%, 2/03/22		100		101,816
				1,639,974
Energy Equipment & Services — 0.2%
Baker Hughes, Inc., 5.13%, 9/15/40		100		98,916

See Notes to Financial Statements.

BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015 25

Schedule of Investments (continued) U.S. Total Bond Index Master Portfolio

Corporate Bonds	Par   (000)		Value
Energy Equipment & Services (continued)
Ensco PLC:
4.70%, 3/15/21	$	100	$	80,518
4.50%, 10/01/24		250		172,093
5.20%, 3/15/25		65		46,259
FMC Technologies, Inc., 3.45%, 10/01/22		100		87,641
Halliburton Co.:
6.15%, 9/15/19		100		112,548
3.80%, 11/15/25		300		292,117
4.85%, 11/15/35		250		245,590
4.50%, 11/15/41		50		45,398
4.75%, 8/01/43		250		234,697
5.00%, 11/15/45		175		172,995
National Oilwell Varco, Inc., 3.95%, 12/01/42		150		114,261
Noble Holding International Ltd.:
2.50%, 3/15/17		150		141,513
5.95%, 4/01/25		200		137,969
5.25%, 3/15/42		50		27,723
TransCanada PipeLines Ltd., 6.20%, 10/15/37		200		210,439
Transcontinental Gas Pipe Line Co. LLC, 4.45%, 8/01/42		250		167,295
				2,387,972
Food & Staples Retailing — 0.6%
Coca-Cola Co., 2.88%, 10/27/25		125		123,232
Costco Wholesale Corp.:
1.13%, 12/15/17		150		149,868
2.25%, 2/15/22		85		83,418
CVS Health Corp.:
2.25%, 8/12/19		500		499,342
4.00%, 12/05/23		500		519,609
4.88%, 7/20/35		1,000		1,032,491
Kraft Heinz Foods Co. (a):
2.00%, 7/02/18		1,000		995,280
5.00%, 7/15/35		500		512,259
Kroger Co.:
6.15%, 1/15/20		100		113,177
3.30%, 1/15/21		500		507,601
3.40%, 4/15/22		100		101,308
5.15%, 8/01/43		125		130,952
Lowe’s Cos., Inc., 3.38%, 9/15/25		500		507,646
NIKE, Inc., 3.88%, 11/01/45		500		482,501
Target Corp., 2.30%, 6/26/19		750		758,693
Wal-Mart Stores, Inc.:
1.00%, 4/21/17		500		500,366
1.13%, 4/11/18		250		248,957
1.95%, 12/15/18		750		761,120
3.63%, 7/08/20		150		160,495
6.20%, 4/15/38		250		313,479
5.63%, 4/15/41		500		594,780
4.00%, 4/11/43		150		145,663
4.75%, 10/02/43		250		268,893
4.30%, 4/22/44		250		254,866
Walgreen Co., 3.10%, 9/15/22		200		193,687
Walgreens Boots Alliance, Inc.:
4.50%, 11/18/34		155		141,546
4.80%, 11/18/44		150		135,688
				10,236,917
Food Products — 0.3%
Archer-Daniels-Midland Co., 4.54%, 3/26/42		75		76,910

Corporate Bonds	Par   (000)		Value
Food Products (continued)
ConAgra Foods, Inc.:
3.25%, 9/15/22	$	200	$	193,033
4.65%, 1/25/43		165		147,183
General Mills, Inc.:
2.20%, 10/21/19		300		300,067
3.15%, 12/15/21		150		150,112
JM Smucker Co.
3.50%, 10/15/21		50		51,443
4.25%, 3/15/35		250		244,235
Kellogg Co., Series B, 7.45%, 4/01/31		100		127,147
Kraft Foods Group, Inc.:
5.38%, 2/10/20		52		56,937
6.50%, 2/09/40		250		291,435
5.00%, 6/04/42		200		201,378
Mead Johnson Nutrition Co., 4.60%, 6/01/44		250		231,421
Mondelez International, Inc.:
2.25%, 2/01/19		250		249,908
4.00%, 2/01/24		250		257,699
Sysco Corp.:
3.75%, 10/01/25		100		101,372
4.85%, 10/01/45		150		156,058
Tyson Foods, Inc.:
2.65%, 8/15/19		500		500,277
4.50%, 6/15/22		150		159,654
4.88%, 8/15/34		70		71,443
Unilever Capital Corp.:
2.20%, 3/06/19		200		202,976
4.25%, 2/10/21		200		218,391
				3,989,079
Gas Utilities — 0.0%
AGL Capital Corp., 3.50%, 9/15/21		50		50,127
Atmos Energy Corp., 4.15%, 1/15/43		100		96,817
National Fuel Gas Co., 3.75%, 3/01/23		300		277,852
				424,796
Health Care Equipment & Supplies — 0.4%
Baxter International, Inc., 1.85%, 6/15/18		250		248,506
Becton Dickinson & Co.:
1.80%, 12/15/17		250		249,637
2.68%, 12/15/19		500		502,722
3.30%, 3/01/23		200		197,636
6.00%, 5/15/39		250		287,052
Boston Scientific Corp.:
6.00%, 1/15/20		100		111,041
4.13%, 10/01/23		100		101,180
3.85%, 5/15/25		250		245,987
Covidien International Finance SA:
2.95%, 6/15/23		250		246,034
6.55%, 10/15/37		25		31,340
Medtronic, Inc.:
1.38%, 4/01/18		300		298,391
4.13%, 3/15/21		50		53,203
3.15%, 3/15/22		350		353,821
2.75%, 4/01/23		500		487,346
3.63%, 3/15/24		400		409,710
4.38%, 3/15/35		350		353,795
4.00%, 4/01/43		150		139,196
4.63%, 3/15/45		500		515,727

See Notes to Financial Statements.

26 BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015

Schedule of Investments (continued) U.S. Total Bond Index Master Portfolio

Corporate Bonds	Par   (000)		Value
Health Care Equipment & Supplies (continued)
St. Jude Medical, Inc.:
3.25%, 4/15/23	$	150	$	147,278
3.88%, 9/15/25		45		45,420
Stryker Corp.:
1.30%, 4/01/18		200		198,561
3.38%, 11/01/25		80		78,961
Zimmer Holdings, Inc.:
3.15%, 4/01/22		500		491,540
4.25%, 8/15/35		295		275,016
				6,069,100
Health Care Providers & Services — 0.6%
Aetna, Inc.:
1.50%, 11/15/17		250		249,058
4.13%, 6/01/21		250		261,616
2.75%, 11/15/22		250		242,861
3.50%, 11/15/24		70		69,874
6.75%, 12/15/37		50		62,952
4.75%, 3/15/44		25		25,343
AmerisourceBergen Corp.:
1.15%, 5/15/17		250		248,211
4.25%, 3/01/45		250		229,783
Anthem, Inc.:
1.88%, 1/15/18		450		448,048
2.25%, 8/15/19		225		223,582
3.13%, 5/15/22		200		196,286
3.30%, 1/15/23		100		97,182
4.63%, 5/15/42		50		47,216
5.10%, 1/15/44		150		150,591
4.85%, 8/15/54		150		139,829
Cardinal Health, Inc.:
3.20%, 6/15/22		50		49,388
3.50%, 11/15/24		250		250,290
4.60%, 3/15/43		50		49,271
Cigna Corp.:
4.00%, 2/15/22		25		25,840
3.25%, 4/15/25		300		294,379
5.38%, 2/15/42		50		54,817
Dignity Health:
2.64%, 11/01/19		100		100,400
5.27%, 11/01/64		100		102,588
Express Scripts Holding Co.:
2.65%, 2/15/17		350		353,437
2.25%, 6/15/19		350		347,937
4.75%, 11/15/21		300		321,678
3.50%, 6/15/24		250		246,298
Humana, Inc., 4.95%, 10/01/44		250		248,353
Kaiser Foundation Hospitals, 3.50%, 4/01/22		100		101,606
Laboratory Corp. of America Holdings:
3.75%, 8/23/22		100		100,647
4.00%, 11/01/23		100		101,008
3.60%, 2/01/25		75		72,370
McKesson Corp.:
2.85%, 3/15/23		150		143,903
4.88%, 3/15/44		250		249,875
Quest Diagnostics, Inc.:
4.70%, 4/01/21		100		105,898
4.25%, 4/01/24		250		257,466
3.50%, 3/30/25		370		357,463

Corporate Bonds	Par   (000)		Value
Health Care Providers & Services (continued)
UnitedHealth Group, Inc.:
1.40%, 10/15/17	$	250	$	249,521
1.63%, 3/15/19		550		543,922
2.30%, 12/15/19		250		251,215
2.88%, 3/15/23		250		247,343
4.63%, 7/15/35		555		576,155
6.88%, 2/15/38		100		130,789
5.95%, 2/15/41		100		118,927
3.95%, 10/15/42		150		139,614
4.75%, 7/15/45		250		263,322
WellPoint, Inc., 3.50%, 8/15/24		250		244,096
				9,392,248
Hotels, Restaurants & Leisure — 0.1%
Carnival Corp., 3.95%, 10/15/20		250		261,130
Hyatt Hotels Corp., 3.38%, 7/15/23		190		180,412
Marriott International, Inc.:
3.00%, 3/01/19		100		101,361
3.25%, 9/15/22		100		98,836
McDonald’s Corp.:
1.88%, 5/29/19		100		98,778
3.50%, 7/15/20		50		51,576
3.25%, 6/10/24		400		394,614
3.38%, 5/26/25		500		489,782
4.70%, 12/09/35		65		64,759
3.70%, 2/15/42		100		83,649
Starbucks Corp., 3.85%, 10/01/23		250		265,257
Starwood Hotels & Resorts
Worldwide, Inc., 4.50%, 10/01/34		250		225,366
Wyndham Worldwide Corp., 4.25%, 3/01/22		50		50,328
				2,365,848
Household Durables — 0.0%
Leggett & Platt, Inc., 3.80%, 11/15/24		200		201,073
Mohawk Industries, Inc., 3.85%, 2/01/23		125		126,561
Newell Rubbermaid, Inc., 4.00%, 12/01/24		250		230,781
Whirlpool Corp., 5.15%, 3/01/43		200		196,649
				755,064
Household Products — 0.1%
Clorox Co.:
3.05%, 9/15/22		50		49,364
3.50%, 12/15/24		250		249,511
Kimberly-Clark Corp.:
1.90%, 5/22/19		500		497,916
3.63%, 8/01/20		50		52,910
2.65%, 3/01/25		85		82,050
Procter & Gamble Co.:
2.30%, 2/06/22		250		249,822
5.55%, 3/05/37		250		303,815
				1,485,388
Independent Power and Renewable Electricity Producers — 0.1%
Exelon Generation Co. LLC:
4.25%, 6/15/22		500		506,597
5.60%, 6/15/42		50		46,559
Southern Power Co., 5.25%, 7/15/43		500		477,096
				1,030,252

See Notes to Financial Statements.

BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015 27

Schedule of Investments (continued) U.S. Total Bond Index Master Portfolio

Corporate Bonds	Par   (000)		Value
Industrial Conglomerates — 0.1%
General Electric Co.:
5.25%, 12/06/17	$	750	$	800,763
2.70%, 10/09/22		150		149,371
4.50%, 3/11/44		500		514,566
Koninklijke Philips NV, 3.75%, 3/15/22		250		256,636
				1,721,336
Insurance — 1.0%
ACE INA Holdings, Inc.:
3.35%, 5/03/26		795		792,564
4.15%, 3/13/43		150		146,770
Aflac, Inc.:
2.65%, 2/15/17		250		253,292
3.63%, 6/15/23		250		258,815
3.63%, 11/15/24		250		254,430
Alleghany Corp., 4.95%, 6/27/22		50		53,576
Allstate Corp.:
3.15%, 6/15/23		250		249,806
4.50%, 6/15/43		150		152,409
American International Group, Inc.:
2.30%, 7/16/19		500		495,766
3.38%, 8/15/20		250		257,040
4.88%, 6/01/22		250		269,985
4.13%, 2/15/24		250		256,728
3.75%, 7/10/25		250		247,765
4.70%, 7/10/35		500		496,965
Aon PLC:
2.80%, 3/15/21		250		249,056
4.45%, 5/24/43		200		187,055
Arch Capital Group US, Inc., 5.14%, 11/01/43		125		126,475
Assurant, Inc., 2.50%, 3/15/18		250		249,588
Assured Guaranty US Holdings, Inc., 5.00%, 7/01/24		110		114,278
AXA SA, 8.60%, 12/15/30		50		67,187
Berkshire Hathaway Finance Corp.:
4.40%, 5/15/42		100		99,012
4.30%, 5/15/43		250		245,169
Berkshire Hathaway, Inc.:
1.90%, 1/31/17		100		100,868
1.55%, 2/09/18		500		500,813
2.10%, 8/14/19		500		503,054
4.50%, 2/11/43		100		100,693
Chubb Corp.:
6.00%, 5/11/37		50		61,293
Series 1, 6.50%, 5/15/38		100		129,329
CNA Financial Corp., 5.75%, 8/15/21		100		111,924
First American Financial Corp., 4.60%, 11/15/24		200		202,476
Hartford Financial Services Group, Inc.:
6.30%, 3/15/18		250		272,428
6.63%, 3/30/40		100		123,587
6.10%, 10/01/41		100		116,072
Lincoln National Corp.:
4.85%, 6/24/21		300		323,078
4.20%, 3/15/22		100		104,553
4.00%, 9/01/23		200		204,781
3.35%, 3/09/25		65		62,671
Loews Corp., 2.63%, 5/15/23		250		238,212
Markel Corp., 3.63%, 3/30/23		250		246,528
Marsh & McLennan Cos., Inc.:
2.35%, 9/10/19		235		234,451
2.35%, 3/06/20		190		188,341

Corporate Bonds	Par   (000)		Value
Insurance (continued)
Marsh & McLennan Cos., Inc. (continued):
4.80%, 7/15/21	$	50	$	54,425
MetLife, Inc.:
4.75%, 2/08/21		200		218,906
3.00%, 3/01/25		650		624,562
4.13%, 8/13/42		300		284,713
4.88%, 11/13/43		250		262,276
Old Republic International Corp., 4.88%, 10/01/24		250		256,191
Principal Financial Group, Inc.:
1.85%, 11/15/17		250		250,208
3.40%, 5/15/25		250		245,072
4.63%, 9/15/42		50		48,733
Progressive Corp.:
3.75%, 8/23/21		50		52,865
4.35%, 4/25/44		100		100,820
3.70%, 1/26/45		200		181,009
Prudential Financial, Inc.:
2.35%, 8/15/19		350		348,344
5.38%, 6/21/20		350		389,120
5.10%, 8/15/43		250		260,525
5.20%, 3/15/44 (d)		100		96,550
5.38%, 5/15/45 (d)		250		249,688
8.88%, 6/15/68 (d)		100		112,500
Travelers Cos., Inc.:
3.90%, 11/01/20		250		265,586
4.60%, 8/01/43		100		105,084
Travelers Property Casualty Corp., 6.38%, 3/15/33		100		122,665
Voya Financial, Inc., 2.90%, 2/15/18		750		758,107
WR Berkley Corp., 4.63%, 3/15/22		200		211,202
XLIT Ltd.:
2.30%, 12/15/18		250		250,046
5.75%, 10/01/21		100		111,434
				15,209,514
Internet & Catalog Retail — 0.1%
Amazon.com, Inc.:
1.20%, 11/29/17		250		249,226
2.60%, 12/05/19		350		355,488
4.80%, 12/05/34		250		263,219
				867,933
Internet Software & Services — 0.1%
Baidu, Inc.:
3.25%, 8/06/18		205		207,626
2.75%, 6/09/19		350		346,954
eBay, Inc.:
2.20%, 8/01/19		500		494,319
3.25%, 10/15/20		50		50,819
2.60%, 7/15/22		50		46,542
Expedia, Inc., 4.50%, 8/15/24		250		241,287
Google, Inc., 3.63%, 5/19/21		25		26,620
				1,414,167
IT Services — 0.3%
Alibaba Group Holding Ltd.
3.13%, 11/28/21		225		218,222
4.50%, 11/28/34		250		239,191
Fidelity National Information Services, Inc.:
1.45%, 6/05/17		250		246,617
2.00%, 4/15/18		250		245,808

See Notes to Financial Statements.

28 BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015

Schedule of Investments (continued) U.S. Total Bond Index Master Portfolio

Corporate Bonds	Par   (000)		Value
IT Services (continued)
Fidelity National Information Services, Inc. (continued):
3.50%, 4/15/23	$	25	$	23,870
5.00%, 10/15/25		500		513,745
Fiserv, Inc., 2.70%, 6/01/20		500		495,851
International Business Machines Corp.:
1.25%, 2/08/18		500		499,039
1.95%, 2/12/19		250		251,177
1.88%, 5/15/19		250		249,689
2.90%, 11/01/21		100		101,389
3.63%, 2/12/24		275		283,090
4.00%, 6/20/42		350		327,386
Total System Services, Inc., 2.38%, 6/01/18		250		247,403
Verisk Analytics, Inc., 4.00%, 6/15/25		250		242,826
Western Union Co.:
2.88%, 12/10/17		250		252,972
6.20%, 11/17/36		25		24,306
Xerox Corp.:
5.63%, 12/15/19		100		106,379
2.80%, 5/15/20		500		476,798
				5,045,758
Leisure Products — 0.0%
Hasbro, Inc., 5.10%, 5/15/44		60		57,006
Mattel, Inc., 1.70%, 3/15/18		200		197,343
				254,349
Life Sciences Tools & Services — 0.1%
Agilent Technologies, Inc., 3.88%, 7/15/23		200		200,142
Life Technologies Corp., 6.00%, 3/01/20		100		110,855
Thermo Fisher Scientific, Inc.:
2.40%, 2/01/19		500		499,781
3.30%, 2/15/22		55		54,865
3.15%, 1/15/23		250		243,372
				1,109,015
Machinery — 0.2%
Caterpillar, Inc.:
3.90%, 5/27/21		50		53,084
3.40%, 5/15/24		500		506,506
5.20%, 5/27/41		100		107,968
3.80%, 8/15/42		250		223,767
Danaher Corp., 3.90%, 6/23/21		50		53,143
Deere & Co., 3.90%, 6/09/42		50		47,800
Flowserve Corp., 3.50%, 9/15/22		100		97,127
Illinois Tool Works, Inc.:
1.95%, 3/01/19		250		250,263
4.88%, 9/15/41		50		54,246
3.90%, 9/01/42		75		71,106
Ingersoll-Rand Global Holding Co. Ltd.:
6.88%, 8/15/18		50		55,190
2.88%, 1/15/19		500		505,012
Joy Global, Inc., 5.13%, 10/15/21		50		39,140
Stanley Black & Decker, Inc., 2.90%, 11/01/22		150		146,942
Trinity Industries, Inc., 4.55%, 10/01/24		250		228,999
Valmont Industries, Inc., 5.00%, 10/01/44		250		218,143
				2,658,436

Corporate Bonds	Par   (000)		Value
Media — 1.2%
21st Century Fox America, Inc.:
4.50%, 2/15/21	$	100	$	107,603
3.00%, 9/15/22		150		147,813
3.70%, 10/15/25 (a)		830		827,942
6.20%, 12/15/34		100		113,544
6.15%, 2/15/41		150		168,559
4.75%, 9/15/44		500		480,928
CBS Corp.:
4.00%, 1/15/26		500		487,569
4.85%, 7/01/42		325		291,699
CCO Safari II LLC (a):
3.58%, 7/23/20		500		497,004
4.91%, 7/23/25		430		429,582
6.48%, 10/23/45		500		500,819
Cintas Corp. No 2, 4.30%, 6/01/21		25		26,392
Comcast Corp.:
5.15%, 3/01/20		350		391,065
3.60%, 3/01/24		250		258,410
3.38%, 2/15/25		500		504,611
3.38%, 8/15/25		500		506,186
4.25%, 1/15/33		650		638,706
4.20%, 8/15/34		235		232,789
4.40%, 8/15/35		250		251,490
6.45%, 3/15/37		200		248,915
4.65%, 7/15/42		150		152,640
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.:
2.40%, 3/15/17		250		252,012
3.80%, 3/15/22		250		251,581
4.45%, 4/01/24		500		513,546
3.95%, 1/15/25		350		345,033
5.15%, 3/15/42		150		139,851
Discovery Communications LLC:
4.38%, 6/15/21		50		51,240
3.25%, 4/01/23		50		46,068
4.95%, 5/15/42		50		41,890
4.88%, 4/01/43		150		123,467
Grupo Televisa SAB, 5.00%, 5/13/45		200		171,961
Interpublic Group of Cos., Inc., 4.20%, 4/15/24		250		247,691
McGraw Hill Financial, Inc., 4.40%, 2/15/26		250		255,791
NBCUniversal Media LLC:
4.38%, 4/01/21		600		651,738
2.88%, 1/15/23		250		248,237
5.95%, 4/01/41		250		298,979
Omnicom Group, Inc.:
3.63%, 5/01/22		125		126,180
3.65%, 11/01/24		70		69,338
Scripps Networks Interactive, Inc., 3.90%, 11/15/24		250		239,015
Thomson Reuters Corp.:
6.50%, 7/15/18		250		275,971
4.30%, 11/23/23		250		255,292
Time Warner Cable, Inc.:
8.25%, 4/01/19		300		344,490
5.00%, 2/01/20		500		529,281
4.13%, 2/15/21		100		102,108
6.55%, 5/01/37		150		151,798
6.75%, 6/15/39		50		50,180
5.50%, 9/01/41		250		225,911
4.50%, 9/15/42		475		372,771

See Notes to Financial Statements.

BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015 29

Schedule of Investments (continued) U.S. Total Bond Index Master Portfolio

Corporate Bonds	Par   (000)		Value
Media (continued)
Time Warner, Inc.:
4.88%, 3/15/20	$	250	$	270,296
3.60%, 7/15/25		250		243,370
7.63%, 4/15/31		250		309,338
7.70%, 5/01/32		250		312,041
6.25%, 3/29/41		150		166,586
5.35%, 12/15/43		250		249,639
4.65%, 6/01/44		250		229,338
Viacom, Inc.:
2.50%, 9/01/18		500		498,751
5.63%, 9/15/19		250		269,976
3.13%, 6/15/22		150		138,969
3.25%, 3/15/23		200		182,612
6.88%, 4/30/36		250		247,650
4.38%, 3/15/43		70		51,276
5.85%, 9/01/43		100		89,798
Walt Disney Co.:
1.85%, 5/30/19		500		500,775
2.15%, 9/17/20		500		499,708
3.75%, 6/01/21		50		53,409
2.35%, 12/01/22		300		296,149
3.15%, 9/17/25		165		166,793
WPP Finance 2010:
4.75%, 11/21/21		100		107,747
3.75%, 9/19/24		250		248,703
				18,778,610
Metals & Mining — 0.3%
Barrick Gold Corp., 4.10%, 5/01/23		157		134,684
Barrick North America Finance LLC, 5.70%, 5/30/41		50		33,522
BHP Billiton Finance USA Ltd.:
1.63%, 2/24/17		100		99,797
2.05%, 9/30/18		175		171,904
2.88%, 2/24/22		250		230,472
5.00%, 9/30/43		350		314,581
Carpenter Technology Corp., 4.45%, 3/01/23		250		240,190
Freeport-McMoRan, Inc.:
2.15%, 3/01/17		100		91,500
3.55%, 3/01/22		50		29,000
5.40%, 11/14/34		350		185,500
5.45%, 3/15/43		350		182,000
Goldcorp, Inc.:
2.13%, 3/15/18		150		145,372
3.63%, 6/09/21		250		234,759
Kinross Gold Corp., 5.95%, 3/15/24		200		132,000
Newmont Mining Corp.:
3.50%, 3/15/22		450		401,088
4.88%, 3/15/42		50		35,728
Reliance Steel & Aluminum Co., 4.50%, 4/15/23		25		23,271
Rio Tinto Finance USA Ltd.:
1.63%, 8/21/17		250		246,412
4.13%, 5/20/21		150		150,213
2.88%, 8/21/22		100		90,697
3.75%, 6/15/25		500		453,875
5.20%, 11/02/40		350		321,169
4.75%, 3/22/42		100		85,790
Southern Copper Corp.:
6.75%, 4/16/40		100		85,534
5.88%, 4/23/45		365		279,635

Corporate Bonds	Par   (000)		Value
Metals & Mining (continued)
Vale Overseas Ltd.:
4.38%, 1/11/22 (e)	$	750	$	567,622
6.88%, 11/21/36		200		139,808
Vale SA, 5.63%, 9/11/42		250		165,337
				5,271,460
Multi-Utilities — 0.2%
CMS Energy Corp., 4.70%, 3/31/43		200		197,053
Consolidated Edison Co. of New York, Inc.:
6.65%, 4/01/19		100		113,500
4.20%, 3/15/42		150		143,853
3.95%, 3/01/43		150		138,545
4.45%, 3/15/44		250		249,795
Dominion Resources, Inc.:
1.40%, 9/15/17		250		247,433
3.63%, 12/01/24		250		247,600
4.90%, 8/01/41		50		48,928
ONE Gas, Inc., 4.66%, 2/01/44		250		258,969
San Diego Gas & Electric Co.:
3.60%, 9/01/23		250		260,267
4.30%, 4/01/42		100		101,105
SCANA Corp., 4.13%, 2/01/22		100		97,969
Sempra Energy:
2.30%, 4/01/17		250		251,454
2.40%, 3/15/20		250		245,022
4.05%, 12/01/23		250		257,520
3.55%, 6/15/24		250		248,621
3.75%, 11/15/25		250		249,404
				3,357,038
Multiline Retail — 0.1%
Dollar General Corp., 1.88%, 4/15/18		250		247,592
Kohl’s Corp.:
4.00%, 11/01/21		50		51,320
5.55%, 7/17/45		100		93,070
Nordstrom, Inc., 4.00%, 10/15/21		100		105,658
Target Corp.:
2.90%, 1/15/22		150		152,571
4.00%, 7/01/42		350		341,732
				991,943
Oil, Gas & Consumable Fuels — 2.5%
Alberta Energy Co. Ltd., 7.38%, 11/01/31		50		45,622
Anadarko Petroleum Corp.:
6.45%, 9/15/36		350		337,351
4.50%, 7/15/44		250		191,396
Apache Corp.:
3.25%, 4/15/22		145		138,104
6.00%, 1/15/37		100		96,584
4.75%, 4/15/43		250		208,923
4.25%, 1/15/44		100		78,285
Boardwalk Pipelines LP, 3.38%, 2/01/23		200		160,813
BP Capital Markets PLC:
1.85%, 5/05/17		250		251,197
1.38%, 5/10/18		250		246,416
2.24%, 9/26/18		300		300,912
2.24%, 5/10/19		500		500,663
2.52%, 1/15/20		115		114,626
2.32%, 2/13/20		250		246,315
4.74%, 3/11/21		50		54,914

See Notes to Financial Statements.

30 BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015

Schedule of Investments (continued) U.S. Total Bond Index Master Portfolio

Corporate Bonds	Par   (000)		Value
Oil, Gas & Consumable Fuels (continued)
BP Capital Markets PLC (continued):
3.06%, 3/17/22	$	210	$	205,775
3.25%, 5/06/22		100		98,754
3.99%, 9/26/23		250		255,665
Buckeye Partners LP, 4.15%, 7/01/23		250		214,200
Canadian Natural Resources Ltd.:
3.45%, 11/15/21		100		94,238
3.80%, 4/15/24		250		220,707
3.90%, 2/01/25		250		218,126
6.25%, 3/15/38		50		45,509
Cenovus Energy, Inc.:
5.70%, 10/15/19		150		157,203
3.00%, 8/15/22		100		88,689
5.20%, 9/15/43		250		195,697
Chevron Corp.:
1.72%, 6/24/18		500		497,446
2.19%, 11/15/19		555		554,754
2.43%, 6/24/20		550		550,553
2.41%, 3/03/22		145		141,130
CNOOC Finance 2013 Ltd., 3.00%, 5/09/23		300		280,790
CNOOC Finance 2015 USA LLC, 3.50%, 5/05/25		500		475,923
CNOOC Nexen Finance 2014 ULC, 4.25%, 4/30/24		500		503,962
ConocoPhillips Co.:
1.05%, 12/15/17		1,000		981,871
4.15%, 11/15/34		395		342,443
6.50%, 2/01/39		400		421,522
ConocoPhillips Holding Co., 6.95%, 4/15/29		100		114,539
Continental Resources, Inc.:
5.00%, 9/15/22		250		184,375
4.50%, 4/15/23		300		215,538
Devon Energy Corp.:
2.25%, 12/15/18		500		456,331
4.00%, 7/15/21		150		137,349
5.00%, 6/15/45		500		378,951
Diamond Offshore Drilling, Inc., 4.88%, 11/01/43		250		151,772
Ecopetrol SA:
7.63%, 7/23/19		100		108,478
5.38%, 6/26/26		250		213,125
5.88%, 5/28/45		250		177,500
Enable Midstream Partners LP, 2.40%, 5/15/19		350		310,966
Enbridge Energy Partners LP:
4.20%, 9/15/21		100		95,326
5.88%, 10/15/25		500		481,880
Enbridge, Inc., 3.50%, 6/10/24		65		54,432
Encana Corp., 3.90%, 11/15/21		700		577,796
Energy Transfer Partners LP:
9.70%, 3/15/19		44		48,458
5.20%, 2/01/22		250		233,564
3.60%, 2/01/23		150		123,474
4.90%, 2/01/24		250		222,863
4.75%, 1/15/26		500		420,541
4.90%, 3/15/35		250		181,778
5.95%, 10/01/43		150		120,338
EnLink Midstream Partners LP, 5.05%, 4/01/45		150		93,012
Enterprise Products Operating LLC:
2.55%, 10/15/19		500		479,356
3.90%, 2/15/24		125		116,626
3.75%, 2/15/25		40		36,588
3.70%, 2/15/26		210		188,370

Corporate Bonds	Par   (000)		Value
Oil, Gas & Consumable Fuels (continued)
Enterprise Products Operating LLC (continued):
5.95%, 2/01/41	$	150	$	137,781
4.45%, 2/15/43		75		57,217
4.85%, 3/15/44		200		161,926
5.10%, 2/15/45		250		209,410
4.90%, 5/15/46		350		286,016
EOG Resources, Inc.:
5.63%, 6/01/19		150		164,598
3.15%, 4/01/25		80		75,666
EQT Corp., 4.88%, 11/15/21		50		47,603
Exxon Mobil Corp.:
2.40%, 3/06/22		500		492,310
3.18%, 3/15/24		250		253,747
2.71%, 3/06/25		250		244,460
Hess Corp.:
8.13%, 2/15/19		200		226,675
5.60%, 2/15/41		300		252,875
Husky Energy, Inc., 3.95%, 4/15/22		150		139,041
Kinder Morgan Energy Partners LP:
2.65%, 2/01/19		245		226,496
5.00%, 10/01/21		200		188,777
3.95%, 9/01/22		225		195,867
4.15%, 2/01/24		250		215,700
4.25%, 9/01/24		155		131,849
6.50%, 2/01/37		100		85,905
5.00%, 8/15/42		75		55,336
5.40%, 9/01/44		250		188,931
Kinder Morgan, Inc.:
3.05%, 12/01/19		250		231,378
4.30%, 6/01/25		160		138,241
5.30%, 12/01/34		250		197,010
5.55%, 6/01/45		250		195,158
5.05%, 2/15/46		250		185,403
Magellan Midstream Partners LP, 3.20%, 3/15/25		500		436,521
Marathon Oil Corp.:
5.90%, 3/15/18		100		101,133
2.80%, 11/01/22		400		318,844
3.85%, 6/01/25		250		201,212
Marathon Petroleum Corp.:
5.13%, 3/01/21		150		157,438
3.63%, 9/15/24		115		107,161
4.75%, 9/15/44		250		204,349
Murphy Oil Corp., 4.00%, 6/01/22		100		75,816
Nabors Industries, Inc.:
5.00%, 9/15/20		50		43,869
4.63%, 9/15/21		250		205,440
Nexen Energy ULC, 6.40%, 5/15/37		100		111,841
Noble Energy, Inc.:
4.15%, 12/15/21		150		145,371
5.88%, 6/01/22		250		237,825
5.25%, 11/15/43		250		201,679
Occidental Petroleum Corp.:
4.10%, 2/01/21		50		52,458
3.50%, 6/15/25		250		244,175
ONEOK Partners LP:
2.00%, 10/01/17		250		238,798
3.38%, 10/01/22		500		405,562
6.13%, 2/01/41		50		38,208

See Notes to Financial Statements.

BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015 31

Schedule of Investments (continued) U.S. Total Bond Index Master Portfolio

Corporate Bonds	Par   (000)		Value
Oil, Gas & Consumable Fuels (continued)
Petroleos Mexicanos:
3.50%, 7/18/18	$	350	$	347,294
3.13%, 1/23/19		250		241,847
4.88%, 1/24/22		400		385,000
3.50%, 1/30/23		400		349,000
4.50%, 1/23/26 (a)		1,000		878,500
6.50%, 6/02/41		300		259,350
6.38%, 1/23/45		750		634,786
Phillips 66:
4.65%, 11/15/34		355		332,730
5.88%, 5/01/42		100		100,236
Pioneer Natural Resources Co., 3.95%, 7/15/22		150		136,935
Plains All American Pipeline LP/PAA Finance Corp.:
2.85%, 1/31/23		250		206,216
5.15%, 6/01/42		50		36,277
4.70%, 6/15/44		250		174,009
Plains Exploration & Production Co., 6.50%, 11/15/20		162		104,490
Rowan Cos., Inc.:
4.75%, 1/15/24		50		35,556
5.40%, 12/01/42		100		59,821
Shell International Finance BV:
4.38%, 3/25/20		100		107,403
2.13%, 5/11/20		750		737,823
2.25%, 11/10/20		120		118,235
4.13%, 5/11/35		500		477,263
6.38%, 12/15/38		300		354,660
5.50%, 3/25/40		50		54,031
4.55%, 8/12/43		200		194,405
Southwestern Energy Co.:
4.05%, 1/23/20		500		362,500
4.10%, 3/15/22		100		62,896
Spectra Energy Capital LLC, 3.30%, 3/15/23		150		128,331
Spectra Energy Partners LP:
4.75%, 3/15/24		250		242,169
3.50%, 3/15/25		250		218,673
Statoil ASA:
1.95%, 11/08/18		250		249,819
2.65%, 1/15/24		500		467,690
3.70%, 3/01/24		250		253,285
5.10%, 8/17/40		100		105,531
Suncor Energy, Inc.:
6.10%, 6/01/18		200		215,112
3.60%, 12/01/24		165		155,410
6.50%, 6/15/38		500		534,989
Sunoco Logistics Partners Operations LP:
4.95%, 1/15/43		250		178,787
5.30%, 4/01/44		100		74,423
Talisman Energy, Inc., 3.75%, 2/01/21		300		272,008
TC PipeLines LP, 4.38%, 3/13/25		250		219,566
Tennessee Gas Pipeline Co. LLC, 7.50%, 4/01/17		100		102,705
Total Capital Canada Ltd., 2.75%, 7/15/23		150		143,933
Total Capital International SA:
1.50%, 2/17/17		100		100,178
2.13%, 1/10/19		350		350,627
2.75%, 6/19/21		250		249,036
2.70%, 1/25/23		500		479,325
Total Capital SA, 2.13%, 8/10/18		500		501,445
TransCanada PipeLines Ltd.:
1.88%, 1/12/18		1,000		996,051

Corporate Bonds	Par   (000)		Value
Oil, Gas & Consumable Fuels (continued)
TransCanada PipeLines Ltd. (continued):
4.63%, 3/01/34	$	250	$	236,368
5.00%, 10/16/43		150		137,951
Valero Energy Corp.:
6.13%, 2/01/20		150		165,419
6.63%, 6/15/37		300		301,626
Weatherford International Ltd., 9.63%, 3/01/19		160		155,800
Williams Cos., Inc.:
7.88%, 9/01/21		31		27,900
3.70%, 1/15/23		100		69,076
4.55%, 6/24/24		45		31,256
5.75%, 6/24/44		250		148,439
Williams Partners LP:
4.00%, 11/15/21		250		208,519
4.30%, 3/04/24		250		198,110
3.90%, 1/15/25		250		187,863
4.00%, 9/15/25		250		187,190
				38,999,353
Paper & Forest Products — 0.1%
Celulosa Arauco y Constitucion SA, 4.75%, 1/11/22		50		50,889
Georgia-Pacific LLC, 8.88%, 5/15/31		25		35,014
International Paper Co.:
3.65%, 6/15/24		500		489,026
5.00%, 9/15/35		250		247,905
Westvaco Corp., 8.20%, 1/15/30		100		129,582
				952,416
Personal Products — 0.0%
Colgate-Palmolive Co.:
1.75%, 3/15/19		250		250,556
3.25%, 3/15/24		250		259,877
				510,433
Pharmaceuticals — 1.1%
Abbott Laboratories, 2.55%, 3/15/22		1,000		993,778
AbbVie, Inc.:
1.75%, 11/06/17		300		299,418
2.00%, 11/06/18		150		149,332
2.50%, 5/14/20		500		499,899
4.50%, 5/14/35		450		440,819
4.40%, 11/06/42		400		373,569
4.70%, 5/14/45		250		244,367
Actavis Funding SCS:
2.35%, 3/12/18		750		750,781
3.45%, 3/15/22		155		155,169
4.55%, 3/15/35		130		126,341
4.85%, 6/15/44		250		247,355
4.75%, 3/15/45		500		487,522
Actavis, Inc., 3.25%, 10/01/22		150		147,472
Allergan, Inc., 1.35%, 3/15/18		250		245,627
AstraZeneca PLC:
5.90%, 9/15/17		100		107,104
1.95%, 9/18/19		500		497,265
2.38%, 11/16/20		500		496,430
3.38%, 11/16/25		350		347,465
6.45%, 9/15/37		100		126,460
4.38%, 11/16/45		150		150,304

See Notes to Financial Statements.

32 BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015

Schedule of Investments (continued) U.S. Total Bond Index Master Portfolio

Corporate Bonds	Par   (000)		Value
Pharmaceuticals (continued)
Baxalta, Inc. (a):
2.88%, 6/23/20	$	500	$	493,795
4.00%, 6/23/25		100		98,961
Bristol-Myers Squibb Co.:
1.75%, 3/01/19		250		249,034
2.00%, 8/01/22		250		242,530
4.50%, 3/01/44		250		270,255
Eli Lilly & Co.:
1.95%, 3/15/19		250		252,150
2.75%, 6/01/25		45		44,427
3.70%, 3/01/45		250		233,855
GlaxoSmithKline Capital PLC, 2.85%, 5/08/22		150		151,165
GlaxoSmithKline Capital, Inc.:
5.65%, 5/15/18		100		108,988
6.38%, 5/15/38		300		383,103
Johnson & Johnson:
2.45%, 12/05/21		450		456,525
4.38%, 12/05/33		250		275,745
4.50%, 9/01/40		100		110,160
Merck & Co., Inc.:
3.88%, 1/15/21		250		268,014
2.75%, 2/10/25		70		68,146
4.15%, 5/18/43		250		248,119
3.70%, 2/10/45		400		369,380
Merck Sharp & Dohme Corp., 5.00%, 6/30/19		500		551,632
Mylan, Inc., 4.20%, 11/29/23		250		247,903
Novartis Capital Corp.:
4.40%, 4/24/20		100		109,514
3.40%, 5/06/24		650		671,052
3.00%, 11/20/25		350		345,114
Perrigo Co. PLC, 2.30%, 11/08/18		250		246,451
Perrigo Finance PLC, 3.90%, 12/15/24		250		241,213
Pfizer, Inc.:
1.10%, 5/15/17		850		849,312
1.50%, 6/15/18		500		499,291
5.80%, 8/12/23		500		584,696
4.30%, 6/15/43		500		500,383
4.40%, 5/15/44		250		253,888
Sanofi, 1.25%, 4/10/18		250		248,907
Teva Pharmaceutical Finance Co. BV:
3.65%, 11/10/21		113		114,596
2.95%, 12/18/22		59		56,484
Zoetis, Inc., 4.70%, 2/01/43		150		130,949
				16,862,214
Producer Durables: Miscellaneous — 0.0%
Oracle Corp., 2.95%, 5/15/25		500		487,095
Real Estate — 0.2%
AvalonBay Communities, Inc.:
2.95%, 9/15/22		100		99,141
3.45%, 6/01/25		100		98,740
Boston Properties LP:
3.70%, 11/15/18		200		207,185
3.13%, 9/01/23		250		243,404
Brandywine Operating Partnership LP, 3.95%, 2/15/23		250		243,376
Duke Realty LP, 3.63%, 4/15/23		250		244,267
Host Hotels & Resorts LP:
5.25%, 3/15/22		250		268,358
Series E, 4.00%, 6/15/25		190		182,135

Corporate Bonds	Par   (000)		Value
Real Estate (continued)
Liberty Property LP, 4.40%, 2/15/24	$	250	$	253,403
Prologis LP, 3.75%, 11/01/25		45		44,639
Simon Property Group LP:
2.80%, 1/30/17		100		101,313
2.15%, 9/15/17		250		252,320
4.13%, 12/01/21		100		106,595
3.38%, 3/15/22		100		103,104
4.25%, 10/01/44		250		248,917
Ventas Realty LP/Ventas Capital Corp.:
2.70%, 4/01/20		250		246,516
4.25%, 3/01/22		100		103,095
				3,046,508
Real Estate Investment Trusts (REITs) — 0.4%
Alexandria Real Estate Equities, Inc., 4.30%, 1/15/26		250		246,513
American Tower Corp.:
3.40%, 2/15/19		250		256,447
2.80%, 6/01/20		250		247,123
5.05%, 9/01/20		25		26,989
5.90%, 11/01/21		500		556,971
4.70%, 3/15/22		100		105,103
3.50%, 1/31/23		150		146,612
DDR Corp.:
4.63%, 7/15/22		100		103,311
4.25%, 2/01/26		250		243,849
ERP Operating LP:
4.75%, 7/15/20		100		108,018
4.50%, 7/01/44		150		150,452
Essex Portfolio LP, 3.88%, 5/01/24		100		99,911
HCP, Inc.:
6.00%, 1/30/17		100		104,170
2.63%, 2/01/20		250		246,146
5.38%, 2/01/21		250		272,238
3.15%, 8/01/22		100		95,509
4.00%, 12/01/22		250		248,844
Healthcare Realty Trust, Inc., 3.75%, 4/15/23		150		146,729
Hospitality Properties Trust, 5.00%, 8/15/22		200		205,440
Kilroy Realty LP, 6.63%, 6/01/20		250		283,156
Kimco Realty Corp., 3.20%, 5/01/21		250		250,268
Mid-America Apartments LP, 4.30%, 10/15/23		200		204,935
Omega Healthcare Investors, Inc.:
5.88%, 3/15/24		250		258,750
4.50%, 4/01/27		250		235,397
Realty Income Corp., 4.65%, 8/01/23		250		260,225
Simon Property Group LP, 4.75%, 3/15/42		100		106,791
Ventas Realty LP, 4.13%, 1/15/26		250		249,209
Welltower, Inc.:
4.13%, 4/01/19		200		208,580
5.25%, 1/15/22		50		54,081
4.00%, 6/01/25		250		245,917
Weyerhaeuser Co., 7.38%, 3/15/32		350		416,494
				6,384,178
Real Estate Management & Development — 0.0%
CBRE Services, Inc., 4.88%, 3/01/26		250		249,030
Road & Rail — 0.4%
Burlington Northern Santa Fe LLC:
4.70%, 10/01/19		750		811,110

See Notes to Financial Statements.

BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015 33

Schedule of Investments (continued) U.S. Total Bond Index Master Portfolio

Corporate Bonds	Par   (000)		Value
Road & Rail (continued)
Burlington Northern Santa Fe LLC (continued):
3.75%, 4/01/24	$	50	$	51,219
3.65%, 9/01/25		750		759,934
5.40%, 6/01/41		50		54,358
4.40%, 3/15/42		150		142,634
4.45%, 3/15/43		200		190,165
4.55%, 9/01/44		250		241,339
Canadian National Railway Co.:
2.95%, 11/21/24		305		300,433
3.50%, 11/15/42		100		89,725
Canadian Pacific Railway Co.:
2.90%, 2/01/25		250		235,324
5.75%, 1/15/42		25		27,121
4.80%, 8/01/45		110		107,059
CSX Corp.:
3.70%, 10/30/20		100		104,342
3.35%, 11/01/25		250		242,805
4.75%, 5/30/42		100		99,640
3.95%, 5/01/50		200		169,164
4.50%, 8/01/54		250		226,811
Norfolk Southern Corp.:
7.70%, 5/15/17		150		162,126
3.00%, 4/01/22		250		247,115
3.85%, 1/15/24		250		254,582
3.95%, 10/01/42		100		86,075
4.45%, 6/15/45		250		235,566
Union Pacific Corp.:
4.16%, 7/15/22		100		108,125
3.25%, 8/15/25		250		254,024
4.30%, 6/15/42		50		49,982
4.75%, 12/15/43		250		268,664
4.05%, 11/15/45		250		241,884
				5,761,326
Semiconductors & Semiconductor Equipment — 0.2%
Applied Materials, Inc.:
3.90%, 10/01/25		160		160,861
5.85%, 6/15/41		50		53,948
Intel Corp.:
1.35%, 12/15/17		300		300,399
4.80%, 10/01/41		300		312,743
4.90%, 7/29/45		500		528,481
KLA-Tencor Corp., 4.65%, 11/01/24		305		306,877
Lam Research Corp., 3.80%, 3/15/25		230		216,489
Maxim Integrated Products, Inc., 3.38%, 3/15/23		100		99,160
QUALCOMM, Inc.:
3.45%, 5/20/25		250		239,790
4.65%, 5/20/35		250		231,895
Seagate HDD Cayman:
3.75%, 11/15/18		125		124,063
4.75%, 6/01/23		250		218,820
Texas Instruments, Inc., 1.75%, 5/01/20		250		243,525
Xilinx, Inc., 3.00%, 3/15/21		75		75,192
				3,112,243
Software — 0.4%
Autodesk, Inc., 1.95%, 12/15/17		75		74,750
CA, Inc., 4.50%, 8/15/23		170		172,001
HP Enterprise Co., TBA, 4.40%, 10/15/22 (a)		500		498,084

Corporate Bonds	Par   (000)		Value
Software (continued)
Microsoft Corp.:
1.63%, 12/06/18	$	250	$	251,595
1.85%, 2/12/20		500		500,965
3.00%, 10/01/20		50		52,218
2.00%, 11/03/20		500		500,140
3.13%, 11/03/25		250		251,326
3.50%, 2/12/35		165		152,500
5.30%, 2/08/41		100		115,199
3.75%, 5/01/43		150		138,840
4.45%, 11/03/45		250		257,806
4.00%, 2/12/55		500		449,136
4.75%, 11/03/55		250		258,949
Oracle Corp.:
1.20%, 10/15/17		750		750,397
5.75%, 4/15/18		150		163,670
2.25%, 10/08/19		500		505,218
3.88%, 7/15/20		100		106,867
3.25%, 5/15/30		250		234,782
4.30%, 7/08/34		250		248,702
3.90%, 5/15/35		500		468,802
5.38%, 7/15/40		150		166,867
4.50%, 7/08/44		250		251,532
Symantec Corp., 2.75%, 6/15/17		150		149,804
				6,720,150
Specialty Retail — 0.3%
Advance Auto Parts, Inc., 4.50%, 12/01/23		250		254,907
AutoZone, Inc.:
3.70%, 4/15/22		50		50,869
3.13%, 7/15/23		250		245,218
3.25%, 4/15/25		165		159,536
Bed Bath & Beyond, Inc., 5.17%, 8/01/44		250		211,754
Home Depot, Inc.:
2.00%, 6/15/19		350		352,452
4.40%, 4/01/21		150		165,183
2.63%, 6/01/22		750		749,216
3.35%, 9/15/25		545		556,915
5.88%, 12/16/36		100		121,884
4.20%, 4/01/43		250		250,436
4.40%, 3/15/45		250		258,389
Lowe’s Cos., Inc.:
1.63%, 4/15/17		200		201,242
4.63%, 4/15/20		100		108,233
3.12%, 4/15/22		100		102,265
5.00%, 9/15/43		150		164,772
4.25%, 9/15/44		250		248,818
Macy’s Retail Holdings, Inc.:
5.90%, 12/01/16		11		11,414
3.88%, 1/15/22		300		295,407
4.38%, 9/01/23		200		199,214
3.63%, 6/01/24		250		229,341
QVC, Inc., 5.45%, 8/15/34		200		173,006
Staples, Inc., 2.75%, 1/12/18		150		149,061
				5,259,532
Technology Hardware, Storage & Peripherals — 0.3%
Adobe Systems, Inc., 3.25%, 2/01/25		70		68,319
Apple, Inc.:
1.05%, 5/05/17		500		500,293
1.00%, 5/03/18		500		495,937

See Notes to Financial Statements.

34 BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015

Schedule of Investments (continued) U.S. Total Bond Index Master Portfolio

Corporate Bonds	Par   (000)		Value
Technology Hardware, Storage & Peripherals (continued)
Apple, Inc. (continued):
2.50%, 2/09/25	$	140	$	133,686
3.20%, 5/13/25		750		759,077
3.85%, 5/04/43		250		230,328
4.45%, 5/06/44		250		252,141
3.45%, 2/09/45		350		301,335
EMC Corp.:
1.88%, 6/01/18		250		233,270
2.65%, 6/01/20		250		222,052
Hewlett Packard Enterprise Co., 4.90%, 10/15/25 (a)		750		735,460
Hewlett-Packard Co.:
4.65%, 12/09/21		100		99,622
6.00%, 9/15/41		150		130,970
NetApp, Inc.:
2.00%, 12/15/17		350		347,654
3.38%, 6/15/21		105		102,528
				4,612,672
Textiles, Apparel & Luxury Goods — 0.0%
VF Corp., 3.50%, 9/01/21		100		104,529
Tobacco — 0.3%
Altria Group, Inc.:
9.25%, 8/06/19		45		55,079
2.63%, 1/14/20		250		250,464
2.85%, 8/09/22		250		243,720
10.20%, 2/06/39		33		54,115
4.50%, 5/02/43		400		379,699
5.38%, 1/31/44		70		75,295
Philip Morris International, Inc.:
1.13%, 8/21/17		250		249,638
1.88%, 1/15/19		250		249,295
4.13%, 5/17/21		50		53,107
2.63%, 3/06/23		250		245,125
3.38%, 8/11/25		750		758,967
4.50%, 3/20/42		50		49,621
3.88%, 8/21/42		100		91,341
4.13%, 3/04/43		200		189,051
Reynolds American, Inc.:
6.88%, 5/01/20		250		288,404
3.25%, 6/12/20		250		254,076
5.70%, 8/15/35		75		82,186
4.75%, 11/01/42		150		143,172
6.15%, 9/15/43		150		170,161
5.85%, 8/15/45		250		277,935
				4,160,451
Trading Companies & Distributors — 0.0%
GATX Corp.:
1.25%, 3/04/17		500		494,991
2.38%, 7/30/18		150		148,915
				643,906
Transportation Infrastructure — 0.0%
Ryder System, Inc.:
2.50%, 3/01/17		150		151,003
2.35%, 2/26/19		500		495,552
				646,555

Corporate Bonds	Par   (000)		Value
Water Utilities — 0.0%
American Water Capital Corp.:
3.40%, 3/01/25	$	250	$	253,989
4.30%, 9/01/45		250		253,026
United Utilities PLC, 5.38%, 2/01/19		50		53,649
				560,664
Wireless Telecommunication Services — 0.1%
America Movil SAB de CV:
5.00%, 3/30/20		200		217,026
4.38%, 7/16/42		350		309,139
Rogers Communications, Inc.:
3.00%, 3/15/23		150		145,639
3.63%, 12/15/25		65		63,935
5.00%, 3/15/44		250		251,689
Vodafone Group PLC:
1.63%, 3/20/17		250		249,623
7.88%, 2/15/30		100		121,948
4.38%, 2/19/43		450		370,941
				1,729,940
Total Corporate Bonds — 24.5%				388,830,192
Foreign Agency Obligations
Asian Development Bank:
0.75%, 7/28/17		750		745,819
1.50%, 9/28/18		1,000		1,001,985
Brazilian Government International Bond:
8.00%, 1/15/18		69		71,701
5.88%, 1/15/19		150		153,000
4.88%, 1/22/21		299		276,575
2.63%, 1/05/23		250		190,000
4.25%, 1/07/25		500		402,500
5.63%, 1/07/41		100		72,500
Canada Government International Bond, 1.63%, 2/27/19		500		500,450
Colombia Government International Bond:
4.38%, 7/12/21		250		251,250
2.63%, 3/15/23		250		219,625
4.00%, 2/26/24		750		714,375
4.50%, 1/28/26		250		238,750
7.38%, 9/18/37		100		110,250
5.63%, 2/26/44		200		182,500
5.00%, 6/15/45		250		208,750
Corporacion Andina de Fomento, 1.50%, 8/08/17		143		142,263
Council of Europe Development Bank:
1.00%, 3/07/18		250		248,339
1.63%, 3/10/20		250		247,916
European Bank for Reconstruction & Development, 1.00%, 2/16/17		1,250		1,252,187
European Investment Bank:
1.75%, 3/15/17		500		504,191
0.88%, 4/18/17		1,500		1,496,662
1.63%, 6/15/17		500		503,846
1.00%, 8/17/17		1,500		1,495,791
1.00%, 3/15/18		250		247,959
1.00%, 6/15/18		250		247,564
1.13%, 8/15/18		1,000		991,218
1.88%, 3/15/19		500		503,707
1.75%, 6/17/19		500		501,333

See Notes to Financial Statements.

BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015 35

Schedule of Investments (continued) U.S. Total Bond Index Master Portfolio

Foreign Agency Obligations	Par   (000)		Value
European Investment Bank (continued):
1.38%, 6/15/20	$	1,000	$	976,446
1.63%, 12/15/20		500		490,602
Export Development Canada:
1.75%, 8/19/19		500		501,798
1.75%, 7/21/20		500		498,135
Inter-American Development Bank:
1.25%, 1/16/18		1,000		1,001,763
0.88%, 3/15/18		1,000		992,243
1.75%, 10/15/19		500		501,741
1.75%, 4/14/22		750		733,520
Series GDP, 1.25%, 10/15/19		500		492,138
International Bank for Reconstruction & Development:
1.00%, 10/05/18		1,000		988,661
Series GDIF, 1.00%, 11/15/17		500		499,164
Series GDIF, 1.38%, 4/10/18		1,000		1,003,864
Series GDIF, 1.00%, 6/15/18		1,500		1,487,517
International Finance Corp., 1.75%, 9/16/19		1,500		1,498,729
Israel Government International Bond, 4.50%, 1/30/43		200		200,500
Italian Government International Bond:
6.88%, 9/27/23		100		122,871
5.38%, 6/15/33		250		285,351
Japan Bank for International Cooperation, 2.13%, 2/07/19		200		201,056
KFW:
1.25%, 2/15/17		750		751,132
0.75%, 3/17/17		1,500		1,495,132
1.50%, 4/20/20		500		492,543
2.75%, 10/01/20		500		517,867
Korea International Bond, 4.13%, 6/10/44		250		281,800
Mexico Government International Bond:
5.63%, 1/15/17		500		519,500
8.13%, 12/30/19		100		124,250
5.13%, 1/15/20		100		109,000
3.63%, 3/15/22		500		503,000
4.00%, 10/02/23		250		253,250
3.60%, 1/30/25		500		487,250
6.75%, 9/27/34		150		180,000
6.05%, 1/11/40		300		328,500
4.75%, 3/08/44		450		409,950
5.55%, 1/21/45		775		794,375
Nordic Investment Bank, 1.13%, 3/19/18		500		498,418
Panama Government International Bond:
5.20%, 1/30/20		350		379,750
3.75%, 3/16/25		500		490,000
6.70%, 1/26/36		350		415,625
Peruvian Government International Bond:
7.35%, 7/21/25		400		501,500
8.75%, 11/21/33		191		269,310
5.63%, 11/18/50		150		153,000
Philippine Government International Bond:
4.00%, 1/15/21		500		541,057
4.20%, 1/21/24		500		541,593
7.75%, 1/14/31		500		702,485
6.38%, 10/23/34		250		325,943
3.95%, 1/20/40		250		252,909
Poland Government International Bond:
6.38%, 7/15/19		250		285,625
3.00%, 3/17/23		200		198,000

Foreign Agency Obligations	Par   (000)		Value
Poland Government International Bond (continued):
4.00%, 1/22/24	$	250	$	263,000
Province of Manitoba Canada, 1.13%, 6/01/18		500		494,334
Province of Ontario Canada:
1.20%, 2/14/18		750		745,623
2.00%, 9/27/18		500		504,124
2.00%, 1/30/19		500		502,238
4.40%, 4/14/20		200		218,587
1.88%, 5/21/20		500		495,252
Province of Quebec Canada:
3.50%, 7/29/20		500		528,781
2.75%, 8/25/21		500		505,896
2.63%, 2/13/23		250		247,839
South Africa Government International Bond:
4.67%, 1/17/24		200		190,250
5.38%, 7/24/44		200		180,000
Svensk Exportkredit AB, 1.88%, 6/17/19		500		500,972
Turkey Government International Bond:
7.50%, 11/07/19		500		560,635
5.63%, 3/30/21		500		528,702
3.25%, 3/23/23		750		687,042
5.75%, 3/22/24		700		739,564
4.25%, 4/14/26		500		468,776
6.88%, 3/17/36		250		279,970
6.00%, 1/14/41		500		510,875
6.63%, 2/17/45		250		280,150
Uruguay Government International Bond:
8.00%, 11/18/22		150		186,570
4.50%, 8/14/24		250		253,750
5.10%, 6/18/50		250		215,625
Total Foreign Agency Obligations — 3.1%				49,090,424
Municipal Bonds
American Municipal Power, Inc., RB, Build America Bonds, Combined Hydroelectric Projects, Series B, 7.83%, 2/15/41		150		205,728
Bay Area Toll Authority, RB, Build America Bonds, San Francisco Toll Bridge:
Series S-1, 6.92%, 4/01/40		100		131,722
Series S-1, 7.04%, 4/01/50		100		137,618
Series S-3, 6.91%, 10/01/50		200		273,038
Chicago Transit Authority, RB, Series A, 6.90%, 12/01/40		100		115,405
City & County of Denver Colorado School District No. 1, COP, Refunding, Series B, 4.24%, 12/15/37		50		49,445
City & County of San Francisco California Public Utilities Commission Water Revenue, RB, Build America Bonds, Sub-Series G, 6.95%, 11/01/50		100		139,907
City of Los Angeles California Department of Water & Power, RB, Build America Bonds:
5.72%, 7/01/39		100		120,459
6.60%, 7/01/50		90		122,756
City of New York New York, GO, 5.97%, 3/01/36		100		123,617
City of New York New York Transitional Finance Authority, RB, Build America Bonds, Future Tax Secured, Sub-Series B-1, 5.57%, 11/01/38		100		120,556
City Public Service Board of San Antonio Texas, RB, 4.43%, 2/01/42		170		178,779

See Notes to Financial Statements.

36 BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015

Schedule of Investments (continued) U.S. Total Bond Index Master Portfolio

Municipal Bonds	Par   (000)		Value
Commonwealth of Massachusetts, GO, Build America Bonds, 5.46%, 12/01/39	$	100	$	120,548
Commonwealth of Pennsylvania, GO, Build America Bonds, 4.65%, 2/15/26		100		107,708
County of Los Angeles California Metropolitan Transportation Authority, RB, Build America Bonds, 5.74%, 6/01/39		100		121,551
County of San Diego California Water Authority, RB, Build America Bonds, Series B, 6.14%, 5/01/49		100		129,698
County of Sonoma California, Refunding RB, Series A, 6.00%, 12/01/29		100		116,632
Dallas Area Rapid Transit, RB, Build America Bonds, Senior Lien, Series B, 5.02%, 12/01/48		160		186,885
District of Columbia, RB, Series E, 5.59%, 12/01/34		200		239,502
East Bay Municipal Utility District, RB, Build America Bonds, 5.87%, 6/01/40		100		124,926
Florida Hurricane Catastrophe Fund Finance Corp., RB, Series A, 3.00%, 7/01/20		100		101,412
Illinois State Toll Highway Authority, RB, Build America Bonds, 5.85%, 12/01/34		100		120,372
JobsOhio Beverage System, Refunding RB, Series B, 4.53%, 1/01/35		100		105,825
Los Angeles Community College District, GO, 6.75%, 8/01/49		100		141,305
Los Angeles Unified School District, GO, 6.76%, 7/01/34		150		197,628
Massachusetts Institute of Technology, 4.68%, 7/01/14		300		309,525
Massachusetts School Building Authority, RB, 5.72%, 8/15/39		100		121,645
Metropolitan Transportation Authority, RB, Build America Bonds, Series C-1, 6.69%, 11/15/40		305		399,187
Metropolitan Water Reclamation District of Greater Chicago, GO, Build America Bonds, 5.72%, 12/01/38		150		172,104
Municipal Electric Authority of Georgia Plant Vogtle Units 3 & 4, Refunding RB, Build America Bonds, Series A, 6.64%, 4/01/57		125		148,874
New Jersey EDA, RB, Series A (NPFGC), 7.43%, 2/15/29		200		227,116
New Jersey State Turnpike Authority, RB, Build America Bonds, Series F, 7.41%, 1/01/40		400		568,544
New York City Transitional Finance Authority Future Tax Secured Revenue, RB, Future Tax Secured, Build America Bonds, 5.77%, 8/01/36		100		120,728
New York City Water & Sewer System, RB, Build America Bonds, 2nd General Resolution, Fiscal 2020, Series DD, 5.95%, 6/15/42		115		148,506
New York State Dormitory Authority, RB, Build America Bonds, Series H, 5.43%, 3/15/39		135		159,174
New York State Urban Development Corp., RB, 5.77%, 3/15/39		200		242,508
North Texas Tollway Authority, RB, Build America Bonds, Series B, 6.72%, 1/01/49		100		137,050
Ohio State University, RB, Build America Bonds, Series C, 4.91%, 6/01/40		100		112,147
Ohio State Water Development Authority, RB, Build America Bonds, Series B-2, 4.88%, 12/01/34		100		112,031
Port Authority of New York & New Jersey, RB:
158th Series, 5.86%, 12/01/24		100		121,608
159th Series, 6.04%, 12/01/29		200		240,356

Municipal Bonds	Par   (000)		Value
Port Authority of New York & New Jersey, RB (continued):
182nd Series, 5.31%, 8/01/46	$	100	$	105,630
Port Authority of New York & New Jersey, Refunding RB, 174th Series, 4.46%, 10/01/62		100		95,216
Regents of the University of California Medical Center Pooled Revenue, Refunding RB, Series F, 6.58%, 5/15/49		100		128,393
Santa Clara Valley Transportation Authority, RB, Build America Bonds, Series A, 5.88%, 4/01/32		100		119,849
State of California, GO:
5.70%, 11/01/21		200		234,274
Build America Bonds, Various Purpose, 7.50%, 4/01/34		145		203,022
Build America Bonds, Various Purpose, 7.55%, 4/01/39		675		981,227
Build America Bonds, Various Purpose, 7.35%, 11/01/39		100		140,382
Build America Bonds, Various Purposes, 7.60%, 11/01/40		200		297,280
State of Connecticut, GO, Build America Bonds, Series D, 5.09%, 10/01/30		150		166,095
State of Illinois, GO:
5.67%, 3/01/18		200		210,790
Pension, 5.10%, 6/01/33		900		851,445
State of Oregon, GO, Pension, 5.76%, 6/01/23		100		114,388
State of Texas, GO, Build America Bonds, Series A, 5.52%, 4/01/39		100		124,929
State of Washington, GO, Build America Bonds, Series D, 5.48%, 8/01/39		175		211,568
Texas Transportation Commission, RB, 1st Tier, Build America Bonds, Series B, 5.18%, 4/01/30		200		235,140
University of California, RB, Series AD, 4.86%, 5/15/12		300		286,977
University of California, Refunding RB, Series AJ, 4.60%, 5/15/31		150		159,859
University of California Medical Center, RB, Build America Bonds, Series H, 6.55%, 5/15/48		50		64,335
University of North Carolina at Chapel Hill, Refunding RB, 3.85%, 12/01/34		400		414,936
University of Virginia, RB, Build America Bonds, 6.20%, 9/01/39		140		191,325
Virginia Commonwealth Transportation Board, RB, Build America Bonds, Series A-2, 5.35%, 5/15/35		75		86,182
Total Municipal Bonds — 0.8%				12,297,367
Non-Agency Mortgage-Backed Securities
Commercial Mortgage-Backed Securities — 1.4%
Banc of America Commercial Mortgage Trust, Series 2007-5, Class A4, 5.49%, 2/10/51		339		351,210
Bear Stearns Commercial Mortgage Securities Trust (d):
Series 2007-PW16, Class AM, 5.72%, 6/11/40		700		728,657
Series 2007-T26, Class A4, 5.47%, 1/12/45		1,237		1,272,820
Citigroup Commercial Mortgage Trust, Class A4:
Series 2013-GC17, 4.13%, 11/10/46		750		794,168

See Notes to Financial Statements.

BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015 37

Schedule of Investments (continued) U.S. Total Bond Index Master Portfolio

Non-Agency Mortgage-Backed Securities	Par   (000)		Value
Commercial Mortgage-Backed Securities (continued)
Citigroup Commercial Mortgage Trust, Class A4 (continued):
Series 2014-GC25, 3.64%, 10/10/47	$	500	$	508,295
Commercial Mortgage Trust:
Series 2013-CR09, Class A4, 4.23%, 7/10/45 (d)		700		752,214
Series 2013-CR12, Class A4, 4.05%, 10/10/46		300		316,549
Series 2013-CR8, Class A5, 3.61%, 6/10/46 (d)		1,900		1,956,794
Series 2014-UBS2, Class A5, 3.96%, 3/10/47		500		518,545
Series 2015-PC1, Class A5, 3.90%, 7/10/50		1,500		1,544,363
Credit Suisse Commercial Mortgage Trust Series, Series 2007-C3, Class A4, 5.70%, 6/15/39 (d)		220		225,968
CSAIL Commercial Mortgage Securities Trust, Series 2015-C3, Class A4, 3.72%, 8/15/48		1,000		1,013,057
Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.74%, 12/10/49		282		290,521
GS Mortgage Securities Corp. II:
Series 2012-GCJ9, Class A3, 2.77%, 11/10/45		250		245,924
Series 2015-GC30, Class A4, 3.38%, 5/10/50		600		596,874
GS Mortgage Securities Trust, Series 2007-GG10, Class A4, 5.79%, 8/10/45 (d)		269		276,171
JPMBB Commercial Mortgage Securities Trust:
Series 2014-C18, Class A5, 4.08%, 2/15/47		250		262,808
Series 2014-C22, Class A4, 3.80%, 9/15/47		300		307,141
Series 2015-C29, Class A2, 2.92%, 5/15/48		1,000		1,014,848
JPMorgan Chase Commercial Mortgage Securities Trust:
Series 2011-C5, Class A3, 4.17%, 8/15/46		650		692,181
Series 2012-LC9, Class A3, 2.48%, 12/15/47		300		296,883
Series 2013-C16, Class A2, 3.07%, 12/15/46		850		867,711
Series 2014-C19, Class A2, 3.05%, 4/15/47		300		306,189
Series 2014-C20, Class A5, 3.80%, 7/15/47		1,400		1,441,723
LB-UBS Commercial Mortgage Trust, Series 2007-C7, Class A3, 5.87%, 9/15/45 (d)		258		270,530
ML-CFC Commercial Mortgage Trust, Series 2007-9, Class AM, 5.86%, 9/12/49 (d)		675		719,245
Morgan Stanley Capital I Trust, Series 2007-IQ14, Class A4, 5.69%, 4/15/49 (d)		1,500		1,538,438
Wells Fargo Commercial Mortgage Trust:
Series 2013-LC12, Class A4, 4.22%, 7/15/46 (d)		200		213,134
Series 2015-C27, Class A5, 3.45%, 2/15/48		1,500		1,498,720
WFRBS Commercial Mortgage Trust, Series 2013-C11, Class A5, 3.07%, 3/15/45		500		498,500
				21,320,181
Total Non-Agency Mortgage-Backed Securities — 1.4%				21,320,181

Preferred Securities	Par   (000)		Value
Capital Trusts
Diversified Financial Services — 0.0%
General Electric Capital Corp., 6.38%, 11/15/67 (d)	$	250	$	261,075
Insurance — 0.0%
MetLife, Inc. 6.40%, 12/15/66		100		109,250
Prudential Financial, Inc. 5.63%, 6/15/43 (d)		100		102,250
				211,500
Total Preferred Securities — 0.0%				472,575
U.S. Government Sponsored Agency Securities
Agency Obligations — 2.4%
Fannie Mae:
0.88%, 12/20/17 - 5/21/18		4,828		4,794,182
1.13%, 4/27/17 - 7/20/18		5,310		5,301,579
1.63%, 1/21/20		500		498,115
3.50%, 12/01/45		5,424		5,600,510
6.25%, 5/15/29		2,850		3,863,953
6.63%, 11/15/30		149		211,004
7.25%, 5/15/30		550		813,029
Federal Home Loan Bank, 5.50%, 7/15/36		100		129,898
Federal Home Loan Mortgage Corp.:
0.75%, 1/12/18		2,000		1,983,904
1.20%, 10/29/18		2,200		2,183,933
Financing Corp., 8.60%, 9/26/19		200		249,228
Freddie Mac:
0.88%, 3/07/18		1,500		1,489,474
1.75%, 5/30/19		420		423,148
2.38%, 1/13/22		7,430		7,533,218
4.88%, 6/13/18		250		271,486
6.25%, 7/15/32		1,300		1,807,318
Tennessee Valley Authority:
3.50%, 12/15/42		140		129,286
6.25%, 12/15/17		400		438,569
				37,721,834
Commercial Mortgage-Backed Securities — 0.3%
Fannie Mae, Class A2 (d):
Series 2014-M6, 2.68%, 5/25/21		150		152,043
Series 2014-M13, 3.02%, 8/25/24		500		505,862
Freddie Mac:
Series K713, Class A2, 2.31%, 3/25/20		300		302,048
Series K026, Class A2, 2.51%, 11/25/22		200		198,467
Series K038, Class A1, 2.60%, 10/25/23		230		233,730
Series K014, Class A1, 2.79%, 10/25/20		97		99,106
Series K017, Class A2, 2.87%, 12/25/21		500		513,270
Series K033, Class A2, 3.06%, 7/25/23 (d)		100		101,985
Series K031, Class A2, 3.30%, 4/25/23 (d)		100		103,669
Series K006, Class A1, 3.40%, 7/25/19		395		406,879
Series K004, Class A1, 3.41%, 5/25/19		427		440,596
Series K037, Class A2, 3.49%, 1/25/24		200		208,820
Series K034, Class A2, 3.53%, 7/25/23 (d)		1,400		1,470,742
Series K003, Class A5, 5.09%, 3/25/19		300		326,394
Series K013, Class A2, 3.97%, 1/25/21		500		538,963
				5,602,574

See Notes to Financial Statements.

38 BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015

Schedule of Investments (continued) U.S. Total Bond Index Master Portfolio

U.S. Government Sponsored Agency Securities	Par   (000)		Value
Mortgage-Backed Securities — 29.7%
Fannie Mae Mortgage-Backed Securities:
1.89%, 4/01/43 (d)	$	345	$	352,495
1.93%, 5/01/43 (d)		802		821,371
2.06%, 6/01/43 (d)		768		777,735
2.48%, 8/01/42 (d)		256		262,004
2.50%, 9/01/46 (f)		18,074		18,207,299
2.84%, 8/01/41 (d)		73		76,693
3.00%, 1/01/27 - 1/01/46 (f)		48,437		49,006,516
3.13%, 11/01/40 (d)		40		42,530
3.50%, 2/01/26 - 1/01/46 (f)(g)		62,958		61,681,487
4.00%, 10/01/25 - 1/01/46 (f)		44,174		44,687,544
4.50%, 5/01/24 - 1/01/46 (f)		18,004		19,399,396
5.00%, 1/01/19 - 1/01/46 (f)		12,944		14,229,869
5.50%, 4/01/36 - 1/01/46 (f)		8,001		8,920,875
6.00%, 3/01/34 - 1/01/46 (f)		8,026		9,074,789
6.50%, 7/01/32		192		222,875
7.00%, 2/01/32		40		44,831
Freddie Mac Mortgage-Backed Securities:
1.76%, 6/01/43 (d)		179		182,035
2.50%, 7/01/28 - 1/01/31 (f)		8,866		8,951,563
2.51%, 9/01/40 (d)		66		70,102
2.95%, 8/01/41 (d)		47		49,882
3.00%, 3/01/27 - 1/01/46 (f)(g)		30,980		31,331,107
3.50%, 1/01/31 - 1/01/46 (f)		38,097		39,325,904
4.00%, 5/01/19 - 1/01/46 (f)(g)		24,601		25,978,148
4.50%, 4/01/18 - 1/01/46 (f)		11,621		12,491,308
5.00%, 10/01/18 - 1/01/46 (f)		3,684		4,027,727
5.50%, 6/01/35 - 1/01/46 (f)		3,450		3,812,076
6.50%, 6/01/31		93		106,099
8.00%, 12/01/24		192		212,698
Ginnie Mae Mortgage-Backed Securities:
2.50%, 5/20/45		1,227		1,194,879
3.00%, 5/15/43 - 1/01/46 (f)		22,610		22,923,978
3.50%, 9/20/42 - 1/01/46 (f)(g)		43,760		45,664,862
4.00%, 3/15/41 - 1/01/46 (f)		24,256		25,773,536
4.50%, 7/15/39 - 1/01/46 (f)		13,089		14,104,723
5.00%, 11/15/39 - 1/01/46 (f)		5,286		5,837,812
5.50%, 12/15/32 - 7/20/40		628		694,512
6.00%, 3/15/35 - 10/20/38		386		438,312
6.50%, 9/15/36		182		219,027
7.50%, 12/15/23		195		223,065
				471,421,664
Total U.S. Government Sponsored Agency Securities — 32.4%				514,746,072
U.S. Treasury Obligations
U.S. Treasury Bonds:
8.75%, 5/15/17		2,100		2,321,813
8.75%, 8/15/20		400		523,812
7.63%, 11/15/22		3,400		4,614,439
6.25%, 8/15/23		50		64,535
7.63%, 2/15/25		375		542,139
6.00%, 2/15/26		3,750		5,006,689
6.50%, 11/15/26		400		559,672
6.13%, 11/15/27		2,080		2,879,419
6.13%, 8/15/29		2,500		3,548,047
5.38%, 2/15/31		1,500		2,034,083
4.75%, 2/15/37		2,500		3,313,672

U.S. Treasury Obligations	Par   (000)		Value
U.S. Treasury Bonds (continued):
4.38%, 2/15/38	$	2,500	$	3,154,883
4.50%, 5/15/38		1,000		1,283,984
3.50%, 2/15/39		1,300		1,437,922
4.25%, 5/15/39		2,775		3,427,883
4.50%, 8/15/39		1,700		2,175,669
4.38%, 11/15/39		1,800		2,263,289
4.63%, 2/15/40		1,230		1,602,123
4.38%, 5/15/40		1,650		2,076,164
3.88%, 8/15/40		860		1,005,461
4.25%, 11/15/40		4,528		5,597,917
4.75%, 2/15/41		200		265,859
4.38%, 5/15/41		610		769,815
3.75%, 8/15/41		1,550		1,780,502
3.13%, 11/15/41		400		413,250
3.13%, 2/15/42		4,850		5,007,814
3.00%, 5/15/42		480		482,963
2.75%, 8/15/42		750		716,865
2.75%, 11/15/42		4,200		4,004,603
3.13%, 2/15/43		3,050		3,126,012
2.88%, 5/15/43		250		243,750
3.63%, 8/15/43		2,500		2,815,528
3.75%, 11/15/43		1,700		1,958,055
3.63%, 2/15/44		1,000		1,124,922
3.38%, 5/15/44		1,600		1,717,125
3.13%, 8/15/44		2,500		2,554,980
3.00%, 11/15/44		5,500		5,480,018
2.50%, 2/15/45		4,500		4,037,521
3.00%, 5/15/45		7,800		7,764,354
2.88%, 8/15/45		5,000		4,856,055
3.00%, 11/15/45		2,300		2,293,082
U.S. Treasury Notes:
0.88%, 1/31/17		7,600		7,600,593
0.63%, 2/15/17		15,200		15,161,407
4.63%, 2/15/17		3,650		3,799,851
0.88%, 2/28/17		2,950		2,951,153
1.00%, 3/31/17		5,000		5,007,810
0.88%, 4/15/17		4,000		3,999,064
0.63%, 5/31/17		6,500		6,471,309
2.75%, 5/31/17		5,000		5,126,560
0.63%, 6/30/17		7,000		6,964,727
0.75%, 6/30/17		1,510		1,505,281
2.50%, 6/30/17		3,280		3,353,032
0.88%, 7/15/17		4,000		3,993,280
0.50%, 7/31/17		900		893,180
2.38%, 7/31/17		3,000		3,063,282
4.75%, 8/15/17		3,800		4,028,148
0.63%, 8/31/17		521		517,662
1.88%, 8/31/17		1,870		1,895,640
1.00%, 9/15/17		9,000		8,994,726
0.88%, 10/15/17		4,710		4,695,832
1.88%, 10/31/17		5,000		5,072,460
0.88%, 11/15/17		14,000		13,951,322
2.25%, 11/30/17		7,000		7,154,763
1.00%, 12/15/17		8,344		8,332,594
2.63%, 1/31/18		2,000		2,061,876
1.00%, 2/15/18		4,500		4,485,937
0.75%, 2/28/18		4,500		4,461,678
2.75%, 2/28/18		1,300		1,344,637
1.00%, 3/15/18		5,000		4,982,615
0.75%, 4/15/18		9,000		8,912,808

See Notes to Financial Statements.

BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015 39

Schedule of Investments (continued) U.S. Total Bond Index Master Portfolio

U.S. Treasury Obligations	Par   (000)		Value
U.S. Treasury Notes (continued):
0.63%, 4/30/18	$	1,500	$	1,480,722
2.63%, 4/30/18		5,000		5,168,165
1.00%, 5/15/18		7,000		6,965,273
2.25%, 7/31/18		3,000		3,078,282
4.00%, 8/15/18		500		536,387
1.38%, 9/30/18		2,400		2,407,500
0.88%, 10/15/18		7,000		6,922,888
1.25%, 10/31/18		7,700		7,689,174
1.75%, 10/31/18		2,250		2,278,917
1.38%, 12/31/18		4,030		4,032,990
1.50%, 12/31/18		31,315		31,456,888
1.25%, 1/31/19		6,400		6,378,502
1.63%, 3/31/19		1,500		1,509,375
1.25%, 4/30/19		4,300		4,272,622
1.13%, 5/31/19		1,880		1,858,997
1.00%, 6/30/19		2,000		1,966,954
1.63%, 6/30/19		2,000		2,008,984
0.88%, 7/31/19		1,500		1,466,133
1.00%, 8/31/19		2,300		2,254,628
1.63%, 8/31/19		2,000		2,005,704
3.38%, 11/15/19		3,100		3,310,217
1.50%, 11/30/19		6,500		6,474,104
1.13%, 12/31/19		4,750		4,659,826
1.63%, 12/31/19		12,500		12,500,487
1.38%, 1/31/20		750		742,178
3.63%, 2/15/20		2,500		2,696,485
1.25%, 2/29/20		6,200		6,098,525
1.38%, 2/29/20		5,700		5,634,541
1.13%, 3/31/20		1,500		1,466,250
1.13%, 4/30/20		2,700		2,638,300
1.38%, 4/30/20		6,200		6,119,834
1.38%, 5/31/20		4,400		4,336,750
1.88%, 6/30/20		2,000		2,013,984
2.00%, 7/31/20		6,500		6,574,646
2.63%, 8/15/20		4,140		4,300,586
2.13%, 8/31/20		7,000		7,112,931
1.38%, 10/31/20		10,000		9,823,440
1.75%, 10/31/20		500		499,219
2.63%, 11/15/20		1,000		1,038,984
1.63%, 11/30/20		6,000		5,964,372
2.00%, 11/30/20		8,300		8,383,971
2.38%, 12/31/20		5,400		5,552,086
2.13%, 1/31/21		2,800		2,841,345
3.63%, 2/15/21		2,310		2,510,952
2.00%, 2/28/21		7,700		7,764,064
2.25%, 3/31/21		7,500		7,652,340
2.00%, 8/31/21		4,500		4,519,687
2.13%, 9/30/21		4,900		4,951,680
2.00%, 11/15/21		3,700		3,710,841
1.88%, 11/30/21		11,000		10,954,449
2.13%, 12/31/21		7,000		7,061,796
1.50%, 1/31/22		6,000		5,832,654
2.00%, 2/15/22		1,500		1,502,696
1.75%, 3/31/22		9,100		8,959,942
1.75%, 4/30/22		3,000		2,951,952

U.S. Treasury Obligations	Par   (000)		Value
U.S. Treasury Notes (continued):
2.13%, 6/30/22	$	8,000	$	8,041,248
1.63%, 8/15/22		3,000		2,922,069
1.88%, 8/31/22		2,000		1,976,954
1.63%, 11/15/22		3,000		2,914,335
2.00%, 11/30/22		14,000		13,923,434
1.75%, 5/15/23		1,000		974,258
2.75%, 11/15/23		2,500		2,609,083
2.50%, 5/15/24		2,300		2,350,223
2.38%, 8/15/24		7,500		7,578,225
2.25%, 11/15/24		8,980		8,975,438
2.00%, 2/15/25		11,984		11,714,827
2.25%, 11/15/25		1,800		1,795,991
4.50%, 2/15/36		2,616		3,352,566
Total U.S. Treasury Obligations — 37.5%				595,653,765
Total Long-Term Investments (Cost — $1,599,765,702) — 100.2%				1,590,914,388
Short-Term Securities	Shares
Short-Term Securities — 12.0%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.35% (b)(h)(i)		190,311,931		190,311,931
BlackRock Cash Funds: Prime, SL Agency Shares, 0.31 (b)(h)(i)		258,161		258,161
Total Short-Term Securities (Cost — $190,570,092) — 12.0%				190,570,092
Total Investments Before TBA Sale Commitments (Cost — $1,790,335,794) — 112.2%				1,781,484,480
TBA Sale Commitments	Par   (000)
Fannie Mae Mortgage-Backed Securities (f):
2.50%, 1/01/31	$	1,764		(1,778,057	)
3.00%, 1/01/46		283		(283,000	)
3.50%, 1/01/31 – 1//01/46		8,230		(8,496,073	)
4.00%, 1/01/46		4,266		(4,514,628	)
Freddie Mac Mortgage-Backed Securities (f):
3.00%, 1/01/46		440		(439,381	)
3.50%, 1/01/46		5,472		(5,634,450	)
4.00%, 1/01/46		2,194		(2,318,098	)
4.50%, 1/01/31		150		(154,828	)
5.00%, 1/01/46		800		(873,500	)
Ginnie Mae Mortgage-Backed Securities, TBA, 3.50%, 1/15/46 (f)		760		(792,419	)
Total TBA Sale Commitments (Proceeds — $25,268,803) — (1.6)%				(25,284,434	)
Total Investments, Net of TBA Sale Commitments (Cost — $1,765,066,991) — 110.6%				1,756,200,046
Liabilities in Excess of Other Assets — (10.6)%				(167,826,028	)
Net Assets — 100.0%			$	1,588,374,018

See Notes to Financial Statements.

40 BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015

Schedule of Investments (continued) U.S. Total Bond Index Master Portfolio

Notes to Schedule of Investments

(a) 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.

(b) During the year ended December 31, 2015, investments in issuers considered to be affiliates of the Master Portfolio for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/Par Held at December 31, 2014		Shares/Par Purchased			Shares/Par Sold			Shares/Par Held at December 31, 2015		Value at December 31, 2015		Income
BlackRock Cash Funds:
Institutional, SL Agency Shares		251,106,435		—			(60,794,504	)1		190,311,931	$	190,311,931	$	458,650	3
BlackRock Cash Funds:
Prime, SL Agency Shares		—		258,161	2		—			258,161	$	258,161	$	4,247	3
PNC Bank NA, 2.20%, 1/28/19	$	500,000		—			—		$	500,000	$	501,632	$	11,000
PNC Bank NA, 2.25%, 7/02/19	$	350,000		—			—		$	350,000	$	351,554	$	7,875
PNC Bank NA, 2.30%, 6/1/20		—	$	500,000			—		$	500,000	$	495,523	$	5,590
PNC Bank NA, 2.45%, 11/5/20		—	$	250,000			—		$	250,000	$	248,877	$	476
PNC Bank NA, 2.95%, 1/30/23	$	250,000		—			—		$	250,000	$	242,404	$	7,375
PNC Funding Corp., 5.63, 2/1/17	$	150,000		—			—		$	150,000	$	155,944	$	8,438
PNC Funding Corp., 3.30%, 3/08/22	$	150,000		—			—		$	150,000	$	153,574	$	4,950
1    Represents net shares sold.
2    Represents net shares purchased.
3    Represents all or a portion of securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees, and other payments to and from borrowers of securities, and less the collateral investment expenses.

(c) 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.

(d) Variable rate security. Rate as of period end.

(e) Security, or a portion of security, is on loan.

(f) Represents or includes a TBA transaction. As of period end, unsettled TBA transactions were as follows:

Counterparty	Value			Unrealized Appreciation (Depreciation)
Bank of America Securities LLC	$	794,187		$	2,422
Barclays Bank PLC	$	9,712,969		$	(2,452	)
Citigroup GlobalMarkets, Inc.	$	48,525,268		$	45,086
Credit Suisse Securities (USA) LLC	$	39,141,147		$	(34,258	)
Goldman Sachs & Co.	$	3,208,002		$	2,743
J.P.Morgan Securities LLC	$	29,393,930		$	(7,418	)
Morgan Stanley & Co. LLC	$	9,584,488		$	43
Nomura Securities International, Inc.	$	6,151,151		$	(2,514	)
RBC CapitalMarkets, LLC	$	(4,901,007	)	$	(15,665	)
Wells Fargo Securities, LLC	$	12,567,046		$	40,730

(g) When-issued security.

(h) Current yield as of period end.

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

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments. For information about the Master Portfolio’s policy regarding valuation of investments, refer to the Notes to Financial Statements.

See Notes to Financial Statements.

BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015 41

Schedule of Investments (concluded) U.S. Total Bond Index Master Portfolio

The following table summarizes the Master Portfolio’s investments categorized in the disclosure hierarchy:

	Level 1		Level 2			Level 3		Total
Assets:
Investments:
Long-Term Investments:
Asset-Backed Securities		—	$	8,503,812			—	$	8,503,812
Corporate Bonds		—		388,830,192			—		388,830,192
Foreign Agency Obligations		—		49,090,424			—		49,090,424
Municipal Bonds1		—		12,297,367			—		12,297,367
Non-Agency Mortgage-Backed Securities		—		21,320,181			—		21,320,181
Preferred Securities		—		472,575			—		472,575
U.S. Government Sponsored Agency Securities		—		514,746,072			—		514,746,072
U.S. Treasury Obligations		—		595,653,765			—		595,653,765
Short-Term Securities	$	190,570,092		—			—		190,570,092
Liabilities:
Investments:
TBA Sale Commitments		—		(25,284,434	)		—		(25,284,434	)
Total	$	190,570,092	$	1,565,629,954			—	$	1,756,200,046

The Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

	Level 1		Level 2			Level 3		Total
Assets:
Cash	$	28,320		—			—	$	28,320
Liabilities:
Cash received as collateral for TBA commitments		—	$	(11,000	)		—		(11,000	)
Collateral on securities loaned at value		—		(592,500	)		—		(592,500	)
Total	$	28,320	$	(603,500	)		—	$	(575,180	)

During the year ended December 31, 2015, there were no transfers between levels.

See Notes to Financial Statements.

42 BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015

Statement of Assets and Liabilities U.S. Total Bond Index Master Portfolio

December 31, 2015
Assets
Investments at value — unaffiliated (including securities loaned of $567,622) (cost — $1,597,614,703)	$	1,588,764,880
Investments at value — affiliated (cost — $192,721,091)		192,719,600
Cash		28,320
Receivables:
TBA sale commitments		25,268,803
Investments sold		17,878,988
Interest		8,203,538
Contributions from investors		11,050,500
Principal paydowns		7,600
Securities lending income — affiliated		2,050
Total assets		1,843,924,279
Liabilities
TBA sale commitments at value (proceeds — $25,268,803)		25,284,434
Collateral on securities loaned at value		592,500
Payables:
Investments purchased		220,652,728
Withdrawals payable to investors		8,941,194
Investment advisory fees		32,004
Trustees’ fees payable		10,911
Other accrued expenses		25,490
Cash received as collateral for TBA commitments		11,000
Total liabilities		255,550,261
Net Assets	$	1,588,374,018
Net Assets Consist of
Investors’ capital	$	1,597,240,963
Net unrealized appreciation (depreciation)		(8,866,945	)
Net Assets	$	1,588,374,018

See Notes to Financial Statements.
	BLACKROCK U.S. TOTAL BOND INDEX FUND	DECEMBER 31, 2015	43

Statement of Operations U.S. Total Bond Index Master Portfolio

Year Ended December 31, 2015
Investment Income
Interest	$	27,272,266
Income — affiliated		498,853
Securities lending — affiliated — net		9,748
Total income		27,780,867
Expenses
Investment advisory		733,273
Professional		46,057
Trustees		43,477
Total expenses		822,807
Less fees waived by the Manager		(257,513	)
Total expenses after fees waived		565,294
Net investment income		27,215,573
Realized and Unrealized Gain (Loss)
Net realized gain from investments		2,186,271
Net change in unrealized appreciation (depreciation) on:
Investments — unaffiliated		(25,907,001	)
Investments affiliated		(6,498	)
		(25,913,499	)
Net realized and unrealized loss		(23,727,228	)
Net Increase in Net Assets Resulting from Operations	$	3,488,345

See Notes to Financial Statements.
44	BLACKROCK U.S. TOTAL BOND INDEX FUND	DECEMBER 31, 2015

Statements of Changes in Net Assets U.S. Total Bond Index Master Portfolio

	Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014
Operations
Net investment income	$	27,215,573		$	20,593,194
Net realized gain		2,186,271			14,296,029
Net change in unrealized appreciation (depreciation)		(25,913,499	)		31,803,664
Net increase in net assets resulting from operations		3,488,345			66,692,887
Capital Transactions
Proceeds from contributions		653,907,369			924,146,923
Value of withdrawals		(261,514,633	)		(732,116,664	)
Net increase in net assets derived from capital transactions		392,392,736			192,030,259
Net Assets
Total increase in net assets		395,881,081			258,723,146
Beginning of year		1,192,492,937			933,769,791
End of year	$	1,588,374,018		$	1,192,492,937

See Notes to Financial Statements.
	BLACKROCK U.S. TOTAL BOND INDEX FUND	DECEMBER 31, 2015	45

Financial Highlights U.S. Total Bond Index Master Portfolio

	Year Ended December 31,
	2015		2014		2013		2012		2011
Total Return
Total Return		0.40%		5.98%		(2.23)%		4.06%		7.67%
Ratios to Average Net Assets
Total expenses		0.06%		0.09%		0.09%		0.09%		0.13%
Total expenses after fees waived		0.04%		0.07%		0.08%		0.08%		0.08%
Net investment income		1.93%		1.76%		1.63%		1.86%		3.36%
Supplemental Data
Net assets, end of year (000)		$ 1,588,374		$ 1,192,493		$    933,770		$    481,572		$    127,484
Portfolio turnover rate1,2		356%		476%		417%		436%		122%

¹  Portfolio turnover rate includes TBA transactions, if any.

²  Includes MDRs. Additional information regarding portfolio turnover rate is as follows:

	Year Ended December 31,
	2015		2014		2013		2012		2011
Portfolio turnover rate (excluding MDRs)		300%		244%		214%		231%		121%

See Notes to Financial Statements.
46	BLACKROCK U.S. TOTAL BOND INDEX FUND	DECEMBER 31, 2015

Notes to Financial Statements U.S. Total Bond Index Master Portfolio

1. Organization

U.S. Total Bond Index Master Portfolio (the “Master Portfolio”) (formerly known as Bond Index Master Portfolio), a series of Master Investment Portfolio (“MIP”), is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a diversified, open-end management investment company. MIP is organized as a Delaware statutory trust.

The Master Portfolio, together with certain other registered investment companies advised by BlackRock Fund Advisors (the “Manager”) or its affiliates, is included in a complex of open-end funds referred to as the Equity-Liquidity Complex.

2. Significant Accounting Policies:

The Master Portfolio’s 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:

Segregation and Collateralization: In cases where the Master Portfolio enters into certain investments (e.g., financial futures contracts and forward foreign currency exchange 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.

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.

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 fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statement of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges. Effective September 2015, the arrangement with its custodian for earning credits on uninvested cash balances has ceased and the custodian will be imposing fees on certain uninvested cash balances.

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: The Master Portfolio’s investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). 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 independent dealers or pricing services under policies approved by the Board of Trustees of MIP (the “Board”). The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to provide oversight of the pricing function for the Master Portfolio’s for all financial instruments.

Fair Value Inputs and Methodologies: The following methods (or “techniques”) and inputs are used to establish the fair value of the Master Portfolio assets and liabilities:

• Bond investments are valued on the basis of last available bid prices or current market quotations provided by dealers or pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more brokers or dealers as obtained from a pricing service. In determining

BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015 47

Notes to Financial Statements (continued) U.S. Total Bond Index Master Portfolio

the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche. Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of the Master Portfolio’s net assets.

• Municipal investments (including commitments to purchase such investments on a “when-issued” basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments.

• TBA commitments are valued on the basis of last available bid prices or current market quotations provided by pricing services.

• Investments in open-end U.S. mutual funds are valued at net asset value (“NAV”) each business day.

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

Fair Value Hierarchy: Various inputs are used in determining the fair value of investments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:

• Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Master Portfolio has the ability to access

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

• Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Master Portfolio’s own assumptions used in determining the fair value of investments)

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. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as Level 3. The fair value hierarchy for the Master Portfolio’s investments have been included in the Schedule of Investments.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Master Portfolio’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments is based on the pricing transparency of the investments and is not necessarily an indication of the risks associated with investing in those securities.

48 BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015

Notes to Financial Statements (continued) U.S. Total Bond Index Master Portfolio

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, 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.

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 pass-through securities (the “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 initial investment in the IOs may not fully recoup.

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, or in the case of trust preferred securities, by an affiliated business trust of a corporation, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured as either fixed or adjustable coupon securities 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 the trust preferred 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. Payments on these securities are treated as interest rather than dividends for federal income tax purposes. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.

BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015 49

Notes to Financial Statements (continued) U.S. Total Bond Index Master Portfolio

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 on 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, repledge or use the collateral it receives; however, the counterparty is not permitted to do so. To the extent amounts due to the Master Portfolio is not fully collateralized, contractually or otherwise, the Master Portfolio bears the risk of loss from counterparty non-performance.

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. 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. The cash collateral invested by the securities lending agent, BlackRock Institutional Trust Company, N.A. (“BTC”), 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 lending agreements by counterparty which are subject to offset under an MSLA:

Counterparty	Securities Loaned at Value		Cash Collateral Received1		Net Amount
CitiGroup Global Markets, Inc.	$	567,622	$	567,622		—

¹  Collateral with a value of $592,500 has been received in connection with securities lending agreements. Collateral received in excess of the value of securities loaned from the individual counterparty is not shown for financial reporting purposes in the table above.

50 BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015

Notes to Financial Statements (continued) U.S. Total Bond Index Master Portfolio

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 BlackRock, Inc. (“BlackRock”). BlackRock’s indemnity allows for full replacement of the securities loaned if the collateral received does not cover the value on the securities loaned in the event of borrower default. the Master Portfolio could suffer a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received.

5. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock for 1940 Act purposes.

MIP, on behalf of the Master Portfolio, entered into an Investment Advisory Agreement with the Manager, the Master Portfolio’s investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration 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. Effective April 30, 2015, for such services, the Master Portfolio pays the Manager a monthly fee based on a percentage of the Master Portfolio’s average daily net assets at an annual rate of 0.04%. Prior to April 30, 2015, the annual rate as a percentage of average daily net assets was 0.08%.

MIP entered into an Administration Agreement with BlackRock Advisors, LLC (“BAL”) which has agreed to provide general administration services (other than investment advice and related portfolio activities). BAL, in consideration thereof, has agreed to bear all of the Master Portfolio’s ordinary operating expenses excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by the Master Portfolio. BAL may delegate certain of its administration duties to sub-administrators.

BAL is not entitled to compensation for providing administration services to the Master Portfolio, for so long as BAL is entitled to compensation for providing administration services to corresponding feeder funds that invest substantially all of their assets in the Master Portfolio, or BAL (or an affiliate) receives investment advisory fees from 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. This amount is included in fees waived by the Manager in the Statement of Operations. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with the Master Portfolio’s investments in other affiliated investment companies, if any. For the year ended December 31, 2015, the amount waived was $167,980.

The fees and expenses of the MIP’s trustees who are not “interested persons” of the MIP, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and the MIP’s independent registered public accounting firm (together, the “independent expenses”) are paid directly by the Master Portfolio. BAL has contractually agreed to reimburse the Master Portfolio or provide an offsetting credit against the administration fees paid by the Master Portfolio in an amount equal to the independent expenses through April 30, 2016. If the Master Portfolio does not pay administration fees, BFA agrees to cap the expenses of the Master Portfolio at the rate at which it pays an investment advisory fee to BFA. The amount of the waiver, if any, is included in fees waived by the Manager in the Statement of Operations. For the year ended December 31, 2015, the Manager waived $89,533 pursuant to the agreement.

The U.S. Securities and Exchange Commission has issued an exemptive order which permits BTC, an affiliate of the Manager, to serve as securities lending agent for the Master Portfolio, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending. The Master Portfolio is responsible for fees in connection with the investment of cash collateral received for securities on loan in a money market fund managed by the Manager or its affiliates, however, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees the Master Portfolio bears to an annual rate of 0.04% (the “collateral investment fees”).

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 fees. The Master Portfolio retains a portion of securities lending income and remits a remaining portion to BTC as compensation for its services as securities lending agent.

Pursuant to a securities lending agreement, BTC may lend securities only when the difference between the borrower rebate rate and the risk free rate exceeds a certain level (such securities, the “specials only securities”).

Pursuant to such agreement, the Master Portfolio retains 80% of securities lending income. In addition, commencing the business day following the date that the aggregate securities lending income earned across certain funds in the Equity-Liquidity Complex in a calendar year exceeds a specified

BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015 51

Notes to Financial Statements (continued) U.S. Total Bond Index Master Portfolio

threshold, the Master Portfolio, pursuant to the securities lending agreement, will retain for the remainder of the calendar year securities lending income in an amount equal to 85% of securities lending income.

The share of securities lending income earned by the Master Portfolio is shown as securities lending — affiliated – net in the Statement of Operations. For the year ended December 31, 2015, the Master Portfolio paid BTC $2,093 in total for securities lending agent services and collateral investment fees.

Certain officers and/or trustees of MIP are officers and/or directors of BlackRock or its affiliates.

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 advisor, common officers, or common trustees. For the year ended December 31, 2015, the purchase and sale transactions with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were $561,729 and $249,396, respectively.

6. Purchases and Sales:

For the year ended December 31, 2015, purchases and sales of investments, including mortgage dollar rolls and excluding short-term securities, were as follows:

	Purchases		Sales
Non-U.S. Government Securities	$	5,016,286,039	$	4,786,503,503	*
U.S. Government Securities	$	326,708,859	$	154,069,181
Total	$	5,342,994,898	$	4,940,572,684

* Includes paydowns

For the year ended December 31, 2015, purchases and sales related to mortgage dollar rolls were $774,812,569 and $776,208,746, respectively.

7. Income Tax Information:

The Master Portfolio is classified as a partnership for 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 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 remains open for each of the four years ended December 31, 2015. 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 December 31, 2015, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the Master Portfolio’s financial statements.

As of period end, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

Tax cost	$	1,790,465,989
Gross unrealized appreciation	$	10,783,324
Gross unrealized depreciation		(19,764,833	)
Net unrealized depreciation	$	(8,981,509	)

8. Bank Borrowings:

MIP, 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, $2.1 billion credit agreement with a group of lenders, under which the Master Portfolio may borrow to fund shareholder redemptions. Excluding commitments designated for certain funds, the Participating Funds, including the Master Portfolio, can borrow up to an aggregate commitment amount of $1.6 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 0.06% 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 2016 unless extended or renewed. Participating

52 BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015

Notes to Financial Statements (concluded) U.S. Total Bond Index Master Portfolio

Funds paid administration, legal and arrangement fees, which, if applicable, are included in miscellaneous expenses in the Statement of Operations, and along with commitment 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 December 31, 2015, the Master Portfolio did not borrow under the credit agreement.

9. Principal Risks:

Many municipalities insure repayment of their bonds, which may reduce the potential for loss due to credit risk. The market value of these bonds may fluctuate for other reasons, including market perception of the value of such insurance, and there is no guarantee that the insurer will meet its obligation.

In the normal course of business, the Master Portfolio invests in securities and enters into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities held by the Master Portfolio may decline in response to certain events, including those directly involving the issuers of securities owned by the Master Portfolio. Changes arising from the general economy, the overall market and local, regional or global political or/and social instability, as well as currency, interest rate and price fluctuations, may also affect the securities’ value.

Counterparty Credit Risk: Similar to issuer credit risk, the Master Portfolio may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Master Portfolio manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Master Portfolio to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent 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.

The Master Portfolio’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by the Master Portfolio.

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:

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. Investment percentages in these securities are presented in the Schedule of Investments. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions.

10. 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.

BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015 53

Report of Independent Registered Public Accounting Firm U.S. Total Bond Index Master Portfolio

To the Board of Trustees of Master Investment Portfolio and the Interestholders of U.S Total Bond Index Master Portfolio:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of U.S. Total Bond Index Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio, at December 31, 2015, 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. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Master Portfolio’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2015 by correspondence with the custodian, transfer agent, and brokers, provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 24, 2016

54 BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015

Officers and Trustees

Name, Address1 and Year of Birth	Position(s) Held with the Trust/MIP	Length of Time Served as a Trustee3	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Independent Trustees2
Rodney D. Johnson 1941	Chair of the Board and Trustee	Since 2009	President, Fairmount Capital Advisors, Inc. from 1987 to 2013; Member of the Archdiocesan Investment Committee of the Archdiocese of Philadelphia from 2004 to 2012; Director, The Committee of Seventy (civic) from 2006 to 2012; Director, Fox Chase Cancer Center from 2004 to 2011.	33 RICs consisting of 155 Portfolios	None
David O. Beim 1940	Trustee	Since 2009	Professor of Professional Practice at the Columbia University Graduate School of Business since 1991; Trustee, Phillips Exeter Academy from 2002 to 2012; Chairman, Wave Hill, Inc. (public garden and cultural center) from 1990 to 2006.	33 RICs consisting of 155 Portfolios	None
Collette Chilton 1958	Trustee	Since 2015	Chief Investment Officer, Williams College since 2006; Chief Investment Officer, Lucent Asset Management Corporation from 1998 to 2006.	33 RICs consisting of 155 Portfolios	None
Frank J. Fabozzi 1948	Trustee	Since 2014	Editor of and Consultant for The Journal of Portfolio Management since 2006; Professor of Finance, EDHEC Business School since 2011; Visiting Professor, Princeton University from 2013 to 2014; Professor in the Practice of Finance and Becton Fellow, Yale University School of Management from 2006 to 2011.	108 RICs consisting of 230 Portfolios	None
Dr. Matina S. Horner 1939	Trustee	Since 2009	Executive Vice President, Teachers Insurance and Annuity Association and College Retirement Equities Fund from 1989 to 2003.	33 RICs consisting of 155 Portfolios	NSTAR (electric and gas utility)
Herbert I. London 1939	Trustee	Since 2009	Professor Emeritus, New York University since 2005; President, London Center for Policy Research since 2012; John M. Olin Professor of Humanities, New York University from 1993 to 2005 and Professor thereof from 1980 to 2005; President Emeritus, Hudson Institute (policy research organization) from 2011 to 2012, President thereof from 1997 to 2011 and Trustee from 1980 to 2012; Chairman of the Board of Trustees for Grantham University since 2006; Director, InnoCentive, Inc. (global internet service) since 2005; Director, Cerego, LLC (educational software) since 2005; Director, Cybersettle (online adjudication) since 2009; Director, AIMS Worldwide, Inc. (marketing) from 2007 to 2012.	33 RICs consisting of 155 Portfolios	None
Cynthia A. Montgomery 1952	Trustee	Since 2009	Professor, Harvard Business School since 1989; Director, McLean Hospital from 2005 to 2012; Director, Harvard Business School Publishing from 2005 to 2010.	33 RICs consisting of 155 Portfolios	Newell Rubbermaid, Inc. (manufacturing)
Joseph P. Platt 1947	Trustee	Since 2009	Director, Jones and Brown (Canadian insurance broker) since 1998; General Partner, Thorn Partners, LP (private investments) since 1998; Director, WQED Multi-Media (public broadcasting not-for-profit) since 2001; Director, The West Penn Allegheny Health System (a not-for-profit health system) from 2008 to 2013; Partner, Amarna Corporation, LLC (private investment company) from 2002 to 2008.	33 RICs consisting of 155 Portfolios	Greenlight Capital Re, Ltd. (reinsurance company)
Robert C. Robb, Jr. 1945	Trustee	Since 2009	Partner, Lewis, Eckert, Robb and Company (management and financial consulting firm) since 1981.	33 RICs consisting of 155 Portfolios	None
Toby Rosenblatt 1938	Trustee	Since 2009	President, Founders Investments Ltd. (private investments) since 1999; Director, Forward Management, LLC since 2007; Director, College Futures Foundation (philanthropic foundation) since 2009; Director, The James Irvine Foundation (philanthropic foundation) from 1998 to 2008.	33 RICs consisting of 155 Portfolios	None

BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015 55

Officers and Trustees (continued)

Name, Address1 and Year of Birth	Position(s) Held with the Trust/MIP	Length of Time Served as a Trustee3	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Independent Trustees2 (concluded)
Mark Stalnecker 1951	Trustee	Since 2015	Chief Investment Officer, University of Delaware from 1999 to 2013; Trustee, Winterthur Museum and Country Estate since 2001; Member of the Investment Committee, Delaware Public Employees’ Retirement System since 2002; Member of the Investment Committee, Christiana Care Health System since 2009; Member of the Investment Committee, Delaware Community Foundation from 2013 to 2014.	33 RICs consisting of 155 Portfolios	None
Kenneth L. Urish 1951	Trustee	Since 2009	Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Immediate 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 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.	33 RICs consisting of 155 Portfolios	None
Frederick W. Winter 1945	Trustee	Since 2009	Director, Alkon Corporation (pneumatics) since 1992; Professor and Dean Emeritus of the Joseph M. Katz School of Business, University of Pittsburgh from 2005 to 2013 and Dean thereof from 1997 to 2005; Director, Tippman Sports (recreation) from 2005 to 2013; Director, Indotronix International (IT services) from 2004 to 2008.	33 RICs consisting of 155 Portfolios	None
	1    The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.
	2    Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board has determined to extend the terms of Independent Trustees on a case-by-case basis, as appropriate. The Board has unanimously approved extending the mandatory retirement age for David O. Beim and Dr. Matina S. Horner until December 31, 2016, which the Board believes is in the best interests of shareholders of the Trust/MIP.
	3    Date shown is the earliest date a person has served for the Trust/MIP. In connection with the acquisition of Barclays Global Investors by BlackRock, Inc. (“BlackRock”) in December 2009, the Trustees were elected to the Trust/MIP Board. As a result, although the chart shows certain Independent Trustees as joining the Trust’s/MIP’s board in 2009, those Independent Trustees first became members of the boards of other funds advised by BlackRock Advisors, LLC or its affiliates as follows: David O. Beim, 1998; Dr. Matina S. Horner, 2004; Rodney D. Johnson, 1995; Herbert I. London, 1987; Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Robert C. Robb, Jr., 1998; Toby Rosenblatt, 2005; Kenneth L. Urish, 1999; and Frederick W. Winter, 1999. Frank J. Fabozzi first became a member of the board of other funds advised by BlackRock Advisors, LLC or its affiliates in 1988.
Interested Trustees4
Barbara G. Novick 1960	Trustee	Since 2015	Vice Chairman of BlackRock since 2006; Chair of BlackRock’s Government Relations Steering Committee since 2009; Head of the Global Client Group of BlackRock from 1988 to 2008.	108 RICs consisting of 230 Portfolios	None
John M. Perlowski 1964	Trustee, President, and Chief Executive Officer	Since 2015 (Trustee); Since 2010 (President and Chief Executive Officer)	Managing Director of BlackRock since 2009; Head of BlackRock Global Fund Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.	136 RICs consisting of 328 Portfolios	None
	4    Mr. Perlowski and Ms. Novick are both “interested persons,” as defined in the 1940 Act, of the Trust/MIP based on their positions with BlackRock and its affiliates. Mr. Perlowski and Ms. Novick are also board members of a complex of BlackRock registered open-end funds. Mr. Perlowski is also a board member of the BlackRock Equity-Bond Complex and the BlackRock Equity-Liquidity Complex, and Ms. Novick is also a board member of the BlackRock Equity-Liquidity Complex. Interested Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The maximum age limitation may be waived as to any Trustee by action of a majority of the Trustees upon a finding of good cause therefor.

56 BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015

Officers and Trustees (concluded)

Name, Address1 and Year of Birth	Position(s) Held with the Trust/MIP	Length of Time Served as an Officer	Principal Occupation(s) During Past Five Years
Trust/MIP Officers2
John M. Perlowski 1964	Trustee, President and Chief Executive Officer	Since 2015 (Trustee); Since 2010 (President and Chief Executive Officer)	Managing Director of BlackRock since 2009; Head of BlackRock Global Fund Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.
Richard Hoerner, CFA 1958	Vice President	Since 2009	Managing Director of BlackRock since 2000; Head of the Global Cash Group since 2013; Co-head of the Global Cash and Securities Lending Group from 2010 to 2013; Member of the Cash Management Group Executive Committee since 2005.
Jennifer McGovern 1977	Vice President	Since 2014	Director of BlackRock since 2011; Head of Product Structure and Oversight for BlackRock’s U.S. Wealth Advisory Group since 2013; Vice President of BlackRock from 2008 to 2010.
Neal Andrews 1966	Chief Financial Officer	Since 2007	Managing Director of BlackRock since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.
Jay Fife 1970	Treasurer	Since 2007	Managing Director of BlackRock since 2007; Director of BlackRock in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.
Charles Park 1967	Chief Compliance Officer	Since 2014	Anti-Money Laundering Compliance Officer for the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End Complex from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End 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.
Fernanda Piedra 1969	Anti-Money Laundering Compliance Officer	Since 2015	Director of BlackRock since 2014; Anti-Money Laundering Compliance Officer and Regional Head of Financial Crime for the Americas at BlackRock since 2014; Head of Regulatory Changes and Remediation for the Asset Wealth Management Division of Deutsche Bank from 2010 to 2014; Vice President of Goldman Sachs (Anti-Money Laundering/Suspicious Activities Group) from 2004 to 2010.
Benjamin Archibald 1975	Secretary	Since 2012	Managing Director of BlackRock since 2014; Director of BlackRock from 2010 to 2013; Secretary of the iShares exchange traded funds since 2015; Secretary of the BlackRock-advised mutual funds since 2012.
	1    The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.
	2    Officers of the Trust/MIP serve at the pleasure of the Board.
	Further information about the Officers and Trustees is available in the Trust’s/MIP’s Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762

Effective September 25, 2015, John M. Perlowski was appointed to serve as a Trustee of the Trust/MIP.

Effective December 31, 2015, Herbert I. London and Toby Rosenblatt retired as Trustees of the Trust/MIP.

Investment Advisor BlackRock Fund Advisors San Francisco, CA 94105	Accounting Agent and Custodian State Street Bank and Trust Company Boston, MA 02110	Distributor BlackRock Investments, LLC New York, NY 10022	Legal Counsel Sidley Austin LLP New York, NY 10019
Administrator BlackRock Advisors, LLC Wilmington, DE 19809	Transfer Agent BNY Mellon Investment Servicing (US) Inc. Wilmington, DE 19809	Independent Registered Public Accounting Firm PricewaterhouseCoopers LLP Philadelphia, PA 19103	Address of the Trust/MIP 400 Howard Street San Francisco, CA 94105

BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015 57

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 Portfolio file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s/Master Portfolio’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Fund’s/Master Portfolio’s Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Fund/Master Portfolio 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 http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Fund/Master Portfolio voted proxies relating to securities held in the Fund’s/Master Portfolio’s portfolio during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC’s website at http://www.sec.gov.

BlackRock’s Mutual Fund Family

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

Shareholder Privileges

Account Information

Call us at (800) 441-7762 from 8:00 AM to 6:00 PM EST on any business day to get information about your account balances, recent transactions and share prices. You can also reach us on the Web at http://www.blackrock.com/funds.

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.

58 BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015

Additional Information (concluded)

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.

BLACKROCK U.S. TOTAL BOND INDEX FUND DECEMBER 31, 2015 59

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.

USTB-12/15-AR

Portfolio Information as of December 31, 2015

Ten Largest Holdings	Percent of Net Assets
Apple, Inc.		3	%
JPMorgan Chase & Co.		2
Microsoft Corp.		2
Comcast Corp., Class A		2
Alphabet, Inc., Class A		2
Altria Group, Inc.		2
Amgen, Inc.		2
Lowe’s Cos., Inc.		2
Alphabet, Inc., Class C		2
Cisco Systems, Inc.		2

Sector Allocation	Percent of Net Assets
Information Technology		23	%
Financials		17
Health Care		16
Consumer Discretionary		15
Industrials		8
Consumer Staples		7
Energy		6
Utilities		2
Materials		2
Telecommunication Services		2
Short-Term Securities		9
Liabilities in Excess of Other Assets		(7	)

For Master Portfolio compliance purposes, the Master Portfolio’s sector classifications refer to any 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 advisor. These definitions may not apply for purposes of this report, which may combine sector sub-classifications for reporting ease.

Portfolio Information as of December 31, 2015

Derivative Financial Instruments

The Master Portfolio may invest in various derivative financial instruments. Derivative financial instruments are used to obtain exposure to a security, index and/or market without owning or taking physical custody of securities 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. Derivative financial instruments also 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 derivative financial instrument. The Master Portfolio’s ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Master Portfolio can realize on an investment and/or may result in lower distributions paid to shareholders. The Master Portfolio’s investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.

ACTIVE STOCK MASTER PORTFOLIO DECEMBER 31, 2015 1

Schedule of Investments December 31, 2015 (Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Aerospace & Defense — 1.7%
Boeing Co.		1,328	$	192,016
General Dynamics Corp.		18,045		2,478,661
Honeywell International, Inc.		3,423		354,520
Huntington Ingalls Industries, Inc.		760		96,406
Lockheed Martin Corp.		2,226		483,376
Orbital ATK, Inc.		3,817		341,011
Raytheon Co.		21,837		2,719,362
Rockwell Collins, Inc.		9,628		888,664
Vectrus, Inc. (a)		6,769		141,404
				7,695,420
Air Freight & Logistics — 0.6%
FedEx Corp.		19,529		2,909,626
Airlines — 1.6%
American Airlines Group, Inc.		6,179		261,681
Delta Air Lines, Inc.		23,253		1,178,694
JetBlue Airways Corp. (a)		19,938		451,596
Southwest Airlines Co. (b)		87,391		3,763,056
United Continental Holdings, Inc. (a)		24,946		1,429,406
				7,084,433
Auto Components — 1.2%
Lear Corp.		43,464		5,338,683
Automobiles — 0.6%
Ferrari NV (a)(b)		1,640		78,720
Ford Motor Co.		56,388		794,507
PACCAR, Inc.		37,376		1,771,622
Thor Industries, Inc.		3,325		186,699
				2,831,548
Banks — 2.8%
Bank of America Corp.		7,040		118,483
CIT Group, Inc.		6,839		271,508
Citizens Financial Group, Inc.		11,566		302,914
East West Bancorp, Inc.		10,904		453,170
KeyCorp		165,045		2,176,944
Regions Financial Corp.		89,459		858,806
Umpqua Holdings Corp.		18,156		288,680
US Bancorp		66,510		2,837,982
Wells Fargo & Co.		97,694		5,310,646
				12,619,133
Beverages — 1.3%
Coca-Cola Enterprises, Inc.		7,380		363,391
Constellation Brands, Inc., Class A		1,368		194,858
Dr Pepper Snapple Group, Inc.		57,354		5,345,393
				5,903,642
Biotechnology — 3.2%
AbbVie, Inc.		1,990		117,888
Amgen, Inc.		46,668		7,575,616
Biogen, Inc. (a)		868		265,912
Celgene Corp. (a)		1,962		234,969
Gilead Sciences, Inc.		55,193		5,584,980
United Therapeutics Corp. (a)		2,769		433,653
				14,213,018
Building Products — 0.3%
Masco Corp. (b)		41,632		1,178,186
Capital Markets — 1.4%
Affiliated Managers Group, Inc. (a)		2,206		352,430
Ameriprise Financial, Inc.		24,717		2,630,383
E*Trade Financial Corp. (a)		738		21,874
Capital Markets (continued)
Goldman Sachs Group, Inc.		9,686	$	1,745,708
KKR & Co. LP		14,585		227,380
Morgan Stanley		28,281		899,619
TD Ameritrade Holding Corp.		6,001		208,295
				6,085,689
Chemicals — 1.6%
Air Products & Chemicals, Inc.		10,799		1,405,058
Akzo Nobel NV — ADR		8,776		194,959
Ashland, Inc.		400		41,080
Axalta Coating Systems Ltd. (a)		12,022		320,386
Chemours Co. (b)		36,282		194,471
Dow Chemical Co.		21,121		1,087,309
E.I. du Pont de Nemours & Co.		3,363		223,976
Eastman Chemical Co.		16,490		1,113,240
LyondellBasell Industries NV, Class A		17,742		1,541,780
PPG Industries, Inc.		9,288		917,840
				7,040,099
Communications Equipment — 3.3%
Cisco Systems, Inc.		246,415		6,691,399
F5 Networks, Inc. (a)		947		91,821
Harris Corp.		18,429		1,601,480
Juniper Networks, Inc.		5,481		151,276
Lumentum Holdings, Inc. (a)		27,192		598,768
Nokia OYJ — ADR (b)		84,678		594,440
QUALCOMM, Inc.		77,241		3,860,891
Telefonaktiebolaget LM Ericsson — ADR (b)		140,913		1,354,174
				14,944,249
Construction & Engineering — 0.1%
AECOM (a)(b)		12,665		380,330
Jacobs Engineering Group, Inc. (a)		990		41,530
				421,860
Consumer Finance — 2.2%
Ally Financial, Inc. (a)(b)		71,389		1,330,691
Capital One Financial Corp.		38,057		2,746,954
Discover Financial Services (b)		69,177		3,709,271
SLM Corp. (a)		256,008		1,669,172
Synchrony Financial (a)		13,625		414,336
				9,870,424
Containers & Packaging — 0.6%
AptarGroup, Inc. (b)		1,809		131,424
Avery Dennison Corp.		1,010		63,286
Bemis Co., Inc.		5,459		243,963
Crown Holdings, Inc. (a)		3,464		175,625
Packaging Corp. of America		22,634		1,427,074
Sonoco Products Co.		2,120		86,644
WestRock Co.		12,905		588,726
				2,716,742
Diversified Consumer Services — 0.1%
ServiceMaster Global Holdings, Inc. (a)		11,520		452,045
Diversified Financial Services — 4.9%
Berkshire Hathaway, Inc., Class B (a)		1,339		176,802
Citigroup, Inc.		116,846		6,046,780
CME Group, Inc.		14,630		1,325,478
Intercontinental Exchange, Inc.		8,957		2,295,321
JPMorgan Chase & Co. (b)		135,879		8,972,090
Moody’s Corp.		2,603		261,185
NASDAQ, Inc.		44,087		2,564,541
Vantiv, Inc., Class A (a)		4,650		220,503
				21,862,700

Portfolio Abbreviations

ADR	American Depositary Receipts
S&P	Standard and Poor’s

See Notes to Financial Statements.

2 ACTIVE STOCK MASTER PORTFOLIO DECEMBER 31, 2015

Schedule of Investments (continued) (Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Diversified Telecommunication Services — 1.6%
AT&T, Inc.		48,121	$	1,655,844
Level 3 Communications, Inc. (a)		4,982		270,821
Verizon Communications, Inc.		105,125		4,858,877
Zayo Group Holdings, Inc. (a)		5,667		150,686
				6,936,228
Electric Utilities — 1.0%
American Electric Power Co., Inc.		3,289		191,650
Duke Energy Corp.		550		39,264
Edison International		204		12,079
Exelon Corp.		81,062		2,251,092
FirstEnergy Corp.		1,040		32,999
NextEra Energy, Inc.		15,538		1,614,243
OGE Energy Corp. (b)		5,376		141,335
				4,282,662
Electrical Equipment — 0.2%
Babcock & Wilcox Enterprises, Inc. (a)		15,488		323,234
Regal-Beloit Corp. (b)		1,832		107,209
SolarCity Corp. (a)(b)		9,060		462,241
				892,684
Electronic Equipment, Instruments & Components — 0.8%
CDW Corp.		45,338		1,906,009
Fitbit, Inc., Series A (a)(b)		5,374		159,017
Flextronics International Ltd. (a)		38,267		428,973
FLIR Systems, Inc.		44,839		1,258,631
				3,752,630
Energy Equipment & Services — 1.1%
Atwood Oceanics, Inc. (b)		20,233		206,984
Baker Hughes, Inc.		21,717		1,002,239
Cameron International Corp. (a)		1,801		113,823
Dril-Quip, Inc. (a)(b)		7,646		452,872
Halliburton Co.		9,173		312,249
Schlumberger Ltd.		29,301		2,043,745
Superior Energy Services, Inc.		56,491		760,934
				4,892,846
Food & Staples Retailing — 2.1%
CVS Health Corp.		64,446		6,300,885
Kroger Co.		33,234		1,390,178
Supervalu, Inc. (a)		62,246		422,028
Wal-Mart Stores, Inc.		21,973		1,346,945
				9,460,036
Food Products — 1.0%
Bunge Ltd.		4,554		310,947
Cal-Maine Foods, Inc. (b)		11,831		548,249
Hain Celestial Group, Inc. (a)		733		29,606
Hormel Foods Corp. (b)		12,694		1,003,841
Kellogg Co.		465		33,606
Pilgrim’s Pride Corp. (b)		64,180		1,417,736
Post Holdings, Inc. (a)		349		21,533
Tyson Foods, Inc., Class A		24,252		1,293,359
				4,658,877
Gas Utilities — 0.0%
Questar Corp.		3,369		65,628
Health Care Equipment & Supplies — 2.4%
Abbott Laboratories		26,336		1,182,750
Baxter International, Inc.		32,852		1,253,304
Becton Dickinson & Co.		197		30,356
C.R. Bard, Inc.		4,400		833,536
Danaher Corp.		23,292		2,163,361
DENTSPLY International, Inc.		4,545		276,563
Medtronic PLC		17,885		1,375,714
Stryker Corp.		21,663		2,013,359
Zimmer Biomet Holdings, Inc. (b)		15,239		1,563,369
				10,692,312
Health Care Providers & Services — 5.8%
Aetna, Inc.		28,817	$	3,115,694
AmerisourceBergen Corp.		5,940		616,037
Anthem, Inc.		8,713		1,214,941
Cardinal Health, Inc.		11,456		1,022,677
Centene Corp. (a)		30,098		1,980,749
Cigna Corp.		21,400		3,131,462
Community Health Systems, Inc. (a)		26,675		707,688
Health Net, Inc. (a)		730		49,976
Laboratory Corp. of America Holdings (a)(b)		14,436		1,784,867
McKesson Corp.		20,131		3,970,437
Quest Diagnostics, Inc.		14,710		1,046,470
UnitedHealth Group, Inc.		40,013		4,707,129
Universal Health Services, Inc., Class B		15,352		1,834,411
VCA, Inc. (a)		8,765		482,075
				25,664,613
Hotels, Restaurants & Leisure — 1.2%
Extended Stay America, Inc.		89,627		1,425,069
J Alexander’s Holdings, Inc. (a)		11,021		120,349
Jack in the Box, Inc.		5,063		388,383
Las Vegas Sands Corp.		8,529		373,911
Starbucks Corp.		49,151		2,950,535
Starwood Hotels & Resorts Worldwide, Inc.		3,538		245,113
Wyndham Worldwide Corp.		519		37,705
				5,541,065
Household Durables — 1.3%
D.R. Horton, Inc.		32,258		1,033,224
GoPro, Inc., Class A (a)(b)		3,997		71,986
Lennar Corp., Class A (b)		12,764		624,287
Mohawk Industries, Inc. (a)		2,633		498,664
Newell Rubbermaid, Inc.		58,557		2,581,192
NVR, Inc. (a)		250		410,750
Toll Brothers, Inc. (a)		13,752		457,942
TopBuild Corp. (a)		6,525		200,774
Tupperware Brands Corp. (b)		2,188		121,762
				6,000,581
Household Products — 0.6%
Church & Dwight Co., Inc.		413		35,055
Clorox Co.		8,150		1,033,664
Energizer Holdings, Inc. (b)		9,125		310,798
Kimberly-Clark Corp.		9,099		1,158,303
				2,537,820
Independent Power and Renewable Electricity Producers — 0.7%
AES Corp.		189,759		1,815,994
Dynegy, Inc. (a)(b)		61,788		827,959
Talen Energy Corp. (a)(b)		43,466		270,793
				2,914,746
Industrial Conglomerates — 0.3%
3M Co.		5,127		772,331
General Electric Co.		19,806		616,957
				1,389,288
Insurance — 3.4%
CNA Financial Corp.		30,130		1,059,070
Genworth Financial, Inc., Class A (a)		111,440		415,671
Hartford Financial Services Group, Inc.		63,479		2,758,797
Lincoln National Corp.		49,697		2,497,771
MetLife, Inc.		9,945		479,448
Prudential Financial, Inc.		41,950		3,415,150
Travelers Cos., Inc.		17,098		1,929,680
Voya Financial, Inc.		37,100		1,369,361
XL Group PLC		30,404		1,191,229
				15,116,177

See Notes to Financial Statements.

ACTIVE STOCK MASTER PORTFOLIO DECEMBER 31, 2015 3

Schedule of Investments (continued)  �� (Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Internet & Catalog Retail — 1.3%
Amazon.com, Inc. (a)		1,739	$	1,175,373
Liberty TripAdvisor Holdings, Inc., Series A (a)		2,275		69,023
Liberty Ventures, Series A (a)		34,278		1,546,281
Priceline Group, Inc. (a)		2,456		3,131,277
				5,921,954
Internet Software & Services — 4.7%
Alphabet, Inc., Class A (a)		10,477		8,151,211
Alphabet, Inc., Class C (a)		9,110		6,913,397
eBay, Inc. (a)		16,222		445,780
Facebook, Inc., Class A (a)		46,295		4,845,235
IAC/InterActiveCorp		7,260		435,963
VeriSign, Inc. (a)		918		80,196
				20,871,782
IT Services — 4.4%
Alliance Data Systems Corp. (a)		8,676		2,399,521
Amdocs Ltd.		30,113		1,643,266
Cognizant Technology Solutions Corp., Class A (a)		56,873		3,413,518
CSRA, Inc.		12,689		380,670
DST Systems, Inc.		17,650		2,013,159
First Data Corp., Class A (a)		30,946		495,755
Global Payments, Inc.		1,308		84,379
Mastercard, Inc., Class A		43,462		4,231,460
PayPal Holdings, Inc. (a)		7,096		256,875
Square, Inc. (a)(b)		856		11,205
Total System Services, Inc.		33,212		1,653,958
Visa, Inc., Class A (b)		39,479		3,061,597
Xerox Corp. (b)		19,032		202,310
				19,847,673
Life Sciences Tools & Services — 0.2%
Bruker Corp. (a)		5,638		136,834
Charles River Laboratories International, Inc. (a)		342		27,493
INC Research Holdings, Inc., Class A (a)		2,114		102,550
Quintiles Transnational Holdings, Inc. (a)		7,487		514,058
Waters Corp. (a)		1,877		252,607
				1,033,542
Machinery — 1.0%
Illinois Tool Works, Inc.		6,018		557,748
Parker Hannifin Corp. (b)		3,645		353,492
SPX Corp.		26,056		243,103
SPX FLOW, Inc. (a)		14,780		412,510
Stanley Black & Decker, Inc.		20,929		2,233,752
WABCO Holdings, Inc. (a)		6,239		638,000
				4,438,605
Media — 3.9%
Cablevision Systems Corp., New York Group, Class A		1,915		61,089
CBS Corp., Class B		15,613		735,841
Comcast Corp., Class A		144,899		8,176,651
Discovery Communications, Inc., Class C (a)		2,201		55,509
Interpublic Group of Cos., Inc.		27,704		644,949
Liberty Global PLC LiLAC, Class A (a)		3,616		149,594
Omnicom Group, Inc. (b)		32,694		2,473,628
Scripps Networks Interactive, Inc., Class A (b)		15,063		831,628
Time Warner, Inc.		29,999		1,940,035
Viacom, Inc., Class B		38,959		1,603,552
Walt Disney Co.		6,529		686,067
				17,358,543
Metals & Mining — 0.1%
Allegheny Technologies, Inc. (b)		4,207		47,329
Reliance Steel & Aluminum Co.		5,245		303,738
				351,067
Multi-Utilities — 0.4%
Ameren Corp.		2,147	$	92,815
CenterPoint Energy, Inc.		84,122		1,544,480
PG&E Corp.		234		12,446
TECO Energy, Inc.		2,223		59,243
				1,708,984
Multiline Retail — 0.3%
Dollar General Corp.		300		21,561
Macy’s, Inc.		31,309		1,095,189
Target Corp.		1,826		132,586
				1,249,336
Oil, Gas & Consumable Fuels — 5.1%
Anadarko Petroleum Corp.		3,156		153,318
Apache Corp.		55,551		2,470,353
Devon Energy Corp.		53,091		1,698,912
EnLink Midstream LLC (b)		17,879		269,794
EOG Resources, Inc.		17,854		1,263,885
EP Energy Corp., Class A (a)		12,177		53,335
Exxon Mobil Corp.		19,864		1,548,399
Gulfport Energy Corp. (a)		53,599		1,316,927
Hess Corp.		1,404		68,066
Marathon Oil Corp.		175,988		2,215,689
Marathon Petroleum Corp.		50,714		2,629,014
Memorial Resource Development Corp. (a)		5,628		90,892
Newfield Exploration Co. (a)		41,728		1,358,664
Occidental Petroleum Corp.		7,862		531,550
PBF Energy, Inc., Class A		10,942		402,775
Phillips 66		3,077		251,699
Suncor Energy, Inc.		50,789		1,310,356
Teekay Corp. (b)		7,205		71,113
Tesoro Corp.		4,580		482,595
Valero Energy Corp. (b)		59,021		4,173,375
Whiting Petroleum Corp. (a)		20,044		189,215
World Fuel Services Corp.		2,969		114,188
				22,664,114
Personal Products — 0.1%
Estee Lauder Cos., Inc., Class A		3,366		296,410
Herbalife Ltd. (a)(b)		693		37,159
				333,569
Pharmaceuticals — 5.2%
Allergan PLC (a)		2,940		918,750
Baxalta, Inc. (b)		75,777		2,957,576
Bristol-Myers Squibb Co.		16,586		1,140,951
Eli Lilly & Co.		20,991		1,768,702
Johnson & Johnson		4,706		483,400
Merck & Co., Inc. (b)		84,858		4,482,200
Perrigo Co. PLC		6,171		892,944
Pfizer, Inc.		171,100		5,523,108
Teva Pharmaceutical Industries Ltd. — ADR (b)		40,943		2,687,499
Zoetis, Inc.		47,007		2,252,575
				23,107,705
Professional Services — 0.9%
Dun & Bradstreet Corp.		100		10,393
Equifax, Inc.		4,361		485,685
ManpowerGroup, Inc.		10,345		871,980
Nielsen Holdings PLC (b)		48,637		2,266,484
Robert Half International, Inc.		5,311		250,360
				3,884,902
Real Estate Investment Trusts (REITs) — 2.0%
Blackstone Mortgage Trust, Inc., Class A		2,336		62,511
Brixmor Property Group, Inc.		9,659		249,396
Crown Castle International Corp.		12,907		1,115,810
Equity Lifestyle Properties, Inc.		5,169		344,617

See Notes to Financial Statements.

4 ACTIVE STOCK MASTER PORTFOLIO DECEMBER 31, 2015

Schedule of Investments (continued) (Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Real Estate Investment Trusts (REITs) (continued)
Mid-America Apartment Communities, Inc.		18,448	$	1,675,263
Outfront Media, Inc.		35,840		782,387
RLJ Lodging Trust		7,278		157,423
Simon Property Group, Inc.		13,961		2,714,577
Starwood Property Trust, Inc.		42,221		868,064
Weingarten Realty Investors		20,869		721,650
WP Glimcher, Inc.		39,860		422,915
				9,114,613
Real Estate Management & Development — 0.3%
Jones Lang LaSalle, Inc.		7,549		1,206,783
Realogy Holdings Corp. (a)		1,810		66,373
				1,273,156
Road & Rail — 0.6%
Union Pacific Corp.		34,019		2,660,286
Semiconductors & Semiconductor Equipment — 1.7%
Analog Devices, Inc.		15,839		876,213
Intel Corp. (b)		19,244		662,956
Lam Research Corp. (b)		11,768		934,615
Micron Technology, Inc. (a)		28,127		398,278
NVIDIA Corp. (b)		43,080		1,419,917
Skyworks Solutions, Inc. (b)		23,679		1,819,258
Teradyne, Inc.		40,897		845,341
Texas Instruments, Inc.		11,335		621,271
Xilinx, Inc.		4,719		221,652
				7,799,501
Software — 3.9%
Adobe Systems, Inc. (a)		11,729		1,101,822
Atlassian Corp. PLC, Class A (a)(b)		1,203		36,186
Broadridge Financial Solutions, Inc.		8,010		430,377
Check Point Software Technologies Ltd. (a)(b)		25,043		2,037,999
Citrix Systems, Inc. (a)		1,575		119,149
Intuit, Inc.		7,504		724,136
Microsoft Corp.		150,813		8,367,105
Oracle Corp.		72,084		2,633,229
Rackspace Hosting, Inc. (a)		10,772		272,747
salesforce.com, Inc. (a)		796		62,406
Synopsys, Inc. (a)		10,406		474,618
Take-Two Interactive Software, Inc. (a)		1,447		50,414
Verint Systems, Inc. (a)		4,674		189,578
VMware, Inc., Class A (a)(b)		12,740		720,702
				17,220,468
Specialty Retail — 4.4%
Aaron’s, Inc.		27,981		626,495
Cabela’s, Inc. (a)(b)		501		23,412
Dick’s Sporting Goods, Inc. (b)		8,383		296,339
Gap, Inc. (b)		21,859		539,917
GNC Holdings, Inc., Class A		26,418		819,486
Home Depot, Inc.		42,137		5,572,618
Lowe’s Cos., Inc.		92,464		7,030,963
Penske Automotive Group, Inc.		12,200		516,548
Ross Stores, Inc.		29,646		1,595,251
Sears Hometown and Outlet Stores, Inc. (a)(b)		5,368		42,944
TJX Cos., Inc.		35,002		2,481,992
				19,545,965
Technology Hardware, Storage & Peripherals — 3.9%
Apple, Inc.		142,781		15,029,128
EMC Corp.		37,380		959,918
Western Digital Corp.		26,929		1,617,087
				17,606,133
Textiles, Apparel & Luxury Goods — 0.7%
Fossil Group, Inc. (a)(b)		8,583	$	313,794
NIKE, Inc., Class B		42,141		2,633,813
				2,947,607
Tobacco — 1.7%
Altria Group, Inc.		130,364		7,588,488
Vector Group Ltd.		1		24
				7,588,512
Trading Companies & Distributors — 0.1%
AerCap Holdings NV (a)		14,305		617,404
Water Utilities — 0.3%
American Water Works Co., Inc. (b)		17,091		1,021,187
Aqua America, Inc. (b)		4,992		148,762
				1,169,949
Wireless Telecommunication Services — 0.7%
SBA Communications Corp., Class A (a)		5,606		589,023
Telephone & Data Systems, Inc.		73,615		1,905,892
United States Cellular Corp. (a)		11,511		469,764
				2,964,679
Total Common Stocks — 98.9%				441,245,739
Preferred Stocks
Food Products — 0.1%
Tyson Foods, Inc., 2.38%		6,488		393,692
Machinery — 0.0%
Stanley Black & Decker, Inc., 6.25% (c)		847		98,921
Total Preferred Securities — 0.1%				492,613
Total Long-Term Investments (Cost — $437,509,979) — 99.0%				441,738,352
Short-Term Securities
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.35% (d)(e)(f)		21,712,891		21,712,891
BlackRock Cash Funds: Prime, SL Agency Shares, 0.31% (d)(e)(f)		14,799,184		14,799,184
				36,512,075
Total Short-Term Securities (Cost — $36,512,075) — 8.2%				36,512,075
Total Investments (Cost — $474,022,054) — 107.2%				478,250,427
Liabilities in Excess of Other Assets — (7.2)%				(32,254,919	)
Net Assets — 100.0%			$	445,995,508

See Notes to Financial Statements.

ACTIVE STOCK MASTER PORTFOLIO DECEMBER 31, 2015 5

Schedule of Investments (continued)

Notes to Schedule of Investments

(a) Non-income producing security.

(b) Security, or a portion of security, is on loan.

(c) Convertible security.

(d) During the year ended December 31, 2015, investments in issuers considered to be affiliates of the Master Portfolio for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares Held at December 31, 2014		Net Activity			Shares Held at December 31, 2015		Income
BlackRock Cash Funds: Institutional, SL Agency Shares		60,987,578		(39,274,687	)		21,712,891	$	261,456	1
BlackRock Cash Funds: Prime, SL Agency Shares		5,562,536		9,236,648			14,799,184	$	154,710	1
1    Represents all or a portion of 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.

(e) Current yield as of period end.

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

Derivative Financial Instruments Outstanding as of Period End

Financial Futures Contracts

Contracts     Long		Issue	Expiration		Notional Value		Unrealized Depreciation
	13	S&P 500 E-Mini Index		March 2016		USD        1,323,010	$	(361	)

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:

Liabilities — Derivative Financial Instruments			Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contacts		Total
Financial futures contracts	Net unrealized depreciation	1		—		—	$	361		—		—		—	$	361
1    Includes cumulative (depreciation) on financial futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

For the year ended December 31, 2015, the effect of derivative financial instruments in the Statement of Operations was as follows:

Net Realized Gain (Loss) From:	Commodity Contracts		Credit Contracts		Equity Contracts			Foreign Currency Exchange Contracts		Interest Rate Contracts	Other Contacts		Total
Financial futures contracts		—		—	$	236,757			—	—		—	$	236,757
Net Change in Unrealized Appreciation (Depreciation) on:
Financial futures contracts		—		—	$	(234,749	)		—	—		—	$	(234,749	)

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Financial futures contracts:
Average notional value of contracts — long	$	7,461,144
Average notional value of contracts — short	$	929,070	1
1    Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter.

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

See Notes to Financial Statements.

6 ACTIVE STOCK MASTER PORTFOLIO DECEMBER 31, 2015

Schedule of Investments (concluded)

Fair Value Hierarchy as of Period End

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

The following tables summarize the Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy:

	Level 1			Level 2			Level 3		Total
Assets:
Investments:
Long-Term Investments:
Common Stocks1	$	441,245,739			—			—		441,245,739
Preferred Stocks1		492,613			—			—		492,613
Short-Term Securities		36,512,075			—			—		36,512,075
Total	$	478,250,427			—			—		478,250,427
1    See above Schedule of Investments for values in each industry.
	Level 1			Level 2			Level 3		Total
Derivative Financial Instruments1
Liabilities:
Equity contracts	$	(361	)		—			—	$	(361	)
1    Derivative financial instruments are financial futures contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.
The Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:
	Level 1			Level 2			Level 3		Total
Assets:
Cash	$	15,824			—			—	$	15,824
Cash pledged for financial futures contracts		51,000			—			—		51,000
Liabilities:
Collateral on securities loaned at value		—		$	(33,965,341	)		—		(33,965,341	)
Total	$	66,824		$	(33,965,341	)		—	$	(33,898,517	)

During the year ended December 31, 2015, there were no transfers between levels.

See Notes to Financial Statements.

ACTIVE STOCK MASTER PORTFOLIO DECEMBER 31, 2015 7

Statement of Assets and Liabilities

December 31, 2015
Assets
Investments at value — unaffiliated (including securities loaned of $32,928,680) (cost — $437,509,979)	$	441,738,352
Investments at value — affiliated (cost — $36,512,075)		36,512,075
Cash		15,824
Cash pledged for financial futures contracts		51,000
Receivables:
Contributions from investors		23,025,708
Investments sold		3,606,508
Dividends		559,474
Securities lending income — affiliated		19,975
Prepaid expenses		1,306
Total assets		505,530,222
Liabilities
Collateral on securities loaned at value		33,965,341
Variation margin payable on financial futures contracts		10,892
Payables:
Investments purchased		25,459,499
Investment advisory fees		57,596
Trustees’ fees		13,256
Other accrued expenses		28,130
Total liabilities		59,534,714
Net Assets	$	445,995,508
Net Assets Consist of
Investors’ capital	$	441,767,455
Net unrealized appreciation (depreciation)		4,228,053
Net Assets	$	445,995,508

See Notes to Financial Statements.
8	ACTIVE STOCK MASTER PORTFOLIO	DECEMBER 31, 2015

Statement of Operations

Year Ended December 31, 2015
Investment Income
Dividends — unaffiliated	$	32,679,455
Securities lending — affiliated — net		355,073
Dividends — affiliated		61,093
Foreign taxes withheld		(353,350	)
Total income		32,742,271
Expenses
Investment advisory		4,449,725
Administration		1,816,284
Trustees		60,649
Professional		43,256
Total expenses		6,369,914
Less:
Fees waived by the Manager		(1,853,456	)
Fees waived by the Administrator		(1,816,284	)
Total expenses after fees waived		2,700,174
Net investment income		30,042,097
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments		209,342,400
In-kind redemptions1		99,250,963
Financial futures contracts		236,757
Foreign currency transactions		(34,381	)
		308,795,739
Net change in unrealized appreciation (depreciation) on:
Investments		(311,786,058	)
Financial futures contracts		(234,749	)
Foreign currency translations		7,451
		(312,013,356	)
Net realized and unrealized loss		(3,217,617	)
Net Increase in Net Assets Resulting from Operations	$	26,824,480
1   See Note 2 of the Notes to Financial Statements.

See Notes to Financial Statements.
	ACTIVE STOCK MASTER PORTFOLIO	DECEMBER 31, 2015	9

Statements of Changes in Net Assets

	Year Ended December 31,
Increase (Decrease) in Net Assets:	2015			2014
Operations
Net investment income	$	30,042,097		$	40,597,242
Net realized gain		308,795,739			485,318,772
Net change in unrealized appreciation (depreciation)		(312,013,356	)		(246,323,337	)
Net increase in net assets resulting from operations		26,824,480			279,592,677
Capital Transactions
Proceeds from contributions		233,706,507			998,522,489
Value of withdrawals		(2,248,961,465	)		(1,784,231,951	)
Net decrease in net assets from capital transactions		(2,015,254,958	)		(785,709,462	)
Net Assets
Total decrease in net assets		(1,988,430,478	)		(506,116,785	)
Beginning of year		2,434,425,986			2,940,542,771
End of year	$	445,995,508		$	2,434,425,986

See Notes to Financial Statements.
10	ACTIVE STOCK MASTER PORTFOLIO	DECEMBER 31, 2015

Financial Highlights

	Year Ended December 31,
	2015		2014		2013		2012		2011
Total Return
Total return		(1.20)%		11.74%		34.02%		15.55%		2.20%
Ratio to Average Net Assets
Total expenses		0.35%		0.35%		0.35%		0.35%		0.35%
Total expenses after fees waived		0.15%		0.17%		0.23%		0.26%		0.27%
Net investment income		1.65%		1.56%		1.55%		2.03%		1.70%
Supplemental Data
Net assets, end of year (000)		$445,996		$2,434,426		$2,940,543		$2,792,818		$2,717,250
Portfolio turnover rate		132%		119%		153%		120%		275%

See Notes to Financial Statements.
	ACTIVE STOCK MASTER PORTFOLIO	DECEMBER 31, 2015	11

Notes to Financial Statements

1. Organization:

Active Stock Master Portfolio (the “Master Portfolio”) a series of Master Investment Portfolio (“MIP”), is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a diversified, open-end management investment company. MIP is organized as a Delaware statutory trust.

The Master Portfolio, together with certain other registered investment companies advised by BlackRock Fund Advisors (the “Manager”) or its affiliates, is included in a complex of open-end funds referred to as the Equity-Liquidity 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 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:

Foreign Currency: The Master Portfolio’s books and records are maintained in U.S. dollars. 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 changes in the exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statement of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. The 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 federal income tax purposes.

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

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Master Portfolio is informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, some 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.

In-Kind Redemptions: The Master Portfolio transferred securities and cash to shareholders in connection with an in-kind redemption transaction. For financial reporting purposes, these transactions were treated as a sale of securities and the resulting gains and losses were recognized based on the market value of the securities on the date of the redemption. For the year ended December 31, 2015, the Master Portfolio had in-kind redemptions of $1,419,799,062. For tax purposes, no gains or losses were recognized.

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 fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statement of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: The Master Portfolio’s investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). 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 independent dealers or pricing services under policies approved by

12 ACTIVE STOCK MASTER PORTFOLIO DECEMBER 31, 2015

Notes to Financial Statements (continued)

the Board of Trustees of MIP (the “Board”). The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to provide oversight of the pricing function for the Master Portfolio for all financial instruments.

Fair Value Inputs and Methodologies: The following methods (or “techniques”) and inputs are used to establish the fair value of the Master Portfolio’s assets and liabilities:

• Equity investments traded on a recognized securities exchange are valued at the official close price each day, if available. For equity investments traded on more than one exchange, the official close price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price. Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of the Master Portfolio’s net assets. Each business day, the Master Portfolio uses a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and over-the-counter (“OTC”) options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of business on the NYSE, which follows the close of the local markets.

• Investments in open-end U.S. mutual funds are valued at net asset value (“NAV”) each business day.

• Financial futures contracts traded on exchanges are valued at their last sale price.

• 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 business on the NYSE. Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

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

Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:

• Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Master Portfolio has the ability to access

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

• Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Master Portfolio’s own assumptions used in determining the fair value of investments and derivative financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as Level 3. The fair value hierarchy for the Master Portfolio’s investments and derivative financial instruments has been included in the Schedule of Investments.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Master Portfolio’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

ACTIVE STOCK MASTER PORTFOLIO DECEMBER 31, 2015 13

Notes to Financial Statements (continued)

4. Securities and Other Investments:

Preferred Stock: 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.

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. 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. The cash collateral invested by the securities lending agent, BlackRock Institutional Trust Company, N.A. (“BTC”), 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 lending agreements by counterparty which are subject to offset under an MSLA:

Counterparty	Securities Loaned at Value		Cash Collateral Received1			Net Amount
Citigroup Global Markets, Inc.	$	2,121,635	$	(2,121,635	)		—
Credit Suisse Securities (USA) LLC		3,469,746		(3,469,746	)		—
Deutsche Bank Securities, Inc.		871,220		(871,220	)		—
Goldman Sachs & Co		5,875,551		(5,875,551	)		—
Jefferies & Co., LLC		2,236,342		(2,236,342	)		—
JP Morgan Clearing Corp.		3,945,815		(3,945,815	)		—
Merrill Lynch, Pierce, Fenner & Smith, Inc.		5,674,899		(5,674,899	)		—
Morgan Stanley & Co. LLC		3,149,069		(3,149,069	)		—
National Financial Services LLC		338,189		(338,189	)		—
State Street Bank & Trust Co.		2,037,348		(2,037,348	)		—
Wells Fargo Securities, LLC		3,208,866		(3,208,866	)		—
Total	$	32,928,680	$	(32,928,680	)		—

¹ Collateral with a value of $33,965,341 has been received in connection with securities lending agreements. Excess of collateral received from the individual counterparty is not shown for financial reporting purposes.

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 BlackRock, Inc. (“BlackRock”). BlackRock’s indemnity allows for full replacement of the securities loaned if the collateral received does not cover the value on the securities loaned in the event of

14 ACTIVE STOCK MASTER PORTFOLIO DECEMBER 31, 2015

Notes to Financial Statements (continued)

borrower default. The Master Portfolio could suffer a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received.

5. Derivative Financial Instruments:

The Master Portfolio engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Master Portfolio and/or to manage economically its exposure to certain risks such as equity risk. These contracts may be transacted on an exchange or OTC.

Financial Futures Contracts: The Master Portfolio invests in long and/or short positions in financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in the value of equity securities (equity risk). Financial 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 at a specified date. Depending on the terms of the particular contract, financial futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date.

Upon entering into a financial 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. Securities deposited as initial margin are designated on the Schedule of Investments and cash deposited, if any, is recorded on the Statement of Assets and Liabilities as cash pledged for financial futures contracts. 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 value of the contract. Such receipts or payments are known as variation margin. Variation margin is recorded by the Master Portfolio as unrealized appreciation (depreciation) and, if applicable, as a receivable or payable for variation margin in the Statement of Assets and Liabilities.

When the contract is closed, the Master Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest or foreign currency exchange rates and the underlying assets.

6. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock for 1940 Act purposes.

MIP, on behalf of the Master Portfolio, entered into an Investment Advisory Agreement with the Manager, the Master Portfolio’s investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory 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 based on a percentage of the Master Portfolio’s average daily net assets at the following annual rates:

Average Daily Net Assets	Investment Advisory Fee
First $1 Billion		0.25%
$1 Billion — $3 Billion		0.24%
$3 Billion — $5 Billion		0.23%
$5 Billion — $10 Billion		0.22%
Greater than $10 Billion		0.21%

MIP, on behalf of the Master Portfolio, entered into an Administration Agreement with BlackRock Advisors, LLC (the “Administrator”), which has agreed to provide general administration services (other than investment advice and related portfolio activities). The Administrator, in consideration thereof, has agreed to bear all of the Master Portfolio’s, ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by the Master Portfolio. The Administrator is entitled to receive for these administration services an annual fee of 0.10% based on the average daily net assets of the Master Portfolio. The Administrator voluntarily agreed to waive a portion of its administration fees payable by the Master Portfolio. This arrangement is voluntary and may be terminated by the Administrator at any time.

From time to time, the Administrator may waive such fees in whole or in part. Any such waiver will reduce the expenses of the Master Portfolio and, accordingly, have a favorable impact on its performance. The Administrator may delegate certain of its administration duties to sub-administrators. For the year ended December 31, 2015, the Administrator waived $1,816,284 pursuant to this agreement.

The fees and expenses of the Master Portfolio’s trustees who are not “interested persons” of the MIP, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and MIP’s independent registered public accounting firm (together, the “independent expenses”) are paid directly by the Master Portfolio. The Administrator has contractually agreed to provide an offsetting credit against the administration fees paid by the Master Portfolio in an amount equal to the independent expenses through April 30, 2016. The amount of the waiver, if any, is shown as fees waived in the Statement of Operations. For the year ended December 31, 2015, the Manager waived $103,905 pursuant to this agreement.

ACTIVE STOCK MASTER PORTFOLIO DECEMBER 31, 2015 15

Notes to Financial Statements (continued)

The Manager has voluntarily agreed to waive a portion of its investment advisory fees payable by the Master Portfolio. This voluntary waiver may be terminated at any time. This amount is included in fees waived by the Manager in the Statement of Operations. For the year ended December 31, 2015, the Manager waived $1,725,470 pursuant to this agreement.

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the Master Portfolio pays to the Manager indirectly through its investment in affiliated money market funds. This amount is included in fees waived by the Manager in the Statement of Operations. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with the Master Portfolio’s investments in other affiliated investment companies, if any. For the year ended December 31, 2015, the amount waived was $24,081.

The U.S. Securities and Exchange Commission has issued an exemptive order which permits BTC, an affiliate of the Manager, to serve as securities lending agent for the Master Portfolio, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending. The Master Portfolio is responsible for fees in connection with the investment of cash collateral received for securities on loan in a money market fund managed by the Manager or its affiliates, however, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees the Master Portfolio bears to an annual rate of 0.04% (the “collateral investment fees”).

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 fees. The Master Portfolio retains a portion of securities lending income and remits a remaining portion to BTC as compensation for its services as securities lending agent.

Pursuant to a securities lending agreement, the Master Portfolio retains 71.5% of securities lending income, and this amount retained can never be less than 65% of the total of securities lending income plus the collateral investment fees. In addition, commencing the business day following the date that the aggregate securities lending income earned across certain funds in the Equity-Liquidity Complex in a calendar year exceeds a specified threshold, the Master Portfolio, pursuant to the securities lending agreement, will retain for the remainder of the calendar year securities lending income in an amount equal to 75% of securities lending income, and this amount retained can never be less than 65% of the total of securities lending income plus the collateral investment fees.

The share of securities lending income earned by the Master Portfolio is shown as securities lending — affiliated – net in the Statement of Operations. For the year ended December 31, 2015, the Master Portfolio paid BTC $127,858 in total for securities lending agent services and collateral investment fees.

Certain officers and/or trustees of MIP are officers and/or directors of BlackRock or its affiliates.

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 advisor, common officers, or common trustees. For the year ended December 31, 2015, the purchase and sale transactions with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were $636,566 and $1,714,712, respectively.

7. Purchases and Sales:

For the year ended December 31, 2015, purchases and sales of investments excluding short-term securities and in-kind redemptions, were $2,211,057,056 and $2,745,327,447, respectively.

8. Income Tax Information:

The Master Portfolio is classified as a partnership for 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 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 remains open for each of the four years ended December 31, 2015. 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 December 31, 2015, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the Master Portfolio’s financial statements.

As of period end, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

Tax cost	$	486,683,091
Gross unrealized appreciation	$	22,602,602
Gross unrealized depreciation		(31,035,266	)
Net unrealized depreciation	$	(8,432,664	)

16 ACTIVE STOCK MASTER PORTFOLIO DECEMBER 31, 2015

Notes to Financial Statements (concluded)

9. Bank Borrowings:

MIP, 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, $2.1 billion credit agreement with a group of lenders, under which the Master Portfolio may borrow to fund shareholder redemptions. Excluding commitments designated for certain funds, the Participating Funds, including the Master Portfolio, can borrow up to an aggregate commitment amount of $1.6 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 0.06% 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 2016 unless extended or renewed. Participating Funds paid administration, legal and arrangement fees, which, if applicable, are included in miscellaneous expenses in the Statement of Operations, and along with commitment 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 December 31, 2015, 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 and enters into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities held by the Master Portfolio may decline in response to certain events, including those directly involving the issuers of securities owned by the Master Portfolio. Changes arising from the general economy, the overall market and local, regional or global political or/and social instability, as well as currency, interest rate and price fluctuations, may also affect the securities’ value.

Counterparty Credit Risk: Similar to issuer credit risk, the Master Portfolio may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Master Portfolio manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Master Portfolio to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent 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.

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.

ACTIVE STOCK MASTER PORTFOLIO DECEMBER 31, 2015 17

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Master Investment Portfolio and the Interestholders of Active Stock Master Portfolio:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Active Stock Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio, at December 31, 2015, 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. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Master Portfolio’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2015 by correspondence with the custodian, transfer agent, and brokers, provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 24, 2016

18 ACTIVE STOCK MASTER PORTFOLIO DECEMBER 31, 2015

Officers and Trustees

Name, Address1 and Year of Birth	Position(s) Held with MIP	Length of Time Served as a Trustee3	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Independent Trustees2
Rodney D. Johnson 1941	Chair of the Board and Trustee	Since 2009	President, Fairmount Capital Advisors, Inc. from 1987 to 2013; Member of the Archdiocesan Investment Committee of the Archdiocese of Philadelphia from 2004 to 2012; Director, The Committee of Seventy (civic) from 2006 to 2012; Director, Fox Chase Cancer Center from 2004 to 2011.	33 RICs consisting of 155 Portfolios	None
David O. Beim 1940	Trustee	Since 2009	Professor of Professional Practice at the Columbia University Graduate School of Business since 1991; Trustee, Phillips Exeter Academy from 2002 to 2012; Chairman, Wave Hill, Inc. (public garden and cultural center) from 1990 to 2006.	33 RICs consisting of 155 Portfolios	None
Collette Chilton 1958	Trustee	Since 2015	Chief Investment Officer, Williams College since 2006; Chief Investment Officer, Lucent Asset Management Corporation from 1998 to 2006.	33 RICs consisting of 155 Portfolios	None
Frank J. Fabozzi 1948	Trustee	Since 2014	Editor of and Consultant for The Journal of Portfolio Management since 2006; Professor of Finance, EDHEC Business School since 2011; Visiting Professor, Princeton University from 2013 to 2014; Professor in the Practice of Finance and Becton Fellow, Yale University School of Management from 2006 to 2011.	108 RICs consisting of 230 Portfolios	None
Dr. Matina S. Horner 1939	Trustee	Since 2009	Executive Vice President, Teachers Insurance and Annuity Association and College Retirement Equities Fund from 1989 to 2003.	33 RICs consisting of 155 Portfolios	NSTAR (electric and gas utility)
Herbert I. London 1939	Trustee	Since 2009	Professor Emeritus, New York University since 2005; President, London Center for Policy Research since 2012; John M. Olin Professor of Humanities, New York University from 1993 to 2005 and Professor thereof from 1980 to 2005; President Emeritus, Hudson Institute (policy research organization) from 2011 to 2012, President thereof from 1997 to 2011 and Trustee from 1980 to 2012; Chairman of the Board of Trustees for Grantham University since 2006; Director, InnoCentive, Inc. (global internet service) since 2005; Director, Cerego, LLC (educational software) since 2005; Director, Cybersettle (online adjudication) since 2009; Director, AIMS Worldwide, Inc. (marketing) from 2007 to 2012.	33 RICs consisting of 155 Portfolios	None
Cynthia A. Montgomery 1952	Trustee	Since 2009	Professor, Harvard Business School since 1989; Director, McLean Hospital from 2005 to 2012; Director, Harvard Business School Publishing from 2005 to 2010.	33 RICs consisting of 155 Portfolios	Newell Rubbermaid, Inc. (manufacturing)
Joseph P. Platt 1947	Trustee	Since 2009	Director, Jones and Brown (Canadian insurance broker) since 1998; General Partner, Thorn Partners, LP (private investments) since 1998; Director, WQED Multi-Media (public broadcasting not-for-profit) since 2001; Director, The West Penn Allegheny Health System (a not-for-profit health system) from 2008 to 2013; Partner, Amarna Corporation, LLC (private investment company) from 2002 to 2008.	33 RICs consisting of 155 Portfolios	Greenlight Capital Re, Ltd. (reinsurance company)
Robert C. Robb, Jr. 1945	Trustee	Since 2009	Partner, Lewis, Eckert, Robb and Company (management and financial consulting firm) since 1981.	33 RICs consisting of 155 Portfolios	None
Toby Rosenblatt 1938	Trustee	Since 2009	President, Founders Investments Ltd. (private investments) since 1999; Director, Forward Management, LLC since 2007; Director, College Futures Foundation (philanthropic foundation) since 2009; Director, The James Irvine Foundation (philanthropic foundation) from 1998 to 2008.	33 RICs consisting of 155 Portfolios	None
Mark Stalnecker 1951	Trustee	Since 2015	Chief Investment Officer, University of Delaware from 1999 to 2013; Trustee, Winterthur Museum and Country Estate since 2001; Member of the Investment Committee, Delaware Public Employees’ Retirement System since 2002; Member of the Investment Committee, Christiana Care Health System since 2009; Member of the Investment Committee, Delaware Community Foundation from 2013 to 2014.	33 RICs consisting of 155 Portfolios	None

ACTIVE STOCK MASTER PORTFOLIO DECEMBER 31, 2015 19

Officers and Trustees (continued)

Name, Address1 and Year of Birth	Position(s) Held with MIP	Length of Time Served as a Trustee3	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Independent Trustees2 (concluded)
Kenneth L. Urish 1951	Trustee	Since 2009	Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Immediate 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 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.	33 RICs consisting of 155 Portfolios	None
Frederick W. Winter 1945	Trustee	Since 2009	Director, Alkon Corporation (pneumatics) since 1992; Professor and Dean Emeritus of the Joseph M. Katz School of Business, University of Pittsburgh from 2005 to 2013 and Dean thereof from 1997 to 2005; Director, Tippman Sports (recreation) from 2005 to 2013; Director, Indotronix International (IT services) from 2004 to 2008.	33 RICs consisting of 155 Portfolios	None
	1    The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.
	2    Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The Board has determined to extend the terms of Independent Trustees on a case-by-case basis, as appropriate. The Board has unanimously approved extending the mandatory retirement age for David O. Beim and Dr. Matina Horner until December 31, 2016, which the Board believes is in the best interests of the shareholders of MIP.
	3    Date shown is the earliest date a person has served for MIP. In connection with the acquisition of Barclays Global Investors by BlackRock, Inc. (“BlackRock”) in December 2009, the Trustees were elected to the MIP Board. As a result, although the chart shows certain Independent Trustees as joining MIP’s board in 2009, those Independent Trustees first became members of the boards of other funds advised by BlackRock Advisors, LLC or its affiliates as follows: David 0. Beim, 1998; Dr. Matina S. Horner, 2004; Rodney D. Johnson, 1995; Herbert I. London, 1987; Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Robert C. Robb, Jr., 1998; Toby Rosenblatt, 2005; Kenneth L. Urish, 1999; and Frederick W. Winter, 1999. Frank J. Fabozzi first became a member of the board of other funds advised by BlackRock Advisors, LLC or its affiliates in 1988.
Interested Trustees4
Barbara G. Novick 1960	Trustee	Since 2015	Vice Chairman of BlackRock since 2006; Chair of BlackRock’s Government Relations Steering Committee since 2009; Head of the Global Client Group of BlackRock from 1988 to 2008.	108 RICs consisting of 230 Portfolios	None
John M. Perlowski 1964	Trustee, President and Chief Executive Officer	Since 2015 (Trustee); Since 2010 (President and Chief Executive Officer)	Managing Director of BlackRock since 2009; Head of BlackRock Global Fund Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.	136 RICs consisting of 328 Portfolios	None
	4    Mr. Perlowski and Ms. Novick are both “interested persons,” as defined in the 1940 Act, of MIP based on their positions with BlackRock and its affiliates. Mr. Perlowski and Ms. Novick are also board members of a complex of BlackRock registered open-end funds. Mr. Perlowski is also a board member of the BlackRock Equity-Bond Complex and the BlackRock Equity-Liquidity Complex, and Ms. Novick is also a board member of the BlackRock Equity-Liquidity Complex. Interested Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 75. The maximum age limitation may be waived as to any Trustee by action of a majority of the Trustees upon a finding of good cause therefor.

20 ACTIVE STOCK MASTER PORTFOLIO DECEMBER 31, 2015

Officers and Trustees (concluded)

Name, Address1 and Year of Birth	Position(s) Held with MIP	Length of Time Served as an Officer	Principal Occupation(s) During Past Five Years
MIP Officers2
John M. Perlowski 1964	Trustee, President and Chief Executive Officer	Since 2015 (Trustee); Since 2010 (President and Chief Executive Officer)	Managing Director of BlackRock since 2009; Head of BlackRock Global Fund Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.
Richard Hoerner, CFA 1958	Vice President	Since 2009	Managing Director of BlackRock since 2000; Head of the Global Cash Group since 2013; Co-head of the Global Cash and Securities Lending Group from 2010 to 2013; Member of the Cash Management Group Executive Committee since 2015.
Jennifer McGovern 1977	Vice President	Since 2014	Director of BlackRock since 2011; Head of Product Structure and Oversight for BlackRock’s U.S. Wealth Advisory Group since 2013; Vice President of BlackRock from 2008 to 2010.
Neal Andrews 1966	Chief Financial Officer	Since 2009	Managing Director of BlackRock since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.
Jay Fife 1970	Treasurer	Since 2009	Managing Director of BlackRock since 2007; Director of BlackRock in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.
Charles Park 1967	Chief Compliance Officer	Since 2014	Anti-Money Laundering Compliance Officer for the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End Complex from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End 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.
Fernanda Piedra 1969	Anti-Money Laundering Compliance Officer	Since 2015	Director of BlackRock since 2014; Anti-Money Laundering Compliance Officer and Regional Head of Financial Crime for the Americas at BlackRock since 2014; Head of Regulatory Changes and Remediation for the Asset Wealth Management Division of Deutsche Bank from 2010 to 2014; Vice President of Goldman Sachs (Anti-Money Laundering/Suspicious Activities Group) from 2004 to 2010.
Benjamin Archibald 1975	Secretary	Since 2012	Managing Director of BlackRock since 2014; Director of BlackRock from 2010 to 2013; Secretary of the iShares exchange traded funds since 2015; Secretary of the BlackRock-advised mutual funds since 2012.
	1    The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.
	2    Officers of MIP serve at the pleasure of the Board.
	Further information about the Officers and Trustees is available in MIP’s Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762

Effective September 25, 2015, John M. Perlowski was appointed to serve as a Trustee of MIP.

Effective December 31, 2015, Herbert I. London and Toby Rosenblatt retired as Trustees of MIP.

Investment Advisor BlackRockFund Advisors San Francisco, CA 94105	Accounting Agent and Custodian State Street Bank and Trust Company Boston, MA 02110	Legal Counsel Sidley Austin LLP New York, NY 10019
Administrator BlackRock Advisors, LLC Wilmington, DE 19809	Independent Registered Public Accounting Firm PricewaterhouseCoopers LLP Philadelphia, PA 19103	Address of MIP 400 Howard Street San Francisco, CA 94105

ACTIVE STOCK MASTER PORTFOLIO DECEMBER 31, 2015 21

Additional Information

Availability of Quarterly Schedule of Investments

The Master Portfolio files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Master Portfolio’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Master Portfolio’s Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Master Portfolio uses 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 http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Master Portfolio voted proxies relating to securities held in the Master Portfolio’s portfolio during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC’s website at http://www.sec.gov.

22 ACTIVE STOCK MASTER PORTFOLIO DECEMBER 31, 2015

Item 2 –	Code of Ethics – Each registrant (or “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s 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. Each registrant undertakes to provide a copy of the code of ethics to any person upon request, without charge, by calling 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 expert serving on its audit committee and (ii) each audit committee financial expert is independent: 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.
Item 4 –	Principal Accountant Fees and Services
	The following table presents fees billed by PricewaterhouseCoopers LLP (“PwC”) 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 Fees3
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 Cash Funds: Institutional	$10,962	$10,962	$0	$0	$2,425	$2,425	$0	$0
BlackRock Cash Funds: Prime	$10,962	$10,962	$0	$0	$2,425	$2,425	$0	$0
BlackRock Cash Funds: Treasury	$10,962	$10,962	$0	$0	$2,425	$2,425	$0	$0
BlackRock CoreAlpha Bond Fund	$10,962	$10,962	$0	$0	$7,566	$7,566	$0	$0
BlackRock Disciplined International Fund	$9,900	N/A	$0	N/A	$7,566	N/A	$0	N/A
BlackRock Large Cap Index Fund	$10,962	$10,962	$0	$0	$7,566	$7,566	$0	$0
BlackRock LifePath Retirement Fund	$10,962	$10,962	$0	$0	$7,566	$7,566	$0	$0
BlackRock LifePath 2020 Fund	$10,962	$10,962	$0	$0	$7,566	$7,566	$0	$0
BlackRock LifePath 2025 Fund	$10,962	$10,962	$0	$0	$7,566	$7,566	$0	$0
BlackRock LifePath 2030 Fund	$10,962	$10,962	$0	$0	$7,566	$7,566	$0	$0
BlackRock LifePath 2035 Fund	$10,962	$10,962	$0	$0	$7,566	$7,566	$0	$0
BlackRock LifePath 2040 Fund	$10,962	$10,962	$0	$0	$7,566	$7,566	$0	$0
BlackRock LifePath 2045 Fund	$10,962	$10,962	$0	$0	$7,566	$7,566	$0	$0
BlackRock LifePath 2050 Fund	$10,962	$10,962	$0	$0	$7,566	$7,566	$0	$0
BlackRock LifePath 2055 Fund	$10,962	$10,962	$0	$0	$7,566	$7,566	$0	$0
BlackRock LifePath Index Retirement Fund	$10,962	$10,962	$0	$0	$7,566	$7,566	$0	$0

3

BlackRock LifePath Index 2020 Fund	$10,962	$10,962	$0	$0	$7,566	$7,566	$0	$0
BlackRock LifePath Index 2025 Fund	$10,962	$10,962	$0	$0	$7,566	$7,566	$0	$0
BlackRock LifePath Index 2030 Fund	$10,962	$10,962	$0	$0	$7,566	$7,566	$0	$0
BlackRock LifePath Index 2035 Fund	$10,962	$10,962	$0	$0	$7,566	$7,566	$0	$0
BlackRock LifePath Index 2040 Fund	$10,962	$10,962	$0	$0	$7,566	$7,566	$0	$0
BlackRock LifePath Index 2045 Fund	$10,962	$10,962	$0	$0	$7,566	$7,566	$0	$0
BlackRock LifePath Index 2050 Fund	$10,962	$10,962	$0	$0	$7,566	$7,566	$0	$0
BlackRock LifePath Index 2055 Fund	$10,962	$10,962	$0	$0	$7,566	$7,566	$0	$0
BlackRock S&P 500 Index Fund	$10,962	$10,962	$0	$0	$7,566	$7,566	$0	$0
BlackRock Total International ex U.S. Index Fund	$10,962	$10,962	$0	$0	$7,566	$7,566	$0	$0
BlackRock U.S. Total Bond Index Fund	$10,962	$10,962	$0	$0	$7,566	$7,566	$0	$0
Active Stock Master Portfolio	$20,640	$20,640	$0	$0	$20,161	$20,161	$0	$0
CoreAlpha Bond Master Portfolio	$34,305	$27,805	$0	$0	$20,161	$20,161	$0	$0
International Tilts Master Portfolio	$20,640	$20,640	$0	$0	$15,126	$15,126	$0	$0
Large Cap Index Master Portfolio	$20,640	$20,640	$0	$0	$15,156	$15,156	$0	$0
LifePath Retirement Master Portfolio	$12,790	$12,790	$0	$0	$13,119	$13,119	$0	$0
LifePath 2020 Master Portfolio	$12,790	$12,790	$0	$0	$13,119	$13,119	$0	$0
LifePath 2025 Master Portfolio	$12,790	$12,790	$0	$0	$13,119	$13,119	$0	$0
LifePath 2030 Master Portfolio	$12,790	$12,790	$0	$0	$13,119	$13,119	$0	$0
LifePath 2035 Master Portfolio	$12,790	$12,790	$0	$0	$13,119	$13,119	$0	$0
LifePath 2040 Master Portfolio	$12,790	$12,790	$0	$0	$13,119	$13,119	$0	$0
LifePath 2045 Master Portfolio	$12,790	$12,790	$0	$0	$13,119	$13,119	$0	$0
LifePath 2050 Master Portfolio	$12,790	$12,790	$0	$0	$13,119	$13,119	$0	$0
LifePath 2055 Master Portfolio	$12,790	$12,790	$0	$0	$13,119	$13,119	$0	$0
LifePath Index Retirement Master Portfolio	$12,790	$12,790	$0	$0	$13,119	$13,119	$0	$0
LifePath Index 2020 Master Portfolio	$12,790	$12,790	$0	$0	$13,119	$13,119	$0	$0
LifePath Index 2025 Master Portfolio	$12,790	$12,790	$0	$0	$13,119	$13,119	$0	$0
LifePath Index 2030 Master Portfolio	$12,790	$12,790	$0	$0	$13,119	$13,119	$0	$0
LifePath Index 2035 Master Portfolio	$12,790	$12,790	$0	$0	$13,119	$13,119	$0	$0
LifePath Index 2040 Master Portfolio	$12,790	$12,790	$0	$0	$13,119	$13,119	$0	$0
LifePath Index 2045 Master Portfolio	$12,790	$12,790	$0	$0	$13,119	$13,119	$0	$0
LifePath Index 2050 Master Portfolio	$12,790	$12,790	$0	$0	$13,119	$13,119	$0	$0
LifePath Index 2055 Master Portfolio	$12,790	$12,790	$0	$0	$13,119	$13,119	$0	$0
Money Market Master Portfolio	$12,298	$12,298	$0	$0	$3,633	$3,633	$0	$0
Prime Money Market Master Portfolio	$12,298	$12,298	$0	$0	$3,633	$3,633	$0	$0
S&P 500 Index Master Portfolio	$20,640	$20,640	$0	$0	$15,126	$15,126	$0	$0
Total International ex U.S. Index Master Portfolio	$20,640	$20,640	$0	$0	$15,126	$15,126	$0	$0
Treasury Money Market Master Portfolio	$12,298	$12,298	$0	$0	$3,633	$3,633	$0	$0
U.S. Total Bond Index Master Portfolio	$23,963	$19,463	$0	$0	$15,126	$15,126	$0	$0

The following table presents fees billed by PwC that were required to be approved by each registrant’s audit committee (each a “Committee”) for services that relate directly to the operations or financial reporting of the Fund and that are

4

rendered on behalf of BlackRock Advisors, LLC (“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 Fund (“Fund Service Providers”):

	Current Fiscal Year End	Previous Fiscal Year End
(b) Audit-Related Fees1	$690,797	$602,463
(c) Tax Fees2	$11,821,636	$12,495,765
(d) All Other Fees3	$404,124	$558,341

¹ The nature of the services includes assurance and related services reasonably related to the performance of the audit of financial statements not included in Audit Fees.

² The nature of the services includes tax compliance, tax advice and tax planning.

³ Aggregate fees borne by BlackRock in connection with the review of compliance procedures and attestation thereto performed by PwC with respect to all of the registered closed-end funds and some of the registered open-end funds advised by BlackRock.

(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 registrant on an annual basis require specific pre-approval by the registrant’s Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Fund Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the 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 the 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 the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant 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 the registrant’s Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The 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 the Committee for ratification. The 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 minimus exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not Applicable

5

(g) The aggregate non-audit fees paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Fund Service Providers were:

Entity Name	Current Fiscal   Year End		Previous   Fiscal Year   End
BlackRock Cash Funds:  Institutional		$2,425		$2,425
BlackRock Cash Funds:  Prime		$2,425		$2,425
BlackRock Cash Funds:  Treasury		$2,425		$2,425
BlackRock CoreAlpha Bond Fund		$7,566		$7,566
BlackRock Large Cap Index Fund		$7,566		$7,566
BlackRock Disciplined International Fund		$7,566		N/A
LifePath Retirement Fund		$7,566		$7,566
LifePath 2020 Fund		$7,566		$7,566
LifePath 2025 Fund		$7,566		$7,566
LifePath 2030 Fund		$7,566		$7,566
LifePath 2035 Fund		$7,566		$7,566
LifePath 2040 Fund		$7,566		$7,566
LifePath 2045 Fund		$7,566		$7,566
LifePath 2050 Fund		$7,566		$7,566
LifePath 2055 Fund		$7,566		$7,566
LifePath Index Retirement Fund		$7,566		$7,566
LifePath Index 2020 Fund		$7,566		$7,566
LifePath Index 2025 Fund		$7,566		$7,566
LifePath Index 2030 Fund		$7,566		$7,566
LifePath Index 2035 Fund		$7,566		$7,566
LifePath Index 2040 Fund		$7,566		$7,566
LifePath Index 2045 Fund		$7,566		$7,566
LifePath Index 2050 Fund		$7,566		$7,566
LifePath Index 2055 Fund		$7,566		$7,566
BlackRock S&P 500 IndexFund		$7,566		$7,566
BlackRock Total International ex U.S. Index Fund		$7,566		$7,566
BlackRock U.S. Total Bond Index Fund		$7,566		$7,566
Active Stock Master Portfolio		$20,161		$20,161
CoreAlpha Bond Master Portfolio		$20,161		$20,161
International Tilts Master Portfolio		$15,126		$15,126
Large Cap Index Master Portfolio		$15,156		$15,156
LifePath Retirement Master Portfolio		$13,119		$13,119
LifePath 2020 Master Portfolio		$13,119		$13,119
LifePath 2025 Master Portfolio		$13,119		$13,119
LifePath 2030 Master Portfolio		$13,119		$13,119
LifePath 2035 Master Portfolio		$13,119		$13,119
LifePath 2040 Master Portfolio		$13,119		$13,119
LifePath 2045 Master Portfolio		$13,119		$13,119
LifePath 2050 Master Portfolio		$13,119		$13,119
LifePath 2055 Master Portfolio		$13,119		$13,119
LifePath Index Retirement Master Portfolio		$13,119		$13,119
LifePath Index 2020 Master Portfolio		$13,119		$13,119

6

LifePath Index 2025 Master Portfolio	$13,119	$13,119
LifePath Index 2030 Master Portfolio	$13,119	$13,119
LifePath Index 2035 Master Portfolio	$13,119	$13,119
LifePath Index 2040 Master Portfolio	$13,119	$13,119
LifePath Index 2045 Master Portfolio	$13,119	$13,119
LifePath Index 2050 Master Portfolio	$13,119	$13,119
LifePath Index 2055 Master Portfolio	$13,119	$13,119
Money Market Master Portfolio	$3,633	$3,633
Prime Money Market Master Portfolio	$3,633	$3,633
S&P 500 Index Master Portfolio	$15,126	$15,126
Total International ex U.S. Index Master Portfolio	$15,156	$15,156
Treasury Money Market Master Portfolio	$3,633	$3,633
U.S. Total Bond Index Master Portfolio	$15,156	$15,156

(h) Each Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser and the Fund 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 15(d)-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 second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrants’ internal control over financial reporting.

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Item 12 – Exhibits attached hereto

(a)(1) – Code of Ethics – See Item 2

(a)(2) – Certifications – Attached hereto

(a)(3) – Not Applicable

(b) –    Certifications – Attached hereto

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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 Funds III and Master Investment Portfolio

By:	/s/ John M. Perlowski
	John M. Perlowski
	Chief Executive Officer (principal executive officer) of
	BlackRock Funds III and Master Investment Portfolio
Date: March 1, 2016

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 Funds III and Master Investment Portfolio
Date: March 1, 2016
By:	/s/ Neal J. Andrews
	Neal J. Andrews
	Chief Financial Officer (principal financial officer) of
	BlackRock Funds III and Master Investment Portfolio
Date: March 1, 2016

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