UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number:
Name of Fund:
| BlackRock Funds III |
| BlackRock Diversified Equity Fund |
| iShares MSCI Total International Index Fund |
| iShares Russell 1000 Large-Cap Index Fund |
| iShares U.S. Aggregate Bond Index Fund |
|
| Master Investment Portfolio |
| Diversified Equity Master Portfolio |
| Total International ex U.S. Index Master Portfolio |
| Large Cap Index Master Portfolio |
| U.S. Total Bond Index Master Portfolio |
| International Tilts Master Portfolio |
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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, 50 Hudson Yards, New York, NY 10001
Registrant's telephone number, including area code:
Date of reporting period:
Item 1 — Report to Stockholders
(a) The Report to Shareholders is attached herewith
BlackRock Diversified Equity Fund
Institutional Shares | BDVEX
Semi-Annual Shareholder Report — June 30, 2024
This semi-annual shareholder report contains important information about BlackRock Diversified Equity Fund (the “Fund”) for the period of January 1, 2024 to June 30, 2024. The Fund invests all of its assets in the Diversified Equity Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio. You can find additional information about the Fund at
blackrock.com/fundreports
. You can also request this information by contacting us at
.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class name | Costs of a $10,000
investment | Costs paid as a percentage of a
$10,000 investment |
| Institutional Shares | $ 21(a) | 0.39 % (a) |
| 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. |
| Average annual total returns | | | | |
| | 6-Month
Total
Returns | 1 Year | 5 Years | 10 Years |
| Institutional Shares | 15.58 % | 25.49 % | 14.66 % | 12.35 % |
| Russell 1000 ® Index | 14.24 | 23.88 | 14.61 | 12.51 |
| Key Fund statistics | |
| Net Assets | $ 999,081,867 |
| Number of Portfolio Holdings | 1 |
| Portfolio Turnover Rate of the Master Portfolio | 61 % |
Performance shown prior to the Institutional Shares inception date of September 19, 2023 is based upon the performance of the Master Portfolio in which the Fund invests all of its assets, adjusted to reflect the Institutional Shares fees and operating expenses.
Past performance is not an indication of future results.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. Visit
blackrock.com
for more recent performance information.
If you wish to view additional information about the Fund, including but not limited to financial statements, the Fund’s prospectus, and proxy voting policies and procedures, please visit
blackrock.com/fundreports
. For proxy voting records, visit
blackrock.com/proxyrecords
.
The Fund is not sponsored, endorsed, issued, sold, or promoted by FTSE International Limited and its affiliates, nor does this company make any representation regarding the advisability of investing in the Fund. BlackRock is not affiliated with the company listed above.
©2024 BlackRock, Inc. or its affiliates. All rights reserved.
BLACKROCK is a registered trademark of BlackRock, Inc. or its affiliates. All other trademarks are those of their respective owners.
BlackRock Diversified Equity Fund
Institutional Shares | BDVEX
Semi-Annual Shareholder Report —
June 30, 2024
BDVEX-06/24-SAR
Diversified Equity Master Portfolio
Semi-Annual Shareholder Report — June 30, 2024
This
semi-annual shareholder report
contains important information about Diversified Equity Master Portfolio (the “Master Portfolio”) for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Master Portfolio included within the BlackRock Diversified Equity Fund’s additional information
at
blackrock.com/fundreports
. You can also request this information by contacting us at
(800) 441-7762
.
What were the Master Portfolio costs for the last six months?
(based on a hypothetical $10,000 investment)
| Master Portfolio name | Costs of a $10,000
investment | Costs paid as a percentage of a
$10,000 investment |
| Diversified Equity Master Portfolio | $8 | 0.14% |
| Key Master Portfolio statistics | |
| Net Assets | $ 2,319,887,405 | % |
| Number of Portfolio Holdings | 2,360 |
| Portfolio Turnover Rate | 61% |
What did the Master Portfolio invest in?
(as of June 30, 2024)
Sector allocation |
| Percent of
Net Assets |
| Information Technology | 22.5% |
| Financials | 14.6 |
| Industrials | 11.4 |
| Health Care | 10.8 |
| Consumer Discretionary | 9.3 |
| Communication Services | 6.2 |
| Consumer Staples | 4.4 |
| Energy | 3.6 |
| Materials | 3.0 |
| Real Estate | 1.7 |
| Utilities | 1.7 |
| Short-Term Securities | 17.2 |
| Liabilities in Excess of Other Assets | (6.4) |
| Ten largest holdings |
| Security | |
| Microsoft Corp. | 3.1% |
| Apple, Inc. | 2.7 |
| NVIDIA Corp. | 2.4 |
| Taiwan Semiconductor Manufacturing Co. Ltd. | 1.9 |
| Amazon.com, Inc. | 1.7 |
| Alphabet, Inc., Class A | 1.1 |
| Meta Platforms, Inc., Class A | 0.9 |
| Tencent Holdings Ltd. | 0.9 |
| Samsung Electronics Co. Ltd. | 0.8 |
| Alphabet, Inc., Class C | 0.8 |
| (a) | For purposes of this report, sector sub-classifications may differ from those utilized for compliance purposes. |
| (b) | Excludes short-term securities. |
If you wish to view additional information about the Master Portfolio, including but not limited to financial statements and proxy voting policies and procedures, please visit
blackrock.com/fundreports
. For proxy voting records, visit
blackrock.com/proxyrecords
.
©2024 BlackRock, Inc. or its affiliates. All rights reserved.
BLACKROCK is a registered trademark of BlackRock, Inc. or its affiliates. All other trademarks are those of their respective owners.
Diversified Equity Master Portfolio
Semi-Annual Shareholder Report —
June 30, 2024
06/24-SAR
iShares MSCI Total International Index Fund
Institutional Shares | BDOIX
Semi-Annual Shareholder Report — June 30, 2024
This semi-annual shareholder report contains important information about iShares MSCI Total International Index Fund (the “Fund”) for the period of January 1, 2024 to June 30, 2024. 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.
You can find additional information about the Fund at
blackrock.com/fundreports
. You can also request this information by contacting us at
(800) 441-7762
.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class name | Costs of a $10,000
investment | Costs paid as a percentage of a
$10,000 investment |
| Institutional Shares | $ 8(a) | 0.15 % (a) |
| 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. |
| Average annual total returns | | | | |
| 6-Month
Total
Returns | 1 Year | 5 Years | 10 Years |
| Institutional Shares | 5.57 % | 10.85 % | 5.28 % | 3.65 % |
| MSCI ACWI ex USA Index | 5.69 % | 11.62 % | 5.55 % | 3.84 % |
| Key Fund statistics | |
| Net Assets | $ 1,869,106,670% |
| Number of Portfolio Holdings | $ 1% |
| Portfolio Turnover Rate of the Master Portfolio | $ 4% |
Past performance is not an indication of future results.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. Visit
blackrock.com
for more recent performance information.
Additional information
If you wish to view additional information about the Fund, including but not limited to financial statements, the Fund’s prospectus, and proxy voting policies and procedures, please visit
blackrock.com/fundreports
. For proxy voting records, visit
blackrock.com/proxyrecords
.
The Fund is not sponsored, endorsed, issued, sold, or promoted by MSCI Inc. and its affiliates, nor does this company make any representation regarding the advisability of investing in the Fund. BlackRock is not affiliated with the company listed above.
©2024 BlackRock, Inc. or its affiliates. All rights reserved.
BLACKROCK is a registered trademark of BlackRock, Inc. or its affiliates. All other trademarks are those of their respective owners.
iShares MSCI Total International Index Fund
Institutional Shares | BDOIX
Semi-Annual Shareholder Report —
June 30, 2024
BDOIX-06/24-SAR
iShares MSCI Total International Index Fund
Investor A Shares | BDOAX
Semi-Annual Shareholder Report — June 30, 2024
This semi-annual shareholder report contains important information about iShares MSCI Total International Index Fund (the “Fund”) for the period of January 1, 2024 to June 30, 2024. 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.
You can find additional information about the Fund at
blackrock.com/fundreports
. You can also request this information by contacting us at
(800) 441-7762
.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class name | Costs of a $10,000
investment | Costs paid as a percentage of a
$10,000 investment |
| Investor A Shares | $ 21(a) | 0.41 % (a) |
| 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. |
| Average annual total returns | | | | |
| 6-Month
Total
Returns | 1 Year | 5 Years | 10 Years |
| Investor A Shares | 5.43 % | 10.56 % | 5.00 % | 3.38 % |
| MSCI ACWI ex USA Index | 5.69 % | 11.62 % | 5.55 % | 3.84 % |
| Key Fund statistics | |
| Net Assets | $ 1,869,106,670% |
| Number of Portfolio Holdings | $ 1% |
| Portfolio Turnover Rate of the Master Portfolio | $ 4% |
Average annual total returns reflect reductions for service fees.
Past performance is not an indication of future results.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. Visit
blackrock.com
for more recent performance information.
Additional information
If you wish to view additional information about the Fund, including but not limited to financial statements, the Fund’s prospectus, and proxy voting policies and procedures, please visit
blackrock.com/fundreports
. For proxy voting records, visit
blackrock.com/proxyrecords
.
The Fund is not sponsored, endorsed, issued, sold, or promoted by MSCI Inc. and its affiliates, nor does this company make any representation regarding the advisability of investing in the Fund. BlackRock is not affiliated with the company listed above.
©2024 BlackRock, Inc. or its affiliates. All rights reserved.
BLACKROCK is a registered trademark of BlackRock, Inc. or its affiliates. All other trademarks are those of their respective owners.
iShares MSCI Total International Index Fund
Investor A Shares | BDOAX
Semi-Annual Shareholder Report —
June 30, 2024
BDOAX-06/24-SAR
iShares MSCI Total International Index Fund
Semi-Annual Shareholder Report — June 30, 2024
This semi-annual shareholder report contains important information about iShares MSCI Total International Index Fund (the “Fund”) for the period of January 1, 2024 to June 30, 2024. 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.
You can find additional information about the Fund at
blackrock.com/fundreports
. You can also request this information by contacting us at
(800) 441-7762
.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class name | Costs of a $10,000
investment | Costs paid as a percentage of a
$10,000 investment |
| Class K Shares | $ 5(a) | 0.10 % (a) |
| 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. |
| Average annual total returns | | | | |
| | 6-Month
Total
Returns | 1 Year | 5 Years | 10 Years |
| Class K Shares | 5.61 % | 10.85 % | 5.32 % | 3.69 % |
| MSCI ACWI ex USA Index | 5.69 | 11.62 | 5.55 | 3.84 |
| Key Fund statistics | |
| Net Assets | $ 1,869,106,670 |
| Number of Portfolio Holdings | 1 |
| Portfolio Turnover Rate of the Master Portfolio | 4 % |
Past performance is not an indication of future results.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. Visit
blackrock.com
for more recent performance information.
If you wish to view additional information about the Fund, including but not limited to financial statements, the Fund’s prospectus, and proxy voting policies and procedures, please visit
blackrock.com/fundreports
. For proxy voting records, visit
blackrock.com/proxyrecords
.
The Fund is not sponsored, endorsed, issued, sold, or promoted by MSCI Inc. and its affiliates, nor does this company make any representation regarding the advisability of investing in the Fund. BlackRock is not affiliated with the company listed above.
©2024 BlackRock, Inc. or its affiliates. All rights reserved.
BLACKROCK is a registered trademark of BlackRock, Inc. or its affiliates. All other trademarks are those of their respective owners.
iShares MSCI Total International Index Fund
Class K Shares | BDOKX
Semi-Annual Shareholder Report —
June 30, 2024
BDOKX-06/24-SAR
Total International ex U.S. Index Master Portfolio
Semi-Annual Shareholder Report — June 30, 2024
This
semi-annual shareholder report
contains important information about Total International ex U.S. Index Master Portfolio (the “Master Portfolio”) for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Master Portfolio included within the iShares MSCI Total International Index Fund’s additional information
at
blackrock.com/fundreports
. You can also request this information by contacting us at
(800) 441-7762
.
What were the Master Portfolio costs for the last six months?
(based on a hypothetical $10,000 investment)
| Master Portfolio name | Costs of a $10,000
investment | Costs paid as a percentage of a
$10,000 investment |
| Total International ex U.S. Index Master Portfolio | $4 | 0.07% |
| Key Master Portfolio statistics | |
| Net Assets | $ 1,870,993,590 |
| Number of Portfolio Holdings | 1,940 |
| Portfolio Turnover Rate | 4% |
What did the Master Portfolio invest in?
(as of June 30, 2024)
| Geographic allocation |
| Country/Geographic Region | Percent of
Net Assets |
| Japan | 15.0% |
| United States | 9.9 |
| China | 7.8 |
| Canada | 7.5 |
| United Kingdom | 7.1 |
| France | 6.2 |
| Taiwan | 5.8 |
| India | 5.7 |
| Germany | 5.6 |
| Australia | 5.0 |
| Other # | 31.7 |
| Liabilities in Excess of Other Assets | (7.3) |
| Ten largest holdings |
| Security | |
| Taiwan Semiconductor Manufacturing Co. Ltd. | 2.9% |
| Novo Nordisk A/S, Class B | 1.9 |
| ASML Holding NV | 1.6 |
| Tencent Holdings Ltd. | 1.2 |
| Samsung Electronics Co. Ltd. | 1.1 |
| Nestle SA, Class N | 1.1 |
| AstraZeneca PLC | 1.0 |
| Shell PLC | 0.9 |
| Toyota Motor Corp. | 0.9 |
| LVMH Moet Hennessy Louis Vuitton SE | 0.8 |
| (a) | Excludes short-term securities. |
| # | Ten largest country/geographic regions are presented. Additional country/geographic regions are found in Other. |
If you wish to view additional information about the Master Portfolio, including but not limited to financial statements and proxy voting policies and procedures, please visit
blackrock.com/fundreports
. For proxy voting records, visit
blackrock.com/proxyrecords
.
©2024 BlackRock, Inc. or its affiliates. All rights reserved.
BLACKROCK is a registered trademark of BlackRock, Inc. or its affiliates. All other trademarks are those of their respective owners.
Total International ex U.S. Index Master Portfolio
Semi-Annual Shareholder Report —
June 30, 2024
06/24-SAR
iShares Russell 1000 Large-Cap Index Fund
Institutional Shares | BRGNX
Semi-Annual Shareholder Report — June 30, 2024
This semi-annual shareholder report contains important information about iShares Russell 1000 Large-Cap Index Fund (the “Fund”) for the period of January 1, 2024 to June 30, 2024. The Fund invests all of its assets in the Large Cap Index Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio.
You can find additional information about the Fund at
blackrock.com/fundreports
. You can also request this information by contacting us at
(800) 441-7762
.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class name | Costs of a $10,000
investment | Costs paid as a percentage of a
$10,000 investment |
| Institutional Shares | $ 6(a) | 0.12 % (a) |
| 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. |
| Average annual total returns | | | | |
| | 6-Month
Total
Returns | 1 Year | 5 Years | 10 Years |
| Institutional Shares | 14.15 % | 23.77 % | 14.49 % | 12.38 % |
| Russell 1000 ® Index | 14.24 | 23.88 | 14.61 | 12.51 |
| Key Fund statistics | |
| Net Assets | $ 1,357,859,726 |
| Number of Portfolio Holdings | 1 |
| Portfolio Turnover Rate of the Master Portfolio | 5 % |
Past performance is not an indication of future results.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. Visit
blackrock.com
for more recent performance information.
If you wish to view additional information about the Fund, including but not limited to financial statements, the Fund’s prospectus, and proxy voting policies and procedures, please visit
blackrock.com/fundreports
. For proxy voting records, visit
blackrock.com/proxyrecords
.
The Fund is not sponsored, endorsed, issued, sold, or promoted by FTSE International Limited and its affiliates, nor does this company make any representation regarding the advisability of investing in the Fund. BlackRock is not affiliated with the company listed above.
©2024 BlackRock, Inc. or its affiliates. All rights reserved.
BLACKROCK is a registered trademark of BlackRock, Inc. or its affiliates. All other trademarks are those of their respective owners.
iShares Russell 1000 Large-Cap Index Fund
Institutional Shares | BRGNX
Semi-Annual Shareholder Report —
June 30, 2024
BRGNX-06/24-SAR
iShares Russell 1000 Large-Cap Index Fund
Investor A Shares | BRGAX
Semi-Annual Shareholder Report — June 30, 2024
This semi-annual shareholder report contains important information about iShares Russell 1000 Large-Cap Index Fund (the “Fund”) for the period of January 1, 2024 to June 30, 2024. The Fund invests all of its assets in the Large Cap Index Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio.
You can find additional information about the Fund at
blackrock.com/fundreports
. You can also request this information by contacting us at
(800) 441-7762
.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class name | Costs of a $10,000
investment | Costs paid as a percentage of a
$10,000 investment |
| Investor A Shares | $ 19(a) | 0.36 % (a) |
| 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. |
| Average annual total returns | | | | |
| 6-Month
Total
Returns | 1 Year | 5 Years | 10 Years |
| Investor A Shares | 14.02 % | 23.51 % | 14.20 % | 12.10 % |
| Russell 1000 ® Index | 14.24 % | 23.88 % | 14.61 % | 12.51 % |
| Key Fund statistics | |
| Net Assets | $ 1,357,859,726% |
| Number of Portfolio Holdings | $ 1% |
| Portfolio Turnover Rate of the Master Portfolio | $ 5% |
Average annual total returns reflect reductions for service fees.
Past performance is not an indication of future results.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. Visit
blackrock.com
for more recent performance information.
Additional information
If you wish to view additional information about the Fund, including but not limited to financial statements, the Fund’s prospectus, and proxy voting policies and procedures, please visit
blackrock.com/fundreports
. For proxy voting records, visit
blackrock.com/proxyrecords
.
The Fund is not sponsored, endorsed, issued, sold, or promoted by FTSE International Limited and its affiliates, nor does this company make any representation regarding the advisability of investing in the Fund. BlackRock is not affiliated with the company listed above.
©2024 BlackRock, Inc. or its affiliates. All rights reserved.
BLACKROCK is a registered trademark of BlackRock, Inc. or its affiliates. All other trademarks are those of their respective owners.
iShares Russell 1000 Large-Cap Index Fund
Investor A Shares | BRGAX
Semi-Annual Shareholder Report —
June 30, 2024
BRGAX-06/24-SAR
iShares Russell 1000 Large-Cap Index Fund
Semi-Annual Shareholder Report — June 30, 2024
This semi-annual shareholder report contains important information about iShares Russell 1000 Large-Cap Index Fund (the “Fund”) for the period of January 1, 2024 to June 30, 2024. The Fund invests all of its assets in the Large Cap Index Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio.
You can find additional information about the Fund at
blackrock.com/fundreports
. You can also request this information by contacting us at
(800) 441-7762
.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class name | Costs of a $10,000
investment | Costs paid as a percentage of a
$10,000 investment |
| Class K Shares | $ 4(a) | 0.07 % (a) |
| 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. |
| Average annual total returns | | | | |
| | 6-Month
Total
Returns | 1 Year | 5 Years | 10 Years |
| Class K Shares | 14.21 % | 23.87 % | 14.54 % | 12.44 % |
| Russell 1000 ® Index | 14.24 | 23.88 | 14.61 | 12.51 |
| Key Fund statistics | |
| Net Assets | $ 1,357,859,726 |
| Number of Portfolio Holdings | 1 |
| Portfolio Turnover Rate of the Master Portfolio | 5 % |
Past performance is not an indication of future results.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. Visit
blackrock.com
for more recent performance information.
If you wish to view additional information about the Fund, including but not limited to financial statements, the Fund’s prospectus, and proxy voting policies and procedures, please visit
blackrock.com/fundreports
. For proxy voting records, visit
blackrock.com/proxyrecords
.
The Fund is not sponsored, endorsed, issued, sold, or promoted by FTSE International Limited and its affiliates, nor does this company make any representation regarding the advisability of investing in the Fund. BlackRock is not affiliated with the company listed above.
©2024 BlackRock, Inc. or its affiliates. All rights reserved.
BLACKROCK is a registered trademark of BlackRock, Inc. or its affiliates. All other trademarks are those of their respective owners.
iShares Russell 1000 Large-Cap Index Fund
Class K Shares | BRGKX
Semi-Annual Shareholder Report —
June 30, 2024
BRGKX-06/24-SAR
Large Cap Index Master Portfolio
Semi-Annual Shareholder Report — June 30, 2024
This
semi-annual shareholder report
contains important information about Large Cap Index Master Portfolio (the “Master Portfolio”) for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Master Portfolio included within the iShares Russell 1000 Large-Cap Index Fund’s additional information
at
blackrock.com/fundreports
. You can also request this information by contacting us at
(800) 441-7762
.
What were the Master Portfolio costs for the last six months?
(based on a hypothetical $10,000 investment)
| Master Portfolio name | Costs of a $10,000
investment | Costs paid as a percentage of a
$10,000 investment |
| Large Cap Index Master Portfolio | $2 | 0.03% |
| Key Master Portfolio statistics | |
| Net Assets | $ 32,933,015,730 |
| Number of Portfolio Holdings | 1,011 |
| Portfolio Turnover Rate | 5% |
What did the Master Portfolio invest in?
(as of June 30, 2024)
Sector allocation |
| Percent of
Net Assets |
| Information Technology | 30.6% |
| Financials | 13.4 |
| Health Care | 11.5 |
| Consumer Discretionary | 10.1 |
| Communication Services | 8.9 |
| Industrials | 8.9 |
| Consumer Staples | 5.5 |
| Energy | 3.7 |
| Materials | 2.4 |
| Real Estate | 2.4 |
| Utilities | 2.1 |
| Short-Term Securities | 7.6 |
| Liabilities in Excess of Other Assets | (7.1) |
| Ten largest holdings |
| Security | |
| Microsoft Corp. | 6.6% |
| Apple, Inc. | 6.1 |
| NVIDIA Corp. | 5.8 |
| Amazon.com, Inc. | 3.5 |
| Meta Platforms, Inc., Class A | 2.2 |
| Alphabet, Inc., Class A | 2.1 |
| Alphabet, Inc., Class C | 1.8 |
| Eli Lilly & Co. | 1.5 |
| Berkshire Hathaway, Inc., Class B | 1.5 |
| Broadcom, Inc. | 1.4 |
| (a) | For purposes of this report, sector sub-classifications may differ from those utilized for compliance purposes. |
| (b) | Excludes short-term securities. |
If you wish to view additional information about the Master Portfolio, including but not limited to financial statements and proxy voting policies and procedures, please visit
blackrock.com/fundreports
. For proxy voting records, visit
blackrock.com/proxyrecords
.
©2024 BlackRock, Inc. or its affiliates. All rights reserved.
BLACKROCK is a registered trademark of BlackRock, Inc. or its affiliates. All other trademarks are those of their respective owners.
Large Cap Index Master Portfolio
Semi-Annual Shareholder Report —
June 30, 2024
06/24-SAR
iShares U.S. Aggregate Bond Index Fund
Institutional Shares | BMOIX
Semi-Annual Shareholder Report — June 30, 2024
This semi-annual shareholder report contains important information about iShares U.S. Aggregate Bond Index Fund (the “Fund”) for the period of January 1, 2024 to June 30, 2024. The Fund invests all of its assets in the U.S. Total Bond
Index Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio.
You can find additional information about the Fund at
blackrock.com/fundreports
. You can also request this information by contacting us at
(800) 441-7762
.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class name | Costs of a $10,000
investment | Costs paid as a percentage of a
$10,000 investment |
| Institutional Shares | $ 5(a) | 0.10 % (a) |
| 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. |
| Average annual total returns | | | | |
| 6-Month
Total
Returns | 1 Year | 5 Years | 10 Years |
| Institutional Shares | (0.57 ) % | 2.69 % | (0.27 ) % | 1.25 % |
| Bloomberg U.S. Aggregate Bond Index | (0.71 ) % | 2.63 % | (0.23 ) % | 1.35 % |
| Key Fund statistics | |
| Net Assets | $ 2,800,905,926% |
| Number of Portfolio Holdings | $ 1% |
| Portfolio Turnover Rate of the Master Portfolio | $ 54% |
Past performance is not an indication of future results.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. Visit
blackrock.com
for more recent performance information.
Additional information
If you wish to view additional information about the Fund, including but not limited to financial statements, the Fund’s prospectus, and proxy voting policies and procedures, please visit
blackrock.com/fundreports
. For proxy voting records, visit
blackrock.com/proxyrecords
.
The Fund is not sponsored, endorsed, issued, sold, or promoted by Bloomberg Index Services Limited and its affiliates, nor does this company make any representation regarding the advisability of investing in the Fund. BlackRock is not affiliated with the company listed above.
©2024 BlackRock, Inc. or its affiliates. All rights reserved.
BLACKROCK is a registered trademark of BlackRock, Inc. or its affiliates. All other trademarks are those of their respective owners.
iShares U.S. Aggregate Bond Index Fund
Institutional Shares | BMOIX
Semi-Annual Shareholder Report —
June 30, 2024
BMOIX-06/24-SAR
iShares U.S. Aggregate Bond Index Fund
Investor A Shares | BMOAX
Semi-Annual Shareholder Report — June 30, 2024
This semi-annual shareholder report contains important information about iShares U.S. Aggregate Bond Index Fund (the “Fund”) for the period of January 1, 2024 to June 30, 2024. The Fund invests all of its assets in the U.S. Total Bond
Index Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio.
You can find additional information about the Fund at
blackrock.com/fundreports
. You can also request this information by contacting us at
(800) 441-7762
.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class name | Costs of a $10,000
investment | Costs paid as a percentage of a
$10,000 investment |
| Investor A Shares | $ 17(a) | 0.35 % (a) |
| 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. |
| Average annual total returns | | | | |
| 6-Month
Total
Returns | 1 Year | 5 Years | 10 Years |
| Investor A Shares | (0.69 ) % | 2.43 % | (0.50 ) % | 1.00 % |
| Bloomberg U.S. Aggregate Bond Index | (0.71 ) % | 2.63 % | (0.23 ) % | 1.35 % |
| Key Fund statistics | |
| Net Assets | $ 2,800,905,926% |
| Number of Portfolio Holdings | $ 1% |
| Portfolio Turnover Rate of the Master Portfolio | $ 54% |
Average annual total returns reflect reductions for service fees.
Past performance is not an indication of future results.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. Visit
blackrock.com
for more recent performance information.
Additional information
If you wish to view additional information about the Fund, including but not limited to financial statements, the Fund’s prospectus, and proxy voting policies and procedures, please visit
blackrock.com/fundreports
. For proxy voting records, visit
blackrock.com/proxyrecords
.
The Fund is not sponsored, endorsed, issued, sold, or promoted by Bloomberg Index Services Limited and its affiliates, nor does this company make any representation regarding the advisability of investing in the Fund. BlackRock is not affiliated with the company listed above.
©2024 BlackRock, Inc. or its affiliates. All rights reserved.
BLACKROCK is a registered trademark of BlackRock, Inc. or its affiliates. All other trademarks are those of their respective owners.
iShares U.S. Aggregate Bond Index Fund
Investor A Shares | BMOAX
Semi-Annual Shareholder Report —
June 30, 2024
BMOAX-06/24-SAR
iShares U.S. Aggregate Bond Index Fund
Investor P Shares | BMOPX
Semi-Annual Shareholder Report — June 30, 2024
This semi-annual shareholder report contains important information about iShares U.S. Aggregate Bond Index Fund (the “Fund”) for the period of January 1, 2024 to June 30, 2024. The Fund invests all of its assets in the U.S. Total Bond
Index Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio.
You can find additional information about the Fund at
blackrock.com/fundreports
. You can also request this information by contacting us at
(800) 441-7762
.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class name | Costs of a $10,000
investment | Costs paid as a percentage of a
$10,000 investment |
| Investor P Shares | $ 17(a) | 0.35 % (a) |
| 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. |
| Average annual total returns | | | | |
| 6-Month
Total
Returns | 1 Year | 5 Years | 10 Years |
| Investor P Shares | (0.69 ) % | 2.32 ) % | (0.53 ) % | 0.98 % |
| Investor P Shares (with sales charge) | (4.67 ) % | (1.77 ) % | (1.34 ) % | 0.57 % |
| Bloomberg U.S. Aggregate Bond Index | (0.71 ) % | 2.63 ) % | (0.23 ) % | 1.35 % |
| Key Fund statistics | |
| Net Assets | $ 2,800,905,926% |
| Number of Portfolio Holdings | $ 1% |
| Portfolio Turnover Rate of the Master Portfolio | $ 54% |
Performance shown prior to the Investor P Shares inception date of August 6, 2018 is that of Class K Shares (which have no distribution or service fees) and was restated to reflect Investor P Shares fees.
Assuming maximum sales charges. Average annual total returns with and without sales charges reflect reductions for service fees.
Past performance is not an indication of future results.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. Visit
blackrock.com
for more recent performance information.
Additional information
If you wish to view additional information about the Fund, including but not limited to financial statements, the Fund’s prospectus, and proxy voting policies and procedures, please visit
blackrock.com/fundreports
. For proxy voting records, visit
blackrock.com/proxyrecords
.
The Fund is not sponsored, endorsed, issued, sold, or promoted by Bloomberg Index Services Limited and its affiliates, nor does this company make any representation regarding the advisability of investing in the Fund. BlackRock is not affiliated with the company listed above.
©2024 BlackRock, Inc. or its affiliates. All rights reserved.
BLACKROCK is a registered trademark of BlackRock, Inc. or its affiliates. All other trademarks are those of their respective owners.
iShares U.S. Aggregate Bond Index Fund
Investor P Shares | BMOPX
Semi-Annual Shareholder Report —
June 30, 2024
BMOPX-06/24-SAR
iShares U.S. Aggregate Bond Index Fund
Class K Shares | WFBIX
Semi-Annual Shareholder Report — June 30, 2024
This semi-annual shareholder report contains important information about iShares U.S. Aggregate Bond Index Fund (the “Fund”) for the period of January 1, 2024 to June 30, 2024. The Fund invests all of its assets in the U.S. Total Bond
Index Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio.
You can find additional information about the Fund at
blackrock.com/fundreports
. You can also request this information by contacting us at
(800) 441-7762
.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class name | Costs of a $10,000
investment | Costs paid as a percentage of a
$10,000 investment |
| Class K Shares | $ 2(a) | 0.05 % (a) |
| 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. |
| Average annual total returns | | | | |
| 6-Month
Total
Returns | 1 Year | 5 Years | 10 Years |
| Class K Shares | (0.54 ) % | 2.63 % | (0.22 ) % | 1.29 % |
| Bloomberg U.S. Aggregate Bond Index | (0.71 ) % | 2.63 % | (0.23 ) % | 1.35 % |
| Key Fund statistics | |
| Net Assets | $ 2,800,905,926% |
| Number of Portfolio Holdings | $ 1% |
| Portfolio Turnover Rate of the Master Portfolio | $ 54% |
Past performance is not an indication of future results.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. Visit
blackrock.com
for more recent performance information.
Additional information
If you wish to view additional information about the Fund, including but not limited to financial statements, the Fund’s prospectus, and proxy voting policies and procedures, please visit
blackrock.com/fundreports
. For proxy voting records, visit
blackrock.com/proxyrecords
.
The Fund is not sponsored, endorsed, issued, sold, or promoted by Bloomberg Index Services Limited and its affiliates, nor does this company make any representation regarding the advisability of investing in the Fund. BlackRock is not affiliated with the company listed above.
©2024 BlackRock, Inc. or its affiliates. All rights reserved.
BLACKROCK is a registered trademark of BlackRock, Inc. or its affiliates. All other trademarks are those of their respective owners.
iShares U.S. Aggregate Bond Index Fund
Class K Shares | WFBIX
Semi-Annual Shareholder Report —
June 30, 2024
WFBIX-06/24-SAR
U.S. Total Bond Index Master Portfolio
Semi-Annual Shareholder Report — June 30, 2024
This
semi-annual shareholder report
contains important information about U.S. Total Bond Index Master Portfolio (the “Master Portfolio”) for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Master Portfolio included within the iShares U.S. Aggregate Bond Index Fund’s additional information
at
blackrock.com/fundreports
. You can also request this information by contacting us at
(800) 441-7762
.
What were the Master Portfolio costs for the last six months?
(based on a hypothetical $10,000 investment)
| Master Portfolio name | Costs of a $10,000
investment | Costs paid as a percentage of a
$10,000 investment |
| U.S. Total Bond Index Master Portfolio | $2 | 0.04% |
| Key Master Portfolio statistics | |
| Net Assets | $ 2,802,391,375 |
| Number of Portfolio Holdings | 7,421 |
| Portfolio Turnover Rate | 54% |
What did the Master Portfolio invest in?
(as of June 30, 2024)
| Portfolio composition |
| Investment Type | Percent of Total Investments (a) |
| U.S. Treasury Obligations | 43.2 % |
| U.S. Government Sponsored Agency Securities | 27.7 |
| Corporate Bonds | 25.1 |
| Foreign Agency Obligations | 2.4 |
| Non-Agency Mortgage-Backed Securities | 0.7 |
| Municipal Bonds | 0.5 |
| Asset-Backed Securities | 0.4 |
| Capital Trusts | — (b) |
| Credit quality allocation |
| Percent of Total Investments (a) |
| AAA/Aaa (d) | 74.3 % |
| AA/Aa | 2.7 |
| A | 11.8 |
| BBB/Baa | 11.2 |
| N/R | — (b) |
| (a) | Excludes short-term securities. |
| (b) | Rounds to less than 0.1%. |
| (c) | For purposes of this report, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
| (d) | The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuers. Using this approach, the investment adviser has deemed unrated U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations to be of similar credit quality as investments rated AAA/Aaa. |
If you wish to view additional information about the Master Portfolio, including but not limited to financial statements and proxy voting policies and procedures, please visit
blackrock.com/fundreports
. For proxy voting records, visit
blackrock.com/proxyrecords
.
©2024 BlackRock, Inc. or its affiliates. All rights reserved.
BLACKROCK is a registered trademark of BlackRock, Inc. or its affiliates. All other trademarks are those of their respective owners.
U.S. Total Bond Index Master Portfolio
Semi-Annual Shareholder Report —
June 30, 2024
06/24-SAR
International Tilts Master Portfolio
Semi-Annual Shareholder Report — June 30, 2024
This
semi-annual shareholder report
contains important information about International Tilts Master Portfolio (the “Master Portfolio”) for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Master Portfolio at
blackrock.com/fundreports
. You can also request this information by contacting us at
(800) 441-7762
.
What were the Master Portfolio costs for the last six months?
(based on a hypothetical $10,000 investment)
| Master Portfolio name | Costs of a $10,000
investment | Costs paid as a percentage of a
$10,000 investment |
| International Tilts Master Portfolio | $21 | 0.40% |
| Key Master Portfolio statistics | |
| Net Assets | $ 321,929,829 | |
| Number of Portfolio Holdings | 307 |
| Portfolio Turnover Rate | 67% |
What did the Master Portfolio invest in?
(as of June 30, 2024)
| Geographic allocation |
| Country/Geographic Region | Percent of
Net Assets |
| Japan | 21.2% |
| United States | 12.8 |
| United Kingdom | 11.3 |
| Germany | 10.2 |
| France | 7.7 |
| Australia | 5.8 |
| Switzerland | 5.5 |
| Netherlands | 5.1 |
| Denmark | 4.5 |
| Spain | 4.1 |
| Other # | 12.9 |
| Liabilities in Excess of Other Assets | (1.1) |
| Ten largest holdings |
| Security | |
| Novo Nordisk A/S, Class B | 3.7% |
| ASML Holding NV | 3.4 |
| SAP SE | 2.3 |
| Novartis AG, Class N | 2.3 |
| BHP Group Ltd., Class DI | 2.0 |
| Siemens AG, Class N | 1.9 |
| Shell PLC | 1.9 |
| Mitsubishi UFJ Financial Group, Inc. | 1.7 |
| Tokyo Electron Ltd. | 1.7 |
| Allianz SE | 1.7 |
| (a) | Excludes short-term securities. |
| # | Ten largest country/geographic regions are presented. Additional country/geographic regions are found in Other. |
If you wish to view additional information about the Master Portfolio, including but not limited to financial statements and proxy voting policies and procedures, please visit
blackrock.com/fundreports
. For proxy voting records, visit
blackrock.com/proxyrecords
.
©2024 BlackRock, Inc. or its affiliates. All rights reserved.
BLACKROCK is a registered trademark of BlackRock, Inc. or its affiliates. All other trademarks are those of their respective owners.
International Tilts Master Portfolio
Semi-Annual Shareholder Report —
June 30, 2024
06/24-SAR
(b) Not Applicable
Item 2 – Code of Ethics – Not Applicable to this semi-annual report
Item 3 – Audit Committee Financial Expert – Not Applicable to this semi-annual report
Item 4 – Principal Accountant Fees and Services – Not Applicable to this semi-annual report
Item 5 – Audit Committee of Listed Registrants – Not Applicable
Item 6 – Investments
(a) The registrants’ Schedule of Investments is included as part of the Financial Statements and Financial Highlights for Open-End Management Investment Companies filed under Item 7 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 – Financial Statements and Financial Highlights for Open-End Management Investment Companies
(a) The registrants’ Financial Statements are attached herewith.
(b) The registrants’ Financial Highlights are attached herewith.
June 30, 2024
2024 Semi-Annual Financial Statements (Unaudited) |
|
• BlackRock Diversified Equity Fund |
Not FDIC Insured • May Lose Value • No Bank Guarantee |
Derivative Financial Instruments
Diversified Equity Master Portfolio (the "Master Portfolio") may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. Pursuant to Rule 18f-4 under the 1940 Act, among other things, the Master Portfolio must either use derivative financial instruments with embedded leverage in a limited manner or comply with an outer limit on fund leverage risk based on value-at-risk. The Master Portfolio’s successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the 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 Notes to Financial Statements.
BlackRock Diversified Equity Fund
Statement of Assets and Liabilities (unaudited)June 30, 2024
| BlackRock
Diversified
Equity Fund |
| |
Investments, at value — Master Portfolio | |
| |
| |
| |
| |
| |
| |
| |
Commitments and contingent liabilities | |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
See fund notes to financial statements.
42024 BlackRock Semi-Annual Financial Statements
Statement of Operations (unaudited)Six Months Ended June 30, 2024
| BlackRock
Diversified
Equity Fund |
| |
Net investment income allocated from the Master Portfolio: | |
| |
| |
| |
Securities lending income — affiliated — net | |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
Fees waived and/or reimbursed by the Administrator | |
Total expenses after fees waived and/or reimbursed | |
| |
REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM THE MASTER PORTFOLIO | |
Net realized gain (loss) from: | |
Investments — unaffiliated(a) | |
| |
Forward foreign currency exchange contracts | |
Foreign currency transactions | |
| |
| |
| |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated(b) | |
| |
Forward foreign currency exchange contracts | |
Foreign currency translations | |
| |
| |
| |
Net realized and unrealized gain | |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | |
(a) Net of foreign capital gain tax and capital gain tax refund, if applicable of | |
(b) Net of increase in deferred foreign capital gain tax of | |
See fund notes to financial statements.
Fund Statement of Operations5
Statements of Changes in Net Assets
| BlackRock
Diversified
Equity Fund |
| Six Months Ended
06/30/24
(unaudited) | |
INCREASE (DECREASE) IN NET ASSETS | | |
| | |
| | |
| | |
Net change in unrealized appreciation (depreciation) | | |
Net increase in net assets resulting from operations | | |
DISTRIBUTIONS TO SHAREHOLDERS(b) | | |
| | |
Decrease in net assets resulting from distributions to shareholders | | |
CAPITAL SHARE TRANSACTIONS | | |
Net increase in net assets derived from capital share transactions | | |
| | |
Total increase in net assets | | |
| | |
| | |
| Commencement of operations. |
| Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See fund notes to financial statements.
62024 BlackRock Semi-Annual Financial Statements
Financial Highlights(For a share outstanding throughout each period)
| BlackRock Diversified Equity Fund |
| |
| Six Months Ended
06/30/24
(unaudited) | |
|
Net asset value, beginning of period | | |
| | |
Net realized and unrealized gain | | |
Net increase from investment operations | | |
Distributions from net investment income(c) | | |
Net asset value, end of period | | |
| | |
| | |
Ratios to Average Net Assets(f)(g) | | |
| | |
Total expenses after fees waived and/or reimbursed | | |
| | |
| | |
Net assets, end of period (000) | | |
Portfolio turnover rate of the Master Portfolio | | |
| Commencement of operations. |
| Based on average shares outstanding. |
| Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| Where applicable, assumes the reinvestment of distributions. |
| |
| Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income. |
| Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| |
See fund notes to financial statements.
Fund Financial Highlights7
Notes to Financial Statements (unaudited)
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. BlackRock Diversified Equity Fund (the “Fund”) is a series of the Trust. The Fund is classified as diversified.
The Fund seeks to achieve its investment objective by investing all of its assets in Diversified Equity Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio (“MIP”) and an affiliate of the Trust, 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 June 30, 2024, the percentage of the Master Portfolio owned by the Fund was 43.1%. 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 Institutional Shares. Institutional Shares are sold without a sales charge and only to certain eligible investors.
The Board of Trustees of the Trust and Board of Trustees of MIP are referred to throughout this report as the “Board” and the members are referred to as “Trustees.”
The Fund, 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 funds referred to as the BlackRock Multi-Asset Complex.
2.
SIGNIFICANT ACCOUNTING POLICIES
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, contributions to and withdrawals from the Master Portfolio are accounted for on a trade date basis. The Fund records its proportionate share of the Master Portfolio’s income, expenses and realized and unrealized gains and losses on a daily basis. Realized and unrealized gains and losses are adjusted utilizing partnership tax allocation rules. 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 dates. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
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 are charged to the Fund. 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.
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
Administration: The Trust, on behalf of the Fund, entered into an Administration Agreement with BlackRock Advisors, LLC (“BAL”), which has agreed to provide general administrative services (other than investment advice and related portfolio activities). BAL 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 administrative services an annual fee of 0.25% based on the average daily net assets of the Fund.
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 six months ended June 30, 2024, BAL did not waive any amount.
Expense Waivers and Reimbursements: 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 reimburse the Fund or provide an offsetting credit against the administration fees paid by the Fund in an amount equal to these independent expenses through June 30, 2025. The amount waived is included in fees waived and/or reimbursed by the Administrator in the Statement of Operations. For the six months ended June 30, 2024, the amount waived was $5,791.
82024 BlackRock Semi-Annual Financial Statements
Notes to Financial Statements (unaudited) (continued)
Interfund Lending: In accordance with an exemptive order (the “Order”) from the U.S. Securities and Exchange Commission (“SEC”), the Fund may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Fund’s investment policies and restrictions. The Fund is currently permitted to borrow and lend under the Interfund Lending Program.
A lending BlackRock fund may lend in aggregate up to 15% of its net assets but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.
During the period ended June 30, 2024, the Fund did not participate in the Interfund Lending Program.
Trustees and Officers: Certain trustees and/or officers of the Trust are directors and/or officers of BlackRock or its affiliates.
It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s U.S. federal tax returns generally remains open for a period of three years after they are filed. The statutes of limitations on the Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Fund as of June 30, 2024, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Fund’s financial statements.
As of December 31, 2023, the Fund had non-expiring capital loss carryforwards available to offset future realized capital gains as follows:
| Non-Expiring
Capital Loss
Carryforwards |
BlackRock Diversified Equity Fund | |
6.
CAPITAL SHARE TRANSACTIONS
Transactions in capital shares were as follows:
| | |
| | | | |
BlackRock Diversified Equity Fund | | | | |
| | | | |
| | | | |
Shares issued in reinvestment of distributions | | | | |
| | | | |
| | | | |
| Commencement of operations. |
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.
Fund Notes to Financial Statements9
Schedule of Investments (unaudited)June 30, 2024
Diversified Equity Master Portfolio(Percentages shown are based on Net Assets)
| | | |
|
Aerospace & Defense — 1.2% | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Bombardier, Inc., Class B(a) | | | |
BWX Technologies, Inc.(b) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Hindustan Aeronautics Ltd. | | | |
| | | |
Huntington Ingalls Industries, Inc.(b) | | | |
Kratos Defense & Security Solutions, Inc.(a) | | | |
| | | |
| | | |
Mercury Systems, Inc.(a)(b) | | | |
| | | |
| | | |
| | | |
Rolls-Royce Holdings PLC(a) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Air Freight & Logistics — 0.3% | |
| | | |
| | | |
Expeditors International of Washington, Inc. | | | |
| | | |
| | | |
| | | |
| | | |
Radiant Logistics, Inc.(a) | | | |
| | | |
United Parcel Service, Inc., Class B | | | |
| | | |
Automobile Components — 0.6% | |
| | | |
American Axle & Manufacturing Holdings, Inc.(a) | | | |
Cie Generale des Etablissements Michelin SCA | | | |
Cooper-Standard Holdings, Inc.(a) | | | |
| | | |
| | | |
| | | |
| | | |
Fox Factory Holding Corp.(a) | | | |
| | | |
Goodyear Tire & Rubber Co.(a) | | | |
Hankook Tire & Technology Co. Ltd. | | | |
| | | |
| | | |
Automobile Components (continued) | |
| | | |
| | | |
| | | |
| | | |
Modine Manufacturing Co.(a) | | | |
Patrick Industries, Inc.(b) | | | |
Standard Motor Products, Inc. | | | |
| | | |
| | | |
| | | |
| | | |
| |
| | | |
| | | |
Dongfeng Motor Group Co. Ltd., Class H(a) | | | |
| | | |
| | | |
Geely Automobile Holdings Ltd. | | | |
| | | |
| | | |
| | | |
| | | |
Li Auto, Inc., Class A(a) | | | |
| | | |
| | | |
SAIC Motor Corp. Ltd., Class A | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
| | | |
| | | |
Abu Dhabi Commercial Bank PJSC | | | |
| | | |
Amalgamated Financial Corp. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Banco Bilbao Vizcaya Argentaria SA | | | |
| | | |
Banco Santander Brasil SA | | | |
| | | |
| | | |
Bank Mandiri Persero Tbk PT | | | |
| | | |
Bank of Ireland Group PLC | | | |
| | | |
Bank Polska Kasa Opieki SA | | | |
Bank Rakyat Indonesia Persero Tbk PT | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
102024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
Diversified Equity Master Portfolio(Percentages shown are based on Net Assets)
| | | |
| |
BOC Hong Kong Holdings Ltd. | | | |
| | | |
Bridgewater Bancshares, Inc.(a) | | | |
Brookline Bancorp, Inc.(b) | | | |
Burke & Herbert Financial Services Corp. | | | |
Business First Bancshares, Inc. | | | |
| | | |
| | | |
| | | |
| | | |
Capital City Bank Group, Inc. | | | |
Capitec Bank Holdings Ltd. | | | |
Capitol Federal Financial, Inc. | | | |
Central Pacific Financial Corp. | | | |
China Construction Bank Corp., Class H | | | |
China Merchants Bank Co. Ltd., Class H | | | |
| | | |
| | | |
Citizens Financial Group, Inc.(b) | | | |
| | | |
| | | |
Coastal Financial Corp.(a) | | | |
| | | |
Columbia Banking System, Inc. | | | |
| | | |
Commonwealth Bank of Australia | | | |
Community Trust Bancorp, Inc. | | | |
| | | |
| | | |
CrossFirst Bankshares, Inc.(a) | | | |
CTBC Financial Holding Co. Ltd. | | | |
Customers Bancorp, Inc.(a) | | | |
| | | |
| | | |
Dime Community Bancshares, Inc. | | | |
| | | |
E.Sun Financial Holding Co. Ltd. | | | |
| | | |
Eastern Bankshares, Inc.(b) | | | |
| | | |
| | | |
Enterprise Financial Services Corp. | | | |
| | | |
Eurobank Ergasias Services & Holdings SA, Class R(a) | | | |
| | | |
Financial Institutions, Inc. | | | |
FinecoBank Banca Fineco SpA | | | |
First Abu Dhabi Bank PJSC | | | |
| | | |
| | | |
| | | |
First Business Financial Services, Inc. | | | |
First Financial Bankshares, Inc. | | | |
| | | |
First Financial Northwest, Inc.(b) | | | |
| | | |
| | | |
| | | |
First Interstate BancSystem, Inc., Class A | | | |
| | | |
First Mid Bancshares, Inc.(b) | | | |
| | | |
| | | |
| |
First of Long Island Corp. | | | |
First Savings Financial Group, Inc.(b) | | | |
| | | |
| | | |
| | | |
German American Bancorp, Inc.(b) | | | |
| | | |
Grupo Financiero Banorte SAB de CV, Class O | | | |
Hana Financial Group, Inc. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Heartland Financial USA, Inc. | | | |
| | | |
| | | |
HomeTrust Bancshares, Inc. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Independent Bank Group, Inc. | | | |
Industrial & Commercial Bank of China Ltd., Class H | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Kuwait Finance House KSCP | | | |
Live Oak Bancshares, Inc.(b) | | | |
| | | |
Mediobanca Banca di Credito Finanziario SpA | | | |
Mega Financial Holding Co. Ltd. | | | |
| | | |
| | | |
Metropolitan Bank Holding Corp.(a) | | | |
| | | |
Midland States Bancorp, Inc. | | | |
MidWestOne Financial Group, Inc. | | | |
Mitsubishi UFJ Financial Group, Inc. | | | |
Mizuho Financial Group, Inc. | | | |
National Bank Holdings Corp., Class A | | | |
National Bank of Kuwait SAKP | | | |
| | | |
New York Community Bancorp, Inc., Class A | | | |
| | | |
Northeast Community Bancorp, Inc. | | | |
| | | |
| | | |
NU Holdings Ltd./Cayman Islands, Class A(a) | | | |
OceanFirst Financial Corp. | | | |
| | | |
| | | |
| | | |
Oversea-Chinese Banking Corp. Ltd. | | | |
| | | |
Master Portfolio Schedule of Investments11
Schedule of Investments (unaudited)(continued)June 30, 2024
Diversified Equity Master Portfolio(Percentages shown are based on Net Assets)
| | | |
| |
Peapack-Gladstone Financial Corp. | | | |
Powszechna Kasa Oszczednosci Bank Polski SA | | | |
| | | |
| | | |
Prosperity Bancshares, Inc. | | | |
Provident Financial Services, Inc. | | | |
| | | |
| | | |
Republic First Bancorp, Inc.(a) | | | |
| | | |
| | | |
Sandy Spring Bancorp, Inc. | | | |
| | | |
| | | |
Sberbank of Russia PJSC(a)(d) | | | |
ServisFirst Bancshares, Inc.(b) | | | |
| | | |
| | | |
| | | |
| | | |
South Plains Financial, Inc. | | | |
Southern First Bancshares, Inc.(a) | | | |
Southern Missouri Bancorp, Inc. | | | |
Southside Bancshares, Inc. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Stock Yards Bancorp, Inc.(b) | | | |
Sumitomo Mitsui Financial Group, Inc. | | | |
Sumitomo Mitsui Trust Holdings, Inc. | | | |
Texas Capital Bancshares, Inc.(a) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Turkiye Garanti Bankasi A/S, Class A | | | |
Turkiye Is Bankasi A/S, Class C | | | |
| | | |
| | | |
| | | |
| | | |
United Overseas Bank Ltd. | | | |
| | | |
Valley National Bancorp(b) | | | |
| | | |
| | | |
Washington Trust Bancorp, Inc.(b) | | | |
| | | |
| | | |
| | | |
Western New England Bancorp, Inc. | | | |
| | | |
| | | |
| |
| | | |
Boston Beer Co., Inc., Class A(a) | | | |
Brown-Forman Corp., Class A(b) | | | |
Coca-Cola Consolidated, Inc.(b) | | | |
| | | |
| |
Coca-Cola Femsa SAB de CV | | | |
Coca-Cola Femsa SAB de CV, ADR | | | |
| | | |
Kweichow Moutai Co. Ltd., Class A | | | |
Luzhou Laojiao Co. Ltd., Class A | | | |
| | | |
Monster Beverage Corp.(a) | | | |
| | | |
| | | |
| | | |
| | | |
Shanxi Xinghuacun Fen Wine Factory Co. Ltd., Class A | | | |
Wuliangye Yibin Co. Ltd., Class A | | | |
| | | |
| |
| | | |
| | | |
4D Molecular Therapeutics, Inc.(a) | | | |
| | | |
| | | |
Abeona Therapeutics, Inc.(a) | | | |
| | | |
ACADIA Pharmaceuticals, Inc.(a) | | | |
Adaptimmune Therapeutics PLC, ADR(a) | | | |
| | | |
| | | |
Agios Pharmaceuticals, Inc.(a) | | | |
Akebia Therapeutics, Inc.(a) | | | |
Akero Therapeutics, Inc.(a) | | | |
| | | |
Aligos Therapeutics, Inc.(a) | | | |
| | | |
Allogene Therapeutics, Inc.(a)(b) | | | |
Alnylam Pharmaceuticals, Inc.(a)(b) | | | |
| | | |
ALX Oncology Holdings, Inc.(a) | | | |
| | | |
Amicus Therapeutics, Inc.(a) | | | |
Anika Therapeutics, Inc.(a) | | | |
| | | |
Apellis Pharmaceuticals, Inc.(a) | | | |
Apogee Therapeutics, Inc.(a)(b) | | | |
Aprea Therapeutics, Inc.(a) | | | |
| | | |
| | | |
Arcturus Therapeutics Holdings, Inc.(a) | | | |
Arcus Biosciences, Inc.(a) | | | |
Arcutis Biotherapeutics, Inc.(a) | | | |
| | | |
Arrowhead Pharmaceuticals, Inc.(a) | | | |
Astria Therapeutics, Inc.(a) | | | |
Atossa Therapeutics, Inc.(a)(b) | | | |
Avid Bioservices, Inc.(a) | | | |
Avidity Biosciences, Inc.(a) | | | |
Beam Therapeutics, Inc.(a) | | | |
| | | |
BioCryst Pharmaceuticals, Inc.(a) | | | |
| | | |
| | | |
BioMarin Pharmaceutical, Inc.(a) | | | |
| | | |
122024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
Diversified Equity Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Biotechnology (continued) | |
Black Diamond Therapeutics, Inc.(a) | | | |
Blueprint Medicines Corp.(a) | | | |
Bolt Biotherapeutics, Inc.(a) | | | |
Bridgebio Pharma, Inc.(a)(b) | | | |
| | | |
| | | |
| | | |
Caribou Biosciences, Inc.(a) | | | |
Catalyst Pharmaceuticals, Inc.(a) | | | |
Celldex Therapeutics, Inc.(a)(b) | | | |
| | | |
Cerevel Therapeutics Holdings, Inc.(a) | | | |
Cogent Biosciences, Inc.(a) | | | |
Coherus Biosciences, Inc.(a)(b) | | | |
Corbus Pharmaceuticals Holdings, Inc.(a)(b) | | | |
Crinetics Pharmaceuticals, Inc.(a) | | | |
| | | |
| | | |
Day One Biopharmaceuticals, Inc.(a) | | | |
Denali Therapeutics, Inc.(a) | | | |
Dynavax Technologies Corp.(a) | | | |
Dyne Therapeutics, Inc.(a) | | | |
Eagle Pharmaceuticals, Inc.(a) | | | |
| | | |
Emergent BioSolutions, Inc.(a) | | | |
Enanta Pharmaceuticals, Inc.(a) | | | |
| | | |
Exact Sciences Corp.(a)(b) | | | |
| | | |
| | | |
| | | |
Fate Therapeutics, Inc.(a) | | | |
Fennec Pharmaceuticals, Inc.(a) | | | |
Foghorn Therapeutics, Inc.(a) | | | |
G1 Therapeutics, Inc.(a)(b) | | | |
Galera Therapeutics, Inc.(a) | | | |
| | | |
| | | |
| | | |
| | | |
Halozyme Therapeutics, Inc.(a)(b) | | | |
Heron Therapeutics, Inc.(a) | | | |
| | | |
Ideaya Biosciences, Inc.(a) | | | |
| | | |
| | | |
| | | |
| | | |
Intellia Therapeutics, Inc.(a)(b) | | | |
Ionis Pharmaceuticals, Inc.(a) | | | |
Iovance Biotherapeutics, Inc.(a) | | | |
Ironwood Pharmaceuticals, Inc., Class A(a) | | | |
iTeos Therapeutics, Inc.(a) | | | |
Janux Therapeutics, Inc.(a) | | | |
Karyopharm Therapeutics, Inc.(a) | | | |
Keros Therapeutics, Inc.(a) | | | |
| | | |
Kiniksa Pharmaceuticals International PLC(a) | | | |
| | | |
| | | |
| | | |
| | | |
Kymera Therapeutics, Inc.(a) | | | |
| | | |
Biotechnology (continued) | |
Lyell Immunopharma, Inc.(a) | | | |
Madrigal Pharmaceuticals, Inc.(a)(b) | | | |
| | | |
| | | |
Mineralys Therapeutics, Inc.(a) | | | |
Mirum Pharmaceuticals, Inc.(a) | | | |
Morphic Holding, Inc.(a)(b) | | | |
| | | |
| | | |
Neurocrine Biosciences, Inc.(a) | | | |
| | | |
| | | |
| | | |
Nurix Therapeutics, Inc.(a) | | | |
Nuvalent, Inc., Class A(a)(b) | | | |
Nymox Pharmaceutical Corp.(a) | | | |
Olema Pharmaceuticals, Inc.(a)(b) | | | |
ORIC Pharmaceuticals, Inc.(a) | | | |
| | | |
PMV Pharmaceuticals, Inc.(a)(b) | | | |
Poseida Therapeutics, Inc.(a) | | | |
Praxis Precision Medicines, Inc.(a) | | | |
| | | |
Precision BioSciences, Inc.(a) | | | |
Prelude Therapeutics, Inc.(a) | | | |
Protagonist Therapeutics, Inc.(a) | | | |
| | | |
PTC Therapeutics, Inc.(a) | | | |
Puma Biotechnology, Inc.(a)(b) | | | |
Quince Therapeutics, Inc.(a) | | | |
Recursion Pharmaceuticals, Inc., Class A(a)(b) | | | |
Regeneron Pharmaceuticals, Inc.(a) | | | |
| | | |
Relay Therapeutics, Inc.(a) | | | |
| | | |
REVOLUTION Medicines, Inc.(a) | | | |
Rhythm Pharmaceuticals, Inc.(a)(b) | | | |
Rigel Pharmaceuticals, Inc.(a) | | | |
Rocket Pharmaceuticals, Inc.(a)(b) | | | |
Sage Therapeutics, Inc.(a) | | | |
Sana Biotechnology, Inc.(a) | | | |
Sarepta Therapeutics, Inc.(a)(b) | | | |
Scholar Rock Holding Corp.(a) | | | |
| | | |
Shattuck Labs, Inc.(a)(b) | | | |
Solid Biosciences, Inc.(a)(b) | | | |
SpringWorks Therapeutics, Inc.(a) | | | |
Spyre Therapeutics, Inc.(a) | | | |
SQZ Biotechnologies Co.(a) | | | |
Stoke Therapeutics, Inc.(a) | | | |
| | | |
Syndax Pharmaceuticals, Inc.(a) | | | |
Syros Pharmaceuticals, Inc.(a)(b) | | | |
Taysha Gene Therapies, Inc.(a) | | | |
TG Therapeutics, Inc.(a)(b) | | | |
Travere Therapeutics, Inc.(a)(b) | | | |
Twist Bioscience Corp.(a)(b) | | | |
Ultragenyx Pharmaceutical, Inc.(a) | | | |
United Therapeutics Corp.(a) | | | |
UNITY Biotechnology, Inc.(a) | | | |
| | | |
Vanda Pharmaceuticals, Inc.(a) | | | |
| | | |
Master Portfolio Schedule of Investments13
Schedule of Investments (unaudited)(continued)June 30, 2024
Diversified Equity Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Biotechnology (continued) | |
Vera Therapeutics, Inc., Class A(a) | | | |
| | | |
| | | |
Vertex Pharmaceuticals, Inc.(a) | | | |
Verve Therapeutics, Inc.(a)(b) | | | |
Viking Therapeutics, Inc.(a)(b) | | | |
| | | |
Vir Biotechnology, Inc.(a) | | | |
Viridian Therapeutics, Inc.(a) | | | |
Voyager Therapeutics, Inc.(a)(b) | | | |
| | | |
| | | |
Zentalis Pharmaceuticals, Inc.(a) | | | |
| | | |
| | | |
| |
Alibaba Group Holding Ltd. | | | |
| | | |
Coupang, Inc., Class A(a) | | | |
Dillard’s, Inc., Class A(b) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Ollie’s Bargain Outlet Holdings, Inc.(a) | | | |
PDD Holdings, Inc., ADR(a) | | | |
| | | |
| | | |
| | | |
| | | |
| |
| | | |
Advanced Drainage Systems, Inc.(b) | | | |
American Woodmark Corp.(a) | | | |
| | | |
| | | |
AZEK Co., Inc., Class A(a) | | | |
| | | |
Builders FirstSource, Inc.(a) | | | |
| | | |
| | | |
| | | |
| | | |
Fortune Brands Innovations, Inc. | | | |
Gibraltar Industries, Inc.(a) | | | |
| | | |
Hayward Holdings, Inc.(a)(b) | | | |
| | | |
Janus International Group, Inc.(a) | | | |
JELD-WEN Holding, Inc.(a) | | | |
| | | |
Lennox International, Inc.(b) | | | |
| | | |
| | | |
Nibe Industrier AB, Class B | | | |
| | | |
Quanex Building Products Corp.(b) | | | |
| | | |
Building Products (continued) | |
Resideo Technologies, Inc.(a) | | | |
| | | |
| | | |
| | | |
| | | |
Zurn Elkay Water Solutions Corp. | | | |
| | | |
| |
| | | |
Ameriprise Financial, Inc. | | | |
| | | |
Ares Management Corp., Class A | | | |
Artisan Partners Asset Management, Inc., Class A | | | |
AssetMark Financial Holdings, Inc.(a) | | | |
B3 SA - Brasil Bolsa Balcao | | | |
Bank of New York Mellon Corp. | | | |
Blackstone, Inc., Class A(b) | | | |
Brightsphere Investment Group, Inc. | | | |
Brookfield Corp., Class A | | | |
| | | |
| | | |
| | | |
| | | |
Coinbase Global, Inc., Class A(a) | | | |
Daiwa Securities Group, Inc. | | | |
Deutsche Bank AG, Class N, Registered Shares | | | |
Deutsche Boerse AG, Class N | | | |
Donnelley Financial Solutions, Inc.(a) | | | |
| | | |
| | | |
Federated Hermes, Inc., Class B | | | |
Franklin Resources, Inc.(b) | | | |
Futu Holdings Ltd., ADR(a) | | | |
GCM Grosvenor, Inc., Class A | | | |
Goldman Sachs Group, Inc. | | | |
Hamilton Lane, Inc., Class A | | | |
| | | |
Hong Kong Exchanges & Clearing Ltd. | | | |
Houlihan Lokey, Inc., Class A | | | |
| | | |
| | | |
| | | |
London Stock Exchange Group PLC | | | |
LPL Financial Holdings, Inc. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Nippon Life India Asset Management Ltd.(c) | | | |
| | | |
Oppenheimer Holdings, Inc., Class A | | | |
Partners Group Holding AG | | | |
Patria Investments Ltd., Class A | | | |
| | | |
PJT Partners, Inc., Class A(b) | | | |
| | | |
Samsung Securities Co. Ltd. | | | |
| | | |
| | | |
142024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
Diversified Equity Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Capital Markets (continued) | |
Shenwan Hongyuan Group Co. Ltd., Class A | | | |
Silvercrest Asset Management Group, Inc., Class A | | | |
| | | |
| | | |
StepStone Group, Inc., Class A(b) | | | |
Stifel Financial Corp.(b) | | | |
UBS Group AG, Registered Shares | | | |
Victory Capital Holdings, Inc., Class A | | | |
Virtu Financial, Inc., Class A | | | |
| | | |
| | | |
| |
| | | |
| | | |
Alto Ingredients, Inc.(a) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Chambal Fertilisers and Chemicals Ltd. | | | |
| | | |
| | | |
| | | |
Ginkgo Bioworks Holdings, Inc., Class A(a) | | | |
| | | |
| | | |
Indorama Ventures PCL, NVDR | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Minerals Technologies, Inc.(b) | | | |
| | | |
National Industrialization Co.(a) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Rayonier Advanced Materials, Inc.(a) | | | |
Saudi Basic Industries Corp. | | | |
Sensient Technologies Corp.(b) | | | |
| | | |
| | | |
| | | |
| | | |
Commercial Services & Supplies — 1.0% | |
| | | |
| | | |
BrightView Holdings, Inc.(a) | | | |
| | | |
CECO Environmental Corp.(a) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Driven Brands Holdings, Inc.(a) | | | |
| | | |
Commercial Services & Supplies (continued) | |
| | | |
| | | |
Healthcare Services Group, Inc.(a) | | | |
Liquidity Services, Inc.(a) | | | |
Matthews International Corp., Class A | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Communications Equipment — 0.5% | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Construction & Engineering — 1.3% | |
| | | |
Ameresco, Inc., Class A(a) | | | |
| | | |
| | | |
| | | |
| | | |
China Railway Group Ltd., Class H | | | |
China State Construction Engineering Corp. Ltd., Class A | | | |
Comfort Systems USA, Inc. | | | |
Construction Partners, Inc., Class A(a) | | | |
Dycom Industries, Inc.(a) | | | |
| | | |
| | | |
| | | |
| | | |
HDC Hyundai Development Co-Engineering & Construction, Class E | | | |
| | | |
| | | |
ITD Cementation India Ltd. | | | |
Kalpataru Projects International Ltd. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Master Portfolio Schedule of Investments15
Schedule of Investments (unaudited)(continued)June 30, 2024
Diversified Equity Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Construction & Engineering (continued) | |
| | | |
| | | |
| | | |
Sterling Infrastructure, Inc.(a) | | | |
| | | |
| | | |
| | | |
WillScot Mobile Mini Holdings Corp.(a) | | | |
| | | |
| | | |
Construction Materials — 0.3% | |
| | | |
| | | |
| | | |
| | | |
James Hardie Industries PLC(a) | | | |
| | | |
| | | |
Summit Materials, Inc., Class A(a)(b) | | | |
| | | |
| | | |
| |
| | | |
| | | |
Capital One Financial Corp. | | | |
Discover Financial Services | | | |
Encore Capital Group, Inc.(a) | | | |
Enova International, Inc.(a) | | | |
EZCORP, Inc., Class A(a)(b) | | | |
| | | |
| | | |
| | | |
OneMain Holdings, Inc.(b) | | | |
Oportun Financial Corp.(a) | | | |
| | | |
| | | |
Regional Management Corp. | | | |
Upstart Holdings, Inc.(a)(b) | | | |
World Acceptance Corp.(a) | | | |
| | | |
Consumer Staples Distribution & Retail — 1.5% | |
Albertsons Cos., Inc., Class A | | | |
| | | |
BIM Birlesik Magazalar A/S, Class A | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Grocery Outlet Holding Corp.(a) | | | |
| | | |
| | | |
| | | |
Marks & Spencer Group PLC | | | |
Migros Ticaret A/S, Class A | | | |
| | | |
Performance Food Group Co.(a) | | | |
Ping An Healthcare & Technology Co. Ltd.(a)(c) | | | |
| | | |
| | | |
Consumer Staples Distribution & Retail (continued) | |
Redcare Pharmacy NV(a)(c) | | | |
| | | |
Sprouts Farmers Market, Inc.(a) | | | |
| | | |
| | | |
| | | |
Wal-Mart de Mexico SAB de CV | | | |
| | | |
| | | |
Containers & Packaging — 0.0% | |
Ardagh Group SA, Class A(a) | | | |
Ardagh Metal Packaging SA | | | |
Packaging Corp. of America | | | |
| | | |
| | | |
| | | |
| |
| | | |
Diversified Consumer Services — 0.3% | |
| | | |
| | | |
Adtalem Global Education, Inc.(a) | | | |
American Public Education, Inc.(a) | | | |
| | | |
| | | |
| | | |
Duolingo, Inc., Class A(a) | | | |
| | | |
Grand Canyon Education, Inc.(a) | | | |
Laureate Education, Inc., Class A | | | |
Mister Car Wash, Inc.(a)(b) | | | |
New Oriental Education & Technology Group, Inc.(a) | | | |
OneSpaWorld Holdings Ltd.(a) | | | |
| | | |
Strategic Education, Inc. | | | |
| | | |
Universal Technical Institute, Inc.(a) | | | |
| | | |
| |
Alexander & Baldwin, Inc. | | | |
American Assets Trust, Inc. | | | |
Armada Hoffler Properties, Inc. | | | |
| | | |
Broadstone Net Lease, Inc. | | | |
| | | |
Empire State Realty Trust, Inc., Class A | | | |
Gladstone Commercial Corp. | | | |
Land Securities Group PLC | | | |
One Liberty Properties, Inc. | | | |
| | | |
Diversified Telecommunication Services — 0.4% | |
| | | |
| | | |
Bandwidth, Inc., Class A(a) | | | |
Chunghwa Telecom Co. Ltd. | | | |
Cogent Communications Holdings, Inc.(b) | | | |
Consolidated Communications Holdings, Inc.(a) | | | |
Emirates Telecommunications Group Co. PJSC | | | |
| | | |
162024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
Diversified Equity Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Diversified Telecommunication Services (continued) | |
Hellenic Telecommunications Organization SA, Class R | | | |
| | | |
Iridium Communications, Inc. | | | |
Liberty Latin America Ltd., Class A(a) | | | |
Lumen Technologies, Inc.(a)(b) | | | |
| | | |
| | | |
| | | |
| | | |
Electric Utilities — 0.6% | |
| | | |
| | | |
| | | |
CK Infrastructure Holdings Ltd. | | | |
| | | |
EDP - Energias de Portugal SA | | | |
| | | |
| | | |
Hawaiian Electric Industries, Inc.(b) | | | |
| | | |
| | | |
Kansai Electric Power Co., Inc. | | | |
Korea Electric Power Corp.(a) | | | |
| | | |
| | | |
| | | |
Portland General Electric Co.(b) | | | |
Power Assets Holdings Ltd. | | | |
Power Grid Corp. of India Ltd. | | | |
| | | |
| | | |
| | | |
| | | |
Terna - Rete Elettrica Nazionale | | | |
| | | |
| | | |
Electrical Equipment — 1.0% | |
| | | |
ABB Ltd., Class N, Registered Shares | | | |
| | | |
| | | |
American Superconductor Corp.(a) | | | |
| | | |
Array Technologies, Inc.(a) | | | |
| | | |
Bloom Energy Corp., Class A(a)(b) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Fluence Energy, Inc., Class A(a) | | | |
| | | |
Hitachi Energy India Ltd. | | | |
| | | |
| | | |
NEXTracker, Inc., Class A(a) | | | |
Powell Industries, Inc.(b) | | | |
| | | |
Shoals Technologies Group, Inc., Class A(a) | | | |
| | | |
| | | |
Electrical Equipment (continued) | |
| | | |
| | | |
Vertiv Holdings Co., Class A | | | |
Vestas Wind Systems A/S(a) | | | |
| | | |
| | | |
Electronic Equipment, Instruments & Components — 1.9% | |
Arlo Technologies, Inc.(a) | | | |
| | | |
| | | |
| | | |
Benchmark Electronics, Inc. | | | |
BOE Technology Group Co. Ltd., Class A | | | |
| | | |
| | | |
| | | |
FARO Technologies, Inc.(a) | | | |
| | | |
Genius Electronic Optical Co. Ltd. | | | |
| | | |
| | | |
Hon Hai Precision Industry Co. Ltd. | | | |
Insight Enterprises, Inc.(a) | | | |
| | | |
| | | |
Kimball Electronics, Inc.(a) | | | |
| | | |
| | | |
| | | |
Methode Electronics, Inc. | | | |
Mirion Technologies, Inc., Class A(a) | | | |
Murata Manufacturing Co. Ltd. | | | |
Napco Security Technologies, Inc.(b) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
TTM Technologies, Inc.(a)(b) | | | |
Universal Microwave Technology, Inc. | | | |
Vishay Precision Group, Inc.(a) | | | |
| | | |
Energy Equipment & Services — 0.8% | |
| | | |
Baker Hughes Co., Class A | | | |
| | | |
Bristow Group, Inc.(a)(b) | | | |
| | | |
Diamond Offshore Drilling, Inc.(a) | | | |
| | | |
| | | |
Helix Energy Solutions Group, Inc.(a) | | | |
Helmerich & Payne, Inc.(b) | | | |
Kodiak Gas Services, Inc.(b) | | | |
Liberty Energy, Inc., Class A(b) | | | |
Nabors Industries Ltd.(a) | | | |
Master Portfolio Schedule of Investments17
Schedule of Investments (unaudited)(continued)June 30, 2024
Diversified Equity Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Energy Equipment & Services (continued) | |
Natural Gas Services Group, Inc.(a) | | | |
Newpark Resources, Inc.(a) | | | |
| | | |
| | | |
Oceaneering International, Inc.(a) | | | |
Oil States International, Inc.(a) | | | |
Patterson-UTI Energy, Inc. | | | |
ProPetro Holding Corp.(a) | | | |
| | | |
| | | |
Select Water Solutions, Inc., Class A(b) | | | |
| | | |
| | | |
| | | |
U.S. Silica Holdings, Inc.(a) | | | |
| | | |
| |
AMC Entertainment Holdings, Inc., Class A(a) | | | |
Cinemark Holdings, Inc.(a)(b) | | | |
| | | |
Eros Media World PLC, Class A(a) | | | |
Eventbrite, Inc., Class A(a) | | | |
| | | |
| | | |
Liberty Media Corp.-Liberty Formula One, Class A(a) | | | |
Liberty Media Corp.-Liberty Live, Class A(a) | | | |
Liberty Media Corp.-Liberty Live, Class C(a) | | | |
Lions Gate Entertainment Corp., Class A(a) | | | |
Lions Gate Entertainment Corp., Class B(a) | | | |
Madison Square Garden Entertainment Corp.(a) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Sea Ltd., Class A, ADR(a) | | | |
| | | |
Square Enix Holdings Co. Ltd. | | | |
| | | |
| | | |
Financial Services — 2.6% | |
| | | |
Alerus Financial Corp.(b) | | | |
Banco Latinoamericano de Comercio Exterior SA, Class E | | | |
Berkshire Hathaway, Inc., Class B(a) | | | |
| | | |
| | | |
| | | |
| | | |
Euronet Worldwide, Inc.(a)(b) | | | |
| | | |
| | | |
Federal Agricultural Mortgage Corp., Class C(b) | | | |
| | | |
| | | |
| | | |
Groupe Bruxelles Lambert NV | | | |
Hannon Armstrong Sustainable Infrastructure Capital, Inc.(b) | | | |
| | | |
Financial Services (continued) | |
I3 Verticals, Inc., Class A(a) | | | |
International Money Express, Inc.(a) | | | |
| | | |
Jack Henry & Associates, Inc. | | | |
L&T Finance Holdings Ltd. | | | |
| | | |
Marqeta, Inc., Class A(a) | | | |
Mastercard, Inc., Class A(b) | | | |
| | | |
Mr. Cooper Group, Inc.(a)(b) | | | |
| | | |
| | | |
| | | |
NMI Holdings, Inc., Class A(a) | | | |
Pagseguro Digital Ltd., Class A(a) | | | |
| | | |
| | | |
Repay Holdings Corp., Class A(a) | | | |
| | | |
| | | |
UWM Holdings Corp., Class A(b) | | | |
| | | |
| | | |
Worldline SA/France(a)(c) | | | |
Yuanta Financial Holding Co. Ltd. | | | |
| | | |
| |
| | | |
Archer-Daniels-Midland Co. | | | |
| | | |
| | | |
China Mengniu Dairy Co. Ltd. | | | |
Chocoladefabriken Lindt & Spruengli AG | | | |
Chocoladefabriken Lindt & Spruengli AG, Class N, Registered Shares | | | |
| | | |
| | | |
Darling Ingredients, Inc.(a)(b) | | | |
| | | |
Fresh Del Monte Produce, Inc. | | | |
Hain Celestial Group, Inc.(a) | | | |
| | | |
John B Sanfilippo & Son, Inc. | | | |
| | | |
| | | |
Lancaster Colony Corp.(b) | | | |
Mondelez International, Inc., Class A | | | |
Nestle SA, Class N, Registered Shares | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Tyson Foods, Inc., Class A | | | |
Uni-President China Holdings Ltd. | | | |
Uni-President Enterprises Corp. | | | |
| | | |
| | | |
| |
Brookfield Infrastructure Corp., Class A(b) | | | |
| | | |
| | | |
182024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
Diversified Equity Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Gas Utilities (continued) | |
New Jersey Resources Corp. | | | |
| | | |
| | | |
| | | |
| | | |
Ground Transportation — 0.3% | |
| | | |
Covenant Logistics Group, Inc., Class A(b) | | | |
| | | |
Movida Participacoes SA(a) | | | |
Old Dominion Freight Line, Inc. | | | |
| | | |
Schneider National, Inc., Class B(b) | | | |
Uber Technologies, Inc.(a) | | | |
| | | |
| | | |
| | | |
Health Care Equipment & Supplies — 1.5% | |
| | | |
| | | |
| | | |
Alphatec Holdings, Inc.(a) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Boston Scientific Corp.(a) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Envista Holdings Corp.(a) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
IDEXX Laboratories, Inc.(a) | | | |
| | | |
| | | |
Inspire Medical Systems, Inc.(a) | | | |
| | | |
Integer Holdings Corp.(a) | | | |
Integra LifeSciences Holdings Corp.(a) | | | |
| | | |
iRhythm Technologies, Inc.(a) | | | |
Lantheus Holdings, Inc.(a)(b) | | | |
| | | |
| | | |
| | | |
| | | |
Merit Medical Systems, Inc.(a) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Health Care Equipment & Supplies (continued) | |
| | | |
OraSure Technologies, Inc.(a) | | | |
Orthofix Medical, Inc.(a) | | | |
| | | |
| | | |
PROCEPT BioRobotics Corp.(a) | | | |
| | | |
| | | |
| | | |
Shenzhen Mindray Bio-Medical Electronics Co. Ltd., Class A | | | |
| | | |
Silk Road Medical, Inc.(a) | | | |
| | | |
Sonova Holding AG, Registered Shares | | | |
| | | |
| | | |
| | | |
Tactile Systems Technology, Inc.(a)(b) | | | |
Tandem Diabetes Care, Inc.(a)(b) | | | |
TransMedics Group, Inc.(a)(b) | | | |
Treace Medical Concepts, Inc.(a)(b) | | | |
| | | |
| | | |
Health Care Providers & Services — 1.9% | |
| | | |
| | | |
| | | |
| | | |
Alignment Healthcare, Inc.(a) | | | |
| | | |
AMN Healthcare Services, Inc.(a) | | | |
Aveanna Healthcare Holdings, Inc.(a) | | | |
Bangkok Dusit Medical Services PCL, NVDR | | | |
BrightSpring Health Services, Inc.(a) | | | |
Brookdale Senior Living, Inc.(a) | | | |
| | | |
Castle Biosciences, Inc.(a) | | | |
| | | |
| | | |
| | | |
Clover Health Investments Corp.(a)(b) | | | |
| | | |
Cross Country Healthcare, Inc.(a) | | | |
| | | |
Dr Sulaiman Al Habib Medical Services Group Co. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Fulgent Genetics, Inc.(a) | | | |
| | | |
| | | |
| | | |
Hims & Hers Health, Inc., Class A(a) | | | |
| | | |
| | | |
LifeStance Health Group, Inc.(a)(b) | | | |
| | | |
Nano-X Imaging Ltd.(a)(b) | | | |
National HealthCare Corp.(b) | | | |
Master Portfolio Schedule of Investments19
Schedule of Investments (unaudited)(continued)June 30, 2024
Diversified Equity Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Health Care Providers & Services (continued) | |
National Research Corp., Class A | | | |
| | | |
Option Care Health, Inc.(a) | | | |
| | | |
Pediatrix Medical Group, Inc.(a) | | | |
| | | |
| | | |
Premier, Inc., Class A(b) | | | |
Privia Health Group, Inc.(a) | | | |
| | | |
| | | |
| | | |
Select Medical Holdings Corp. | | | |
Surgery Partners, Inc.(a)(b) | | | |
Tenet Healthcare Corp.(a) | | | |
U.S. Physical Therapy, Inc. | | | |
| | | |
Universal Health Services, Inc., Class B | | | |
Viemed Healthcare, Inc.(a) | | | |
| | | |
| |
Diversified Healthcare Trust(b) | | | |
Universal Health Realty Income Trust | | | |
| | | |
Health Care Technology — 0.1% | |
American Well Corp., Class A(a) | | | |
| | | |
Evolent Health, Inc., Class A(a)(b) | | | |
| | | |
| | | |
Multiplan Corp., Class A(a) | | | |
| | | |
Schrodinger, Inc./United States(a)(b) | | | |
Teladoc Health, Inc.(a)(b) | | | |
| | | |
Veeva Systems, Inc., Class A(a) | | | |
| | | |
Hotel & Resort REITs — 0.2% | |
Apple Hospitality REIT, Inc.(b) | | | |
Braemar Hotels & Resorts, Inc. | | | |
| | | |
Park Hotels & Resorts, Inc.(b) | | | |
Pebblebrook Hotel Trust(b) | | | |
| | | |
Ryman Hospitality Properties, Inc.(b) | | | |
Service Properties Trust(b) | | | |
Summit Hotel Properties, Inc. | | | |
Sunstone Hotel Investors, Inc.(b) | | | |
Xenia Hotels & Resorts, Inc.(b) | | | |
| | | |
Hotels, Restaurants & Leisure — 1.1% | |
Accel Entertainment, Inc., Class A(a) | | | |
| | | |
| | | |
| | | |
| | | |
BJ’s Restaurants, Inc.(a) | | | |
| | | |
| | | |
Brinker International, Inc.(a) | | | |
| | | |
Hotels, Restaurants & Leisure (continued) | |
| | | |
| | | |
Chipotle Mexican Grill, Inc.(a) | | | |
| | | |
| | | |
Darden Restaurants, Inc.(b) | | | |
DraftKings, Inc., Class A(a) | | | |
Dutch Bros, Inc., Class A(a) | | | |
El Pollo Loco Holdings, Inc.(a) | | | |
| | | |
| | | |
Flutter Entertainment PLC(a) | | | |
Galaxy Entertainment Group Ltd. | | | |
Golden Entertainment, Inc. | | | |
Hilton Grand Vacations, Inc.(a)(b) | | | |
InterContinental Hotels Group PLC | | | |
International Game Technology PLC | | | |
Jiumaojiu International Holdings Ltd.(c) | | | |
| | | |
La Francaise des Jeux SAEM, Class A(c) | | | |
Life Time Group Holdings, Inc.(a) | | | |
Light & Wonder, Inc., Class A(a) | | | |
Lindblad Expeditions Holdings, Inc.(a) | | | |
Marriott Vacations Worldwide Corp.(b) | | | |
| | | |
MGM Resorts International(a) | | | |
Monarch Casino & Resort, Inc. | | | |
| | | |
Portillo’s, Inc., Class A(a) | | | |
| | | |
Red Rock Resorts, Inc., Class A(b) | | | |
Rush Street Interactive, Inc., Class A(a) | | | |
| | | |
Shake Shack, Inc., Class A(a) | | | |
| | | |
Sweetgreen, Inc., Class A(a) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Household Durables — 1.1% | |
| | | |
Beazer Homes USA, Inc.(a)(b) | | | |
Berkeley Group Holdings PLC | | | |
Century Communities, Inc. | | | |
| | | |
Dixon Technologies India Ltd. | | | |
Dream Finders Homes, Inc., Class A(a) | | | |
Ethan Allen Interiors, Inc. | | | |
| | | |
Gree Electric Appliances, Inc. of Zhuhai, Class A | | | |
Haier Smart Home Co. Ltd., Class H | | | |
| | | |
Installed Building Products, Inc.(b) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
202024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
Diversified Equity Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Household Durables (continued) | |
| | | |
| | | |
| | | |
| | | |
Midea Group Co. Ltd., Class A | | | |
| | | |
| | | |
| | | |
| | | |
Taylor Morrison Home Corp., Class A(a) | | | |
| | | |
| | | |
| | | |
Tri Pointe Homes, Inc.(a) | | | |
Universal Electronics, Inc.(a) | | | |
Vizio Holding Corp., Class A(a)(b) | | | |
| | | |
Household Products — 1.0% | |
Central Garden & Pet Co.(a) | | | |
Central Garden & Pet Co., Class A(a) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Kimberly-Clark de Mexico SAB de CV, Class A | | | |
| | | |
Reckitt Benckiser Group PLC | | | |
Reynolds Consumer Products, Inc.(b) | | | |
Spectrum Brands Holdings, Inc. | | | |
| | | |
| | | |
| | | |
Independent Power and Renewable Electricity Producers — 0.3% | |
| | | |
| | | |
Brookfield Renewable Corp., Class A(b) | | | |
Brookfield Renewable Corp., Class A | | | |
Clearway Energy, Inc., Class A | | | |
| | | |
| | | |
| | | |
| | | |
Sunnova Energy International, Inc.(a)(b) | | | |
| | | |
Industrial Conglomerates — 0.3% | |
Astra International Tbk PT | | | |
Brookfield Business Corp., Class A(b) | | | |
| | | |
| | | |
| | | |
| | | |
Siemens AG, Class N, Registered Shares | | | |
| | | |
| | | |
| | | |
| |
First Industrial Realty Trust, Inc. | | | |
Industrial Logistics Properties Trust | | | |
Nippon Prologis REIT, Inc. | | | |
| | | |
Industrial REITs (continued) | |
Plymouth Industrial REIT, Inc. | | | |
| | | |
| | | |
| | | |
| | | |
| |
| | | |
| | | |
| | | |
| | | |
Allianz SE, Registered Shares | | | |
| | | |
Ambac Financial Group, Inc.(a) | | | |
| | | |
Arch Capital Group Ltd.(a) | | | |
Assicurazioni Generali SpA | | | |
| | | |
| | | |
| | | |
Axis Capital Holdings Ltd. | | | |
Brighthouse Financial, Inc.(a) | | | |
Cathay Financial Holding Co. Ltd. | | | |
China Life Insurance Co. Ltd., Class H | | | |
China Pacific Insurance Group Co. Ltd., Class H | | | |
Cincinnati Financial Corp. | | | |
| | | |
CNO Financial Group, Inc.(b) | | | |
| | | |
Dai-ichi Life Holdings, Inc. | | | |
Donegal Group, Inc., Class A | | | |
| | | |
| | | |
| | | |
Fubon Financial Holding Co. Ltd. | | | |
Genworth Financial, Inc., Class A(a) | | | |
Gjensidige Forsikring ASA | | | |
| | | |
Hanover Insurance Group, Inc. | | | |
| | | |
Hyundai Marine & Fire Insurance Co. Ltd. | | | |
| | | |
| | | |
| | | |
Kinsale Capital Group, Inc.(b) | | | |
Legal & General Group PLC | | | |
Life Insurance Corp. of India | | | |
Marsh & McLennan Cos., Inc. | | | |
| | | |
MS&AD Insurance Group Holdings, Inc. | | | |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, Class N, Registered Shares | | | |
| | | |
Oscar Health, Inc., Class A(a) | | | |
Palomar Holdings, Inc.(a) | | | |
Phoenix Group Holdings PLC | | | |
Ping An Insurance Group Co. of China Ltd., Class H | | | |
| | | |
Powszechny Zaklad Ubezpieczen SA | | | |
Principal Financial Group, Inc. | | | |
| | | |
Prudential Financial, Inc. | | | |
| | | |
Master Portfolio Schedule of Investments21
Schedule of Investments (unaudited)(continued)June 30, 2024
Diversified Equity Master Portfolio(Percentages shown are based on Net Assets)
| | | |
| |
| | | |
Reinsurance Group of America, Inc. | | | |
| | | |
| | | |
Samsung Fire & Marine Insurance Co. Ltd. | | | |
Samsung Life Insurance Co. Ltd. | | | |
| | | |
Selective Insurance Group, Inc.(b) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Tokio Marine Holdings, Inc. | | | |
| | | |
| | | |
| | | |
| | | |
Universal Insurance Holdings, Inc. | | | |
| | | |
| | | |
White Mountains Insurance Group Ltd. | | | |
| | | |
Zurich Insurance Group AG, Class N | | | |
| | | |
Interactive Media & Services — 4.2% | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Cargurus, Inc., Class A(a) | | | |
| | | |
EverQuote, Inc., Class A(a) | | | |
| | | |
| | | |
| | | |
Kuaishou Technology(a)(c) | | | |
| | | |
MediaAlpha, Inc., Class A(a) | | | |
Meta Platforms, Inc., Class A | | | |
| | | |
Pinterest, Inc., Class A(a) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
ZipRecruiter, Inc., Class A(a) | | | |
| | | |
| |
| | | |
Akamai Technologies, Inc.(a)(b) | | | |
| | | |
| |
| | | |
Backblaze, Inc., Class A(a) | | | |
| | | |
| | | |
Chinasoft International Ltd. | | | |
Cloudflare, Inc., Class A(a) | | | |
| | | |
DigitalOcean Holdings, Inc.(a) | | | |
| | | |
| | | |
| | | |
| | | |
GoDaddy, Inc., Class A(a) | | | |
Grid Dynamics Holdings, Inc., Class A(a) | | | |
| | | |
| | | |
| | | |
Kyndryl Holdings, Inc.(a) | | | |
Nomura Research Institute Ltd. | | | |
| | | |
| | | |
| | | |
| | | |
Shopify, Inc., Class A(a) | | | |
Snowflake, Inc., Class A(a) | | | |
Squarespace, Inc., Class A(a) | | | |
Tata Consultancy Services Ltd. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
Acushnet Holdings Corp.(b) | | | |
| | | |
Malibu Boats, Inc., Class A(a) | | | |
MasterCraft Boat Holdings, Inc.(a) | | | |
| | | |
Peloton Interactive, Inc., Class A(a)(b) | | | |
Topgolf Callaway Brands Corp.(a) | | | |
YETI Holdings, Inc.(a)(b) | | | |
| | | |
Life Sciences Tools & Services — 0.5% | |
10X Genomics, Inc., Class A(a) | | | |
AbCellera Biologics, Inc.(a) | | | |
Adaptive Biotechnologies Corp.(a)(b) | | | |
Agilent Technologies, Inc. | | | |
| | | |
Charles River Laboratories International, Inc.(a) | | | |
| | | |
Cytek Biosciences, Inc.(a) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Lonza Group AG, Registered Shares | | | |
Maravai LifeSciences Holdings, Inc., Class A(a) | | | |
Medpace Holdings, Inc.(a) | | | |
Mettler-Toledo International, Inc.(a) | | | |
Nautilus Biotechnology, Inc.(a) | | | |
OmniAb, Inc., 12.50 Earnout Shares(a)(d) | | | |
222024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
Diversified Equity Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Life Sciences Tools & Services (continued) | |
OmniAb, Inc., 15.00 Earnout Shares(a)(d) | | | |
Pacific Biosciences of California, Inc.(a)(b) | | | |
| | | |
| | | |
| | | |
| | | |
Singular Genomics Systems, Inc.(a) | | | |
| | | |
Thermo Fisher Scientific, Inc. | | | |
West Pharmaceutical Services, Inc. | | | |
| | | |
| |
| | | |
Albany International Corp., Class A | | | |
| | | |
| | | |
Astec Industries, Inc.(b) | | | |
| | | |
| | | |
Atmus Filtration Technologies, Inc.(a) | | | |
| | | |
| | | |
Chart Industries, Inc.(a)(b) | | | |
| | | |
Commercial Vehicle Group, Inc.(a) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Franklin Electric Co., Inc.(b) | | | |
Gates Industrial Corp. PLC(a) | | | |
| | | |
Gencor Industries, Inc.(a) | | | |
| | | |
| | | |
HD Hyundai Construction Equipment Co. Ltd. | | | |
| | | |
Hyster-Yale Materials Handling, Inc., Class A(b) | | | |
| | | |
Illinois Tool Works, Inc.(b) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Mueller Industries, Inc.(b) | | | |
Mueller Water Products, Inc., Class A | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Randon SA Implementos e Participacoes, Preference Shares | | | |
| | | |
| |
| | | |
| | | |
| | | |
SPX Technologies, Inc.(a) | | | |
| | | |
| | | |
Titan International, Inc.(a) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Watts Water Technologies, Inc., Class A(b) | | | |
Weichai Power Co. Ltd., Class A | | | |
Weichai Power Co. Ltd., Class H | | | |
| | | |
| | | |
Zoomlion Heavy Industry Science and Technology Co. Ltd., Class A | | | |
| | | |
Marine Transportation — 0.2% | |
AP Moller - Maersk A/S, Class B | | | |
Genco Shipping & Trading Ltd. | | | |
| | | |
| | | |
| | | |
| | | |
Wisdom Marine Lines Co. Ltd. | | | |
| | | |
| |
| | | |
| | | |
Charter Communications, Inc., Class A(a) | | | |
| | | |
| | | |
| | | |
Cumulus Media, Inc., Class A(a)(b) | | | |
EchoStar Corp., Class A(a)(b) | | | |
Emerald Holding, Inc.(a)(b) | | | |
Entravision Communications Corp., Class A(b) | | | |
EW Scripps Co., Class A(a) | | | |
| | | |
| | | |
| | | |
| | | |
Ibotta, Inc., Class A(a)(b) | | | |
| | | |
Integral Ad Science Holding Corp.(a) | | | |
Liberty Broadband Corp., Class A(a) | | | |
Liberty Media Corp.-Liberty SiriusXM(a) | | | |
Liberty Media Corp.-Liberty SiriusXM, Class A(a) | | | |
| | | |
New York Times Co., Class A | | | |
| | | |
Nexstar Media Group, Inc., Class A | | | |
Paramount Global, Class A | | | |
Paramount Global, Class B(b) | | | |
PubMatic, Inc., Class A(a)(b) | | | |
| | | |
| | | |
Master Portfolio Schedule of Investments23
Schedule of Investments (unaudited)(continued)June 30, 2024
Diversified Equity Master Portfolio(Percentages shown are based on Net Assets)
| | | |
| |
| | | |
| | | |
Townsquare Media, Inc., Class A | | | |
| | | |
| |
| | | |
Alpha Metallurgical Resources, Inc.(b) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Carpenter Technology Corp. | | | |
| | | |
Cleveland-Cliffs, Inc.(a)(b) | | | |
| | | |
| | | |
Compass Minerals International, Inc.(b) | | | |
Constellium SE, Class A(a) | | | |
| | | |
| | | |
First Quantum Minerals Ltd. | | | |
| | | |
| | | |
| | | |
| | | |
Grupo Mexico SAB de CV, Series B | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
MMC Norilsk Nickel PJSC(a)(d) | | | |
MP Materials Corp., Class A(a)(b) | | | |
National Aluminium Co. Ltd. | | | |
Novagold Resources, Inc.(a) | | | |
| | | |
| | | |
Piedmont Lithium, Inc.(a) | | | |
Press Metal Aluminium Holdings Bhd | | | |
Radius Recycling, Inc., Class A | | | |
| | | |
| | | |
| | | |
Saudi Arabian Mining Co.(a) | | | |
SeAH Besteel Holdings Corp. | | | |
| | | |
Shandong Nanshan Aluminum Co. Ltd., Class A | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Metals & Mining (continued) | |
| | | |
Zijin Mining Group Co. Ltd., Class H | | | |
| | | |
Mortgage Real Estate Investment Trusts (REITs) — 0.0% | |
| | | |
Claros Mortgage Trust, Inc. | | | |
Franklin BSP Realty Trust, Inc.(b) | | | |
Granite Point Mortgage Trust, Inc. | | | |
| | | |
KKR Real Estate Finance Trust, Inc.(b) | | | |
Ladder Capital Corp., Class A(b) | | | |
TPG RE Finance Trust, Inc. | | | |
| | | |
| |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Northwestern Energy Group, Inc. | | | |
| | | |
WEC Energy Group, Inc.(b) | | | |
| | | |
| | | |
| |
Boston Properties, Inc.(b) | | | |
Brandywine Realty Trust(b) | | | |
COPT Defense Properties(b) | | | |
| | | |
Creative Media & Community Trust Corp. | | | |
Easterly Government Properties, Inc.(b) | | | |
| | | |
Highwoods Properties, Inc.(b) | | | |
Hudson Pacific Properties, Inc.(b) | | | |
| | | |
Office Properties Income Trust | | | |
Orion Office REIT, Inc.(b) | | | |
| | | |
Piedmont Office Realty Trust, Inc., Class A | | | |
| | | |
| | | |
Oil, Gas & Consumable Fuels — 2.7% | |
| | | |
| | | |
| | | |
California Resources Corp. | | | |
| | | |
China Petroleum & Chemical Corp., Class H | | | |
| | | |
Clean Energy Fuels Corp.(a)(b) | | | |
| | | |
Crescent Energy Co., Class A | | | |
| | | |
Delek U.S. Holdings, Inc. | | | |
| | | |
242024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
Diversified Equity Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Oil, Gas & Consumable Fuels (continued) | |
| | | |
| | | |
| | | |
Energy Fuels, Inc./Canada(a) | | | |
| | | |
| | | |
| | | |
| | | |
Equitrans Midstream Corp. | | | |
| | | |
| | | |
| | | |
Great Eastern Shipping Co. Ltd. | | | |
| | | |
| | | |
| | | |
| | | |
International Seaways, Inc. | | | |
| | | |
| | | |
Magnolia Oil & Gas Corp., Class A(b) | | | |
| | | |
| | | |
Motor Oil Hellas Corinth Refineries SA, Class R | | | |
| | | |
| | | |
Oil & Natural Gas Corp. Ltd. | | | |
| | | |
Par Pacific Holdings, Inc.(a) | | | |
PBF Energy, Inc., Class A | | | |
Permian Resources Corp., Class A | | | |
PetroChina Co. Ltd., Class A | | | |
PetroChina Co. Ltd., Class H | | | |
Plains GP Holdings LP, Class A | | | |
PTT Exploration & Production PCL, NVDR | | | |
Rabigh Refining & Petrochemical Co.(a) | | | |
| | | |
| | | |
REX American Resources Corp.(a) | | | |
| | | |
| | | |
| | | |
SilverBow Resources, Inc.(a) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Turkiye Petrol Rafinerileri A/S, Class A | | | |
Ultrapar Participacoes SA | | | |
| | | |
| | | |
| | | |
Paper & Forest Products — 0.1% | |
| | | |
| | | |
| | | |
Passenger Airlines — 0.2% | |
Alaska Air Group, Inc.(a) | | | |
| | | |
American Airlines Group, Inc.(a) | | | |
Blade Air Mobility, Inc., Class A(a)(b) | | | |
| | | |
Passenger Airlines (continued) | |
| | | |
Copa Holdings SA, Class A | | | |
Deutsche Lufthansa AG, Registered Shares | | | |
| | | |
Hawaiian Holdings, Inc.(a) | | | |
| | | |
Korean Air Lines Co. Ltd. | | | |
| | | |
Sun Country Airlines Holdings, Inc.(a) | | | |
United Airlines Holdings, Inc.(a) | | | |
| | | |
Personal Care Products — 0.3% | |
| | | |
| | | |
| | | |
| | | |
Estee Lauder Cos., Inc., Class A | | | |
| | | |
Kobayashi Pharmaceutical Co. Ltd. | | | |
| | | |
| | | |
Natural Health Trends Corp. | | | |
Nature’s Sunshine Products, Inc.(a) | | | |
Nu Skin Enterprises, Inc., Class A | | | |
Olaplex Holdings, Inc.(a) | | | |
| | | |
USANA Health Sciences, Inc.(a) | | | |
| | | |
| |
| | | |
| | | |
Alto Neuroscience, Inc.(a) | | | |
Amneal Pharmaceuticals, Inc., Class A(a)(b) | | | |
Amphastar Pharmaceuticals, Inc.(a) | | | |
Amylyx Pharmaceuticals, Inc.(a) | | | |
ANI Pharmaceuticals, Inc.(a) | | | |
| | | |
| | | |
| | | |
Atea Pharmaceuticals, Inc.(a) | | | |
Axsome Therapeutics, Inc.(a) | | | |
Bristol-Myers Squibb Co.(b) | | | |
| | | |
Chong Kun Dang Pharmaceutical Corp. | | | |
Collegium Pharmaceutical, Inc.(a)(b) | | | |
Corcept Therapeutics, Inc.(a) | | | |
| | | |
Edgewise Therapeutics, Inc.(a) | | | |
Elanco Animal Health, Inc.(a) | | | |
| | | |
Enliven Therapeutics, Inc.(a) | | | |
Esperion Therapeutics, Inc.(a) | | | |
EyePoint Pharmaceuticals, Inc.(a)(b) | | | |
Fulcrum Therapeutics, Inc.(a) | | | |
GlaxoSmithKline Pharmaceuticals Ltd. | | | |
| | | |
Harmony Biosciences Holdings, Inc.(a) | | | |
Hikma Pharmaceuticals PLC | | | |
| | | |
Intra-Cellular Therapies, Inc.(a) | | | |
| | | |
Jazz Pharmaceuticals PLC(a) | | | |
Master Portfolio Schedule of Investments25
Schedule of Investments (unaudited)(continued)June 30, 2024
Diversified Equity Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Pharmaceuticals (continued) | |
Jiangsu Hengrui Pharmaceuticals Co. Ltd., Class A | | | |
| | | |
Longboard Pharmaceuticals, Inc.(a) | | | |
| | | |
| | | |
| | | |
Mind Medicine MindMed, Inc.(a) | | | |
| | | |
Novartis AG, Class N, Registered Shares | | | |
Novo Nordisk A/S, Class B | | | |
Nuvation Bio, Inc., Class A(a) | | | |
Ocular Therapeutix, Inc.(a)(b) | | | |
| | | |
Pacira BioSciences, Inc.(a)(b) | | | |
| | | |
Phibro Animal Health Corp., Class A | | | |
Pliant Therapeutics, Inc.(a) | | | |
Prestige Consumer Healthcare, Inc.(a)(b) | | | |
Revance Therapeutics, Inc.(a) | | | |
| | | |
| | | |
Royalty Pharma PLC, Class A(b) | | | |
| | | |
Scilex Holding Co., (Acquired 01/06/23, Cost: $100,430)(a)(e) | | | |
| | | |
SIGA Technologies, Inc.(b) | | | |
Sino Biopharmaceutical Ltd. | | | |
Strides Pharma Science Ltd. | | | |
Sun Pharmaceutical Industries Ltd. | | | |
Supernus Pharmaceuticals, Inc.(a) | | | |
Takeda Pharmaceutical Co. Ltd. | | | |
Tarsus Pharmaceuticals, Inc.(a) | | | |
Teva Pharmaceutical Industries Ltd., ADR(a) | | | |
| | | |
WaVe Life Sciences Ltd.(a) | | | |
Xeris Biopharma Holdings, Inc.(a) | | | |
| | | |
| | | |
| | | |
Professional Services — 1.1% | |
| | | |
Barrett Business Services, Inc. | | | |
Booz Allen Hamilton Holding Corp., Class A | | | |
CACI International, Inc., Class A(a) | | | |
Computer Age Management Services Ltd. | | | |
| | | |
CSG Systems International, Inc.(b) | | | |
ExlService Holdings, Inc.(a) | | | |
| | | |
| | | |
Firstsource Solutions Ltd. | | | |
| | | |
| | | |
Heidrick & Struggles International, Inc. | | | |
Huron Consulting Group, Inc.(a) | | | |
| | | |
Kelly Services, Inc., Class A | | | |
| | | |
| | | |
| | | |
| | | |
Professional Services (continued) | |
| | | |
| | | |
| | | |
| | | |
| | | |
Recruit Holdings Co. Ltd. | | | |
| | | |
Resources Connection, Inc. | | | |
| | | |
SS&C Technologies Holdings, Inc. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Verra Mobility Corp., Class A(a) | | | |
| | | |
Wolters Kluwer NV, Class C | | | |
| | | |
Real Estate Management & Development — 0.4% | |
Altisource Portfolio Solutions SA(a) | | | |
Anywhere Real Estate, Inc.(a) | | | |
| | | |
CBRE Group, Inc., Class A(a) | | | |
China Overseas Land & Investment Ltd. | | | |
China Resources Land Ltd. | | | |
| | | |
Compass, Inc., Class A(a) | | | |
eXp World Holdings, Inc.(b) | | | |
| | | |
Howard Hughes Holdings, Inc.(a) | | | |
Jones Lang LaSalle, Inc.(a) | | | |
KE Holdings, Inc., ADR(b) | | | |
Kennedy-Wilson Holdings, Inc.(b) | | | |
| | | |
Opendoor Technologies, Inc.(a) | | | |
Poly Developments & Holdings Group Co. Ltd., Class A | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Sun Hung Kai Properties Ltd. | | | |
Wharf Real Estate Investment Co. Ltd. | | | |
Zillow Group, Inc., Class A(a) | | | |
| | | |
| |
Apartment Investment and Management Co., Class A(a) | | | |
| | | |
| | | |
| | | |
| | | |
Equity LifeStyle Properties, Inc. | | | |
NexPoint Residential Trust, Inc. | | | |
| | | |
| | | |
262024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
Diversified Equity Master Portfolio(Percentages shown are based on Net Assets)
| | | |
| |
Brixmor Property Group, Inc. | | | |
InvenTrust Properties Corp.(b) | | | |
| | | |
| | | |
Simon Property Group, Inc. | | | |
| | | |
| | | |
Semiconductors & Semiconductor Equipment — 8.4% | |
ACM Research, Inc., Class A(a) | | | |
Advanced Micro Devices, Inc.(a) | | | |
| | | |
Alpha & Omega Semiconductor Ltd.(a) | | | |
| | | |
Amkor Technology, Inc.(b) | | | |
| | | |
ARM Holdings PLC, ADR(a)(b) | | | |
| | | |
| | | |
Axcelis Technologies, Inc.(a) | | | |
| | | |
ChipMOS Technologies, Inc. | | | |
| | | |
Credo Technology Group Holding Ltd.(a) | | | |
| | | |
| | | |
Elan Microelectronics Corp. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Maxeon Solar Technologies Ltd.(a)(b) | | | |
| | | |
| | | |
Micron Technology, Inc.(b) | | | |
Monolithic Power Systems, Inc.(b) | | | |
Navitas Semiconductor Corp.(a) | | | |
| | | |
| | | |
| | | |
| | | |
Power Integrations, Inc.(b) | | | |
Powertech Technology, Inc. | | | |
| | | |
| | | |
Realtek Semiconductor Corp. | | | |
| | | |
| | | |
Silicon Laboratories, Inc.(a) | | | |
| | | |
| | | |
SMART Global Holdings, Inc.(a) | | | |
| | | |
| | | |
Taiwan Semiconductor Manufacturing Co. Ltd. | | | |
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | | | |
| | | |
Tower Semiconductor Ltd.(a) | | | |
Ultra Clean Holdings, Inc.(a) | | | |
| | | |
Semiconductors & Semiconductor Equipment (continued) | |
Veeco Instruments, Inc.(a) | | | |
| | | |
| | | |
| |
| | | |
| | | |
| | | |
| | | |
Alarm.com Holdings, Inc.(a) | | | |
Alkami Technology, Inc.(a)(b) | | | |
Altair Engineering, Inc., Class A(a)(b) | | | |
American Software, Inc., Class A | | | |
Amplitude, Inc., Class A(a) | | | |
Appfolio, Inc., Class A(a) | | | |
Appian Corp., Class A(a)(b) | | | |
AppLovin Corp., Class A(a) | | | |
Asana, Inc., Class A(a)(b) | | | |
Atlassian Corp., Class A(a) | | | |
Aurora Innovation, Inc., Class A(a)(b) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
C3.ai, Inc., Class A(a)(b) | | | |
Cadence Design Systems, Inc.(a) | | | |
| | | |
Check Point Software Technologies Ltd.(a) | | | |
| | | |
Clear Secure, Inc., Class A(b) | | | |
Clearwater Analytics Holdings, Inc., Class A(a)(b) | | | |
CommVault Systems, Inc.(a) | | | |
Constellation Software, Inc./Canada | | | |
Crowdstrike Holdings, Inc., Class A(a) | | | |
CyberArk Software Ltd.(a) | | | |
| | | |
| | | |
Datadog, Inc., Class A(a) | | | |
| | | |
| | | |
| | | |
Dropbox, Inc., Class A(a) | | | |
| | | |
| | | |
| | | |
Expensify, Inc., Class A(a)(b) | | | |
| | | |
Freshworks, Inc., Class A(a)(b) | | | |
| | | |
HashiCorp, Inc., Class A(a) | | | |
| | | |
| | | |
Informatica, Inc., Class A(a)(b) | | | |
| | | |
| | | |
| | | |
| | | |
LiveRamp Holdings, Inc.(a) | | | |
Manhattan Associates, Inc.(a) | | | |
Marathon Digital Holdings, Inc.(a)(b) | | | |
Master Portfolio Schedule of Investments27
Schedule of Investments (unaudited)(continued)June 30, 2024
Diversified Equity Master Portfolio(Percentages shown are based on Net Assets)
| | | |
| |
Marin Software, Inc.(a)(b) | | | |
Matterport, Inc., Class A(a) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Nutanix, Inc., Class A(a) | | | |
| | | |
| | | |
| | | |
| | | |
Pagaya Technologies Ltd., Class A(a) | | | |
| | | |
Palantir Technologies, Inc., Class A(a) | | | |
Palo Alto Networks, Inc.(a) | | | |
| | | |
PROS Holdings, Inc.(a)(b) | | | |
| | | |
| | | |
| | | |
RingCentral, Inc., Class A(a) | | | |
Riot Platforms, Inc.(a)(b) | | | |
| | | |
| | | |
| | | |
| | | |
Sapiens International Corp. NV | | | |
SEMrush Holdings, Inc., Class A(a) | | | |
SentinelOne, Inc., Class A(a)(b) | | | |
| | | |
Smartsheet, Inc., Class A(a) | | | |
Sprinklr, Inc., Class A(a) | | | |
Sprout Social, Inc., Class A(a)(b) | | | |
| | | |
Synchronoss Technologies, Inc.(a) | | | |
| | | |
Tenable Holdings, Inc.(a) | | | |
| | | |
| | | |
Unity Software, Inc.(a)(b) | | | |
| | | |
Varonis Systems, Inc.(a)(b) | | | |
| | | |
Viant Technology, Inc., Class A(a) | | | |
Weave Communications, Inc.(a) | | | |
| | | |
Workday, Inc., Class A(a) | | | |
Workiva, Inc., Class A(a) | | | |
| | | |
| | | |
| | | |
Zeta Global Holdings Corp., Class A(a) | | | |
| | | |
| | | |
| | | |
| |
| | | |
| | | |
Gaming & Leisure Properties, Inc.(b) | | | |
| | | |
Specialized REITs (continued) | |
| | | |
Lamar Advertising Co., Class A(b) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
1-800-Flowers.com, Inc., Class A(a) | | | |
| | | |
Abercrombie & Fitch Co., Class A(a) | | | |
Academy Sports & Outdoors, Inc.(b) | | | |
American Eagle Outfitters, Inc.(b) | | | |
America’s Car-Mart, Inc.(a)(b) | | | |
| | | |
Asbury Automotive Group, Inc.(a) | | | |
| | | |
| | | |
Boot Barn Holdings, Inc.(a)(b) | | | |
Burlington Stores, Inc.(a) | | | |
| | | |
Carvana Co., Class A(a)(b) | | | |
Chow Tai Fook Jewellery Group Ltd. | | | |
| | | |
| | | |
Container Store Group, Inc.(a) | | | |
Dick’s Sporting Goods, Inc. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Group 1 Automotive, Inc.(b) | | | |
Haverty Furniture Cos., Inc. | | | |
| | | |
Industria de Diseno Textil SA | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Lithia Motors, Inc., Class A(b) | | | |
| | | |
| | | |
| | | |
| | | |
National Vision Holdings, Inc.(a) | | | |
O’Reilly Automotive, Inc.(a) | | | |
Penske Automotive Group, Inc.(b) | | | |
Petco Health & Wellness Co., Inc.(a)(b) | | | |
| | | |
Raizen SA, Preference Shares | | | |
Revolve Group, Inc.(a)(b) | | | |
| | | |
| | | |
Sally Beauty Holdings, Inc.(a) | | | |
Shift Technologies, Inc., Class A(a) | | | |
| | | |
| | | |
| | | |
Sonic Automotive, Inc., Class A(b) | | | |
282024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
Diversified Equity Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Specialty Retail (continued) | |
Stitch Fix, Inc., Class A(a) | | | |
| | | |
| | | |
Truworths International Ltd. | | | |
| | | |
| | | |
Urban Outfitters, Inc.(a) | | | |
Victoria’s Secret & Co.(a) | | | |
Warby Parker, Inc., Class A(a) | | | |
Wayfair, Inc., Class A(a)(b) | | | |
| | | |
| | | |
| | | |
Technology Hardware, Storage & Peripherals — 4.0% | |
| | | |
| | | |
| | | |
Chicony Electronics Co. Ltd. | | | |
Dell Technologies, Inc., Class C | | | |
| | | |
| | | |
Logitech International SA, Class N, Registered Shares | | | |
| | | |
| | | |
Samsung Electronics Co. Ltd. | | | |
Super Micro Computer, Inc.(a)(b) | | | |
| | | |
Xiaomi Corp., Class B(a)(c) | | | |
| | | |
Textiles, Apparel & Luxury Goods — 0.4% | |
| | | |
ANTA Sports Products Ltd. | | | |
Bosideng International Holdings Ltd. | | | |
| | | |
| | | |
| | | |
| | | |
G-III Apparel Group Ltd.(a) | | | |
| | | |
| | | |
LVMH Moet Hennessy Louis Vuitton SE | | | |
Makalot Industrial Co. Ltd. | | | |
| | | |
| | | |
Oxford Industries, Inc.(b) | | | |
| | | |
Skechers USA, Inc., Class A(a) | | | |
Under Armour, Inc., Class A(a)(b) | | | |
Under Armour, Inc., Class C(a) | | | |
| | | |
| | | |
Xtep International Holdings Ltd. | | | |
| | | |
| |
British American Tobacco PLC | | | |
| | | |
Philip Morris International, Inc. | | | |
| | | |
| |
Turning Point Brands, Inc. | | | |
| | | |
| | | |
Trading Companies & Distributors — 1.1% | |
| | | |
Applied Industrial Technologies, Inc. | | | |
| | | |
Beacon Roofing Supply, Inc.(a) | | | |
BlueLinx Holdings, Inc.(a) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
H&E Equipment Services, Inc. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Rush Enterprises, Inc., Class A(b) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
WESCO International, Inc. | | | |
| | | |
| | | |
Transportation Infrastructure — 0.1% | |
Adani Ports & Special Economic Zone Ltd. | | | |
| | | |
| | | |
| | | |
Grupo Aeroportuario del Sureste SAB de CV, Class B | | | |
Gujarat Pipavav Port Ltd. | | | |
International Container Terminal Services, Inc. | | | |
| | | |
| |
American States Water Co. | | | |
American Water Works Co., Inc. | | | |
California Water Service Group | | | |
| | | |
| | | |
United Utilities Group PLC | | | |
| | | |
| | | |
Master Portfolio Schedule of Investments29
Schedule of Investments (unaudited)(continued)June 30, 2024
Diversified Equity Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Wireless Telecommunication Services — 0.2% | |
America Movil SAB de CV, Series B | | | |
| | | |
| | | |
| | | |
Telephone and Data Systems, Inc. | | | |
| | | |
Total Common Stocks — 88.8%
(Cost: $1,746,041,736) | |
|
|
| |
| | | |
| |
| | | |
| | | |
| | | |
Electric Utilities — 0.0% | |
Cia Energetica de Minas Gerais | | | |
CTEEP-Cia de Transmissao de Energia Eletrica Paulista | | | |
| | | |
Household Products — 0.0% | |
| | | |
| |
| | | |
Oil, Gas & Consumable Fuels — 0.2% | |
| | | |
Real Estate Management & Development — 0.0% | |
Brookfield Property Preferred LP, 07/26/81 | | | |
Trading Companies & Distributors — 0.0% | |
WESCO International, Inc., Series A(f)(g) | | | |
| |
Total Preferred Securities — 0.4%
(Cost: $10,154,957) | |
|
| |
Albireo Pharma, Inc., CVR(d) | | | |
Catalyst Biosciences, Inc., CVR(b)(d) | | | |
Chinook Therapeutics, CVR(d) | | | |
| | | |
Kinnate Biopharma, Inc., CVR(b) | | | |
| | | |
Prevail Therapeutics, CVR(d) | | | |
| | | |
| | | |
Surface Oncology, Inc., CVR | | | |
| | | |
Consumer Staples Distribution & Retail — 0.0% | |
Eli Lilly and Company, CVR | | | |
| | | |
Health Care Equipment & Supplies — 0.0% | |
| | | |
| |
Pan American Silver Corp.(a) | | | |
Paper & Forest Products — 0.0% | |
Resolute Forest Products, Inc., CVR(d) | | | |
| |
Concentra Biosciences, LLC, CVR | | | |
Flexion Therapeutics, CVR(d) | | | |
| | | |
Total Rights — 0.0%
(Cost: $21,565) | |
|
Oil, Gas & Consumable Fuels — 0.0% | |
Occidental Petroleum Corp., (Issued 07/06/20, Exercisable 08/03/20, 1 Share for 1 Warrant, Expires 08/03/27, Strike Price USD 22.00)(a)(b) | | | |
Total Warrants — 0.0%
(Cost: $1,792) | |
Total Long-Term Investments — 89.2%
(Cost: $1,756,220,050) | |
|
Money Market Funds — 17.2% | |
BlackRock Cash Funds: Institutional, SL Agency Shares, 5.48%(h)(i)(j) | | | |
BlackRock Cash Funds: Treasury, SL Agency Shares, 5.28%(h)(i) | | | |
Total Short-Term Securities — 17.2%
(Cost: $400,437,985) | |
Total Investments — 106.4%
(Cost: $2,156,658,035) | |
Liabilities in Excess of Other Assets — (6.4)% | |
| |
| Non-income producing security. |
| All or a portion of this security is on loan. |
| 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. |
| Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| Restricted security as to resale, excluding 144A securities. The Master Portfolio held restricted securities with a current value of $18,012, representing less than 0.05% of its net assets as of period end, and an original cost of $100,430. |
| Perpetual security with no stated maturity date. |
| Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
| Affiliate of the Master Portfolio. |
| Annualized 7-day yield as of period end. |
| All or a portion of this security was purchased with the cash collateral from loaned securities. |
For purposes of this report, industry and sector sub-classifications may differ from those utilized by the Master Portfolio for compliance purposes.
302024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
Diversified Equity Master Portfolio
Affiliates
Investments in issuers considered to be affiliate(s) of the Master Portfolio during the six months ended June 30, 2024 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| | | | | Change in
Unrealized
Appreciation
(Depreciation) | | | | Capital Gain
Distributions
from
Underlying
Funds |
BlackRock Cash Funds: Institutional, SL Agency Shares | | | | | | | | | |
BlackRock Cash Funds: Treasury, SL Agency Shares | | | | | | | | | |
| | | | | | | | | |
| Represents net amount purchased (sold). |
| All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
Derivative Financial Instruments Outstanding as of Period End
| | | | Value/
Unrealized
Appreciation
(Depreciation) |
| | | | |
E-mini Russell 2000 Index | | | | |
MSCI Emerging Markets Index | | | | |
| | | | |
| | | | |
| | | | |
E-mini Russell 2000 Index | | | | |
| | | | |
MSCI Emerging Markets Index | | | | |
| | | | |
| | | | |
Forward Foreign Currency Exchange Contracts
| | | | Unrealized
Appreciation
(Depreciation) |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | Morgan Stanley & Co. International PLC | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | Goldman Sachs International | | |
| | | | | | |
| | | | | | |
| | | | | | |
| |
Master Portfolio Schedule of Investments31
Schedule of Investments (unaudited)(continued)June 30, 2024
Diversified Equity Master Portfolio
OTC Total Return Swaps
Paid by the Master Portfolio | Received by the Master Portfolio | | | | | | | | |
| | | | | | | | | Upfront
Premium
Paid
(Received) | Unrealized
Appreciation
(Depreciation) |
Russell 2000 Index Total Return (RU20INTR) | | 1-Day SOFR plus 0.10%, 5.33% | | | | | | | | | |
MSCI Emerging Markets (Net Return) | | 1-Day SOFR plus 0.92%, 5.33% | | | | | | | | | |
1-Day SOFR plus 0.47%, 5.33% | | Russell 1000 Index Total Return (RU10INTR) | | | | | | | | | |
Russell 2000 Index Total Return (RU20INTR) | | 1-Day SOFR plus 0.14%, 5.33% | | Goldman Sachs International | | | | | | | |
MSCI Emerging Markets (Net Return) | | 1-Day SOFR minus 0.08%, 5.33% | | | | | | | | | |
MSCI Emerging Markets (Net Return) | | 1-Day SOFR plus 0.25%, 5.33% | | Merrill Lynch International | | | | | | | |
1-Day SOFR plus 0.42%, 5.33% | | Russell 1000 Index Total Return (RU10INTR) | | Goldman Sachs International | | | | | | | |
1-Day SOFR plus 0.43%, 5.33% | | Russell 1000 Index Total Return (RU10INTR) | | Merrill Lynch International | | | | | | | |
1-Day SOFR plus 0.45%, 5.33% | | Russell 1000 Index Total Return (RU10INTR) | | Merrill Lynch International | | | | | | | |
Russell 2000 Index Total Return (RU20INTR) | | 1-Day SOFR plus 0.25%, 5.33% | | Merrill Lynch International | | | | | | | |
| | 1-Day SOFR plus 0.04%, 5.33% | | Merrill Lynch International | | | | | | | |
| | 1-Day SOFR plus 0.34%, 5.33% | | Merrill Lynch International | | | | | | | |
Russell 2000 Index Total Return (RU20INTR) | | 1-Day SOFR plus 0.19%, 5.33% | | Merrill Lynch International | | | | | | | |
Russell 2000 Index Total Return (RU20INTR) | | 1-Day SOFR plus 0.28%, 5.33% | | Merrill Lynch International | | | | | | | |
| | 1-Day SOFR plus 0.22%, 5.33% | | | | | | | | | |
MSCI Emerging Markets (Net Return) | | 1-Day SOFR plus 0.22%, 5.33% | | Merrill Lynch International | | | | | | | |
1-Day SOFR plus 0.69%, 5.33% | | Russell 1000 Index Total Return (RU10INTR) | | Goldman Sachs International | | | | | | | |
| | | | | | | | | | | |
322024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
Diversified Equity Master Portfolio
Balances Reported in the Statement of Assets and Liabilities for OTC Swaps
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:
| | | | Foreign
Currency
Exchange
Contracts | | | |
Assets — Derivative Financial Instruments | | | | | | | |
Futures contracts
Unrealized appreciation on futures contracts(a) | | | | | | | |
Forward foreign currency exchange contracts
Unrealized appreciation on forward foreign currency exchange contracts | | | | | | | |
Swaps — OTC
Unrealized appreciation on OTC swaps; Swap premiums paid | | | | | | | |
| | | | | | | |
Liabilities — Derivative Financial Instruments | | | | | | | |
Futures contracts
Unrealized depreciation on futures contracts(a) | | | | | | | |
Forward foreign currency exchange contracts
Unrealized depreciation on forward foreign currency exchange contracts | | | | | | | |
Swaps — OTC
Unrealized depreciation on OTC swaps; Swap premiums received | | | | | | | |
| | | | | | | |
| Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Master Portfolio Schedule of Investments. In the Statement of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in net unrealized appreciation (depreciation). |
For the period ended June 30, 2024, the effect of derivative financial instruments in the Statement of Operations was as follows:
| | | | Foreign
Currency
Exchange
Contracts | | | |
Net Realized Gain (Loss) from: | | | | | | | |
| | | | | | | |
Forward foreign currency exchange contracts | | | | | | | |
| | | | | | | |
| | | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | |
| | | | | | | |
Forward foreign currency exchange contracts | | | | | | | |
| | | | | | | |
| | | | | | | |
Master Portfolio Schedule of Investments33
Schedule of Investments (unaudited)(continued)June 30, 2024
Diversified Equity Master Portfolio
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| |
Average notional value of contracts — long | |
Average notional value of contracts — short | |
Forward foreign currency exchange contracts: | |
Average amounts purchased — in USD | |
Average amounts sold — in USD | |
| |
| |
For more information about the Master Portfolio’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Derivative Financial Instruments — Offsetting as of Period End
The Master Portfolio’s derivative assets and liabilities (by type) were as follows:
| | |
Derivative Financial Instruments | | |
| | |
Forward foreign currency exchange contracts | | |
| | |
Total derivative assets and liabilities in the Statement of Assets and Liabilities | | |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | | |
Total derivative assets and liabilities subject to an MNA | | |
| Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statement of Assets and Liabilities. |
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:
| Derivative
Assets
Subject to
an MNA by
Counterparty | Derivatives
Available
for Offset(a) | Non-Cash
Collateral
Received | Cash
Collateral
Received(b) | Net Amount
of Derivative
Assets(c)(d) |
| | | | | |
Goldman Sachs International | | | | | |
| | | | | |
Merrill Lynch International | | | | | |
| | | | | |
| | | | | |
| Derivative
Liabilities
Subject to
an MNA by
Counterparty | Derivatives
Available
for Offset(a) | Non-Cash
Collateral
Pledged | | Net Amount
of Derivative
Liabilities(c)(e) |
| | | | | |
| | | | | |
Goldman Sachs International | | | | | |
| | | | | |
Merrill Lynch International | | | | | |
Morgan Stanley & Co. International PLC | | | | | |
| | | | | |
| | | | | |
| | | | | |
| The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA. |
| Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes. |
| Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
| Net amount represents the net amount receivable from the counterparty in the event of default. |
| Net amount represents the net amount payable due to counterparty in the event of default. |
342024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
Diversified Equity Master Portfolio
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Master Portfolio’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Master Portfolio’s financial instruments categorized in the fair value hierarchy. The breakdown of the Master Portfolio’s financial instruments into major categories is disclosed in the Schedule of Investments above.
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Commercial Services & Supplies | | | | |
| | | | |
Construction & Engineering | | | | |
| | | | |
| | | | |
Consumer Staples Distribution & Retail | | | | |
| | | | |
| | | | |
Diversified Consumer Services | | | | |
| | | | |
Diversified Telecommunication Services | | | | |
| | | | |
| | | | |
Electronic Equipment, Instruments & Components | | | | |
Energy Equipment & Services | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Health Care Equipment & Supplies | | | | |
Health Care Providers & Services | | | | |
| | | | |
| | | | |
| | | | |
Hotels, Restaurants & Leisure | | | | |
| | | | |
| | | | |
Independent Power and Renewable Electricity Producers | | | | |
| | | | |
| | | | |
| | | | |
Interactive Media & Services | | | | |
| | | | |
| | | | |
Life Sciences Tools & Services | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Mortgage Real Estate Investment Trusts (REITs) | | | | |
| | | | |
Master Portfolio Schedule of Investments35
Schedule of Investments (unaudited)(continued)June 30, 2024
Diversified Equity Master Portfolio
Fair Value Hierarchy as of Period End (continued)
| | | | |
Common Stocks (continued) | | | | |
| | | | |
Oil, Gas & Consumable Fuels | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Real Estate Management & Development | | | | |
| | | | |
| | | | |
Semiconductors & Semiconductor Equipment | | | | |
| | | | |
| | | | |
| | | | |
Technology Hardware, Storage & Peripherals | | | | |
Textiles, Apparel & Luxury Goods | | | | |
| | | | |
Trading Companies & Distributors | | | | |
Transportation Infrastructure | | | | |
| | | | |
Wireless Telecommunication Services | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Oil, Gas & Consumable Fuels | | | | |
Real Estate Management & Development | | | | |
Trading Companies & Distributors | | | | |
| | | | |
| | | | |
Consumer Staples Distribution & Retail | | | | |
Health Care Equipment & Supplies | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Derivative Financial Instruments(a) | | | | |
| | | | |
| | | | |
Foreign Currency Exchange Contracts | | | | |
| | | | |
| | | | |
Foreign Currency Exchange Contracts | | | | |
| | | | |
| Derivative financial instruments are swaps, futures contracts and forward foreign currency exchange contracts. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
See master portfolio notes to financial statements.
362024 BlackRock Semi-Annual Financial Statements
Statement of Assets and Liabilities(unaudited)June 30, 2024
| Diversified Equity
Master Portfolio |
| |
Investments, at value — unaffiliated(a)(b) | |
Investments, at value — affiliated(c) | |
| |
| |
Collateral — OTC derivatives | |
| |
Foreign currency, at value(d) | |
| |
| |
Securities lending income — affiliated | |
| |
| |
Variation margin on futures contracts | |
Unrealized appreciation on: | |
Forward foreign currency exchange contracts | |
| |
| |
| |
| |
Cash received as collateral for OTC derivatives | |
Collateral on securities loaned | |
| |
| |
| |
| |
Deferred foreign capital gain tax | |
| |
| |
| |
Variation margin on futures contracts | |
Unrealized depreciation on: | |
Forward foreign currency exchange contracts | |
| |
| |
Commitments and contingent liabilities | |
| |
| |
| |
Net unrealized appreciation (depreciation) | |
| |
(a) Investments, at cost—unaffiliated | |
(b) Securities loaned, at value | |
(c) Investments, at cost—affiliated | |
(d) Foreign currency, at cost | |
See master portfolio notes to financial statements.
Master Portfolio Statement of Assets and Liabilities37
Statement of Operations (unaudited)Six Months Ended June 30, 2024
| Diversified Equity
Master Portfolio |
| |
| |
| |
| |
Securities lending income — affiliated — net | |
| |
| |
| |
| |
| |
| |
| |
Total expenses excluding interest expense | |
Interest expense — unaffiliated | |
| |
| |
Fees waived and/or reimbursed by the Administrator | |
Fees waived and/or reimbursed by the Manager | |
Total expenses after fees waived and/or reimbursed | |
| |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) from: | |
Investments — unaffiliated(a) | |
| |
Forward foreign currency exchange contracts | |
Foreign currency transactions | |
| |
| |
| |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated(b) | |
| |
Forward foreign currency exchange contracts | |
Foreign currency translations | |
| |
| |
| |
Net realized and unrealized gain | |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | |
(a) Net of foreign capital gain tax and capital gain tax refund, if applicable of | |
(b) Net of increase in deferred foreign capital gain tax of | |
See master portfolio notes to financial statements.
382024 BlackRock Semi-Annual Financial Statements
Statements of Changes in Net Assets
| Diversified Equity Master Portfolio |
| Six Months Ended
06/30/24
(unaudited) | |
INCREASE (DECREASE) IN NET ASSETS | | |
| | |
| | |
| | |
Net change in unrealized appreciation (depreciation) | | |
Net increase in net assets resulting from operations | | |
| | |
Proceeds from contributions | | |
| | |
Net increase in net assets derived from capital transactions | | |
| | |
Total increase in net assets | | |
| | |
| | |
See master portfolio notes to financial statements.
Master Portfolio Statements of Changes in Net Assets39
Financial Highlights(unaudited)
| Diversified Equity Master Portfolio |
| Six Months Ended
06/30/24
(unaudited) | | | | | |
|
| | | | | | |
| | | | | | |
Ratios to Average Net Assets(b) | | | | | | |
| | | | | | |
Total expenses after fees waived and/or reimbursed | | | | | | |
| | | | | | |
| | | | | | |
Net assets, end of period (000) | | | | | | |
| | | | | | |
| |
| Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| |
See master portfolio notes to financial statements.
402024 BlackRock Semi-Annual Financial Statements
Notes to Financial Statements (unaudited)
Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. MIP is organized as a Delaware statutory trust. Diversified Equity Master Portfolio (the “Master Portfolio”) is a series of MIP. The Master Portfolio is classified as diversified.
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 funds referred to as the BlackRock Multi-Asset Complex.
2.
SIGNIFICANT ACCOUNTING POLICIES
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Master Portfolio is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. Dividends from foreign securities where the ex-dividend dates may have passed are subsequently recorded when the Master Portfolio is informed of the ex-dividend dates. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized daily on an accrual basis.
Foreign Currency Translation: The Master Portfolio’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange (“NYSE”). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.
The Master Portfolio does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of investments for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statement of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. The Master Portfolio reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.
Foreign Taxes: The Master Portfolio may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Master Portfolio invests. These foreign taxes, if any, are paid by the Master Portfolio and are reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as “Foreign taxes withheld”, and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of June 30, 2024, if any, are disclosed in the Statement of Assets and Liabilities.
The Master Portfolio files withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. The Master Portfolio may record a reclaim receivable based on collectability, which includes factors such as the jurisdiction’s applicable laws, payment history and market convention. The Statement of Operations includes tax reclaims recorded as well as professional and other fees, if any, associated with recovery of foreign withholding taxes.
Bank Overdraft: The Master Portfolio had outstanding cash disbursements exceeding deposited cash amounts at the custodian during the reporting period. The Master Portfolio is obligated to repay the custodian for any overdraft, including any related costs or expenses, where applicable. For financial reporting purposes, overdraft fees, if any, are included in interest expense in the Statement of Operations.
Collateralization: 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.
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.
Master Portfolio Notes to Financial Statements41
Notes to Financial Statements (unaudited) (continued)
3.
INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
Investment Valuation Policies: The Master Portfolio’s investments are valued at fair value (also referred to as “market value” within the financial statements) each day that the Master Portfolio is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Board of Trustees of MIP (the “Board”) has approved the designation of the Master Portfolio’s Manager as the valuation designee for the Master Portfolio. The Master Portfolio determines the fair values of its financial instruments using various independent dealers or pricing services under the Manager’s policies. If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with the Manager’s policies and procedures as reflecting fair value. The Manager has formed a committee (the “Valuation Committee”) to develop pricing policies and procedures and to oversee the pricing function for all financial instruments, with assistance from other BlackRock pricing committees.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of the Master Portfolio’s assets and liabilities:
•Equity investments traded on a recognized securities exchange are valued at that day’s official closing price, as applicable, on the exchange where the stock is primarily traded. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price.
•Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published net asset value (“NAV”).
•Futures contracts are valued based on that day’s last reported settlement or trade price on the exchange where the contract is traded.
•Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the NYSE based on that day’s prevailing forward exchange rate for the underlying currencies.
•Swap agreements are valued utilizing quotes received daily by independent pricing services or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments.
Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Each business day, the Master Portfolio uses current market factors supplied by independent pricing services to value certain foreign instruments (“Systematic Fair Value Price”). The Systematic Fair Value Price is designed to value such foreign securities at fair value as of the close of trading on the NYSE, which follows the close of the local markets.
If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that 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 Valuation Committee in accordance with the Manager’s policies and procedures as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Valuation Committee 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 Valuation Committee deems relevant and consistent with the principles of fair value measurement.
For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by the Valuation Committee and third-party pricing services utilized by the Valuation Committee include one or a combination of, but not limited to, the following inputs.
| Standard Inputs Generally Considered By The Valuation Committee And Third-Party Pricing Services |
| | recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; |
| | recapitalizations and other transactions across the capital structure; and |
| | market multiples of comparable issuers. |
| | future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks; |
| | quoted prices for similar investments or assets in active markets; and |
| | other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. |
| | audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company; |
| | changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; |
| | relevant news and other public sources; and |
| | known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company. |
Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Enterprise valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”), current value method or a hybrid of those techniques are used as deemed appropriate under the circumstances. The use of these valuation techniques involves a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.
422024 BlackRock Semi-Annual Financial Statements
Notes to Financial Statements (unaudited) (continued)
The Private Companies are not subject to the public company disclosure, timing, and reporting standards applicable to other investments held by the Master Portfolio. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date the Master Portfolio is calculating its NAV. This factor may result in a difference between the value of the investment and the price the Master Portfolio could receive upon the sale of the investment.
Fair Value Hierarchy: Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
•Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Master Portfolio has the ability to access;
•Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs); and
•Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Valuation Committee’s assumptions used in determining the fair value of financial instruments).
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.
4.
SECURITIES AND OTHER INVESTMENTS
Preferred Stocks: Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well), but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.
Warrants: Warrants entitle a fund to purchase a specified number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. If the price of the underlying stock does not rise above the strike price before the warrant expires, the warrant generally expires without any value and a fund will lose any amount it paid for the warrant. Thus, investments in warrants may involve more risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.
Securities Lending: The Master Portfolio may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Master Portfolio collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by the Master Portfolio is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Master Portfolio and any additional required collateral is delivered to the Master Portfolio, or excess collateral returned by the Master Portfolio, on the next business day. During the term of the loan, the Master Portfolio is entitled to all distributions made on or in respect of the loaned securities, but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested by the securities lending agent, BlackRock Institutional Trust Company, N.A. (“BTC”), if any, is disclosed in the Schedule of Investments. Any non-cash collateral received cannot be sold, re-invested or pledged by the Master Portfolio, except in the event of borrower default. The securities on loan, if any, are disclosed in the Master Portfolio’s Schedule of Investments. The market value of any securities on loan and the value of related collateral, if any, are shown separately in the Statement of Assets and Liabilities as a component of investments at value – unaffiliated and collateral on securities loaned, respectively.
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.
Master Portfolio Notes to Financial Statements43
Notes to Financial Statements (unaudited) (continued)
As of period end, the following table is a summary of the Master Portfolio’s securities on loan by counterparty which are subject to offset under an MSLA:
Master Portfolio Name/Counterparty | Securities
Loaned at Value | | Non-Cash Collateral
Received, at Fair Value(a) | |
Diversified Equity Master Portfolio | | | | |
| | | | |
BMO Capital Markets Corp. | | | | |
| | | | |
| | | | |
| | | | |
Citigroup Global Markets, Inc. | | | | |
| | | | |
| | | | |
ING Financial Markets LLC | | | | |
J.P. Morgan Securities LLC | | | | |
| | | | |
| | | | |
National Financial Services LLC | | | | |
| | | | |
Scotia Capital (USA), Inc. | | | | |
| | | | |
SG Americas Securities LLC | | | | |
State Street Bank & Trust Co. | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Wells Fargo Securities LLC | | | | |
| | | | |
| Collateral received, if any, in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by the Master Portfolio is disclosed in the Master Portfolio’s Statement of Assets and Liabilities. |
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Master Portfolio benefits from a borrower default indemnity provided by BlackRock, Inc. (“BlackRock”). BlackRock’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value on the securities loaned in the event of borrower default. The Master Portfolio could incur a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received. Such losses are borne entirely by the Master Portfolio.
5.
DERIVATIVE FINANCIAL INSTRUMENTS
The Master Portfolio engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Master Portfolio and/or to manage its exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedule of Investments. These contracts may be transacted on an exchange or over-the-counter (“OTC”).
Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Futures contracts are exchange-traded agreements between the Master Portfolio and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Master Portfolio is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statement of Assets and Liabilities.
Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statement of Assets and Liabilities. Pursuant to the contract, the Master Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statement of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.
Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).
442024 BlackRock Semi-Annual Financial Statements
Notes to Financial Statements (unaudited) (continued)
A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Master Portfolio are denominated and in some cases, may be used to obtain exposure to a particular market. The contracts are traded OTC and not on an organized exchange.
The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies, and such value may exceed the amount(s) reflected in the Statement of Assets and Liabilities. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statement of Assets and Liabilities. The Master Portfolio’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Master Portfolio.
Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Master Portfolio and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).
For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statement of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC swaps in the Statement of Assets and Liabilities. Payments received or paid are recorded in the Statement of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Master Portfolio’s basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.
In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the CCP becomes the Master Portfolio’s counterparty on the swap. The Master Portfolio is required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, the Master Portfolio is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statement of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Statement of Assets and Liabilities. Pursuant to the contract, the Master Portfolio agrees to receive from or pay to the broker variation margin. Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statement of Assets and Liabilities. Payments received from (paid to) the counterparty are amortized over the term of the contract and recorded as realized gains (losses) in the Statement of Operations, including those at termination.
•Total return swaps — Total return swaps are entered into to obtain exposure to a security or market without owning such security or investing directly in such market or to exchange the risk/return of one security or market (e.g., fixed-income) with another security or market (e.g., equity or commodity prices) (equity risk, commodity price risk and/or interest rate risk).
Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (distributions plus capital gains/losses) of an underlying instrument, or basket of underlying instruments, in exchange for fixed or floating rate interest payments. If the total return of the instrument(s) or index underlying the transaction exceeds or falls short of the offsetting fixed or floating interest rate obligation, the Master Portfolio receives payment from or makes a payment to the counterparty.
Master Netting Arrangements: In order to define its contractual rights and to secure rights that will help it mitigate its counterparty risk, the Master Portfolio may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Master Portfolio and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Master Portfolio may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Master Portfolio and the counterparty.
Cash collateral that has been pledged to cover obligations of the Master Portfolio and cash collateral received from the counterparty, if any, is reported separately in the Statement of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Master Portfolio, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Master Portfolio. Any additional required collateral is delivered to/pledged by the Master Portfolio on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. The Master Portfolio generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Master Portfolio from the 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
Master Portfolio Notes to Financial Statements45
Notes to Financial Statements (unaudited) (continued)
loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.
For financial reporting purposes, the Master Portfolio does not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statement of Assets and Liabilities.
6.
INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
Investment Advisory: MIP, on behalf of the Master Portfolio, entered into an Investment Advisory Agreement with the Manager, the Master Portfolio’s investment adviser and an indirect, wholly-owned subsidiary of BlackRock, 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 at an annual rate equal to the following percentages of the average daily value of the Master Portfolio’s net assets:
MIP, on behalf of the Master Portfolio, entered into an Administration Agreement with BlackRock Advisors, LLC (“BAL”), which has agreed to provide general administrative services (other than investment advice and related portfolio activities). BAL 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 is entitled to receive for these administrative services an annual fee of 0.10% based on the average daily net assets 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 Master Portfolio and, accordingly, have a favorable impact on its performance. BAL may delegate certain of its administration duties to sub-administrators.
Expense Waivers and Reimbursements: The Manager has contractually agreed to waive 0.095% of the investment advisory fees payable by the Master Portfolio through June 30, 2025. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended June 30, 2024, the Manager waived $880,300 pursuant to this agreement.
BAL contractually agreed to waive all of its administration fees payable by the Master Portfolio. This amount is included in fees waived and/or reimbursed by the Administrator in the Statement of Operations. For the six months ended June 30, 2024, the amount waived was $926,632.
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 Portfolio’s independent registered public accounting firm (together, the “independent expenses”) are paid directly by the Master Portfolio. Each of BAL and BFA has contractually agreed to reimburse the Master Portfolio or provide an offsetting credit against the investment advisory fees paid by the Master Portfolio in an amount equal to these independent expenses through June 30, 2025. The amount waived is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended June 30, 2024, the amount waived was $14,476.
With respect to the Master Portfolio, the Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees the Master Portfolio pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through June 30, 2025. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Trustees, or by a vote of a majority of the outstanding voting securities of the Master Portfolio. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended June 30, 2024, the amount waived was $59,398.
The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Master Portfolio’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2025. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Trustees, or by a vote of a majority of the outstanding voting securities of the Master Portfolio. For the six months ended June 30, 2024, there were no fees waived by the Manager pursuant to this arrangement.
Securities Lending: The U.S. Securities and Exchange Commission (“SEC”) 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, including any custodial costs. The Master Portfolio is responsible for fees in connection with the investment of cash collateral received for securities on loan (the “collateral investment fees”). The cash collateral is invested in a money market fund, BlackRock Cash Funds: Institutional or BlackRock Cash Funds: Treasury, 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 SL Agency Shares of such money market fund will not be subject to a sales load, redemption fee, distribution fee or service fee. The money market fund in which the cash collateral has been invested may impose a discretionary liquidity fee of up to 2% of the value redeemed, if such fee is determined to be in the best interests of such money market fund.
462024 BlackRock Semi-Annual Financial Statements
Notes to Financial Statements (unaudited) (continued)
Securities lending income is generally equal to the total of income earned from the reinvestment of cash collateral (and excludes collateral investment fees), and any fees or other payments to and from borrowers of securities. The Master Portfolio retains a portion of the securities lending income and remits the remaining portion to BTC as compensation for its services as securities lending agent.
Pursuant to the current securities lending agreement, the Master Portfolio retains 82% of securities lending income (which excludes collateral investment fees), 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 the BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, the Master Portfolio, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 85% of securities lending income (which excludes collateral investment fees), 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 income — affiliated — net in the Statement of Operations. For the six months ended June 30, 2024, the Master Portfolio paid BTC $61,480 for securities lending agent services.
Interfund Lending: In accordance with an exemptive order (the “Order”) from the SEC, the Master Portfolio may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Master Portfolio’s investment policies and restrictions. The Master Portfolio is currently permitted to borrow and lend under the Interfund Lending Program.
A lending BlackRock fund may lend in aggregate up to 15% of its net assets but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.
During the period ended June 30, 2024, the Master Portfolio did not participate in the Interfund Lending Program.
Trustees and Officers: Certain trustees and/or officers of MIP are directors and/or officers of BlackRock or its affiliates.
Other Transactions: The Master Portfolio may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the six months ended June 30, 2024, the purchase and sale transactions and any net realized gains (losses) with affiliated funds in compliance with Rule 17a-7 under the 1940 Act were as follows:
| | | |
Diversified Equity Master Portfolio | | | |
For the six months ended June 30, 2024, purchases and sales of investments, excluding short-term securities, were $1,472,243,168 and $1,041,096,762, respectively.
The Master Portfolio is classified as a partnership for U.S. federal income tax purposes. As such, each investor in the Master Portfolio is treated as the owner of its proportionate share of net assets, income, expenses and realized and unrealized gains and losses of the Master Portfolio. Therefore, no U.S. federal income tax provision is required. It is intended that the Master Portfolio’s assets will be managed so an investor in the Master Portfolio can satisfy the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended.
The Master Portfolio files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Master Portfolio’s U.S. federal tax returns generally remains open for a period of three years after they are filed. The statutes of limitations on the Master Portfolio’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Master Portfolio as of June 30, 2024, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Master Portfolio’s financial statements.
As of June 30, 2024, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:
| | Gross Unrealized
Appreciation | Gross Unrealized
Depreciation | Net Unrealized
Appreciation
(Depreciation) |
Diversified Equity Master Portfolio | | | | |
Master Portfolio Notes to Financial Statements47
Notes to Financial Statements (unaudited) (continued)
MIP, on behalf of the Master Portfolio, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is party to a 364-day, $2.40 billion credit agreement with a group of lenders. Under this agreement, the Master Portfolio may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Master Portfolio, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) Overnight Bank Funding Rate (“OBFR”) (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum, (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 or (c) the sum of (x) Daily Simple Secured Overnight Financing Rate (“SOFR”) (but, in any event, not less than 0.00%) on the date the loan is made plus 0.10% and (y) 0.80% per annum. The agreement expires in April 2025 unless extended or renewed. Prior to April 11, 2024, the aggregate commitment amount was $2.50 billion. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the six months ended June 30, 2024, the Master Portfolio did not borrow under the credit agreement.
In the normal course of business, the Master Portfolio invests in securities or other instruments and may enter into certain transactions, and such activities subject the Master Portfolio to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Master Portfolio and its investments. The Master Portfolio’s prospectus provides details of the risks to which the Master Portfolio is subject.
The Master Portfolio may be exposed to additional risks when reinvesting cash collateral in money market funds that do not seek to maintain a stable NAV per share of $1.00, which may be subject to discretionary liquidity fees under certain circumstances.
Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Master Portfolio may invest in illiquid investments. An illiquid investment is any investment that the Master Portfolio reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Master Portfolio may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause the Master Portfolio’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of the Master Portfolio may lose value, regardless of the individual results of the securities and other instruments in which the Master Portfolio invests.
The price the Master Portfolio could receive upon the sale of any particular portfolio investment may differ from the Master Portfolio’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore the Master Portfolio’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by the Master Portfolio, and the Master Portfolio could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. The Master Portfolio’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third-party service providers.
Counterparty Credit Risk: The Master Portfolio may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Master Portfolio manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Master Portfolio to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Master Portfolio’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Master Portfolio.
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
With exchange-traded futures, there is less counterparty credit risk to the Master Portfolio since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Master Portfolio does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Master Portfolio.
Geographic/Asset Class Risk: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within the Master Portfolio’s portfolio are disclosed in its Schedule of Investments.
482024 BlackRock Semi-Annual Financial Statements
Notes to Financial Statements (unaudited) (continued)
The Master Portfolio invests a significant portion of its assets in securities of issuers located in the United States. A decrease in imports or exports, changes in trade regulations, inflation and/or an economic recession in the United States may have a material adverse effect on the U.S. economy and the securities listed on U.S. exchanges. Proposed and adopted policy and legislative changes in the United States may also have a significant effect on U.S. markets generally, as well as on the value of certain securities. Governmental agencies project that the United States will continue to maintain elevated public debt levels for the foreseeable future which may constrain future economic growth. Circumstances could arise that could prevent the timely payment of interest or principal on U.S. government debt, such as reaching the legislative “debt ceiling.” Such non-payment would result in substantial negative consequences for the U.S. economy and the global financial system. If U.S. relations with certain countries deteriorate, it could adversely affect issuers that rely on the United States for trade. The United States has also experienced increased internal unrest and discord. If these trends were to continue, they may have an adverse impact on the U.S. economy and the issuers in which the Master Portfolio invests.
Significant Shareholder Redemption Risk: Certain shareholders may own or manage a substantial amount of fund shares and/or hold their fund investments for a limited period of time. Large redemptions of fund shares by these shareholders may force a fund to sell portfolio securities, which may negatively impact the fund’s NAV, increase the fund’s brokerage costs, and/or accelerate the realization of taxable income/gains and cause the fund to make additional taxable distributions to shareholders.
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.
Master Portfolio Notes to Financial Statements49
Changes in and Disagreements with Accountants
Remuneration Paid to Trustees, Officers, and Others
Each of BAL and BFA has contractually agreed to reimburse, or provide offsetting credits to, the Fund/Master Portfolio for the Fund’s/Master Portfolio’s allocable portion of the fees and expenses of the independent trustees of the Trust and MIP, counsel to such independent trustees and the independent registered public accounting firm.
Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Fund/Master Portfolio may be found on BlackRock’s website, which can be accessed at blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Fund/Master Portfolio and does not, and is not intended to, incorporate BlackRock’s website in this report.
Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports and prospectuses by enrolling in the electronic delivery program.
To enroll in electronic delivery:
Shareholders Who Hold Accounts with Investment Advisors, Banks or Brokerages:
Please contact your financial advisor. Please note that not all investment advisors, banks or brokerages may offer this service.
Shareholders Who Hold Accounts Directly with BlackRock:
1. Access the BlackRock website at blackrock.com
2. Select “Access Your Account”
3. Next, select “eDelivery” in the “Related Resources” box and follow the sign-up instructions.
BlackRock’s Mutual Fund Family
BlackRock offers a diverse lineup of open-end mutual funds crossing all investment styles and managed by experts in equity, fixed-income and tax-exempt investing. Visit blackrock.com for more information.
Call us at (800) 537-4942 from 8:00 AM to 6:00 PM ET on any business day to get information about your account balances, recent transactions and share prices. You can also visit blackrock.com for more information.
Automatic Investment Plans
Investor class shareholders who want to invest regularly can arrange to have $50 or more automatically deducted from their checking or savings account and invested in any of the BlackRock funds.
Systematic Withdrawal Plans
Investor class shareholders can establish a systematic withdrawal plan and receive periodic payments of $50 or more from their BlackRock funds, as long as their account balance is at least $10,000.
Shareholders may make investments in conjunction with Traditional, Rollover, Roth, Coverdell, Simple IRAs, SEP IRAs and 403(b) Plans.
502024 BlackRock Semi-Annual Financial Statements
Additional Information (continued)
Fund and/or MIP Service Providers
Investment Adviser
BlackRock Fund Advisors
San Francisco, CA 94105
BlackRock Advisors, LLC
Wilmington, DE 19809
Accounting Agent and Custodian
State Street Bank and Trust Company
Boston, MA 02114
BNY Mellon Investment Servicing (US) Inc.
Wilmington, DE 19809
Distributor
BlackRock Investments, LLC
New York, NY 10001
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Philadelphia, PA 19103
Sidley Austin LLP
New York, NY 10019
400 Howard Street
San Francisco, CA 94105
Disclosure of Investment Advisory Agreement
The Board of Trustees of Master Investment Portfolio (the “Master Portfolio”) met on April 16, 2024 (the “April Meeting”) and May 16-17, 2024 (the “May Meeting”) to consider the approval to continue the investment advisory agreement (the “Agreement”) between the Master Portfolio, on behalf of Diversified Equity Master Portfolio (the “Master Fund”) and BlackRock Fund Advisors (the “Manager” or “BlackRock”), the Master Portfolio’s investment advisor. BlackRock Diversified Equity Fund (the “Feeder Fund”), a series of BlackRock Funds III (the “Feeder Trust”), is a “feeder” fund that invests all of its investable assets in the Master Fund. Accordingly, the Board of Trustees of the Feeder Trust also considered the approval of the Agreement with respect to the Master Fund. For simplicity: (a) the Board of Trustees of the Master Portfolio and the Board of Trustees of the Feeder Trust are referred to herein collectively as the “Board,” and the members are referred to as “Board Members”; (b) the shareholders of the Feeder Fund and the interest holders of the Master Fund are referred to as “shareholders”; and (c) the Master Fund and the Feeder Fund are referred to herein together as the “Fund”.
Consistent with the requirements of the Investment Company Act of 1940 (the “1940 Act”), the Board considers the continuation of the Agreement for the Master Portfolio on an annual basis. The Board members who are not “interested persons” of the Master Portfolio, as defined in the 1940 Act, are considered independent Board members (the “Independent Board Members”). The Board’s consideration entailed a year-long deliberative process during which the Board and its committees assessed BlackRock’s various services to the Master Portfolio, including through the review of written materials and oral presentations, and the review of additional information provided in response to requests from the Independent Board Members. The Board had four quarterly meetings per year, each of which extended over a two-day period, as well as additional ad hoc meetings throughout the year, as needed. The committees of the Board similarly met throughout the year. The Board also had an additional one-day meeting to consider specific information regarding the renewal of the Agreement. In considering the renewal of the Agreement, the Board assessed, among other things, the nature, extent and quality of the services provided to the Fund by BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management services; accounting oversight; administrative and shareholder services; oversight of the Fund’s service providers; risk management and oversight; and legal, regulatory and compliance services. Throughout the year, including during the contract renewal process, the Independent Board Members were advised by independent legal counsel, and met with independent legal counsel in various executive sessions outside of the presence of BlackRock’s management.
During the year, the Board, acting directly and through its committees, considers information that was relevant to its annual consideration of the renewal of the Agreement, including the services and support provided by BlackRock to the Master Fund, the Feeder Fund and their shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, and/or since inception periods, as applicable, against peer funds, relevant benchmarks, and other performance metrics, as applicable, as well as BlackRock senior management’s and portfolio managers’ investment performance analyses, and the reasons for any outperformance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Fund for services; (c) the Fund’s operating expenses and how BlackRock allocates expenses to the Fund; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Fund’s investment objective, policies and restrictions, and meeting regulatory requirements; (e) BlackRock’s and the Fund’s adherence to applicable compliance policies and procedures; (f) the nature, character and scope of non-investment management services provided by BlackRock and its affiliates and the estimated cost of such services, as applicable; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) the use of brokerage commissions and execution quality of portfolio transactions; (j) BlackRock’s implementation of the Fund’s valuation and liquidity procedures; (k) an analysis of management fees paid to BlackRock for products with similar investment mandates across the open-end fund, exchange-traded fund (“ETF”), closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to the Fund; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.
Prior to and in preparation for the April Meeting, the Board requested and reviewed materials specifically relating to the renewal of the Agreement. The Independent Board Members continuously engaged in a process with their independent legal counsel and BlackRock to review the nature and scope of the information provided to the Board to better assist its deliberations. The materials provided in connection with the April Meeting included, among other things: (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), based on either a Lipper Classification or Morningstar category, regarding fees and expenses of the Fund, as applicable, as compared with a peer group of funds as determined by Broadridge (“Expense Peers”), and the investment performance of the Fund as compared with a peer group of funds (“Performance Peers”); (b) information on the composition of the Expense Peers and Performance Peers, and a description of Broadridge’s methodology; (c) information on the estimated profits realized by BlackRock and its affiliates pursuant to the Agreement and a discussion of fall-out benefits to BlackRock and its affiliates; (d) a general analysis provided by BlackRock concerning investment management fees received in connection with other types of investment products, such as institutional accounts, sub-advised mutual funds, ETFs, closed-end funds, open-end funds, and separately managed accounts, under similar investment mandates, as well as the performance of such other products, as applicable; (e) a review of non-management fees; (f) the existence, impact and sharing of potential economies of scale, if any, with the Fund; (g) a summary of aggregate amounts paid by the Fund to BlackRock; (h) sales and redemption data regarding the Feeder Fund’s shares; and (i) various additional information requested by the Board as appropriate regarding BlackRock’s, the Fund’s operations.
At the April Meeting, the Board reviewed materials relating to its consideration of the Agreement, and the Independent Board Members presented BlackRock with questions and requests for additional information. BlackRock responded to these questions and requests with additional written information in advance of the May Meeting, and such responses were reviewed by the Board Members.
At the May Meeting, the Board concluded its assessment of, among other things: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Fund as compared to its Performance Peers and to other metrics, as applicable; (c) the advisory fee and the estimated cost of the services and estimated profits realized by BlackRock and its affiliates from their relationship with the Fund; (d) the Fund’s fees and expenses compared to its Expense Peers; (e) the existence and sharing of potential economies of scale; (f) any fall-out benefits to BlackRock and its affiliates as a result of BlackRock’s relationship with the Fund; and (g) other factors deemed relevant by the Board Members.
The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, and BlackRock’s services related to the valuation and pricing of portfolio holdings of the Master Fund. The Board noted the willingness of BlackRock’s
522024 BlackRock Semi-Annual Financial Statements
Disclosure of Investment Advisory Agreement (continued)
personnel to engage in open, candid discussions with the Board. The Board evaluated the information available to it on a fund-by-fund basis. The following paragraphs provide more information about some of the primary factors that were relevant to the Board’s decision. The Board Members did not identify any particular information, or any single factor as determinative, and each Board Member may have attributed different weights to the various items and factors considered.
A. Nature, Extent and Quality of the Services Provided by BlackRock
The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services, and the resulting performance of the Fund. Throughout the year, the Board compared the Fund’s performance to the performance of a comparable group of mutual funds, relevant benchmarks, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by the Fund’s portfolio management team discussing the Fund’s performance and the Fund’s investment strategies and outlook.
The Board considered, among other factors, with respect to BlackRock: the experience of the Fund’s portfolio management team; research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board also considered BlackRock’s overall risk management program, including the continued efforts of BlackRock and its affiliates to address cybersecurity risks and the role of BlackRock’s Risk & Quantitative Analysis Group. The Board engaged in a review of BlackRock’s compensation structure with respect to the Master Fund’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.
In addition to investment advisory services, the Board considered the nature and quality of the administrative and other non-investment advisory services provided to the Fund. BlackRock and its affiliates provide the Fund with certain administrative, shareholder and other services (in addition to any such services provided to the Fund by third parties) and officers and other personnel as are necessary for the operations of the Fund. In particular, BlackRock and its affiliates provide the Fund with administrative services including, among others: (i) responsibility for disclosure documents, such as the prospectus, the summary prospectus (as applicable), the statement of additional information and periodic shareholder reports; (ii) oversight of daily accounting and pricing; (iii) responsibility for periodic filings with regulators; (iv) overseeing and coordinating the activities of third party service providers including, among others, the custodian, fund accountant, transfer agent, and auditor for the Fund, as applicable; (v) organizing Board meetings and preparing the materials for such Board meetings; (vi) providing legal and compliance support; (vii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain open-end funds; and (viii) performing or managing administrative functions necessary for the operation of the Fund, such as tax reporting, expense management, fulfilling regulatory filing requirements, overseeing the Feeder Fund’s distribution partners, and shareholder call center and other services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations. The Board considered the operation of BlackRock’s business continuity plans.
B. The Investment Performance of the Fund
The Board, including the Independent Board Members, reviewed and considered the performance history of the Fund throughout the year and at the April Meeting. The Board noted that the Feeder Fund’s investment results correspond directly to the investment results of the Master Fund. In preparation for the April Meeting, the Board was provided with reports independently prepared by Broadridge, which included an analysis of the Fund’s performance as of December 31, 2023, as compared to its Performance Peers. Broadridge ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. In connection with its review, the Board received and reviewed information regarding the investment performance of the Fund as compared to its Performance Peers and the respective Lipper Classification (“Lipper Classification”). The Board and its Performance Oversight Committee regularly review, and meet with Fund management to discuss, the performance of the Fund, as applicable, throughout the year.
In evaluating performance, the Board focused particular attention on funds with less favorable performance records. The Board also noted that while it found the data provided by Broadridge generally useful, it recognized the limitations of such data, including in particular, that notable differences may exist between a fund and its Performance Peers (for example, the investment objectives and strategies). Further, the Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. The Board also acknowledged that long-term performance could be impacted by even one period of significant outperformance or underperformance and that a single investment theme could have the ability to disproportionately affect long-term performance.
The Board noted that for each of the one-, three- and five-year periods reported, the Fund ranked in the first quartile against its Lipper Classification. The Board noted that BlackRock believes that the Lipper Classification is an appropriate performance metric for the Fund, and that BlackRock has explained its rationale for this belief to the Board.
C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services and Estimated Profits Realized by BlackRock and its Affiliates from their Relationship with the Fund
The Board, including the Independent Board Members, reviewed the Fund’s contractual management fee rate compared with those of the Fund’s Expense Peers. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared the Fund’s total expense ratio, as well as the Fund’s actual management fee rate, to those of the Fund’s Expense Peers. The total expense ratio represents a fund’s total net operating expenses, including any 12b-1 or non 12b-1 service fees. The total expense ratio gives effect to any expense reimbursements or fee waivers, and the actual management fee rate gives effect to any management fee reimbursements or waivers. The Board considered that the fee and expense information in the Broadridge report for the Fund reflected information for a specific period and that historical asset levels and expenses may differ from current levels, particularly in a period of market volatility. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).
The Board received and reviewed statements relating to BlackRock’s financial condition. The Board reviewed BlackRock’s profitability methodology and was also provided with an estimated profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Fund. The Board reviewed
Disclosure of Investment Advisory Agreement53
Disclosure of Investment Advisory Agreement (continued)
BlackRock’s estimated profitability with respect to the Fund and other funds the Board currently oversees for the year ended December 31, 2023 compared to available aggregate estimated profitability data provided for the prior two years. The Board reviewed BlackRock’s estimated profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the estimated profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at the individual fund level is difficult.
The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly traded asset management firms. The Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.
The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreement and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time and resources, assumption of risk, and liability profile in servicing the Fund, including in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable.
The Board noted that the Fund’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile relative to the Fund’s Expense Peers. The Board also noted that the Fund has an advisory fee arrangement that includes breakpoints that adjust the fee rate downward as the size of the Fund increases above certain contractually specified levels. The Board additionally noted that the breakpoints can, conversely, adjust the advisory fee rate upward as the size of the Fund decreases below certain contractually specified levels. The Board additionally noted that BlackRock has contractually agreed to waive a portion of its administration and advisory fees payable by the Fund. The Board further noted that BlackRock and its affiliates have contractually agreed to reimburse or otherwise compensate the Fund for certain other fees and expenses.
The Board, including the Independent Board Members, considered the extent to which any economies of scale might benefit the Fund in a variety of ways as the assets of the Fund increase. The Board considered multiple factors, including the advisory fee rate and breakpoints, unitary fee structure, fee waivers, and/or expense caps, as applicable. The Board considered the Fund’s asset levels and whether the current fee schedule was appropriate.
E. Other Factors Deemed Relevant by the Board Members
The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from BlackRock’s respective relationships with the Fund, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and its risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Fund, including for administrative, distribution, securities lending and cash management services. With respect to securities lending, during the year the Board also considered information provided by independent third-party consultants related to the performance of each BlackRock affiliate as securities lending agent. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that, subject to applicable law, BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.
In connection with its consideration of the Agreement, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.
The Board noted the competitive nature of the open-end fund marketplace, and that shareholders are able to redeem their Feeder Fund shares if they believe that the Fund’s fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
At the May Meeting, in a continuation of the discussions that occurred during the April Meeting, and as a culmination of the Board’s year-long deliberative process, the Board of the Master Portfolio, including the Independent Board Members, unanimously approved the continuation of the Agreement between the Manager and the Master Portfolio, on behalf of the Master Fund for a one-year term ending June 30, 2025. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board of the Master Portfolio, including the Independent Board Members, was satisfied that the terms of the Agreement were fair and reasonable and in the best interest of the Master Fund and its shareholders. The Board of the Feeder Trust, including the Independent Board Members, also considered the continuation of the Agreement with respect to the Master Fund and found the Agreement to be satisfactory. In arriving at its decision to approve the Agreement, the Board of the Master Portfolio 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 advised by independent legal counsel throughout the deliberative process.
542024 BlackRock Semi-Annual Financial Statements
Glossary of Terms Used in this Report
|
| American Depositary Receipt |
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| Global Depositary Receipt |
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| Morgan Stanley Capital International |
| Non-Voting Depositary Receipt |
| |
| Public Joint Stock Company |
| Real Estate Investment Trust |
| |
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| Societe en Commandite par Actions |
| Secured Overnight Financing Rate |
Glossary of Terms Used in This Report55
Want to know more?
blackrock.com | 800-441-7762
This report is intended for current holders. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Fund unless preceded or accompanied by the Fund’s current prospectus. Past performance results shown in this report should not be considered a representation of future performance. Investment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Statements and other information herein are as dated and are subject to change.
Schedule of Investments (unaudited)June 30, 2024
International Tilts Master Portfolio(Percentages shown are based on Net Assets)
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Woodside Energy Group Ltd. | | | |
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Groupe Bruxelles Lambert NV | | | |
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BOC Hong Kong Holdings Ltd. | | | |
Budweiser Brewing Co. APAC Ltd.(b) | | | |
Wilmar International Ltd. | | | |
Yangzijiang Shipbuilding Holdings Ltd. | | | |
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AP Moller - Maersk A/S, Class B | | | |
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Novo Nordisk A/S, Class B | | | |
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Vestas Wind Systems A/S(c) | | | |
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LVMH Moet Hennessy Louis Vuitton SE | | | |
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Ubisoft Entertainment SA, Class A(c)(d) | | | |
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Allianz SE, Registered Shares | | | |
Bayer AG, Class N, Registered Shares | | | |
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Deutsche Bank AG, Class N, Registered Shares | | | |
Deutsche Lufthansa AG, Registered Shares | | | |
Deutsche Post AG, Class N, Registered Shares | | | |
Deutsche Telekom AG, Class N, Registered Shares | | | |
Fresenius Medical Care AG | | | |
Fresenius SE & Co. KGaA(c) | | | |
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Mercedes-Benz Group AG, Class N | | | |
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Siemens AG, Class N, Registered Shares | | | |
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Jardine Matheson Holdings Ltd. | | | |
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Sun Hung Kai Properties Ltd. | | | |
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Wharf Real Estate Investment Co. Ltd. | | | |
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Master Portfolio Schedule of Investments1
Schedule of Investments (unaudited)(continued)June 30, 2024
International Tilts Master Portfolio(Percentages shown are based on Net Assets)
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Mizrahi Tefahot Bank Ltd. | | | |
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Assicurazioni Generali SpA | | | |
Banca Monte dei Paschi di Siena SpA | | | |
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Mediobanca Banca di Credito Finanziario SpA | | | |
MFE-MediaForEurope NV, Class A | | | |
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Recordati Industria Chimica e Farmaceutica SpA | | | |
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Asahi Group Holdings Ltd. | | | |
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Central Japan Railway Co. | | | |
Concordia Financial Group Ltd. | | | |
Dai-ichi Life Holdings, Inc. | | | |
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Daito Trust Construction Co. Ltd. | | | |
Daiwa House Industry Co. Ltd. | | | |
Daiwa Securities Group, Inc. | | | |
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J Front Retailing Co. Ltd. | | | |
Japan Exchange Group, Inc. | | | |
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Japan Post Holdings Co. Ltd. | | | |
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Kansai Electric Power Co., Inc. | | | |
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Mitsubishi Chemical Group Corp. | | | |
Mitsubishi HC Capital, Inc. | | | |
Mitsubishi UFJ Financial Group, Inc. | | | |
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Mizuho Financial Group, Inc. | | | |
MS&AD Insurance Group Holdings, Inc. | | | |
Murata Manufacturing Co. Ltd. | | | |
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Nippon Telegraph & Telephone Corp. | | | |
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Nomura Research Institute Ltd. | | | |
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Ono Pharmaceutical Co. Ltd. | | | |
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Oriental Land Co. Ltd./Japan | | | |
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Pan Pacific International Holdings Corp. | | | |
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Recruit Holdings Co. Ltd. | | | |
Renesas Electronics Corp. | | | |
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Sumitomo Chemical Co. Ltd. | | | |
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Sumitomo Mitsui Financial Group, Inc. | | | |
Sumitomo Mitsui Trust Holdings, Inc. | | | |
Sumitomo Realty & Development Co. Ltd. | | | |
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Takeda Pharmaceutical Co. Ltd. | | | |
Tokio Marine Holdings, Inc. | | | |
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Koninklijke Philips NV(c) | | | |
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Wolters Kluwer NV, Class C | | | |
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22024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
International Tilts Master Portfolio(Percentages shown are based on Net Assets)
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Aker Carbon Capture ASA(c) | | | |
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Banco Comercial Portugues SA | | | |
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Singapore Telecommunications Ltd. | | | |
United Overseas Bank Ltd. | | | |
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ACS Actividades de Construccion y Servicios SA | | | |
Banco Bilbao Vizcaya Argentaria SA | | | |
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Industria de Diseno Textil SA | | | |
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Electrolux AB, Class B(c) | | | |
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H&M Hennes & Mauritz AB, B Shares | | | |
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Industrivarden AB, C Shares | | | |
Industrivarden AB, Class A | | | |
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ABB Ltd., Class N, Registered Shares | | | |
Chocoladefabriken Lindt & Spruengli AG | | | |
Chocoladefabriken Lindt & Spruengli AG, Class N, Registered Shares | | | |
Givaudan SA, Class N, Registered Shares | | | |
Kuehne and Nagel International AG, Registered Shares | | | |
Logitech International SA, Class N, Registered Shares | | | |
Novartis AG, Class N, Registered Shares | | | |
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Sonova Holding AG, Registered Shares | | | |
UBS Group AG, Registered Shares | | | |
Zurich Insurance Group AG, Class N | | | |
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British American Tobacco PLC | | | |
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CK Hutchison Holdings Ltd. | | | |
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International Consolidated Airlines Group SA(c) | | | |
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London Stock Exchange Group PLC | | | |
Marks & Spencer Group PLC | | | |
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Reckitt Benckiser Group PLC | | | |
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Rolls-Royce Holdings PLC(c) | | | |
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James Hardie Industries PLC(c) | | | |
Nestle SA, Class N, Registered Shares | | | |
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Total Common Stocks — 97.5%
(Cost: $261,288,349) | |
Master Portfolio Schedule of Investments3
Schedule of Investments (unaudited)(continued)June 30, 2024
International Tilts Master Portfolio(Percentages shown are based on Net Assets)
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Porsche Automobil Holding SE | | | |
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Total Preferred Securities — 0.3%
(Cost: $917,658) | |
|
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Amplifon SpA , (Expires 07/16/24, Strike Price EUR 29.56)(d) | | | |
Total Rights — 0.0%
(Cost: $ — ) | |
Total Long-Term Investments — 97.8%
(Cost: $262,206,007) | |
|
Money Market Funds — 3.3% | |
BlackRock Cash Funds: Institutional, SL Agency Shares, 5.48%(f)(g)(h) | | | |
BlackRock Cash Funds: Treasury, SL Agency Shares, 5.28%(f)(g) | | | |
Total Short-Term Securities — 3.3%
(Cost: $10,650,607) | |
Total Investments — 101.1%
(Cost: $272,856,614) | |
Liabilities in Excess of Other Assets — (1.1)% | |
| |
| A security contractually bound to one or more other securities to form a single saleable unit which cannot be sold separately. |
| 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. |
| Non-income producing security. |
| All or a portion of this security is on loan. |
| Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| Affiliate of the Master Portfolio. |
| Annualized 7-day yield as of period end. |
| All or a portion of this security was purchased with the cash collateral from loaned securities. |
Investments in issuers considered to be affiliate(s) of the Master Portfolio during the six months ended June 30, 2024 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| | | | | Change in
Unrealized
Appreciation
(Depreciation) | | | | Capital Gain
Distributions
from
Underlying
Funds |
BlackRock Cash Funds: Institutional, SL Agency Shares | | | | | | | | | |
BlackRock Cash Funds: Treasury, SL Agency Shares | | | | | | | | | |
| | | | | | | | | |
| Represents net amount purchased (sold). |
| All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
42024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
International Tilts Master Portfolio
Derivative Financial Instruments Outstanding as of Period End
| | | | Value/
Unrealized
Appreciation
(Depreciation) |
| | | | |
| | | | |
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:
| | | | Foreign
Currency
Exchange
Contracts | | | |
Assets — Derivative Financial Instruments | | | | | | | |
Futures contracts
Unrealized appreciation on futures contracts(a) | | | | | | | |
| Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Master Portfolio Schedule of Investments. In the Statement of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in net unrealized appreciation (depreciation). |
For the period ended June 30, 2024, the effect of derivative financial instruments in the Statement of Operations was as follows:
| | | | Foreign
Currency
Exchange
Contracts | | | |
Net Realized Gain (Loss) from: | | | | | | | |
| | | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | |
| | | | | | | |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| |
Average notional value of contracts — long | |
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 financial instruments. For a description of the input levels and information about the Master Portfolio’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Master Portfolio’s financial instruments categorized in the fair value hierarchy. The breakdown of the Master Portfolio’s financial instruments into major categories is disclosed in the Schedule of Investments above.
Master Portfolio Schedule of Investments5
Schedule of Investments (unaudited)(continued)June 30, 2024
International Tilts Master Portfolio
Fair Value Hierarchy as of Period End (continued)
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Common Stocks (continued) | | | | |
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Derivative Financial Instruments(a) | | | | |
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| Derivative financial instruments are futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
See notes to financial statements.
62024 BlackRock Semi-Annual Financial Statements
Statement of Assets and Liabilities(unaudited)June 30, 2024
| International
Tilts Master
Portfolio |
| |
Investments, at value — unaffiliated(a)(b) | |
Investments, at value — affiliated(c) | |
Cash pledged for futures contracts | |
Foreign currency, at value(d) | |
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Securities lending income — affiliated | |
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Variation margin on futures contracts | |
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Collateral on securities loaned | |
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Commitments and contingent liabilities | |
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Net unrealized appreciation (depreciation) | |
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(a) Investments, at cost—unaffiliated | |
(b) Securities loaned, at value | |
(c) Investments, at cost—affiliated | |
(d) Foreign currency, at cost | |
See notes to financial statements.
Master Portfolio Statement of Assets and Liabilities7
Statement of Operations (unaudited)Six Months Ended June 30, 2024
| International
Tilts Master
Portfolio |
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Securities lending income — affiliated — net | |
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Fees waived and/or reimbursed by the Manager | |
Total expenses after fees waived and/or reimbursed | |
| |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) from: | |
Investments — unaffiliated | |
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Foreign currency transactions | |
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Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated | |
| |
Foreign currency translations | |
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Net realized and unrealized gain | |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | |
See notes to financial statements.
82024 BlackRock Semi-Annual Financial Statements
Statements of Changes in Net Assets
| International Tilts Master Portfolio |
| Six Months Ended
06/30/24
(unaudited) | |
INCREASE (DECREASE) IN NET ASSETS | | |
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Net change in unrealized appreciation (depreciation) | | |
Net increase in net assets resulting from operations | | |
| | |
Proceeds from contributions | | |
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Net increase (decrease) in net assets derived from capital transactions | | |
| | |
Total increase in net assets | | |
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See notes to financial statements.
Master Portfolio Statements of Changes in Net Assets9
Financial Highlights(unaudited)
| International Tilts Master Portfolio |
| Six Months Ended
06/30/24
(unaudited) | | | | | |
|
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Ratios to Average Net Assets(b) | | | | | | |
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Total expenses after fees waived and/or reimbursed | | | | | | |
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Net assets, end of period (000) | | | | | | |
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| |
| Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| |
See notes to financial statements.
102024 BlackRock Semi-Annual Financial Statements
Notes to Financial Statements (unaudited)
Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. MIP is organized as a Delaware statutory trust. International Tilts Master Portfolio (the “Master Portfolio”) is a series of MIP. The Master Portfolio is classified as diversified.
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 funds referred to as the BlackRock Multi-Asset Complex.
2.
SIGNIFICANT ACCOUNTING POLICIES
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Master Portfolio is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. Dividends from foreign securities where the ex-dividend dates may have passed are subsequently recorded when the Master Portfolio is informed of the ex-dividend dates. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest.
Foreign Currency Translation: The Master Portfolio’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange (“NYSE”). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.
The Master Portfolio does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of investments for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statement of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. The Master Portfolio reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes. The Master Portfolio has elected to treat realized gains (losses) from certain forward foreign currency exchange contracts as capital gain (loss) for U.S. federal income tax purposes.
Foreign Taxes: The Master Portfolio may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Master Portfolio invests. These foreign taxes, if any, are paid by the Master Portfolio and are reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as “Foreign taxes withheld”, and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of June 30, 2024, if any, are disclosed in the Statement of Assets and Liabilities.
The Master Portfolio files withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. The Master Portfolio may record a reclaim receivable based on collectability, which includes factors such as the jurisdiction’s applicable laws, payment history and market convention. The Statement of Operations includes tax reclaims recorded as well as professional and other fees, if any, associated with recovery of foreign withholding taxes.
Collateralization: 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.
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.
3.
INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
Investment Valuation Policies: The Master Portfolio’s investments are valued at fair value (also referred to as “market value” within the financial statements) each day that the Master Portfolio is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Board of Trustees of the Master Portfolio (the “Board”) has approved the designation of the Master Portfolio’s Manager as the valuation designee for the Master Portfolio. The Master Portfolio determines the fair values of its financial instruments using various independent dealers or pricing services under the Manager’s policies. If a security’s market price is not readily available or does not
Master Portfolio Notes to Financial Statements11
Notes to Financial Statements (unaudited) (continued)
otherwise accurately represent the fair value of the security, the security will be valued in accordance with the Manager’s policies and procedures as reflecting fair value. The Manager has formed a committee (the “Valuation Committee”) to develop pricing policies and procedures and to oversee the pricing function for all financial instruments, with assistance from other BlackRock pricing committees.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of the Master Portfolio’s assets and liabilities:
•Equity investments traded on a recognized securities exchange are valued at that day’s official closing price, as applicable, on the exchange where the stock is primarily traded. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price.
•Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published net asset value (“NAV”).
•Futures contracts are valued based on that day’s last reported settlement or trade price on the exchange where the contract is traded.
Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Each business day, the Master Portfolio uses current market factors supplied by independent pricing services to value certain foreign instruments (“Systematic Fair Value Price”). The Systematic Fair Value Price is designed to value such foreign securities at fair value as of the close of trading on the NYSE, which follows the close of the local markets.
If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that 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 Valuation Committee in accordance with the Manager’s policies and procedures as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Valuation Committee 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 Valuation Committee deems relevant and consistent with the principles of fair value measurement.
Fair Value Hierarchy: Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
•Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Master Portfolio has the ability to access;
•Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs); and
•Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Valuation Committee’s assumptions used in determining the fair value of financial instruments).
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.
4.
SECURITIES AND OTHER INVESTMENTS
Preferred Stocks: Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well), but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.
Securities Lending: The Master Portfolio may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Master Portfolio collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by the Master Portfolio is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Master Portfolio and any additional required collateral is delivered to the Master Portfolio, or excess collateral returned by the Master Portfolio, on the next business day. During the term of the loan, the Master Portfolio is entitled to all distributions made on or in respect of the loaned securities, but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
122024 BlackRock Semi-Annual Financial Statements
Notes to Financial Statements (unaudited) (continued)
As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested by the securities lending agent, BlackRock Institutional Trust Company, N.A. (“BTC”), if any, is disclosed in the Schedule of Investments. Any non-cash collateral received cannot be sold, re-invested or pledged by the Master Portfolio, except in the event of borrower default. The securities on loan, if any, are disclosed in the Master Portfolio’s Schedule of Investments. The market value of any securities on loan and the value of related collateral, if any, are shown separately in the Statement of Assets and Liabilities as a component of investments at value – unaffiliated and collateral on securities loaned, respectively.
Securities lending transactions are entered into by the Master Portfolio under Master Securities Lending Agreements (each, an “MSLA”), which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Master Portfolio, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and the Master Portfolio can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties’ obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.
As of period end, the following table is a summary of the Master Portfolio’s securities on loan by counterparty which are subject to offset under an MSLA:
| Securities
Loaned at Value | | Non-Cash Collateral
Received, at Fair Value(a) | |
| | | | |
| | | | |
State Street Bank & Trust Co. | | | | |
| | | | |
| Collateral received, if any, in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by the Master Portfolio is disclosed in the Master Portfolio’s Statement of Assets and Liabilities. |
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Master Portfolio benefits from a borrower default indemnity provided by BlackRock, Inc. (“BlackRock”). BlackRock’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value on the securities loaned in the event of borrower default. The Master Portfolio could incur a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received. Such losses are borne entirely by the Master Portfolio.
5.
DERIVATIVE FINANCIAL INSTRUMENTS
The Master Portfolio engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Master Portfolio and/or to manage its exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedule of Investments. These contracts may be transacted on an exchange or over-the-counter (“OTC”).
Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Futures contracts are exchange-traded agreements between the Master Portfolio and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Master Portfolio is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statement of Assets and Liabilities.
Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statement of Assets and Liabilities. Pursuant to the contract, the Master Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statement of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.
6.
INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
Investment Advisory: MIP, on behalf of the Master Portfolio, entered into an Investment Advisory Agreement with the Manager, the Master Portfolio’s investment adviser and an indirect, wholly-owned subsidiary of BlackRock, 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.
Master Portfolio Notes to Financial Statements13
Notes to Financial Statements (unaudited) (continued)
For such services, the Master Portfolio pays the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of the Master Portfolio’s net assets:
MIP, on behalf of the Master Portfolio, entered into an Administration Agreement with the Manager, which has agreed to provide general administrative services (other than investment advice and related portfolio activities). The Manager 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 administrative services an annual fee of 0.05% based on the average daily net assets of the Master Portfolio.
The Manager entered into separate sub-advisory agreements with BlackRock Fund Advisors (“BFA”) and BlackRock International Limited (“BIL”) (collectively, the “Sub-Advisers”), each an affiliate of the Manager. The Manager pays BFA and BIL for services they provide for that portion of the Master Portfolio for which BFA and BIL, as applicable, acts as sub-adviser, a monthly fee that is equal to a percentage of the investment advisory fees paid by the Master Portfolio to the Manager.
Expense Waivers and Reimbursements: 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 Portfolio’s independent registered public accounting firm (together, the “independent expenses”) are paid directly by the Master Portfolio. The Manager has contractually agreed to reimburse the Master Portfolio or provide an offsetting credit against the investment advisory fees paid by the Master Portfolio in an amount equal to these independent expenses through June 30, 2025. Such contractual arrangement may not be terminated prior to July 1, 2024 without the consent of the Board of MIP. This amount waived is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended June 30, 2024, the amount waived was $15,638.
The Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees the Master Portfolio pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through June 30, 2025. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Trustees, or by a vote of a majority of the outstanding voting securities of the Master Portfolio. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended June 30, 2024, the amount waived was $2,213.
The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Master Portfolio’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2025. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Trustees, or by a vote of a majority of the outstanding voting securities of the Master Portfolio. For the six months ended June 30, 2024, there were no fees waived and/or reimbursed by the Manager pursuant to this agreement.
The Manager has contractually agreed to waive administration fees through June 30, 2025. This waiver agreement may be terminated upon 90 days’ notice by a majority of the Independent Trustees or by a majority of the outstanding voting securities of the Master Portfolio. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended June 30, 2024, the Manager waived $76,432.
Securities Lending: The U.S. Securities and Exchange Commission (“SEC”) 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, including any custodial costs. The Master Portfolio is responsible for fees in connection with the investment of cash collateral received for securities on loan (the “collateral investment fees”). The cash collateral is invested in a money market fund, BlackRock Cash Funds: Institutional or BlackRock Cash Funds: Treasury, 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 SL Agency Shares of such money market fund will not be subject to a sales load, redemption fee, distribution fee or service fee. The money market fund in which the cash collateral has been invested may impose a discretionary liquidity fee of up to 2% of the value redeemed, if such fee is determined to be in the best interests of such money market fund.
Securities lending income is generally equal to the total of income earned from the reinvestment of cash collateral (and excludes collateral investment fees), and any fees or other payments to and from borrowers of securities. The Master Portfolio retains a portion of the securities lending income and remits the remaining portion to BTC as compensation for its services as securities lending agent.
Pursuant to the current securities lending agreement, the Master Portfolio retains 82% of securities lending income (which excludes collateral investment fees), 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 the BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, the Master Portfolio, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 85% of securities lending income (which excludes collateral investment fees), 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 income — affiliated — net in the Statement of Operations. For the six months ended June 30, 2024, the Master Portfolio paid BTC $3,433 for securities lending agent services.
142024 BlackRock Semi-Annual Financial Statements
Notes to Financial Statements (unaudited) (continued)
Interfund Lending: In accordance with an exemptive order (the “Order”) from the SEC, the Master Portfolio may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Master Portfolio’s investment policies and restrictions. The Master Portfolio is currently permitted to borrow and lend under the Interfund Lending Program.
A lending BlackRock fund may lend in aggregate up to 15% of its net assets but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.
During the period ended June 30, 2024, the Master Portfolio did not participate in the Interfund Lending Program.
Trustees and Officers: Certain trustees and/or officers of MIP are directors and/or officers of BlackRock or its affiliates.
Other Transactions: The Master Portfolio may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the six months ended June 30, 2024, the purchase and sale transactions and any net realized gains (losses) with affiliated funds in compliance with Rule 17a-7 under the 1940 Act were as follows:
| | | |
International Tilts Master Portfolio | | | |
For the six months ended June 30, 2024, purchases and sales of investments, excluding short-term securities, were $224,725,700 and $201,110,666, respectively.
The Master Portfolio is classified as a partnership for U.S. federal income tax purposes. As such, each investor in the Master Portfolio is treated as the owner of its proportionate share of net assets, income, expenses and realized and unrealized gains and losses of the Master Portfolio. Therefore, no U.S. federal income tax provision is required. It is intended that the Master Portfolio’s assets will be managed so an investor in the Master Portfolio can satisfy the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended.
The Master Portfolio files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Master Portfolio’s U.S. federal tax returns generally remains open for a period of three years after they are filed. The statutes of limitations on the Master Portfolio’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Master Portfolio as of June 30, 2024, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Master Portfolio’s financial statements.
As of June 30, 2024, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:
| | Gross Unrealized
Appreciation | Gross Unrealized
Depreciation | Net Unrealized
Appreciation
(Depreciation) |
International Tilts Master Portfolio | | | | |
MIP, on behalf of the Master Portfolio, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is party to a 364-day, $2.40 billion credit agreement with a group of lenders. Under this agreement, the Master Portfolio may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Master Portfolio, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) Overnight Bank Funding Rate (“OBFR”) (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum, (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 or (c) the sum of (x) Daily Simple Secured Overnight Financing Rate (“SOFR”) (but, in any event, not less than 0.00%) on the date the loan is made plus 0.10% and (y) 0.80% per annum. The agreement expires in April 2025 unless extended or renewed. Prior to April 11, 2024, the aggregate commitment amount was $2.50 billion. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the six months ended June 30, 2024, the Master Portfolio did not borrow under the credit agreement.
Master Portfolio Notes to Financial Statements15
Notes to Financial Statements (unaudited) (continued)
In the normal course of business, the Master Portfolio invests in securities or other instruments and may enter into certain transactions, and such activities subject the Master Portfolio to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Master Portfolio and its investments. The Master Portfolio’s prospectus provides details of the risks to which the Master Portfolio is subject.
The Master Portfolio may be exposed to additional risks when reinvesting cash collateral in money market funds that do not seek to maintain a stable NAV per share of $1.00, which may be subject to discretionary liquidity fees under certain circumstances.
Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Master Portfolio may invest in illiquid investments. An illiquid investment is any investment that the Master Portfolio reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Master Portfolio may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause the Master Portfolio’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of the Master Portfolio may lose value, regardless of the individual results of the securities and other instruments in which the Master Portfolio invests.
Counterparty Credit Risk: The Master Portfolio may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Master Portfolio manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Master Portfolio to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Master Portfolio’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Master Portfolio.
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
With exchange-traded futures, there is less counterparty credit risk to the Master Portfolio since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Master Portfolio does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Master Portfolio.
Geographic/Asset Class Risk: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within the Master Portfolio’s portfolio are disclosed in its Schedule of Investments.
The Master Portfolio invests a substantial amount of its assets in issuers located in a single country or a limited number of countries. When a fund concentrates its investments in this manner, it assumes the risk that economic, regulatory, political and social conditions in those countries may have a significant impact on their investment performance and could affect the income from, or the value or liquidity of, the Master Portfolio’s portfolio. Unanticipated or sudden political or social developments may cause uncertainty in the markets and as a result adversely affect the Master Portfolio’s investments. Foreign issuers may not be subject to the same uniform accounting, auditing and financial reporting standards and practices as used in the United States. Foreign securities markets may also be more volatile and less liquid than U.S. securities and may be less subject to governmental supervision not typically associated with investing in U.S. securities. Investment percentages in specific countries are presented in the Schedule of Investments.
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 as well as acts of war in the region. These events may spread to other countries in Europe and may affect the value and liquidity of certain of the Master Portfolio’s investments.
Responses to the financial problems by European governments, central banks and others, including austerity measures and reforms, may not work, may result in social unrest and may limit future growth and economic recovery or have other unintended consequences. Further defaults or restructurings by governments and others of their debt could have additional adverse effects on economies, financial markets and asset valuations around the world. The United Kingdom has withdrawn from the European Union, and one or more other countries may withdraw from the European Union and/or abandon the Euro, the common currency of the European Union. These events and actions have adversely affected, and may in the future adversely affect, the value and exchange rate of the Euro and may continue to significantly affect the economies of every country in Europe, including countries that do not use the Euro and non-European Union member states. The impact of these actions, especially if they occur in a disorderly fashion, is not clear but could be significant and far reaching. In addition, Russia launched a large-scale invasion of Ukraine on February 24, 2022. The extent and duration of the military
162024 BlackRock Semi-Annual Financial Statements
Notes to Financial Statements (unaudited) (continued)
action, resulting sanctions and resulting future market disruptions in the region are impossible to predict, but have been, and may continue to be, significant and have a severe adverse effect on the region, including significant negative impacts on the economy and the markets for certain securities and commodities, such as oil and natural gas, as well as other sectors.
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.
Significant Shareholder Redemption Risk: Certain shareholders may own or manage a substantial amount of fund shares and/or hold their fund investments for a limited period of time. Large redemptions of fund shares by these shareholders may force a fund to sell portfolio securities, which may negatively impact the fund’s NAV, increase the fund’s brokerage costs, and/or accelerate the realization of taxable income/gains and cause the fund to make additional taxable distributions to shareholders.
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.
Master Portfolio Notes to Financial Statements17
Changes in and Disagreements with Accountants
Remuneration Paid to Trustees, Officers, and Others
Each of BAL and BFA has contractually agreed to reimburse, or provide offsetting credits to, the Master Portfolio for the Master Portfolio’s allocable portion of the fees and expenses of the independent trustees of MIP, counsel to such independent trustees and the independent registered public accounting firm.
Quarterly performance, semi-annual and annual reports and other information regarding the Master Portfolio may be found on BlackRock’s website, which can be accessed at blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Master Portfolio and does not, and is not intended to, incorporate BlackRock’s website in this report.
Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports and prospectuses by enrolling in the electronic delivery program.
To enroll in electronic delivery:
Shareholders Who Hold Accounts with Investment Advisors, Banks or Brokerages:
Please contact your financial advisor. Please note that not all investment advisors, banks or brokerages may offer this service.
Shareholders Who Hold Accounts Directly with BlackRock:
1. Access the BlackRock website at blackrock.com
2. Select “Access Your Account”
3. Next, select “eDelivery” in the “Related Resources” box and follow the sign-up instructions.
BlackRock’s Mutual Fund Family
BlackRock offers a diverse lineup of open-end mutual funds crossing all investment styles and managed by experts in equity, fixed-income and tax-exempt investing. Visit blackrock.com for more information.
Call us at (800) 441-7762 from 8:00 AM to 6:00 PM ET on any business day to get information about your account balances, recent transactions and share prices. You can also visit blackrock.com for more information.
Automatic Investment Plans
Investor class shareholders who want to invest regularly can arrange to have $50 or more automatically deducted from their checking or savings account and invested in any of the BlackRock funds.
Systematic Withdrawal Plans
Investor class shareholders can establish a systematic withdrawal plan and receive periodic payments of $50 or more from their BlackRock funds, as long as their account balance is at least $10,000.
Shareholders may make investments in conjunction with Traditional, Rollover, Roth, Coverdell, Simple IRAs, SEP IRAs and 403(b) Plans.
182024 BlackRock Semi-Annual Financial Statements
Additional Information (continued)
Master Portfolio and MIP Service Providers
Investment Adviser and Administrator
BlackRock Advisors, LLC
Wilmington, DE 19809
BlackRock Fund Advisors
San Francisco, CA 94105
BlackRock International Limited
Edinburgh, EH3 8BL
United Kingdom
Accounting Agent and Custodian
State Street Bank and Trust Company
Boston, MA 02114
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
Wilmington, DE 19809
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Philadelphia, PA 19103
Sidley Austin LLP
New York, NY 10019
400 Howard Street
San Francisco, CA 94105
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements
The Board of Trustees (the “Board,” the members of which are referred to as “Board Members”) of Master Investment Portfolio (the “Master Fund”) met on April 16, 2024 (the “April Meeting”) and May 16-17, 2024 (the “May Meeting”) to consider the approval to continue the investment advisory agreement (the “Advisory Agreement”) between the Master Fund, on behalf of International Tilts Master Portfolio (the “Fund”) and BlackRock Advisors, LLC (the “Manager”), the Fund’s investment advisor. The Board also considered the approval to continue (i) the sub-advisory agreement between the Manager and BlackRock Fund Advisors (“BFA”) with respect to the Fund (the “BFA Sub-Advisory Agreement”) and (ii) the sub-advisory agreement between the Manager and BlackRock International Limited (“BIL,” and together with BFA, the “Sub-Advisors”) with respect to the Fund (the “BIL Sub-Advisory Agreement”). The Manager and the Sub-Advisors are referred to herein as “BlackRock.” The Advisory Agreement, the BFA Sub-Advisory Agreement and the BIL Sub-Advisory Agreement are referred to herein as the “Agreements.”
Consistent with the requirements of the Investment Company Act of 1940 (the “1940 Act”), the Board considers the approval of the continuation of the Agreements for the Master Fund on an annual basis. The Board members who are not “interested persons” of the Master Fund, as defined in the 1940 Act, are considered independent Board members (the “Independent Board Members”). The Board’s consideration entailed a year-long deliberative process during which the Board and its committees assessed BlackRock’s various services to the Master Fund, including through the review of written materials and oral presentations, and the review of additional information provided in response to requests from the Independent Board Members. The Board had four quarterly meetings per year, each of which extended over a two-day period, as well as additional ad hoc meetings and executive sessions throughout the year, as needed. The committees of the Board similarly met throughout the year. The Board also had an additional one-day meeting to consider specific information regarding the renewal of the Agreements. In considering the renewal of the Agreements, the Board assessed, among other things, the nature, extent and quality of the services provided to the Fund by BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management services; accounting oversight; administrative and shareholder services; oversight of the Fund’s service providers; risk management and oversight; and legal, regulatory and compliance services. Throughout the year, including during the contract renewal process, the Independent Board Members were advised by independent legal counsel, and met with independent legal counsel in various executive sessions outside of the presence of BlackRock’s management.
During the year, the Board, acting directly and through its committees, considered information that was relevant to its annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to the Fund and its shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, and/or since inception periods, as applicable, against peer funds, relevant benchmarks, and other performance metrics, as applicable, as well as BlackRock senior management’s and portfolio managers’ investment performance analyses, and the reasons for any outperformance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Fund for services; (c) Fund operating expenses and how BlackRock allocates expenses to the Fund; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Fund’s investment objective, policies and restrictions, and meeting regulatory requirements; (e) BlackRock’s and the Fund’s adherence to applicable compliance policies and procedures; (f) the nature, character and scope of non-investment management services provided by BlackRock and its affiliates and the estimated cost of such services, as available; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) the use of brokerage commissions and execution quality of portfolio transactions; (j) BlackRock’s implementation of the Fund’s valuation and liquidity procedures; (k) an analysis of management fees paid to BlackRock for products with similar investment mandates across the open-end fund, exchange-traded fund (“ETF”), closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to the Fund; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.
Prior to and in preparation for the April Meeting, the Board received and reviewed materials specifically relating to the renewal of the Agreements. The Independent Board Members continuously engaged in a process with their independent legal counsel and BlackRock to review the nature and scope of the information provided to the Board to better assist its deliberations. The materials provided in connection with the April Meeting included, among other things: (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), based on either a Lipper classification or Morningstar category, regarding the Fund’s fees and expenses as compared with a peer group of funds as determined by Broadridge (“Expense Peers”) and the investment performance of the Fund as compared with a peer group of funds (“Performance Peers”); (b) information on the composition of the Expense Peers and Performance Peers, and a description of Broadridge’s methodology; (c) information on the estimated profits realized by BlackRock and its affiliates pursuant to the Agreements and a discussion of fall-out benefits to BlackRock and its affiliates; (d) a general analysis provided by BlackRock concerning investment management fees received in connection with other types of investment products, such as institutional accounts, sub-advised mutual funds, ETFs, closed-end funds, open-end funds, and separately managed accounts, under similar investment mandates, as well as the performance of such other products, as applicable; (e) a review of non-management fees; (f) the existence, impact and sharing of potential economies of scale, if any, with the Fund; (g) a summary of aggregate amounts paid by the Fund to BlackRock; (h) sales and redemption data regarding the Fund’s shares; and (i) various additional information requested by the Board as appropriate regarding BlackRock’s and the Fund’s operations.
At the April Meeting, the Board reviewed materials relating to its consideration of the Agreements and the Independent Board Members presented BlackRock with questions and requests for additional information. BlackRock responded to these questions and requests with additional written information in advance of the May Meeting, and such responses were reviewed by the Board Members.
At the May Meeting, the Board concluded its assessment of, among other things: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Fund as compared to its Performance Peers and to other metrics, as applicable; (c) the advisory fee and the estimated cost of the services and estimated profits realized by BlackRock and its affiliates from their relationship with the Fund; (d) the Fund’s fees and expenses compared to its Expense Peers; (e) the existence and sharing of potential economies of scale; (f) any fall-out benefits to BlackRock and its affiliates as a result of BlackRock’s relationship with the Fund; and (g) other factors deemed relevant by the Board Members.
The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, and BlackRock’s services related to the valuation and pricing of Fund portfolio holdings. The Board noted the willingness of BlackRock’s personnel to
202024 BlackRock Semi-Annual Financial Statements
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (continued)
engage in open, candid discussions with the Board. The Board evaluated the information available to it on a fund-by-fund basis. The following paragraphs provide more information about some of the primary factors that were relevant to the Board’s decision. The Board Members did not identify any particular information, or any single factor as determinative, and each Board Member may have attributed different weights to the various items and factors considered.
A. Nature, Extent and Quality of the Services Provided by BlackRock
The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services, and the resulting performance of the Fund. Throughout the year, the Board compared Fund performance to the performance of a comparable group of mutual funds, relevant benchmarks, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by the Fund’s portfolio management team discussing the Fund’s performance, investment strategies and outlook.
The Board considered, among other factors, with respect to BlackRock: the experience of the Fund’s portfolio management team; research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board also considered BlackRock’s overall risk management program, including the continued efforts of BlackRock and its affiliates to address cybersecurity risks and the role of BlackRock’s Risk & Quantitative Analysis Group. The Board engaged in a review of BlackRock’s compensation structure with respect to the Fund’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.
In addition to investment advisory services, the Board considered the nature and quality of the administrative and other non-investment advisory services provided to the Fund. BlackRock and its affiliates provide the Fund with certain administrative, shareholder and other services (in addition to any such services provided to the Fund by third parties) and officers and other personnel as are necessary for the operations of the Fund. In particular, BlackRock and its affiliates provide the Fund with administrative services including, among others: (i) responsibility for disclosure documents, such as the prospectus, the summary prospectus (as applicable), the statement of additional information and periodic shareholder reports; (ii) oversight of daily accounting and pricing; (iii) responsibility for periodic filings with regulators; (iv) overseeing and coordinating the activities of third-party service providers including, among others, the Fund’s custodian, fund accountant, transfer agent, and auditor; (v) organizing Board meetings and preparing the materials for such Board meetings; (vi) providing legal and compliance support; (vii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain open-end funds; and (viii) performing or managing administrative functions necessary for the operation of the Fund, such as tax reporting, expense management, fulfilling regulatory filing requirements and other services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal and compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations. The Board considered the operation of BlackRock’s business continuity plans.
The Board noted that the engagement of BIL with respect to the Fund facilitates the provision of investment advice and trading by investment personnel out of non-U.S. jurisdictions. The Board considered that this arrangement provides additional flexibility to the portfolio management team, which may benefit the Fund and its shareholders.
B. The Investment Performance of the Fund
The Board, including the Independent Board Members, reviewed and considered the performance history of the Fund throughout the year and at the April Meeting. In preparation for the April Meeting, the Board was provided with reports independently prepared by Broadridge, which included an analysis of the Fund’s performance as of December 31, 2023, as compared to its Performance Peers. Broadridge ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. In connection with its review, the Board received and reviewed information regarding the investment performance of the Fund as compared to its Performance Peers and the respective Morningstar Category (“Morningstar Category”). The Board and its Performance Oversight Committee regularly review and meet with Fund management to discuss, the performance of the Fund throughout the year.
In evaluating performance, the Board focused particular attention on funds with less favorable performance records. The Board also noted that while it found the data provided by Broadridge generally useful, it recognized the limitations of such data, including in particular, that notable differences may exist between a fund and its Performance Peers (for example, the investment objectives and strategies). Further, the Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. The Board also acknowledged that long-term performance could be impacted by even one period of significant outperformance or underperformance, and that a single investment theme could have the ability to disproportionately affect long-term performance.
The Board noted that for each of the one-, three- and five-year periods reported, the Fund ranked in the first quartile against its Morningstar Category. The Board noted that BlackRock believes that the Morningstar Category is an appropriate performance metric for the Fund, and that BlackRock has explained its rationale for this belief to the Board.
C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services and Estimated Profits Realized by BlackRock and its Affiliates from their Relationship with the Fund
The Board, including the Independent Board Members, reviewed the Fund’s contractual management fee rate compared with those of its Expense Peers. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared the Fund’s total expense ratio, as well as its actual management fee rate, to those of its Expense Peers. The total expense ratio represents a fund’s total net operating expenses, including any 12b-1 or non-12b-1 service fees. The total expense ratio gives effect to any expense reimbursements or fee waivers, and the actual management fee rate gives effect to any management fee reimbursements or waivers. The Board considered that the fee and expense information in the Broadridge report for the Fund reflected information for a specific period and that historical asset levels and expenses may differ from current levels, particularly in a period of market volatility. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements21
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (continued)
The Board received and reviewed statements relating to BlackRock’s financial condition. The Board reviewed BlackRock’s profitability methodology and was also provided with an estimated profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Fund. The Board reviewed BlackRock’s estimated profitability with respect to the Fund and other funds the Board currently oversees for the year ended December 31, 2023 compared to available aggregate estimated profitability data provided for the prior two years. The Board reviewed BlackRock’s estimated profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the estimated profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at the individual fund level is difficult.
The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly traded asset management firms. The Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.
The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time and resources, assumption of risk, and liability profile in servicing the Fund, including in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable.
The Board noted that the Fund’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and the total expense ratio each ranked in the first quartile relative to the Fund’s Expense Peers. The Board also noted that the Fund has an advisory fee arrangement that includes breakpoints that adjust the fee rate downward as the size of the Fund increases above certain contractually specified levels. The Board additionally noted that the breakpoints can, conversely, adjust the advisory fee rate upward as the size of the Fund decreases below certain contractually specified levels. The Board additionally noted that BlackRock has contractually agreed to waive its administration fee payable by the Fund. The Board further noted that BlackRock and its affiliates have contractually agreed to reimburse or otherwise compensate the Fund for certain other fees and expenses.
The Board, including the Independent Board Members, considered the extent to which any economies of scale might benefit the Fund in a variety of ways as the assets of the Fund increase. The Board considered multiple factors, including the advisory fee rate and breakpoints, unitary fee structure, fee waivers, and/or expense caps, as applicable. The Board considered the Fund’s asset levels and whether the current fee schedule was appropriate.
E. Other Factors Deemed Relevant by the Board Members
The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from BlackRock’s respective relationships with the Fund, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and its risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Fund, including for administrative, distribution, securities lending and cash management services. With respect to securities lending, during the year the Board also considered information provided by independent third-party consultants related to the performance of each BlackRock affiliate as securities lending agent. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that, subject to applicable law, BlackRock may use and benefit from third-party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.
In connection with its consideration of the Agreements, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.
At the May Meeting, in a continuation of the discussions that occurred during the April Meeting, and as a culmination of the Board’s year-long deliberative process, the Board, including the Independent Board Members, unanimously approved the continuation of (i) the Advisory Agreement between the Manager and the Master Fund, on behalf of the Fund, (ii) the BFA Sub-Advisory Agreement between the Manager and BFA with respect to the Fund and (iii) the BIL Sub-Advisory Agreement between the Manager and BIL with respect to the Fund, each for a one-year term ending June 30, 2025. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board, including the Independent Board Members, was satisfied that the terms of the Agreements were fair and reasonable and in the best interest of the Fund and its shareholders. In arriving at its decision to approve the Agreements, 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 advised by independent legal counsel throughout the deliberative process.
222024 BlackRock Semi-Annual Financial Statements
Glossary of Terms Used in this Report
|
| Morgan Stanley Capital International |
| Societe en Commandite par Actions |
Glossary of Terms Used in This Report23
June 30, 2024
2024 Semi-Annual Financial Statements (Unaudited) |
|
• iShares Russell 1000 Large-Cap Index Fund |
Not FDIC Insured • May Lose Value • No Bank Guarantee |
Statement of Assets and Liabilities (unaudited)June 30, 2024
| iShares
Russell 1000
Large-Cap
Index Fund |
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Investments, at value — Master Portfolio | |
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Withdrawals from the Master Portfolio | |
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Income dividend distributions | |
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Commitments and contingent liabilities | |
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Fund Statement of Assets and Liabilities3
Statement of Assets and Liabilities (unaudited) (continued)June 30, 2024
| iShares
Russell 1000
Large-Cap
Index Fund |
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See notes to financial statements.
42024 BlackRock Semi-Annual Financial Statements
Statement of Operations (unaudited)Six Months Ended June 30, 2024
| iShares
Russell 1000
Large-Cap
Index Fund |
| |
Net investment income allocated from the Master Portfolio: | |
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Securities lending income — affiliated — net | |
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Transfer agent — class specific | |
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Transfer agent fees waived and/or reimbursed by the Administrator — class specific | |
Total expenses after fees waived and/or reimbursed | |
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REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM THE MASTER PORTFOLIO | |
Net realized gain (loss) from: | |
Investments — unaffiliated | |
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Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated | |
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Net realized and unrealized gain | |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | |
See notes to financial statements.
Fund Statement of Operations5
Statements of Changes in Net Assets
| iShares Russell 1000
Large-Cap Index Fund |
| Six Months Ended
06/30/24
(unaudited) | |
INCREASE (DECREASE) IN NET ASSETS | | |
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Net change in unrealized appreciation (depreciation) | | |
Net increase in net assets resulting from operations | | |
DISTRIBUTIONS TO SHAREHOLDERS(a) | | |
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Decrease in net assets resulting from distributions to shareholders | | |
CAPITAL SHARE TRANSACTIONS | | |
Net increase in net assets derived from capital share transactions | | |
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Total increase in net assets | | |
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| Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
62024 BlackRock Semi-Annual Financial Statements
Financial Highlights(For a share outstanding throughout each period)
| iShares Russell 1000 Large-Cap Index Fund |
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| Six Months Ended
06/30/24
(unaudited) | | | | | |
|
Net asset value, beginning of period | | | | | | |
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Net realized and unrealized gain (loss) | | | | | | |
Net increase (decrease) from investment operations | | | | | | |
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From net investment income | | | | | | |
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Net asset value, end of period | | | | | | |
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Ratios to Average Net Assets(e)(f)(g) | | | | | | |
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Total expenses after fees waived and/or reimbursed | | | | | | |
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Net assets, end of period (000) | | | | | | |
Portfolio turnover rate of the Master Portfolio | | | | | | |
| Based on average shares outstanding. |
| Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| Where applicable, assumes the reinvestment of distributions. |
| |
| Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income. |
| Includes the Fund’s share of the Master Portfolio’s allocated fees waived of less than 0.01%. |
| Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
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| Includes recoupment of past waived and/or reimbursed fees. Excluding the recoupment of past waived and/or reimbursed fees for the year ended December, 31, 2019 the expense ratio would have been 0.14%. |
See notes to financial statements.
Fund Financial Highlights7
Financial Highlights (continued)(For a share outstanding throughout each period)
| iShares Russell 1000 Large-Cap Index Fund (continued) |
| |
| Six Months Ended
06/30/24
(unaudited) | | | | | |
|
Net asset value, beginning of period | | | | | | |
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Net realized and unrealized gain (loss) | | | | | | |
Net increase (decrease) from investment operations | | | | | | |
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From net investment income | | | | | | |
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Net asset value, end of period | | | | | | |
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Ratios to Average Net Assets(e)(f)(g) | | | | | | |
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Total expenses after fees waived and/or reimbursed | | | | | | |
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Net assets, end of period (000) | | | | | | |
Portfolio turnover rate of the Master Portfolio | | | | | | |
| Based on average shares outstanding. |
| Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| Where applicable, assumes the reinvestment of distributions. |
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| Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income. |
| Includes the Fund’s share of the Master Portfolio’s allocated fees waived of less than 0.01%. |
| Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| |
See notes to financial statements.
82024 BlackRock Semi-Annual Financial Statements
Financial Highlights (continued)(For a share outstanding throughout each period)
| iShares Russell 1000 Large-Cap Index Fund (continued) |
| |
| Six Months Ended
06/30/24
(unaudited) | | | | | |
|
Net asset value, beginning of period | | | | | | |
| | | | | | |
Net realized and unrealized gain (loss) | | | | | | |
Net increase (decrease) from investment operations | | | | | | |
| | | | | | |
From net investment income | | | | | | |
| | | | | | |
| | | | | | |
Net asset value, end of period | | | | | | |
| | | | | | |
| | | | | | |
Ratios to Average Net Assets(e)(f)(g) | | | | | | |
| | | | | | |
Total expenses after fees waived and/or reimbursed | | | | | | |
| | | | | | |
| | | | | | |
Net assets, end of period (000) | | | | | | |
Portfolio turnover rate of the Master Portfolio | | | | | | |
| Based on average shares outstanding. |
| Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| Where applicable, assumes the reinvestment of distributions. |
| |
| Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income. |
| Includes the Fund’s share of the Master Portfolio’s allocated fees waived of less than 0.01%. |
| Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| |
See notes to financial statements.
Fund Financial Highlights9
Notes to Financial Statements (unaudited)
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. iShares Russell 1000 Large-Cap Index Fund (the “Fund”) is a series of the Trust. The Fund is classified as diversified.
The Fund seeks to achieve its investment objective by investing all of its assets in Large Cap Index Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio (“MIP”) and an affiliate of the Trust, 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 June 30, 2024, the percentage of the Master Portfolio owned by the Fund was 4.1%. 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 certain classes bear expenses related to the shareholder servicing and distribution of such shares. Institutional and Class K Shares are sold only to certain eligible investors. Investor A Shares bear certain expenses related to shareholder servicing of such shares. 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.
| | | |
Institutional Shares, Investor A and Class K | | | |
The Board of Trustees of the Trust and Board of Trustees of MIP are referred to throughout this report as the “Board” and the members are referred to as “Trustees.”
The Fund, 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 funds referred to as the BlackRock Multi-Asset Complex.
2.
SIGNIFICANT ACCOUNTING POLICIES
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, contributions to and withdrawals from the Master Portfolio are accounted for on a trade date basis. The Fund records its proportionate share of the Master Portfolio’s income, expenses and realized and unrealized gains and losses on a daily basis. Realized and unrealized gains and losses are adjusted utilizing partnership tax allocation rules. 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 dates. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
Indemnifications: In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against the Fund, which cannot be predicted with any certainty.
Other: Expenses directly related to the Fund or its classes are charged to the Fund or the applicable class. Expenses directly related to the Fund and other shared expenses prorated to the Fund are allocated daily to each class based on its relative net assets or other appropriate methods. Other operating expenses shared by several funds, including other funds managed by BlackRock Advisors, LLC (“BAL” or the “Administrator”), are prorated among those funds on the basis of relative net assets or other appropriate methods.
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
Administration: The Trust, on behalf of the Fund, entered into an Administration Agreement with the Administrator, an indirect, wholly-owned subsidiary of BlackRock, Inc. (“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 net assets of the Fund. The Fund does not pay an investment advisory fee or investment management fee.
Service Fees: 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 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.
102024 BlackRock Semi-Annual Financial Statements
Notes to Financial Statements (unaudited) (continued)
BRIL and broker-dealers, pursuant to sub-agreements with BRIL, provide shareholder servicing to the Fund. The ongoing service fee compensates BRIL and each broker-dealer for providing shareholder servicing related services to shareholders.
For the six months ended June 30, 2024, the class specific service fees borne directly by Investor A Shares were $103,723.
Transfer Agent: Pursuant to written agreements, certain financial intermediaries, some of which may be affiliates, provide the Fund with sub-accounting, recordkeeping, sub-transfer agency and other administrative services with respect to servicing of underlying investor accounts. For these services, these entities receive an asset-based fee or an annual fee per shareholder account, which will vary depending on share class and/or net assets. For the six months ended June 30, 2024, the Fund did not pay any amounts to affiliates in return for these services.
The Administrator maintains a call center that is responsible for providing certain shareholder services to the Fund. Shareholder services include responding to inquiries and processing purchases and sales based upon instructions from shareholders. For the six months ended June 30, 2024, the 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 Statement of Operations:
For the six months ended June 30, 2024, the following table shows the class specific transfer agent fees borne directly by each share class of the Fund:
| | | | |
Transfer agent fees — class specific | | | | |
Expense Limitations, Waivers and Reimbursements: The Administrator and the Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Fund’s business (“expense limitation”). The expense limitations as a percentage of average daily net assets are as follows:
The Administrator and the Manager have agreed not to reduce or discontinue these contractual expense limitations through June 30, 2025, unless approved by the Board, including a majority of the trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), or by a vote of a majority of the outstanding voting securities of the Fund. For the six months ended June 30, 2024, there were no fees waived and/or reimbursed by the Administrator pursuant to this agreement.
In addition, these amounts waived and/or reimbursed by the Administrator are included in transfer agent fees waived and/or reimbursed by the Administrator – class specific in the Statement of Operations. For the six months ended June 30, 2024, class specific expense waivers and/or reimbursements were as follows:
| | | | |
Transfer agent fees waived and/or reimbursed by the Administrator — class specific | | | | |
Interfund Lending: In accordance with an exemptive order (the “Order”) from the U.S. Securities and Exchange Commission (“SEC”), the Fund may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Fund’s investment policies and restrictions. The Fund is currently permitted to borrow and lend under the Interfund Lending Program.
A lending BlackRock fund may lend in aggregate up to 15% of its net assets but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.
During the period ended June 30, 2024, the Fund did not participate in the Interfund Lending Program.
Trustees and Officers: Certain trustees and/or officers of the Fund are directors and/or officers of BlackRock or its affiliates. The Fund reimburses the Administrator for a portion of the compensation paid to the Fund’s Chief Compliance Officer, which is included in Trustees and Officer in the Master Portfolio’s Statement of Operations.
It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s U.S. federal tax returns generally remains open for a period of three years after they are filed. The statutes of limitations on the Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Fund Notes to Financial Statements11
Notes to Financial Statements (unaudited) (continued)
Management has analyzed tax laws and regulations and their application to the Fund as of June 30, 2024, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Fund’s financial statements.
As of December 31, 2023, the Fund had non-expiring capital loss carryforwards available to offset future realized capital gains as follows:
| Non-Expiring
Capital Loss
Carryforwards |
iShares Russell 1000 Large-Cap Index Fund | |
6.
CAPITAL SHARE TRANSACTIONS
Transactions in capital shares for each class were as follows:
| | |
| | | | |
iShares Russell 1000 Large-Cap Index Fund | | | | |
| | | | |
| | | | |
Shares issued in reinvestment of distributions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Shares issued in reinvestment of distributions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Shares issued in reinvestment of distributions | | | | |
| | | | |
| | | | |
| | | | |
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.
122024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)June 30, 2024
Large Cap Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
|
Aerospace & Defense — 1.8% | |
| | | |
| | | |
BWX Technologies, Inc.(b) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Huntington Ingalls Industries, Inc.(b) | | | |
L3Harris Technologies, Inc. | | | |
| | | |
| | | |
| | | |
Spirit AeroSystems Holdings, Inc., Class A(a)(b) | | | |
| | | |
| | | |
| | | |
| | | |
Air Freight & Logistics — 0.4% | |
CH Robinson Worldwide, Inc.(b) | | | |
Expeditors International of Washington, Inc. | | | |
| | | |
GXO Logistics, Inc.(a)(b) | | | |
United Parcel Service, Inc., Class B(b) | | | |
| | | |
Automobile Components — 0.1% | |
| | | |
| | | |
| | | |
| | | |
QuantumScape Corp., Class A(a)(b) | | | |
| | | |
| |
| | | |
| | | |
| | | |
| | | |
Rivian Automotive, Inc., Class A(a)(b) | | | |
| | | |
| | | |
| | | |
| |
| | | |
| | | |
| | | |
| | | |
Citizens Financial Group, Inc. | | | |
Columbia Banking System, Inc.(b) | | | |
| | | |
Commerce Bancshares, Inc.(b) | | | |
Cullen/Frost Bankers, Inc.(b) | | | |
East West Bancorp, Inc.(b) | | | |
| | | |
First Citizens BancShares, Inc., Class A | | | |
| | | |
| | | |
| | | |
| |
| | | |
Huntington Bancshares, Inc.(b) | | | |
| | | |
| | | |
| | | |
NU Holdings Ltd./Cayman Islands, Class A(a) | | | |
Pinnacle Financial Partners, Inc.(b) | | | |
PNC Financial Services Group, Inc. | | | |
| | | |
Prosperity Bancshares, Inc.(b) | | | |
Regions Financial Corp.(b) | | | |
Synovus Financial Corp.(b) | | | |
| | | |
Truist Financial Corp.(b) | | | |
| | | |
| | | |
| | | |
| | | |
Wintrust Financial Corp.(b) | | | |
| | | |
| | | |
| |
Boston Beer Co., Inc., Class A(a) | | | |
Brown-Forman Corp., Class A(b) | | | |
Brown-Forman Corp., Class B(b) | | | |
Celsius Holdings, Inc.(a)(b) | | | |
| | | |
Coca-Cola Consolidated, Inc. | | | |
Constellation Brands, Inc., Class A(b) | | | |
| | | |
Molson Coors Beverage Co., Class B(b) | | | |
Monster Beverage Corp.(a) | | | |
| | | |
| | | |
| |
| | | |
Alnylam Pharmaceuticals, Inc.(a) | | | |
| | | |
Apellis Pharmaceuticals, Inc.(a) | | | |
| | | |
BioMarin Pharmaceutical, Inc.(a) | | | |
Cerevel Therapeutics Holdings, Inc.(a) | | | |
Exact Sciences Corp.(a)(b) | | | |
| | | |
| | | |
| | | |
| | | |
Ionis Pharmaceuticals, Inc.(a)(b) | | | |
| | | |
| | | |
Neurocrine Biosciences, Inc.(a) | | | |
Regeneron Pharmaceuticals, Inc.(a) | | | |
| | | |
Sarepta Therapeutics, Inc.(a)(b) | | | |
Ultragenyx Pharmaceutical, Inc.(a) | | | |
United Therapeutics Corp.(a) | | | |
Vertex Pharmaceuticals, Inc.(a) | | | |
Viking Therapeutics, Inc.(a) | | | |
| | | |
| |
| | | |
Master Portfolio Schedule of Investments13
Schedule of Investments (unaudited)(continued)June 30, 2024
Large Cap Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Broadline Retail (continued) | |
Coupang, Inc., Class A(a) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Ollie’s Bargain Outlet Holdings, Inc.(a)(b) | | | |
| | | |
| |
| | | |
| | | |
Advanced Drainage Systems, Inc. | | | |
| | | |
Armstrong World Industries, Inc. | | | |
AZEK Co., Inc., Class A(a) | | | |
Builders FirstSource, Inc.(a) | | | |
| | | |
| | | |
Fortune Brands Innovations, Inc.(b) | | | |
Hayward Holdings, Inc.(a)(b) | | | |
Johnson Controls International PLC(b) | | | |
Lennox International, Inc.(b) | | | |
| | | |
| | | |
Simpson Manufacturing Co., Inc. | | | |
| | | |
| | | |
| | | |
| |
Affiliated Managers Group, Inc. | | | |
Ameriprise Financial, Inc. | | | |
Ares Management Corp., Class A | | | |
Bank of New York Mellon Corp. | | | |
| | | |
Blackstone, Inc., Class A(b) | | | |
Blue Owl Capital, Inc., Class A(b) | | | |
| | | |
Cboe Global Markets, Inc. | | | |
| | | |
CME Group, Inc., Class A(b) | | | |
Coinbase Global, Inc., Class A(a) | | | |
Evercore, Inc., Class A(b) | | | |
FactSet Research Systems, Inc.(b) | | | |
Franklin Resources, Inc.(b) | | | |
Goldman Sachs Group, Inc. | | | |
Houlihan Lokey, Inc., Class A(b) | | | |
Interactive Brokers Group, Inc., Class A | | | |
Intercontinental Exchange, Inc. | | | |
| | | |
Janus Henderson Group PLC(b) | | | |
Jefferies Financial Group, Inc. | | | |
KKR & Co., Inc., Class A(b) | | | |
| | | |
LPL Financial Holdings, Inc. | | | |
MarketAxess Holdings, Inc. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Capital Markets (continued) | |
Raymond James Financial, Inc. | | | |
Robinhood Markets, Inc., Class A(a) | | | |
| | | |
| | | |
| | | |
Stifel Financial Corp.(b) | | | |
T Rowe Price Group, Inc.(b) | | | |
| | | |
Tradeweb Markets, Inc., Class A | | | |
Virtu Financial, Inc., Class A | | | |
| | | |
| | | |
| |
Air Products and Chemicals, Inc.(b) | | | |
| | | |
| | | |
Axalta Coating Systems Ltd.(a) | | | |
Celanese Corp., Class A(b) | | | |
CF Industries Holdings, Inc.(b) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Element Solutions, Inc.(b) | | | |
| | | |
| | | |
International Flavors & Fragrances, Inc. | | | |
| | | |
LyondellBasell Industries NV, Class A | | | |
| | | |
| | | |
| | | |
| | | |
RPM International, Inc.(b) | | | |
Scotts Miracle-Gro Co.(b) | | | |
| | | |
| | | |
| | | |
Commercial Services & Supplies — 0.6% | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Communications Equipment — 0.7% | |
| | | |
| | | |
| | | |
| | | |
| | | |
142024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
Large Cap Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Communications Equipment (continued) | |
Lumentum Holdings, Inc.(a) | | | |
| | | |
| | | |
| | | |
Construction & Engineering — 0.2% | |
| | | |
| | | |
Comfort Systems USA, Inc. | | | |
| | | |
| | | |
MDU Resources Group, Inc.(b) | | | |
| | | |
Valmont Industries, Inc.(b) | | | |
WillScot Mobile Mini Holdings Corp.(a) | | | |
| | | |
Construction Materials — 0.2% | |
| | | |
| | | |
Martin Marietta Materials, Inc.(b) | | | |
| | | |
| | | |
| |
| | | |
| | | |
Capital One Financial Corp. | | | |
Credit Acceptance Corp.(a)(b) | | | |
Discover Financial Services | | | |
OneMain Holdings, Inc.(b) | | | |
| | | |
SoFi Technologies, Inc.(a)(b) | | | |
| | | |
| | | |
Consumer Staples Distribution & Retail — 1.8% | |
Albertsons Cos., Inc., Class A | | | |
BJ’s Wholesale Club Holdings, Inc.(a) | | | |
Casey’s General Stores, Inc.(b) | | | |
| | | |
| | | |
| | | |
Grocery Outlet Holding Corp.(a) | | | |
| | | |
| | | |
Performance Food Group Co.(a) | | | |
| | | |
| | | |
U.S. Foods Holding Corp.(a) | | | |
Walgreens Boots Alliance, Inc.(b) | | | |
| | | |
| | | |
Containers & Packaging — 0.3% | |
| | | |
| | | |
Ardagh Group SA, Class A(a) | | | |
| | | |
| | | |
| | | |
| | | |
Graphic Packaging Holding Co.(b) | | | |
International Paper Co.(b) | | | |
| | | |
Containers & Packaging (continued) | |
Packaging Corp. of America | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
| | | |
| | | |
| | | |
| | | |
Diversified Consumer Services — 0.1% | |
| | | |
Bright Horizons Family Solutions, Inc.(a)(b) | | | |
Duolingo, Inc., Class A(a) | | | |
Grand Canyon Education, Inc.(a) | | | |
| | | |
Service Corp. International(b) | | | |
| | | |
| |
| | | |
Diversified Telecommunication Services — 0.6% | |
| | | |
ESC GCI Liberty, Inc. (a)(d) | | | |
Frontier Communications Parent, Inc.(a)(b) | | | |
Iridium Communications, Inc.(b) | | | |
Liberty Global Ltd., Class A(a) | | | |
Liberty Global Ltd., Class C(a) | | | |
Verizon Communications, Inc. | | | |
| | | |
Electric Utilities — 1.4% | |
| | | |
American Electric Power Co., Inc.(b) | | | |
| | | |
Constellation Energy Corp. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Pinnacle West Capital Corp.(b) | | | |
| | | |
| | | |
| | | |
| | | |
Electrical Equipment — 0.8% | |
| | | |
| | | |
| | | |
| | | |
| | | |
Generac Holdings, Inc.(a) | | | |
Master Portfolio Schedule of Investments15
Schedule of Investments (unaudited)(continued)June 30, 2024
Large Cap Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Electrical Equipment (continued) | |
| | | |
| | | |
| | | |
Rockwell Automation, Inc.(b) | | | |
Sensata Technologies Holding PLC | | | |
Vertiv Holdings Co., Class A | | | |
| | | |
Electronic Equipment, Instruments & Components — 0.5% | |
| | | |
Arrow Electronics, Inc.(a) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Keysight Technologies, Inc.(a) | | | |
| | | |
| | | |
Teledyne Technologies, Inc.(a) | | | |
| | | |
| | | |
Zebra Technologies Corp., Class A(a) | | | |
| | | |
Energy Equipment & Services — 0.3% | |
Baker Hughes Co., Class A | | | |
| | | |
| | | |
| | | |
| | | |
Weatherford International PLC(a) | | | |
| | | |
| |
| | | |
Liberty Media Corp.-Liberty Formula One, Class C(a) | | | |
Liberty Media Corp.-Liberty Formula One, Class A(a) | | | |
Liberty Media Corp.-Liberty Live, Class A(a) | | | |
Liberty Media Corp.-Liberty Live, Class C(a) | | | |
Live Nation Entertainment, Inc.(a)(b) | | | |
Madison Square Garden Sports Corp., Class A(a)(b) | | | |
| | | |
Playtika Holding Corp.(b) | | | |
| | | |
Roku, Inc., Class A(a)(b) | | | |
| | | |
Take-Two Interactive Software, Inc.(a) | | | |
TKO Group Holdings, Inc., Class A(b) | | | |
| | | |
Warner Bros Discovery, Inc., Class A(a) | | | |
| | | |
Financial Services — 3.8% | |
Affirm Holdings, Inc., Class A(a)(b) | | | |
Apollo Global Management, Inc.(b) | | | |
Berkshire Hathaway, Inc., Class B(a) | | | |
| | | |
| | | |
Financial Services (continued) | |
| | | |
| | | |
Euronet Worldwide, Inc.(a) | | | |
Fidelity National Information Services, Inc.(b) | | | |
| | | |
| | | |
Jack Henry & Associates, Inc.(b) | | | |
Mastercard, Inc., Class A | | | |
| | | |
| | | |
Rocket Cos., Inc., Class A(a) | | | |
Shift4 Payments, Inc., Class A(a)(b) | | | |
| | | |
UWM Holdings Corp., Class A(b) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
Archer-Daniels-Midland Co.(b) | | | |
| | | |
| | | |
| | | |
Darling Ingredients, Inc.(a) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Lamb Weston Holdings, Inc.(b) | | | |
| | | |
Mondelez International, Inc., Class A | | | |
| | | |
| | | |
| | | |
Tyson Foods, Inc., Class A | | | |
| | | |
| |
| | | |
| | | |
| | | |
| | | |
Ground Transportation — 1.0% | |
Avis Budget Group, Inc.(b) | | | |
| | | |
JB Hunt Transport Services, Inc. | | | |
Knight-Swift Transportation Holdings, Inc.(b) | | | |
| | | |
| | | |
| | | |
Old Dominion Freight Line, Inc.(b) | | | |
| | | |
| | | |
Schneider National, Inc., Class B(b) | | | |
Uber Technologies, Inc.(a) | | | |
| | | |
162024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
Large Cap Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Ground Transportation (continued) | |
U-Haul Holding Co., Series N(b) | | | |
| | | |
| | | |
| | | |
Health Care Equipment & Supplies — 2.2% | |
| | | |
Align Technology, Inc.(a) | | | |
Baxter International, Inc.(b) | | | |
| | | |
Boston Scientific Corp.(a) | | | |
| | | |
| | | |
| | | |
Edwards Lifesciences Corp.(a) | | | |
| | | |
Envista Holdings Corp.(a)(b) | | | |
GE HealthCare Technologies, Inc.(a)(b) | | | |
Globus Medical, Inc., Class A(a) | | | |
| | | |
IDEXX Laboratories, Inc.(a)(b) | | | |
Inspire Medical Systems, Inc.(a)(b) | | | |
| | | |
Intuitive Surgical, Inc.(a) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Zimmer Biomet Holdings, Inc. | | | |
| | | |
Health Care Providers & Services — 2.3% | |
Acadia Healthcare Co., Inc.(a) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Molina Healthcare, Inc.(a) | | | |
Premier, Inc., Class A(b) | | | |
| | | |
| | | |
Tenet Healthcare Corp.(a) | | | |
| | | |
Universal Health Services, Inc., Class B(b) | | | |
| | | |
| | | |
| |
Alexandria Real Estate Equities, Inc.(b) | | | |
Healthcare Realty Trust, Inc.(b) | | | |
Healthpeak Properties, Inc. | | | |
Medical Properties Trust, Inc.(b) | | | |
Omega Healthcare Investors, Inc.(b) | | | |
| | | |
| | | |
| | | |
Health Care Technology(a) — 0.1% | |
| | | |
| | | |
Veeva Systems, Inc., Class A | | | |
| | | |
Hotel & Resort REITs(b) — 0.0% | |
Host Hotels & Resorts, Inc. | | | |
Park Hotels & Resorts, Inc. | | | |
| | | |
Hotels, Restaurants & Leisure — 1.8% | |
| | | |
| | | |
| | | |
Caesars Entertainment, Inc.(a) | | | |
| | | |
| | | |
Chipotle Mexican Grill, Inc.(a) | | | |
Choice Hotels International, Inc.(b) | | | |
| | | |
Darden Restaurants, Inc.(b) | | | |
| | | |
DoorDash, Inc., Class A(a) | | | |
DraftKings, Inc., Class A(a) | | | |
Dutch Bros, Inc., Class A(a) | | | |
| | | |
Hilton Worldwide Holdings, Inc. | | | |
Hyatt Hotels Corp., Class A | | | |
| | | |
Light & Wonder, Inc., Class A(a) | | | |
Marriott International, Inc., Class A | | | |
Marriott Vacations Worldwide Corp.(b) | | | |
| | | |
MGM Resorts International(a)(b) | | | |
Norwegian Cruise Line Holdings Ltd.(a) | | | |
Penn Entertainment, Inc.(a)(b) | | | |
Planet Fitness, Inc., Class A(a) | | | |
Royal Caribbean Cruises Ltd.(a)(b) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Wyndham Hotels & Resorts, Inc.(b) | | | |
| | | |
| | | |
| | | |
Household Durables — 0.4% | |
| | | |
| | | |
| | | |
| | | |
Master Portfolio Schedule of Investments17
Schedule of Investments (unaudited)(continued)June 30, 2024
Large Cap Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Household Durables (continued) | |
| | | |
Mohawk Industries, Inc.(a) | | | |
| | | |
| | | |
| | | |
| | | |
Tempur Sealy International, Inc.(b) | | | |
| | | |
| | | |
| | | |
| | | |
Household Products — 1.1% | |
Church & Dwight Co., Inc.(b) | | | |
| | | |
| | | |
| | | |
| | | |
Reynolds Consumer Products, Inc.(b) | | | |
Spectrum Brands Holdings, Inc.(b) | | | |
| | | |
Independent Power and Renewable Electricity Producers — 0.1% | |
| | | |
Brookfield Renewable Corp., Class A(b) | | | |
Clearway Energy, Inc., Class A | | | |
Clearway Energy, Inc., Class C(b) | | | |
| | | |
| | | |
Industrial Conglomerates — 0.4% | |
| | | |
Honeywell International, Inc. | | | |
| | | |
| |
Americold Realty Trust, Inc. | | | |
EastGroup Properties, Inc.(b) | | | |
First Industrial Realty Trust, Inc.(b) | | | |
| | | |
Rexford Industrial Realty, Inc.(b) | | | |
| | | |
| | | |
| |
| | | |
| | | |
American Financial Group, Inc. | | | |
American International Group, Inc. | | | |
| | | |
Arch Capital Group Ltd.(a) | | | |
Arthur J Gallagher & Co.(b) | | | |
| | | |
| | | |
Axis Capital Holdings Ltd. | | | |
Brighthouse Financial, Inc.(a) | | | |
| | | |
| | | |
Cincinnati Financial Corp.(b) | | | |
| | | |
| | | |
Fidelity National Financial, Inc., Class A | | | |
First American Financial Corp.(b) | | | |
| | | |
| | | |
| |
Hanover Insurance Group, Inc. | | | |
Hartford Financial Services Group, Inc. | | | |
| | | |
Kinsale Capital Group, Inc.(b) | | | |
| | | |
| | | |
| | | |
Marsh & McLennan Cos., Inc. | | | |
| | | |
Old Republic International Corp.(b) | | | |
| | | |
Principal Financial Group, Inc. | | | |
| | | |
Prudential Financial, Inc.(b) | | | |
Reinsurance Group of America, Inc. | | | |
RenaissanceRe Holdings Ltd.(b) | | | |
| | | |
Ryan Specialty Holdings, Inc., Class A(b) | | | |
| | | |
| | | |
| | | |
White Mountains Insurance Group Ltd.(b) | | | |
| | | |
| | | |
Interactive Media & Services — 6.2% | |
| | | |
| | | |
| | | |
| | | |
Meta Platforms, Inc., Class A | | | |
Pinterest, Inc., Class A(a) | | | |
| | | |
ZoomInfo Technologies, Inc., CLass A(a)(b) | | | |
| | | |
| |
| | | |
Akamai Technologies, Inc.(a) | | | |
| | | |
Booking Holdings, Inc.(b) | | | |
Cloudflare, Inc., Class A(a) | | | |
Cognizant Technology Solutions Corp., Class A | | | |
| | | |
| | | |
| | | |
| | | |
GoDaddy, Inc., Class A(a) | | | |
International Business Machines Corp.(b) | | | |
Kyndryl Holdings, Inc.(a) | | | |
MongoDB, Inc., Class A(a) | | | |
| | | |
Snowflake, Inc., Class A(a) | | | |
| | | |
| | | |
| | | |
| |
| | | |
| | | |
| | | |
182024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
Large Cap Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Leisure Products (continued) | |
| | | |
YETI Holdings, Inc.(a)(b) | | | |
| | | |
Life Sciences Tools & Services — 1.3% | |
10X Genomics, Inc., Class A(a) | | | |
Agilent Technologies, Inc.(b) | | | |
| | | |
| | | |
Bio-Rad Laboratories, Inc., Class A(a) | | | |
| | | |
| | | |
Charles River Laboratories International, Inc.(a) | | | |
| | | |
Fortrea Holdings, Inc.(a) | | | |
| | | |
| | | |
Medpace Holdings, Inc.(a) | | | |
Mettler-Toledo International, Inc.(a) | | | |
| | | |
| | | |
| | | |
| | | |
Thermo Fisher Scientific, Inc. | | | |
| | | |
West Pharmaceutical Services, Inc.(b) | | | |
| | | |
| |
| | | |
Allison Transmission Holdings, Inc. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Gates Industrial Corp. PLC(a) | | | |
| | | |
| | | |
Illinois Tool Works, Inc.(b) | | | |
| | | |
| | | |
Lincoln Electric Holdings, Inc.(b) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Stanley Black & Decker, Inc.(b) | | | |
| | | |
| | | |
| | | |
| |
Westinghouse Air Brake Technologies Corp. | | | |
| | | |
| | | |
Marine Transportation — 0.0% | |
| | | |
| |
Charter Communications, Inc., Class A(a)(b) | | | |
| | | |
| | | |
| | | |
Interpublic Group of Cos., Inc.(b) | | | |
Liberty Broadband Corp., Class A(a)(b) | | | |
Liberty Broadband Corp., Class C(a)(b) | | | |
Liberty Media Corp.-Liberty SiriusXM(a) | | | |
Liberty Media Corp.-Liberty SiriusXM, Class A(a) | | | |
New York Times Co., Class A | | | |
| | | |
| | | |
Nexstar Media Group, Inc., Class A(b) | | | |
| | | |
Paramount Global, Class A(b) | | | |
Paramount Global, Class B(b) | | | |
Sirius XM Holdings, Inc.(b) | | | |
Trade Desk, Inc., Class A(a)(b) | | | |
| | | |
| |
| | | |
| | | |
Cleveland-Cliffs, Inc.(a) | | | |
| | | |
MP Materials Corp., Class A(a)(b) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Mortgage Real Estate Investment Trusts (REITs)(b) — 0.1% | |
| | | |
Annaly Capital Management, Inc. | | | |
| | | |
Starwood Property Trust, Inc. | | | |
| | | |
| |
| | | |
CenterPoint Energy, Inc.(b) | | | |
| | | |
Consolidated Edison, Inc. | | | |
| | | |
| | | |
| | | |
Public Service Enterprise Group, Inc. | | | |
| | | |
WEC Energy Group, Inc.(b) | | | |
| | | |
Master Portfolio Schedule of Investments19
Schedule of Investments (unaudited)(continued)June 30, 2024
Large Cap Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
| |
| | | |
| | | |
Highwoods Properties, Inc. | | | |
| | | |
| | | |
| | | |
Oil, Gas & Consumable Fuels — 3.4% | |
Antero Midstream Corp.(b) | | | |
Antero Resources Corp.(a) | | | |
| | | |
| | | |
Chesapeake Energy Corp.(b) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
New Fortress Energy, Inc., Class A(b) | | | |
Occidental Petroleum Corp.(b) | | | |
| | | |
| | | |
Permian Resources Corp., Class A | | | |
| | | |
| | | |
Southwestern Energy Co.(a) | | | |
| | | |
Texas Pacific Land Corp.(b) | | | |
| | | |
Viper Energy, Inc., Class A | | | |
| | | |
| | | |
Paper & Forest Products — 0.0% | |
| | | |
Passenger Airlines — 0.2% | |
Alaska Air Group, Inc.(a)(b) | | | |
American Airlines Group, Inc.(a)(b) | | | |
| | | |
Southwest Airlines Co.(b) | | | |
United Airlines Holdings, Inc.(a) | | | |
| | | |
Personal Care Products — 0.2% | |
| | | |
| | | |
| | | |
| | | |
Personal Care Products (continued) | |
Estee Lauder Cos., Inc., Class A | | | |
| | | |
| | | |
| |
| | | |
| | | |
Elanco Animal Health, Inc.(a) | | | |
| | | |
Intra-Cellular Therapies, Inc.(a) | | | |
Jazz Pharmaceuticals PLC(a) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Royalty Pharma PLC, Class A | | | |
| | | |
| | | |
| | | |
Professional Services — 0.8% | |
Automatic Data Processing, Inc. | | | |
Booz Allen Hamilton Holding Corp., Class A(b) | | | |
Broadridge Financial Solutions, Inc. | | | |
CACI International, Inc., Class A(a) | | | |
| | | |
| | | |
| | | |
Dun & Bradstreet Holdings, Inc.(b) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Paylocity Holding Corp.(a)(b) | | | |
| | | |
Science Applications International Corp.(b) | | | |
SS&C Technologies Holdings, Inc. | | | |
| | | |
| | | |
| | | |
Real Estate Management & Development(a) — 0.2% | |
CBRE Group, Inc., Class A | | | |
| | | |
Howard Hughes Holdings, Inc.(b) | | | |
Jones Lang LaSalle, Inc.(b) | | | |
Zillow Group, Inc., Class A | | | |
Zillow Group, Inc., Class C | | | |
| | | |
| |
American Homes 4 Rent, Class A | | | |
AvalonBay Communities, Inc. | | | |
| | | |
202024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
Large Cap Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Residential REITs (continued) | |
Equity LifeStyle Properties, Inc. | | | |
| | | |
Essex Property Trust, Inc.(b) | | | |
| | | |
Mid-America Apartment Communities, Inc.(b) | | | |
| | | |
| | | |
| | | |
| |
| | | |
Brixmor Property Group, Inc. | | | |
Federal Realty Investment Trust(b) | | | |
| | | |
| | | |
| | | |
| | | |
Simon Property Group, Inc. | | | |
| | | |
Semiconductors & Semiconductor Equipment — 10.9% | |
Advanced Micro Devices, Inc.(a) | | | |
Allegro MicroSystems, Inc.(a)(b) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Enphase Energy, Inc.(a)(b) | | | |
| | | |
| | | |
GLOBALFOUNDRIES, Inc.(a)(b) | | | |
| | | |
| | | |
| | | |
Lattice Semiconductor Corp.(a) | | | |
MACOM Technology Solutions Holdings, Inc., Class H(a) | | | |
| | | |
Microchip Technology, Inc.(b) | | | |
| | | |
| | | |
Monolithic Power Systems, Inc.(b) | | | |
| | | |
ON Semiconductor Corp.(a) | | | |
| | | |
| | | |
| | | |
Skyworks Solutions, Inc.(b) | | | |
| | | |
| | | |
Universal Display Corp.(b) | | | |
| | | |
| | | |
| |
| | | |
| | | |
Appfolio, Inc., Class A(a) | | | |
AppLovin Corp., Class A(a) | | | |
Aspen Technology, Inc.(a) | | | |
Atlassian Corp., Class A(a) | | | |
| | | |
| | | |
| |
Bentley Systems, Inc., Class B(b) | | | |
| | | |
Cadence Design Systems, Inc.(a) | | | |
CCC Intelligent Solutions Holdings, Inc.(a) | | | |
Confluent, Inc., Class A(a)(b) | | | |
Crowdstrike Holdings, Inc., Class A(a) | | | |
Datadog, Inc., Class A(a) | | | |
| | | |
Dolby Laboratories, Inc., Class A(b) | | | |
DoubleVerify Holdings, Inc.(a) | | | |
Dropbox, Inc., Class A(a) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Guidewire Software, Inc.(a)(b) | | | |
HashiCorp, Inc., Class A(a) | | | |
| | | |
Informatica, Inc., Class A(a)(b) | | | |
| | | |
Manhattan Associates, Inc.(a) | | | |
| | | |
MicroStrategy, Inc., Class A(a) | | | |
| | | |
Nutanix, Inc., Class A(a) | | | |
| | | |
Palantir Technologies, Inc., Class A(a) | | | |
Palo Alto Networks, Inc.(a)(b) | | | |
| | | |
Procore Technologies, Inc.(a)(b) | | | |
| | | |
RingCentral, Inc., Class A(a)(b) | | | |
| | | |
| | | |
SentinelOne, Inc., Class A(a) | | | |
| | | |
Smartsheet, Inc., Class A(a) | | | |
| | | |
| | | |
Tyler Technologies, Inc.(a) | | | |
| | | |
Unity Software, Inc.(a)(b) | | | |
Workday, Inc., Class A(a) | | | |
Zoom Video Communications, Inc., Class A(a) | | | |
| | | |
| | | |
| |
| | | |
| | | |
| | | |
Digital Realty Trust, Inc. | | | |
| | | |
| | | |
Extra Space Storage, Inc.(b) | | | |
Gaming & Leisure Properties, Inc. | | | |
| | | |
Lamar Advertising Co., Class A(b) | | | |
National Storage Affiliates Trust(b) | | | |
Master Portfolio Schedule of Investments21
Schedule of Investments (unaudited)(continued)June 30, 2024
Large Cap Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Specialized REITs (continued) | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
Advance Auto Parts, Inc.(b) | | | |
| | | |
| | | |
| | | |
| | | |
Burlington Stores, Inc.(a) | | | |
| | | |
| | | |
Dick’s Sporting Goods, Inc. | | | |
| | | |
Floor & Decor Holdings, Inc., Class A(a)(b) | | | |
GameStop Corp., Class A(a)(b) | | | |
| | | |
| | | |
Lithia Motors, Inc., Class A(b) | | | |
| | | |
| | | |
O’Reilly Automotive, Inc.(a) | | | |
Penske Automotive Group, Inc.(b) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Wayfair, Inc., Class A(a)(b) | | | |
| | | |
| | | |
Technology Hardware, Storage & Peripherals — 6.5% | |
| | | |
Dell Technologies, Inc., Class C | | | |
Hewlett Packard Enterprise Co. | | | |
| | | |
| | | |
Pure Storage, Inc., Class A(a) | | | |
Super Micro Computer, Inc.(a) | | | |
| | | |
| | | |
Textiles, Apparel & Luxury Goods — 0.4% | |
Birkenstock Holding PLC(a) | | | |
| | | |
| | | |
Columbia Sportswear Co.(b) | | | |
| | | |
| | | |
Lululemon Athletica, Inc.(a) | | | |
| | | |
| | | |
Ralph Lauren Corp., Class A(b) | | | |
Skechers USA, Inc., Class A(a) | | | |
| | | |
Under Armour, Inc., Class A(a) | | | |
| | | |
Textiles, Apparel & Luxury Goods (continued) | |
Under Armour, Inc., Class C(a)(b) | | | |
| | | |
| | | |
| |
| | | |
Philip Morris International, Inc. | | | |
| | | |
Trading Companies & Distributors — 0.4% | |
Air Lease Corp., Class A(b) | | | |
Core & Main, Inc., Class A(a) | | | |
| | | |
| | | |
MSC Industrial Direct Co., Inc., Class A(b) | | | |
SiteOne Landscape Supply, Inc.(a)(b) | | | |
| | | |
| | | |
WESCO International, Inc. | | | |
| | | |
| | | |
Water Utilities(b) — 0.1% | |
American Water Works Co., Inc. | | | |
Essential Utilities, Inc. | | | |
| | | |
Wireless Telecommunication Services — 0.2% | |
| | | |
Total Common Stocks — 98.8%
(Cost: $15,978,989,035) | |
|
| |
iShares Russell 1000 ETF(b)(c) | | | |
Total Investment Companies — 0.7%
(Cost: $193,875,319) | |
Total Long-Term Investments — 99.5%
(Cost: $16,172,864,354) | |
|
Money Market Funds — 7.6% | |
BlackRock Cash Funds: Institutional, SL Agency Shares, 5.48%(c)(e)(f) | | | |
BlackRock Cash Funds: Treasury, SL Agency Shares, 5.28%(c)(e) | | | |
Total Short-Term Securities — 7.6%
(Cost: $2,509,868,886) | |
Total Investments — 107.1%
(Cost: $18,682,733,240) | |
Liabilities in Excess of Other Assets — (7.1)% | |
| |
| Non-income producing security. |
| All or a portion of this security is on loan. |
| Affiliate of the Master Portfolio. |
| Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
222024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
Large Cap Index Master Portfolio
| Annualized 7-day yield as of period end. |
| All or a portion of this security was purchased with the cash collateral from loaned securities. |
For purposes of this report, industry and sector sub-classifications may differ from those utilized by the Master Portfolio for compliance purposes.
Investments in issuers considered to be affiliate(s) of the Master Portfolio during the six months ended June 30, 2024 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| | | | | Change in
Unrealized
Appreciation
(Depreciation) | | | | Capital Gain
Distributions
from
Underlying
Funds |
BlackRock Cash Funds: Institutional, SL Agency Shares | | | | | | | | | |
BlackRock Cash Funds: Treasury, SL Agency Shares | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| Represents net amount purchased (sold). |
| All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
Derivative Financial Instruments Outstanding as of Period End
| | | | Value/
Unrealized
Appreciation
(Depreciation) |
| | | | |
| | | | |
| | | | |
| | | | |
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:
| | | | Foreign
Currency
Exchange
Contracts | | | |
Assets — Derivative Financial Instruments | | | | | | | |
Futures contracts
Unrealized appreciation on futures contracts(a) | | | | | | | |
| Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Master Portfolio Schedule of Investments. In the Statement of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in net unrealized appreciation (depreciation). |
Master Portfolio Schedule of Investments23
Schedule of Investments (unaudited)(continued)June 30, 2024
Large Cap Index Master Portfolio
For the period ended June 30, 2024, the effect of derivative financial instruments in the Statement of Operations was as follows:
| | | | Foreign
Currency
Exchange
Contracts | | | |
Net Realized Gain (Loss) from: | | | | | | | |
| | | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | |
| | | | | | | |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| |
Average notional value of contracts — long | |
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 financial instruments. For a description of the input levels and information about the Master Portfolio’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Master Portfolio’s financial instruments categorized in the fair value hierarchy. The breakdown of the Master Portfolio’s financial instruments into major categories is disclosed in the Schedule of Investments above.
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Commercial Services & Supplies | | | | |
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Construction & Engineering | | | | |
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Consumer Staples Distribution & Retail | | | | |
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Diversified Consumer Services | | | | |
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Diversified Telecommunication Services | | | | |
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Electronic Equipment, Instruments & Components | | | | |
Energy Equipment & Services | | | | |
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Health Care Equipment & Supplies | | | | |
Health Care Providers & Services | | | | |
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242024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
Large Cap Index Master Portfolio
Fair Value Hierarchy as of Period End (continued)
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Common Stocks (continued) | | | | |
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Hotels, Restaurants & Leisure | | | | |
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Independent Power and Renewable Electricity Producers | | | | |
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Interactive Media & Services | | | | |
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Life Sciences Tools & Services | | | | |
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Mortgage Real Estate Investment Trusts (REITs) | | | | |
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Oil, Gas & Consumable Fuels | | | | |
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Real Estate Management & Development | | | | |
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Semiconductors & Semiconductor Equipment | | | | |
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Technology Hardware, Storage & Peripherals | | | | |
Textiles, Apparel & Luxury Goods | | | | |
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Trading Companies & Distributors | | | | |
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Wireless Telecommunication Services | | | | |
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Derivative Financial Instruments(a) | | | | |
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| Derivative financial instruments are futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
Master Portfolio Schedule of Investments25
Statement of Assets and Liabilities(unaudited)June 30, 2024
| Large Cap Index
Master Portfolio |
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Investments, at value — unaffiliated(a)(b) | |
Investments, at value — affiliated(c) | |
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Cash pledged for futures contracts | |
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Securities lending income — affiliated | |
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Variation margin on futures contracts | |
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Collateral on securities loaned | |
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Variation margin on futures contracts | |
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Commitments and contingent liabilities | |
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Net unrealized appreciation (depreciation) | |
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(a) Investments, at cost—unaffiliated | |
(b) Securities loaned, at value | |
(c) Investments, at cost—affiliated | |
See notes to financial statements.
262024 BlackRock Semi-Annual Financial Statements
Statement of Operations (unaudited)Six Months Ended June 30, 2024
| Large Cap Index
Master Portfolio |
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Securities lending income — affiliated — net | |
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Total expenses excluding interest expense | |
Interest expense — unaffiliated | |
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Fees waived and/or reimbursed by the Manager | |
Total expenses after fees waived and/or reimbursed | |
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REALIZED AND UNREALIZED GAIN (LOSS) | |
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Investments — unaffiliated | |
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Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated | |
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Net realized and unrealized gain | |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | |
See notes to financial statements.
Master Portfolio Statement of Operations27
Statements of Changes in Net Assets
| Large Cap Index Master Portfolio |
| Six Months Ended
06/30/24
(unaudited) | |
INCREASE (DECREASE) IN NET ASSETS | | |
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Net change in unrealized appreciation (depreciation) | | |
Net increase in net assets resulting from operations | | |
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Proceeds from contributions | | |
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Net increase (decrease) in net assets derived from capital transactions | | |
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Total increase in net assets | | |
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See notes to financial statements.
282024 BlackRock Semi-Annual Financial Statements
Financial Highlights(unaudited)
| Large Cap Index Master Portfolio |
| Six Months Ended
06/30/24
(unaudited) | | | | | |
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Ratios to Average Net Assets(b) | | | | | | |
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Total expenses after fees waived and/or reimbursed | | | | | | |
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Net assets, end of period (000) | | | | | | |
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| Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
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See notes to financial statements.
Master Portfolio Financial Highlights29
Notes to Financial Statements (unaudited)
Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. MIP is organized as a Delaware statutory trust. Large Cap Index Master Portfolio (the “Master Portfolio”) is a series of MIP. The Master Portfolio is classified as diversified.
The Master Portfolio, 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 funds referred to as the BlackRock Multi-Asset Complex.
2.
SIGNIFICANT ACCOUNTING POLICIES
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Master Portfolio is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. Dividends from foreign securities where the ex-dividend dates may have passed are subsequently recorded when the Master Portfolio is informed of the ex-dividend dates. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized daily on an accrual basis.
Foreign Taxes: The Master Portfolio may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Master Portfolio invests. These foreign taxes, if any, are paid by the Master Portfolio and are reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as “Foreign taxes withheld”, and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of June 30, 2024, if any, are disclosed in the Statement of Assets and Liabilities.
The Master Portfolio files withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. The Master Portfolio may record a reclaim receivable based on collectability, which includes factors such as the jurisdiction’s applicable laws, payment history and market convention. The Statement of Operations includes tax reclaims recorded as well as professional and other fees, if any, associated with recovery of foreign withholding taxes.
Bank Overdraft: The Master Portfolio had outstanding cash disbursements exceeding deposited cash amounts at the custodian during the reporting period. The Master Portfolio is obligated to repay the custodian for any overdraft, including any related costs or expenses, where applicable. For financial reporting purposes, overdraft fees, if any, are included in interest expense in the Statement of Operations.
Collateralization: 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.
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.
3.
INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
Investment Valuation Policies: The Master Portfolio’s investments are valued at fair value (also referred to as “market value” within the financial statements) each day that the Master Portfolio is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Board of Trustees of MIP (the “Board”) has approved the designation of the Master Portfolio’s Manager as the valuation designee for the Master Portfolio. The Master Portfolio determines the fair values of its financial instruments using various independent dealers or pricing services under the Manager’s policies. If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with the Manager’s policies and procedures as reflecting fair value. The Manager has formed a committee (the “Valuation Committee”) to develop pricing policies and procedures and to oversee the pricing function for all financial instruments, with assistance from other BlackRock pricing committees.
302024 BlackRock Semi-Annual Financial Statements
Notes to Financial Statements (unaudited) (continued)
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of the Master Portfolio’s assets and liabilities:
•Equity investments traded on a recognized securities exchange are valued at that day’s official closing price, as applicable, on the exchange where the stock is primarily traded. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price.
•Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published net asset value (“NAV”).
•Futures contracts are valued based on that day’s last reported settlement or trade price on the exchange where the contract is traded.
Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the New York Stock Exchange (“NYSE”). Each business day, the Master Portfolio uses current market factors supplied by independent pricing services to value certain foreign instruments (“Systematic Fair Value Price”). The Systematic Fair Value Price is designed to value such foreign securities at fair value as of the close of trading on the NYSE, which follows the close of the local markets.
If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that 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 Valuation Committee in accordance with the Manager’s policies and procedures as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Valuation Committee 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 Valuation Committee deems relevant and consistent with the principles of fair value measurement.
For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by the Valuation Committee and third-party pricing services utilized by the Valuation Committee include one or a combination of, but not limited to, the following inputs.
| Standard Inputs Generally Considered By The Valuation Committee And Third-Party Pricing Services |
| | recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; |
| | recapitalizations and other transactions across the capital structure; and |
| | market multiples of comparable issuers. |
| | future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks; |
| | quoted prices for similar investments or assets in active markets; and |
| | other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. |
| | audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company; |
| | changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; |
| | relevant news and other public sources; and |
| | known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company. |
Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Enterprise valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”), current value method or a hybrid of those techniques are used as deemed appropriate under the circumstances. The use of these valuation techniques involves a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.
The Private Companies are not subject to the public company disclosure, timing, and reporting standards applicable to other investments held by the Master Portfolio. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date the Master Portfolio is calculating its NAV. This factor may result in a difference between the value of the investment and the price the Master Portfolio could receive upon the sale of the investment.
Fair Value Hierarchy: Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
•Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Master Portfolio has the ability to access;
•Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs); and
•Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Valuation Committee’s assumptions used in determining the fair value of financial instruments).
Master Portfolio Notes to Financial Statements31
Notes to Financial Statements (unaudited) (continued)
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.
4.
SECURITIES AND OTHER INVESTMENTS
Securities Lending: The Master Portfolio may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Master Portfolio collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by the Master Portfolio is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Master Portfolio and any additional required collateral is delivered to the Master Portfolio, or excess collateral returned by the Master Portfolio, on the next business day. During the term of the loan, the Master Portfolio is entitled to all distributions made on or in respect of the loaned securities, but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested by the securities lending agent, BlackRock Institutional Trust Company, N.A. (“BTC”), if any, is disclosed in the Schedule of Investments. Any non-cash collateral received cannot be sold, re-invested or pledged by the Master Portfolio, except in the event of borrower default. The securities on loan, if any, are disclosed in the Master Portfolio’s Schedule of Investments. The market value of any securities on loan and the value of related collateral, if any, are shown separately in the Statement of Assets and Liabilities as a component of investments at value – unaffiliated and collateral on securities loaned, respectively.
Securities lending transactions are entered into by the Master Portfolio under Master Securities Lending Agreements (each, an “MSLA”), which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Master Portfolio, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and the Master Portfolio can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties’ obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.
As of period end, the following table is a summary of the Master Portfolio’s securities on loan by counterparty which are subject to offset under an MSLA:
| Securities
Loaned at Value | | Non-Cash Collateral
Received, at Fair Value(a) | |
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BMO Capital Markets Corp. | | | | |
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J.P. Morgan Securities LLC | | | | |
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National Financial Services LLC | | | | |
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Nomura Securities International, Inc. | | | | |
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Scotia Capital (USA), Inc. | | | | |
SG Americas Securities LLC | | | | |
State Street Bank & Trust Co. | | | | |
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322024 BlackRock Semi-Annual Financial Statements
Notes to Financial Statements (unaudited) (continued)
| Securities Loaned at Value | Cash Collateral Received(a) | Non-Cash Collateral Received, at Fair Value(a) | |
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Wells Fargo Securities LLC | | | | |
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| Collateral received, if any, in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by the Master Portfolio is disclosed in the Master Portfolio’s Statement of Assets and Liabilities. |
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Master Portfolio benefits from a borrower default indemnity provided by BlackRock, Inc. (“BlackRock”). BlackRock’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value on the securities loaned in the event of borrower default. The Master Portfolio could incur a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received. Such losses are borne entirely by the Master Portfolio.
5.
DERIVATIVE FINANCIAL INSTRUMENTS
The Master Portfolio engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Master Portfolio and/or to manage its exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedule of Investments. These contracts may be transacted on an exchange or over-the-counter (“OTC”).
Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Futures contracts are exchange-traded agreements between the Master Portfolio and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Master Portfolio is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statement of Assets and Liabilities.
Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statement of Assets and Liabilities. Pursuant to the contract, the Master Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statement of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.
6.
INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
Investment Advisory: MIP, on behalf of the Master Portfolio, entered into an Investment Advisory Agreement with the Manager, the Master Portfolio’s investment adviser and an indirect, wholly-owned subsidiary of BlackRock, 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 at an annual rate equal to 0.03% of the average daily value of the Master Portfolio’s net assets.
BlackRock Advisors, LLC (“BAL”) is not entitled to compensation for providing administrative services to the Master Portfolio, for so long as BAL (or an affiliate) is entitled to compensation for providing administrative 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.
Expense Waivers and Reimbursements: The Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees the Master Portfolio pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through June 30, 2025. The contractual agreement may be terminated upon 90 days’ notice by a majority of the trustees who are not “interested persons” of MIP, as defined in the 1940 Act (“Independent Trustees”), or by a vote of a majority of the outstanding voting securities of the Master Portfolio. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended June 30, 2024, the amount waived was $83,653.
The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Master Portfolio’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2025. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Trustees, or by a vote of a majority of the outstanding voting securities of the Master Portfolio. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended June 30, 2024, the Manager waived $36,255 in investment advisory fees pursuant to this arrangement.
Securities Lending: The U.S. Securities and Exchange Commission (“SEC”) 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
Master Portfolio Notes to Financial Statements33
Notes to Financial Statements (unaudited) (continued)
lending, including any custodial costs. The Master Portfolio is responsible for fees in connection with the investment of cash collateral received for securities on loan (the “collateral investment fees”). The cash collateral is invested in a money market fund, BlackRock Cash Funds: Institutional or BlackRock Cash Funds: Treasury, 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 SL Agency Shares of such money market fund will not be subject to a sales load, redemption fee, distribution fee or service fee. The money market fund in which the cash collateral has been invested may impose a discretionary liquidity fee of up to 2% of the value redeemed, if such fee is determined to be in the best interests of such money market fund.
Securities lending income is generally equal to the total of income earned from the reinvestment of cash collateral (and excludes collateral investment fees), and any fees or other payments to and from borrowers of securities. The Master Portfolio retains a portion of the securities lending income and remits the remaining portion to BTC as compensation for its services as securities lending agent.
Pursuant to the current securities lending agreement, the Master Portfolio retains 81% of securities lending income (which excludes collateral investment fees), 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 the BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, the Master Portfolio, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 81% of securities lending income (which excludes collateral investment fees), 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 income — affiliated — net in the Statement of Operations. For the six months ended June 30, 2024, the Master Portfolio paid BTC $1,093,499 for securities lending agent services.
Interfund Lending: In accordance with an exemptive order (the “Order”) from the SEC, the Master Portfolio may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Master Portfolio’s investment policies and restrictions. The Master Portfolio is currently permitted to borrow and lend under the Interfund Lending Program.
A lending BlackRock fund may lend in aggregate up to 15% of its net assets but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.
During the period ended June 30, 2024, the Master Portfolio did not participate in the Interfund Lending Program.
Trustees and Officers: Certain trustees and/or officers of the MIP are directors and/or officers of BlackRock or its affiliates.
Other Transactions: The Master Portfolio may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the six months ended June 30, 2024, the purchase and sale transactions and any net realized gains (losses) with affiliated funds in compliance with Rule 17a-7 under the 1940 Act were as follows:
| | | |
Large Cap Index Master Portfolio | | | |
For the six months ended June 30, 2024, purchases and sales of investments, excluding short-term securities, were $1,502,278,279 and $2,206,652,730, respectively.
The Master Portfolio is classified as a partnership for U.S. federal income tax purposes. As such, each investor in the Master Portfolio is treated as the owner of its proportionate share of net assets, income, expenses and realized and unrealized gains and losses of the Master Portfolio. Therefore, no U.S. federal income tax provision is required. It is intended that the Master Portfolio’s assets will be managed so an investor in the Master Portfolio can satisfy the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended.
The Master Portfolio files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Master Portfolio’s U.S. federal tax returns generally remains open for a period of three years after they are filed. The statutes of limitations on the Master Portfolio’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Master Portfolio as of June 30, 2024, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Master Portfolio’s financial statements.
342024 BlackRock Semi-Annual Financial Statements
Notes to Financial Statements (unaudited) (continued)
As of June 30, 2024, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:
| | Gross Unrealized
Appreciation | Gross Unrealized
Depreciation | Net Unrealized
Appreciation
(Depreciation) |
Large Cap Index Master Portfolio | | | | |
MIP, on behalf of the Master Portfolio, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is party to a 364-day, $2.40 billion credit agreement with a group of lenders. Under this agreement, the Master Portfolio may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Master Portfolio, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) Overnight Bank Funding Rate (“OBFR”) (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum, (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 or (c) the sum of (x) Daily Simple Secured Overnight Financing Rate (“SOFR”) (but, in any event, not less than 0.00%) on the date the loan is made plus 0.10% and (y) 0.80% per annum. The agreement expires in April 2025 unless extended or renewed. Prior to April 11, 2024, the aggregate commitment amount was $2.50 billion. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the six months ended June 30, 2024, the Master Portfolio did not borrow under the credit agreement.
In the normal course of business, the Master Portfolio invests in securities or other instruments and may enter into certain transactions, and such activities subject the Master Portfolio to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Master Portfolio and its investments. The Master Portfolio’s prospectus provides details of the risks to which the Master Portfolio is subject.
BFA uses an indexing approach to try to achieve the Master Portfolio’s investment objective. The Master Portfolio is not actively managed, and BFA generally does not attempt to take defensive positions under any market conditions, including declining markets.
The Master Portfolio may be exposed to additional risks when reinvesting cash collateral in money market funds that do not seek to maintain a stable NAV per share of $1.00, which may be subject to discretionary liquidity fees under certain circumstances.
Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Master Portfolio may invest in illiquid investments. An illiquid investment is any investment that the Master Portfolio reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Master Portfolio may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause the Master Portfolio’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of the Master Portfolio may lose value, regardless of the individual results of the securities and other instruments in which the Master Portfolio invests.
The price the Master Portfolio could receive upon the sale of any particular portfolio investment may differ from the Master Portfolio’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore the Master Portfolio’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by the Master Portfolio, and the Master Portfolio could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. The Master Portfolio’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third-party service providers.
Counterparty Credit Risk: The Master Portfolio may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Master Portfolio manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Master Portfolio to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Master Portfolio’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Master Portfolio.
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
Master Portfolio Notes to Financial Statements35
Notes to Financial Statements (unaudited) (continued)
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.
Geographic/Asset Class Risk: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within the Master Portfolio’s portfolio are disclosed in its Schedule of Investments.
The Master Portfolio invests a significant portion of its assets in securities within a single or limited number of market sectors. When a fund concentrates its investments in this manner, it assumes the risk that economic, regulatory, political and social conditions affecting such sectors may have a significant impact on the Master Portfolio and could affect the income from, or the value or liquidity of, the Master Portfolio’s portfolio. Investment percentages in specific sectors are presented in the Schedule of Investments.
The Master Portfolio invests a significant portion of its assets in securities of issuers located in the United States. A decrease in imports or exports, changes in trade regulations, inflation and/or an economic recession in the United States may have a material adverse effect on the U.S. economy and the securities listed on U.S. exchanges. Proposed and adopted policy and legislative changes in the United States may also have a significant effect on U.S. markets generally, as well as on the value of certain securities. Governmental agencies project that the United States will continue to maintain elevated public debt levels for the foreseeable future which may constrain future economic growth. Circumstances could arise that could prevent the timely payment of interest or principal on U.S. government debt, such as reaching the legislative “debt ceiling.” Such non-payment would result in substantial negative consequences for the U.S. economy and the global financial system. If U.S. relations with certain countries deteriorate, it could adversely affect issuers that rely on the United States for trade. The United States has also experienced increased internal unrest and discord. If these trends were to continue, they may have an adverse impact on the U.S. economy and the issuers in which the Master Portfolio invests.
Significant Shareholder Redemption Risk: Certain shareholders may own or manage a substantial amount of fund shares and/or hold their fund investments for a limited period of time. Large redemptions of fund shares by these shareholders may force a fund to sell portfolio securities, which may negatively impact the fund’s NAV, increase the fund’s brokerage costs, and/or accelerate the realization of taxable income/gains and cause the fund to make additional taxable distributions to shareholders.
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.
362024 BlackRock Semi-Annual Financial Statements
Changes in and Disagreements with Accountants
Remuneration Paid to Trustees, Officers, and Others
Compensation to the independent directors/trustees of the Trust and MIP is paid by the Trust and MIP, on behalf of the Fund/Master Portfolio.
Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Fund/Master Portfolio may be found on BlackRock’s website, which can be accessed at blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Fund/Master Portfolio and does not, and is not intended to, incorporate BlackRock’s website in this report.
Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports and prospectuses by enrolling in the electronic delivery program.
To enroll in electronic delivery:
Shareholders Who Hold Accounts with Investment Advisors, Banks or Brokerages:
Please contact your financial advisor. Please note that not all investment advisors, banks or brokerages may offer this service.
Shareholders Who Hold Accounts Directly with BlackRock:
1. Access the BlackRock website at blackrock.com
2. Select “Access Your Account”
3. Next, select “eDelivery” in the “Related Resources” box and follow the sign-up instructions.
BlackRock’s Mutual Fund Family
BlackRock offers a diverse lineup of open-end mutual funds crossing all investment styles and managed by experts in equity, fixed-income and tax-exempt investing. Visit blackrock.com for more information.
Call us at (800) 441-7762 from 8:00 AM to 6:00 PM ET on any business day to get information about your account balances, recent transactions and share prices. You can also visit blackrock.com for more information.
Automatic Investment Plans
Investor class shareholders who want to invest regularly can arrange to have $50 or more automatically deducted from their checking or savings account and invested in any of the BlackRock funds.
Systematic Withdrawal Plans
Investor class shareholders can establish a systematic withdrawal plan and receive periodic payments of $50 or more from their BlackRock funds, as long as their account balance is at least $10,000.
Shareholders may make investments in conjunction with Traditional, Rollover, Roth, Coverdell, Simple IRAs, SEP IRAs and 403(b) Plans.
Additional Information (continued)
Fund and/or MIP Service Providers
Investment Adviser
BlackRock Fund Advisors
San Francisco, CA 94105
BlackRock Advisors, LLC
Wilmington, DE 19809
Accounting Agent and Custodian
State Street Bank and Trust Company
Boston, MA 02114
BNY Mellon Investment Servicing (US) Inc.
Wilmington, DE 19809
Distributor
BlackRock Investments, LLC
New York, NY 10001
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Philadelphia, PA 19103
Sidley Austin LLP
New York, NY 10019
400 Howard Street
San Francisco, CA 94105
382024 BlackRock Semi-Annual Financial Statements
Disclosure of Investment Advisory Agreement
The Board of Trustees of Master Investment Portfolio (the “Master Portfolio”) met on April 16, 2024 (the “April Meeting”) and May 16-17, 2024 (the “May Meeting”) to consider the approval to continue the investment advisory agreement (the “Agreement”) between the Master Portfolio, on behalf of Large Cap Index Master Portfolio (the “Master Fund”) and BlackRock Fund Advisors (the “Manager” or “BlackRock”), the Master Portfolio’s investment advisor. iShares Russell 1000 Large-Cap Index Fund (the “Feeder Fund”), a series of BlackRock Funds III (the “Feeder Trust”), is a “feeder” fund that invests all of its investable assets in the Master Fund. Accordingly, the Board of Trustees of the Feeder Trust also considered the approval of the Agreement with respect to the Master Fund. For simplicity: (a) the Board of Trustees of the Master Portfolio and the Board of Trustees of the Feeder Trust are referred to herein collectively as the “Board,” and the members are referred to as “Board Members”; (b) the shareholders of the Feeder Fund and the interest holders of the Master Fund are referred to as “shareholders”; and (c) the Master Fund and the Feeder Fund are referred to herein together as the “Fund”.
Consistent with the requirements of the Investment Company Act of 1940 (the “1940 Act”), the Board considers the continuation of the Agreement for the Master Portfolio on an annual basis. The Board members who are not “interested persons” of the Master Portfolio, as defined in the 1940 Act, are considered independent Board members (the “Independent Board Members”). The Board’s consideration entailed a year-long deliberative process during which the Board and its committees assessed BlackRock’s various services to the Master Portfolio, including through the review of written materials and oral presentations, and the review of additional information provided in response to requests from the Independent Board Members. The Board had four quarterly meetings per year, each of which extended over a two-day period, as well as additional ad hoc meetings throughout the year, as needed. The committees of the Board similarly met throughout the year. The Board also had an additional one-day meeting to consider specific information regarding the renewal of the Agreement. In considering the renewal of the Agreement, the Board assessed, among other things, the nature, extent and quality of the services provided to the Fund by BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management services; accounting oversight; administrative and shareholder services; oversight of the Fund’s service providers; risk management and oversight; and legal, regulatory and compliance services. Throughout the year, including during the contract renewal process, the Independent Board Members were advised by independent legal counsel, and met with independent legal counsel in various executive sessions outside of the presence of BlackRock’s management.
During the year, the Board, acting directly and through its committees, considers information that was relevant to its annual consideration of the renewal of the Agreement, including the services and support provided by BlackRock to the Master Fund, the Feeder Fund and their shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, and/or since inception periods, as applicable, against peer funds, relevant benchmarks, and other performance metrics, as applicable, as well as BlackRock senior management’s and portfolio managers’ investment performance analyses, and the reasons for any outperformance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Fund for services; (c) the Fund’s operating expenses and how BlackRock allocates expenses to the Fund; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Fund’s investment objective, policies and restrictions, and meeting regulatory requirements; (e) BlackRock’s and the Fund’s adherence to applicable compliance policies and procedures; (f) the nature, character and scope of non-investment management services provided by BlackRock and its affiliates and the estimated cost of such services, as applicable; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) the use of brokerage commissions and execution quality of portfolio transactions; (j) BlackRock’s implementation of the Fund’s valuation and liquidity procedures; (k) an analysis of management fees paid to BlackRock for products with similar investment mandates across the open-end fund, exchange-traded fund (“ETF”), closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to the Fund; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.
Prior to and in preparation for the April Meeting, the Board requested and reviewed materials specifically relating to the renewal of the Agreement. The Independent Board Members continuously engaged in a process with their independent legal counsel and BlackRock to review the nature and scope of the information provided to the Board to better assist its deliberations. The materials provided in connection with the April Meeting included, among other things: (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), based on either a Lipper Classification or Morningstar category, regarding fees and expenses of the Fund, as applicable, as compared with a peer group of funds as determined by Broadridge (“Expense Peers”), and the investment performance of the Fund as compared with a peer group of funds (“Performance Peers”); (b) information on the composition of the Expense Peers and Performance Peers, and a description of Broadridge’s methodology; (c) information on the estimated profits realized by BlackRock and its affiliates pursuant to the Agreement and a discussion of fall-out benefits to BlackRock and its affiliates; (d) a general analysis provided by BlackRock concerning investment management fees received in connection with other types of investment products, such as institutional accounts, sub-advised mutual funds, ETFs, closed-end funds, open-end funds, and separately managed accounts, under similar investment mandates, as well as the performance of such other products, as applicable; (e) a review of non-management fees; (f) the existence, impact and sharing of potential economies of scale, if any, with the Fund; (g) a summary of aggregate amounts paid by the Fund to BlackRock; (h) sales and redemption data regarding the Feeder Fund’s shares; and (i) various additional information requested by the Board as appropriate regarding BlackRock’s, the Fund’s operations.
At the April Meeting, the Board reviewed materials relating to its consideration of the Agreement, and the Independent Board Members presented BlackRock with questions and requests for additional information. BlackRock responded to these questions and requests with additional written information in advance of the May Meeting, and such responses were reviewed by the Board Members.
At the May Meeting, the Board concluded its assessment of, among other things: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Fund as compared to its Performance Peers and to other metrics, as applicable; (c) the advisory fee and the estimated cost of the services and estimated profits realized by BlackRock and its affiliates from their relationship with the Fund; (d) the Fund’s fees and expenses compared to its Expense Peers; (e) the existence and sharing of potential economies of scale; (f) any fall-out benefits to BlackRock and its affiliates as a result of BlackRock’s relationship with the Fund; and (g) other factors deemed relevant by the Board Members.
The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, and BlackRock’s services related to the valuation and pricing of portfolio holdings of the Master Fund. The Board noted the willingness of BlackRock’s
Disclosure of Investment Advisory Agreement39
Disclosure of Investment Advisory Agreement (continued)
personnel to engage in open, candid discussions with the Board. The Board evaluated the information available to it on a fund-by-fund basis. The following paragraphs provide more information about some of the primary factors that were relevant to the Board’s decision. The Board Members did not identify any particular information, or any single factor as determinative, and each Board Member may have attributed different weights to the various items and factors considered.
A. Nature, Extent and Quality of the Services Provided by BlackRock
The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services, and the resulting performance of the Fund. Throughout the year, the Board compared the Fund’s performance to the performance of a comparable group of mutual funds, relevant benchmarks, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by the Fund’s portfolio management team discussing the Fund’s performance and the Fund’s investment strategies and outlook.
The Board considered, among other factors, with respect to BlackRock: the experience of the Fund’s portfolio management team; research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board also considered BlackRock’s overall risk management program, including the continued efforts of BlackRock and its affiliates to address cybersecurity risks and the role of BlackRock’s Risk & Quantitative Analysis Group. The Board engaged in a review of BlackRock’s compensation structure with respect to the Master Fund’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.
In addition to investment advisory services, the Board considered the nature and quality of the administrative and other non-investment advisory services provided to the Fund. BlackRock and its affiliates provide the Fund with certain administrative, shareholder and other services (in addition to any such services provided to the Fund by third parties) and officers and other personnel as are necessary for the operations of the Fund. In particular, BlackRock and its affiliates provide the Fund with administrative services including, among others: (i) responsibility for disclosure documents, such as the prospectus, the summary prospectus (as applicable), the statement of additional information and periodic shareholder reports; (ii) oversight of daily accounting and pricing; (iii) responsibility for periodic filings with regulators; (iv) overseeing and coordinating the activities of third party service providers including, among others, the custodian, fund accountant, transfer agent, and auditor for the Fund, as applicable; (v) organizing Board meetings and preparing the materials for such Board meetings; (vi) providing legal and compliance support; (vii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain open-end funds; and (viii) performing or managing administrative functions necessary for the operation of the Fund, such as tax reporting, expense management, fulfilling regulatory filing requirements, overseeing the Feeder Fund’s distribution partners, and shareholder call center and other services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations. The Board considered the operation of BlackRock’s business continuity plans.
B. The Investment Performance of the Fund
The Board, including the Independent Board Members, reviewed and considered the performance history of the Fund throughout the year and at the April Meeting. The Board noted that the Feeder Fund’s investment results correspond directly to the investment results of the Master Fund. In preparation for the April Meeting, the Board was provided with reports independently prepared by Broadridge, which included an analysis of the Fund’s performance as of December 31, 2023, as compared to its Performance Peers. Broadridge ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. In connection with its review, the Board received and reviewed information regarding the investment performance of the Fund as compared to its Performance Peers and the performance of the Fund as compared with its benchmark. The Board and its Performance Oversight Committee regularly review, and meet with Fund management to discuss, the performance of the Fund, as applicable, throughout the year.
In evaluating performance, the Board focused particular attention on funds with less favorable performance records. The Board also noted that while it found the data provided by Broadridge generally useful, it recognized the limitations of such data, including in particular, that notable differences may exist between a fund and its Performance Peers (for example, the investment objectives and strategies). Further, the Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. The Board also acknowledged that long-term performance could be impacted by even one period of significant outperformance or underperformance and that a single investment theme could have the ability to disproportionately affect long-term performance.
The Board noted that for the one-year period reported, the Fund’s net performance was within the tolerance range of its benchmark. The Board noted that BlackRock believes that net performance relative to the benchmark is an appropriate performance metric for the Fund, and that BlackRock has explained its rationale for this belief to the Board.
C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services and Estimated Profits Realized by BlackRock and its Affiliates from their Relationship with the Fund
The Board, including the Independent Board Members, reviewed the Fund’s contractual management fee rate compared with those of the Fund’s Expense Peers. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared the Fund’s total expense ratio, as well as the Fund’s actual management fee rate, to those of the Fund’s Expense Peers. The total expense ratio represents a fund’s total net operating expenses, including any 12b-1 or non 12b-1 service fees. The total expense ratio gives effect to any expense reimbursements or fee waivers, and the actual management fee rate gives effect to any management fee reimbursements or waivers. The Board considered that the fee and expense information in the Broadridge report for the Fund reflected information for a specific period and that historical asset levels and expenses may differ from current levels, particularly in a period of market volatility. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).
The Board received and reviewed statements relating to BlackRock’s financial condition. The Board reviewed BlackRock’s profitability methodology and was also provided with an estimated profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Fund. The Board reviewed
402024 BlackRock Semi-Annual Financial Statements
Disclosure of Investment Advisory Agreement (continued)
BlackRock’s estimated profitability with respect to the Fund and other funds the Board currently oversees for the year ended December 31, 2023 compared to available aggregate estimated profitability data provided for the prior two years. The Board reviewed BlackRock’s estimated profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the estimated profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at the individual fund level is difficult.
The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly traded asset management firms. The Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.
The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreement and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time and resources, assumption of risk, and liability profile in servicing the Fund, including in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable.
The Board noted that the Fund’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and the Fund’s total expense ratio each ranked in the first quartile relative to the Fund’s Expense Peers. The Board also noted that BlackRock and the Board have contractually agreed to a cap on the Fund’s total expenses as a percentage of the Fund’s average daily net assets on a class-by-class basis.
The Board, including the Independent Board Members, considered the extent to which any economies of scale might benefit the Fund in a variety of ways as the assets of the Fund increase. The Board considered multiple factors, including the advisory fee rate and breakpoints, unitary fee structure, fee waivers, and/or expense caps, as applicable. The Board considered the Fund’s asset levels and whether the current fee schedule was appropriate.
E. Other Factors Deemed Relevant by the Board Members
The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from BlackRock’s respective relationships with the Fund, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and its risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Fund, including for administrative, distribution, securities lending and cash management services. With respect to securities lending, during the year the Board also considered information provided by independent third-party consultants related to the performance of each BlackRock affiliate as securities lending agent. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that, subject to applicable law, BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.
In connection with its consideration of the Agreement, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.
The Board noted the competitive nature of the open-end fund marketplace, and that shareholders are able to redeem their Feeder Fund shares if they believe that the Fund’s fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
At the May Meeting, in a continuation of the discussions that occurred during the April Meeting, and as a culmination of the Board’s year-long deliberative process, the Board of the Master Portfolio, including the Independent Board Members, unanimously approved the continuation of the Agreement between the Manager and the Master Portfolio, on behalf of the Master Fund for a one-year term ending June 30, 2025. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board of the Master Portfolio, including the Independent Board Members, was satisfied that the terms of the Agreement were fair and reasonable and in the best interest of the Master Fund and its shareholders. The Board of the Feeder Trust, including the Independent Board Members, also considered the continuation of the Agreement with respect to the Master Fund and found the Agreement to be satisfactory. In arriving at its decision to approve the Agreement, the Board of the Master Portfolio 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 advised by independent legal counsel throughout the deliberative process.
Disclosure of Investment Advisory Agreement41
Glossary of Terms Used in this Report
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| Morgan Stanley Capital International |
| Real Estate Investment Trust |
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422024 BlackRock Semi-Annual Financial Statements
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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.
June 30, 2024
2024 Semi-Annual Financial Statements (Unaudited) |
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• iShares MSCI Total International Index Fund |
Not FDIC Insured • May Lose Value • No Bank Guarantee |
Derivative Financial Instruments
The Total International ex U.S. Index Master Portfolio (the "Master Portfolio") may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. Pursuant to Rule 18f-4 under the 1940 Act, among other things, the Master Portfolio must either use derivative financial instruments with embedded leverage in a limited manner or comply with an outer limit on fund leverage risk based on value-at-risk. The Master Portfolio’s successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the 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 Notes to Financial Statements.
Derivative Financial Instruments3
Statement of Assets and Liabilities (unaudited)June 30, 2024
| iShares
MSCI Total
International
Index Fund |
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Investments, at value — Master Portfolio | |
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Withdrawals from the Master Portfolio | |
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Income dividend distributions | |
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Commitments and contingent liabilities | |
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42024 BlackRock Semi-Annual Financial Statements
Statement of Assets and Liabilities (unaudited) (continued)June 30, 2024
| iShares
MSCI Total
International
Index Fund |
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See notes to financial statements.
Fund Statement of Assets and Liabilities5
Statement of Operations (unaudited)Six Months Ended June 30, 2024
| iShares
MSCI Total
International
Index Fund |
| |
Net investment income allocated from the Master Portfolio: | |
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Securities lending income — affiliated — net | |
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Transfer agent — class specific | |
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Fees waived and/or reimbursed by the Administrator | |
Transfer agent fees waived and/or reimbursed by the Administrator — class specific | |
Total expenses after fees waived and/or reimbursed | |
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REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM THE MASTER PORTFOLIO | |
Net realized gain (loss) from: | |
Investments — unaffiliated(a) | |
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Foreign currency transactions | |
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Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated(b) | |
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Foreign currency translations | |
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Net realized and unrealized gain | |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | |
(a) Net of foreign capital gain tax and capital gain tax refund, if applicable of | |
(b) Net of reduction in deferred capital gain tax of | |
See notes to financial statements.
62024 BlackRock Semi-Annual Financial Statements
Statements of Changes in Net Assets
| iShares MSCI Total
International Index Fund |
| Six Months Ended
06/30/24
(unaudited) | |
INCREASE (DECREASE) IN NET ASSETS | | |
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Net change in unrealized appreciation (depreciation) | | |
Net increase in net assets resulting from operations | | |
DISTRIBUTIONS TO SHAREHOLDERS(a) | | |
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Decrease in net assets resulting from distributions to shareholders | | |
CAPITAL SHARE TRANSACTIONS | | |
Net increase in net assets derived from capital share transactions | | |
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Total increase in net assets | | |
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| Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
Fund Statements of Changes in Net Assets7
Financial Highlights(For a share outstanding throughout each period)
| iShares MSCI Total International Index Fund |
| |
| Six Months Ended
06/30/24
(unaudited) | | | | | |
|
Net asset value, beginning of period | | | | | | |
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Net realized and unrealized gain (loss) | | | | | | |
Net increase (decrease) from investment operations | | | | | | |
Distributions from net investment income(b) | | | | | | |
Net asset value, end of period | | | | | | |
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Ratios to Average Net Assets(e)(f)(g) | | | | | | |
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Total expenses after fees waived and/or reimbursed | | | | | | |
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| | | | | | |
Net assets, end of period (000) | | | | | | |
Portfolio turnover rate of the Master Portfolio | | | | | | |
| Based on average shares outstanding. |
| Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| Where applicable, assumes the reinvestment of distributions. |
| |
| Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income. |
| Includes the Fund’s share of the Master Portfolio’s allocated fees waived of less than 0.01%. |
| Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| |
| Includes recoupment of past waived and/or reimbursed fees with no financial impact to the expense ratio. |
See notes to financial statements.
82024 BlackRock Semi-Annual Financial Statements
Financial Highlights (continued)(For a share outstanding throughout each period)
| iShares MSCI Total International Index Fund (continued) |
| |
| Six Months Ended
06/30/24
(unaudited) | | | | | |
|
Net asset value, beginning of period | | | | | | |
| | | | | | |
Net realized and unrealized gain (loss) | | | | | | |
Net increase (decrease) from investment operations | | | | | | |
Distributions from net investment income(b) | | | | | | |
Net asset value, end of period | | | | | | |
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Ratios to Average Net Assets(e)(f)(g) | | | | | | |
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Total expenses after fees waived and/or reimbursed | | | | | | |
| | | | | | |
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Net assets, end of period (000) | | | | | | |
Portfolio turnover rate of the Master Portfolio | | | | | | |
| Based on average shares outstanding. |
| Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| Where applicable, assumes the reinvestment of distributions. |
| |
| Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income. |
| Includes the Fund’s share of the Master Portfolio’s allocated fees waived of less than 0.01%. |
| Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| |
| Includes recoupment of past waived and/or reimbursed fees with no financial impact to the expense ratio. |
See notes to financial statements.
Fund Financial Highlights9
Financial Highlights (continued)(For a share outstanding throughout each period)
| iShares MSCI Total International Index Fund (continued) |
| |
| Six Months Ended
06/30/24
(unaudited) | | | | | |
|
Net asset value, beginning of period | | | | | | |
| | | | | | |
Net realized and unrealized gain (loss) | | | | | | |
Net increase (decrease) from investment operations | | | | | | |
Distributions from net investment income(b) | | | | | | |
Net asset value, end of period | | | | | | |
| | | | | | |
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Ratios to Average Net Assets(e)(f)(g) | | | | | | |
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Total expenses after fees waived and/or reimbursed | | | | | | |
| | | | | | |
| | | | | | |
Net assets, end of period (000) | | | | | | |
Portfolio turnover rate of the Master Portfolio | | | | | | |
| Based on average shares outstanding. |
| Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| Where applicable, assumes the reinvestment of distributions. |
| |
| Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income. |
| Includes the Fund’s share of the Master Portfolio’s allocated fees waived of less than 0.01%. |
| Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| |
| Includes recoupment of past waived and/or reimbursed fees with no financial impact to the expense ratio. |
See notes to financial statements.
102024 BlackRock Semi-Annual Financial Statements
Notes to Financial Statements (unaudited)
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. iShares MSCI Total International Index Fund (the “Fund”) is a series of the Trust. The Fund is classified as diversified.
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”), a series of Master Investment Portfolio (“MIP”) and an affiliate of the Trust, 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 June 30, 2024, the percentage of the Master Portfolio owned by the Fund was 100.0%. 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 certain classes bear expenses related to the shareholder servicing and distribution of such shares. Institutional and Class K Shares are sold only to certain eligible investors. Investor A Shares bear certain expenses related to shareholder servicing of such shares. 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.
| | | |
Institutional, Investor A and Class K Shares | | | |
The Board of Trustees of the Trust and Board of Trustees of MIP are referred to throughout this report as the “Board” and the members are referred to as “Trustees.”
The Fund, 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 funds referred to as the BlackRock Multi-Asset Complex.
2.
SIGNIFICANT ACCOUNTING POLICIES
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, contributions to and withdrawals from the Master Portfolio are accounted for on a trade date basis. The Fund records its proportionate share of the Master Portfolio’s income, expenses and realized and unrealized gains and losses on a daily basis. Realized and unrealized gains and losses are adjusted utilizing partnership tax allocation rules. 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 dates. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
Indemnifications: In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against the Fund, which cannot be predicted with any certainty.
Other: Expenses directly related to the Fund or its classes are charged to the Fund or the applicable class. Expenses directly related to the Fund and other shared expenses prorated to the Fund are allocated daily to each class based on its relative net assets or other appropriate methods. Other operating expenses shared by several funds, including other funds managed by BlackRock Advisors, LLC (“BAL” or the “Administrator”), are prorated among those funds on the basis of relative net assets or other appropriate methods.
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
Administration: The Trust, on behalf of the Fund, entered into an Administration Agreement with the Administrator, an indirect, wholly-owned subsidiary of BlackRock, Inc. (“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 net assets of the Fund. The Fund does not pay an investment advisory fee or investment management fee.
Service Fees: 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 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.
Fund Notes to Financial Statements11
Notes to Financial Statements (unaudited) (continued)
BRIL and broker-dealers, pursuant to sub-agreements with BRIL, provide shareholder servicing to the Fund. The ongoing service fee compensates BRIL and each broker-dealer for providing shareholder servicing related services to shareholders.
For the six months ended June 30, 2024, the class specific service fees borne directly by Investor A Shares were $62,836.
Transfer Agent: Pursuant to written agreements, certain financial intermediaries, some of which may be affiliates, provide the Fund with sub-accounting, recordkeeping, sub-transfer agency and other administrative services with respect to servicing of underlying investor accounts. For these services, these entities receive an asset-based fee or an annual fee per shareholder account, which will vary depending on share class and/or net assets. For the six months ended June 30, 2024, the Fund did not pay any amounts to affiliates in return for these services.
The Administrator maintains a call center that is responsible for providing certain shareholder services to the Fund. Shareholder services include responding to inquiries and processing purchases and sales based upon instructions from shareholders. For the six months ended June 30, 2024, the 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 Statement of Operations:
For the six months ended June 30, 2024, the following table shows the class specific transfer agent fees borne directly by each share class of the Fund:
| | | | |
Transfer agent fees — class specific | | | | |
Expense Limitations, Waivers and Reimbursements: With respect to the Fund, the Administrator and the Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Fund’s business (“expense limitation”). The expense limitations as a percentage of average daily net assets are as follows:
The Administrator and the Manager have agreed not to reduce or discontinue these contractual expense limitations through June 30, 2025, unless approved by the Board, including a majority of the trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), or by a vote of a majority of the outstanding voting securities of the Fund. This amount is included in fees waived and/or reimbursed by the Administrator in the Statement of Operations. During the six months ended June 30, 2024, the Administrator waived $1,199 pursuant to this agreement.
In addition, these amounts waived and/or reimbursed by the Administrator are included in transfer agent fees waived and/or reimbursed-class specific by the Administrator in the Statement of Operations. For the six months ended June 30, 2024, class specific expense waivers and/or reimbursements were as follows:
| | | | |
Transfer agent fees waived and/or reimbursed by the Administrator — class specific | | | | |
Interfund Lending: In accordance with an exemptive order (the “Order”) from the U.S. Securities and Exchange Commission (“SEC”), the Fund may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Fund’s investment policies and restrictions. The Fund is currently permitted to borrow and lend under the Interfund Lending Program.
A lending BlackRock fund may lend in aggregate up to 15% of its net assets but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.
During the period ended June 30, 2024, the Fund did not participate in the Interfund Lending Program.
Trustees and Officers: Certain trustees and/or officers of the Fund are directors and/or officers of BlackRock or its affiliates. The Fund reimburses the Administrator for a portion of the compensation paid to the Fund’s Chief Compliance Officer, which is included in Trustees and Officer in the Master Portfolio’s Statement of Operations.
It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
122024 BlackRock Semi-Annual Financial Statements
Notes to Financial Statements (unaudited) (continued)
The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s U.S. federal tax returns generally remains open for a period of three years after they are filed. The statutes of limitations on the Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Fund as of June 30, 2024, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Fund’s financial statements.
As of December 31, 2023, the Fund had non-expiring capital loss carryforwards available to offset future realized capital gains as follows:
| Non-Expiring
Capital Loss
Carryforwards |
iShares MSCI Total International Index Fund | |
6.
CAPITAL SHARE TRANSACTIONS
Transactions in capital shares for each class were as follows:
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iShares MSCI Total International Index Fund | | | | |
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Shares issued in reinvestment of distributions | | | | |
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Shares issued in reinvestment of distributions | | | | |
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Shares issued in reinvestment of distributions | | | | |
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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.
Fund Notes to Financial Statements13
Schedule of Investments (unaudited)June 30, 2024
Total International ex U.S. Index Master Portfolio(Percentages shown are based on Net Assets)
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Commonwealth Bank of Australia | | | |
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Endeavour Group Ltd./Australia | | | |
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Insurance Australia Group Ltd. | | | |
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National Australia Bank Ltd. | | | |
Northern Star Resources Ltd. | | | |
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Seven Group Holdings Ltd. | | | |
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Treasury Wine Estates Ltd. | | | |
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Washington H Soul Pattinson & Co. Ltd. | | | |
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Woodside Energy Group Ltd. | | | |
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Groupe Bruxelles Lambert NV | | | |
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B3 SA - Brasil Bolsa Balcao | | | |
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BB Seguridade Participacoes SA | | | |
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Caixa Seguridade Participacoes S/A | | | |
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Centrais Eletricas Brasileiras SA | | | |
Cia de Saneamento Basico do Estado de Sao Paulo | | | |
Cia Siderurgica Nacional SA | | | |
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Hapvida Participacoes e Investimentos SA(c)(d) | | | |
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Klabin SA, Preference Shares | | | |
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Sendas Distribuidora S/A(c) | | | |
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Ultrapar Participacoes SA | | | |
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142024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
Total International ex U.S. Index Master Portfolio(Percentages shown are based on Net Assets)
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Wheaton Precious Metals Corp. | | | |
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Alimentation Couche-Tard, Inc. | | | |
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Brookfield Asset Management Ltd., Class A | | | |
Brookfield Corp., Class A | | | |
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Canadian Apartment Properties REIT(b) | | | |
Canadian Imperial Bank of Commerce(b) | | | |
Canadian National Railway Co. | | | |
Canadian Natural Resources Ltd. | | | |
Canadian Pacific Kansas City Ltd. | | | |
Canadian Tire Corp. Ltd., Class A(b) | | | |
Canadian Utilities Ltd., Class A | | | |
CCL Industries, Inc., Class B | | | |
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Constellation Software, Inc./Canada | | | |
Descartes Systems Group, Inc.(c) | | | |
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Element Fleet Management Corp. | | | |
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Fairfax Financial Holdings Ltd. | | | |
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Gildan Activewear, Inc., Class A | | | |
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Ivanhoe Mines Ltd., Class A(b)(c) | | | |
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Magna International, Inc.(b) | | | |
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National Bank of Canada(b) | | | |
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Pan American Silver Corp. | | | |
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Restaurant Brands International, Inc. | | | |
RioCan Real Estate Investment Trust(b) | | | |
Rogers Communications, Inc., Class B | | | |
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Shopify, Inc., Class A(c) | | | |
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Teck Resources Ltd., Class B(c) | | | |
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West Fraser Timber Co. Ltd. | | | |
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Banco de Credito e Inversiones SA | | | |
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Cia Sud Americana de Vapores SA | | | |
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360 Security Technology, Inc., Class A | | | |
37 Interactive Entertainment Network Technology Group Co. Ltd., Class A | | | |
AAC Technologies Holdings, Inc. | | | |
Advanced Micro-Fabrication Equipment, Inc. China, Class A | | | |
AECC Aviation Power Co. Ltd., Class A | | | |
Agricultural Bank of China Ltd., Class A | | | |
Agricultural Bank of China Ltd., Class H | | | |
Aier Eye Hospital Group Co. Ltd., Class A | | | |
Air China Ltd., Class A(c) | | | |
Airtac International Group | | | |
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Alibaba Group Holding Ltd. | | | |
Alibaba Health Information Technology Ltd.(b)(c) | | | |
Aluminum Corp. of China Ltd., Class A | | | |
Aluminum Corp. of China Ltd., Class H | | | |
Angel Yeast Co. Ltd., Class A | | | |
Anhui Conch Cement Co. Ltd., Class A | | | |
Master Portfolio Schedule of Investments15
Schedule of Investments (unaudited)(continued)June 30, 2024
Total International ex U.S. Index Master Portfolio(Percentages shown are based on Net Assets)
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Anhui Conch Cement Co. Ltd., Class H | | | |
Anhui Gujing Distillery Co. Ltd., Class A | | | |
Anhui Gujing Distillery Co. Ltd., Class B | | | |
ANTA Sports Products Ltd. | | | |
Asymchem Laboratories Tianjin Co. Ltd., Class A | | | |
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AviChina Industry & Technology Co. Ltd., Class H | | | |
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Bank of Beijing Co. Ltd., Class A | | | |
Bank of Chengdu Co. Ltd., Class A | | | |
Bank of China Ltd., Class A | | | |
Bank of China Ltd., Class H | | | |
Bank of Communications Co. Ltd., Class A | | | |
Bank of Communications Co. Ltd., Class H | | | |
Bank of Jiangsu Co. Ltd., Class A | | | |
Bank of Nanjing Co. Ltd., Class A | | | |
Bank of Ningbo Co. Ltd., Class A | | | |
Bank of Shanghai Co. Ltd., Class A | | | |
Baoshan Iron & Steel Co. Ltd., Class A | | | |
| | | |
Beijing Enterprises Holdings Ltd. | | | |
Beijing Enterprises Water Group Ltd. | | | |
Beijing Kingsoft Office Software, Inc., Class A | | | |
Beijing Tongrentang Co. Ltd., Class A | | | |
Beijing Wantai Biological Pharmacy Enterprise Co. Ltd., Class A | | | |
Beijing-Shanghai High Speed Railway Co. Ltd., Class A | | | |
Bilibili, Inc., Class Z(c) | | | |
| | | |
BOC Hong Kong Holdings Ltd. | | | |
BOE Technology Group Co. Ltd., Class A | | | |
Bosideng International Holdings Ltd. | | | |
Brilliance China Automotive Holdings Ltd. | | | |
| | | |
| | | |
BYD Electronic International Co. Ltd. | | | |
C&D International Investment Group Ltd.(b) | | | |
Cambricon Technologies Corp. Ltd., Class A(c) | | | |
CGN Power Co. Ltd., Class A | | | |
CGN Power Co. Ltd., Class H(d) | | | |
Changchun High & New Technology Industry Group, Inc., Class A | | | |
Chaozhou Three-Circle Group Co. Ltd., Class A | | | |
China CITIC Bank Corp. Ltd., Class H | | | |
China Coal Energy Co. Ltd., Class H | | | |
China Communications Services Corp. Ltd., Class H | | | |
China Construction Bank Corp., Class H | | | |
China CSSC Holdings Ltd., Class A | | | |
China Energy Engineering Corp. Ltd., Class A | | | |
China Everbright Bank Co. Ltd., Class A | | | |
| | | |
China Galaxy Securities Co. Ltd., Class A | | | |
China Galaxy Securities Co. Ltd., Class H | | | |
| | | |
China Hongqiao Group Ltd. | | | |
China International Capital Corp. Ltd., Class A | | | |
China International Capital Corp. Ltd., Class H(d) | | | |
China Life Insurance Co. Ltd., Class A | | | |
China Life Insurance Co. Ltd., Class H | | | |
China Literature Ltd.(c)(d) | | | |
China Longyuan Power Group Corp. Ltd., Class H | | | |
China Mengniu Dairy Co. Ltd. | | | |
| | | |
| |
China Merchants Bank Co. Ltd., Class A | | | |
China Merchants Bank Co. Ltd., Class H | | | |
China Merchants Energy Shipping Co. Ltd., Class A | | | |
China Merchants Port Holdings Co. Ltd. | | | |
China Merchants Securities Co. Ltd., Class A | | | |
China Merchants Shekou Industrial Zone Holdings Co. Ltd., Class A | | | |
China Minsheng Banking Corp. Ltd., Class A | | | |
China Minsheng Banking Corp. Ltd., Class H | | | |
China National Building Material Co. Ltd., Class H | | | |
China National Nuclear Power Co. Ltd., Class A | | | |
China Northern Rare Earth Group High-Tech Co. Ltd., Class A | | | |
China Oilfield Services Ltd., Class H | | | |
China Overseas Land & Investment Ltd. | | | |
China Pacific Insurance Group Co. Ltd., Class A | | | |
China Pacific Insurance Group Co. Ltd., Class H | | | |
China Petroleum & Chemical Corp., Class A | | | |
China Petroleum & Chemical Corp., Class H | | | |
China Power International Development Ltd.(b) | | | |
China Railway Group Ltd., Class A | | | |
China Railway Group Ltd., Class H | | | |
China Resources Beer Holdings Co. Ltd. | | | |
China Resources Gas Group Ltd. | | | |
China Resources Land Ltd. | | | |
China Resources Mixc Lifestyle Services Ltd.(b)(d) | | | |
China Resources Pharmaceutical Group Ltd.(d) | | | |
China Resources Power Holdings Co. Ltd. | | | |
China Resources Sanjiu Medical & Pharmaceutical Co. Ltd., Class A | | | |
China Ruyi Holdings Ltd.(c) | | | |
China Shenhua Energy Co. Ltd., Class A | | | |
China Shenhua Energy Co. Ltd., Class H | | | |
China Southern Airlines Co. Ltd., Class A(c) | | | |
China State Construction Engineering Corp. Ltd., Class A | | | |
China State Construction International Holdings Ltd. | | | |
China Taiping Insurance Holdings Co. Ltd. | | | |
China Three Gorges Renewables Group Co. Ltd., Class A | | | |
China Tourism Group Duty Free Corp. Ltd., Class A | | | |
China Tourism Group Duty Free Corp. Ltd., Class H(b)(d) | | | |
China Tower Corp. Ltd., Class H(d) | | | |
China United Network Communications Ltd., Class A | | | |
China Vanke Co. Ltd., Class A | | | |
China Vanke Co. Ltd., Class H(b) | | | |
China Yangtze Power Co. Ltd., Class A | | | |
China Zheshang Bank Co. Ltd., Class A | | | |
Chongqing Changan Automobile Co. Ltd., Class A | | | |
Chongqing Zhifei Biological Products Co. Ltd., Class A | | | |
Chow Tai Fook Jewellery Group Ltd.(b) | | | |
| | | |
CITIC Securities Co. Ltd., Class A | | | |
CITIC Securities Co. Ltd., Class H | | | |
| | | |
| | | |
Contemporary Amperex Technology Co. Ltd., Class A | | | |
COSCO SHIPPING Energy Transportation Co. Ltd., Class A | | | |
COSCO SHIPPING Energy Transportation Co. Ltd., Class H | | | |
162024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
Total International ex U.S. Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
| |
COSCO SHIPPING Holdings Co. Ltd., Class A | | | |
COSCO SHIPPING Holdings Co. Ltd., Class H | | | |
Country Garden Holdings Co. Ltd.(b)(c)(e) | | | |
| | | |
| | | |
CSC Financial Co. Ltd., Class A | | | |
CSPC Pharmaceutical Group Ltd. | | | |
Daqin Railway Co. Ltd., Class A | | | |
East Money Information Co. Ltd., Class A | | | |
Ecovacs Robotics Co. Ltd., Class A | | | |
| | | |
Eve Energy Co. Ltd., Class A | | | |
Everbright Securities Co. Ltd., Class A | | | |
| | | |
Flat Glass Group Co. Ltd., Class A | | | |
Flat Glass Group Co. Ltd., Class H | | | |
Focus Media Information Technology Co. Ltd., Class A | | | |
Foshan Haitian Flavouring & Food Co. Ltd., Class A | | | |
| | | |
Founder Securities Co. Ltd., Class A | | | |
Foxconn Industrial Internet Co. Ltd., Class A | | | |
Fuyao Glass Industry Group Co. Ltd., Class A | | | |
Fuyao Glass Industry Group Co. Ltd., Class H(d) | | | |
Ganfeng Lithium Group Co. Ltd., Class A | | | |
Ganfeng Lithium Group Co. Ltd., Class H(b)(d) | | | |
GCL Technology Holdings Ltd. | | | |
GD Power Development Co. Ltd., Class A | | | |
Geely Automobile Holdings Ltd. | | | |
Genscript Biotech Corp.(b)(c) | | | |
GF Securities Co. Ltd., Class A | | | |
GF Securities Co. Ltd., Class H | | | |
Giant Biogene Holding Co. Ltd.(d) | | | |
GigaDevice Semiconductor, Inc., Class A(c) | | | |
Ginlong Technologies Co. Ltd., Class A | | | |
| | | |
Goldwind Science & Technology Co. Ltd., Class A | | | |
Gotion High-tech Co. Ltd., Class A | | | |
Great Wall Motor Co. Ltd., Class A | | | |
Great Wall Motor Co. Ltd., Class H | | | |
Gree Electric Appliances, Inc. of Zhuhai, Class A | | | |
Guangdong Haid Group Co. Ltd., Class A | | | |
Guangdong Investment Ltd. | | | |
Guangzhou Automobile Group Co. Ltd., Class A | | | |
Guangzhou Automobile Group Co. Ltd., Class H | | | |
Guangzhou Shiyuan Electronic Technology Co. Ltd., Class A | | | |
Guangzhou Tinci Materials Technology Co. Ltd., Class A | | | |
Guosen Securities Co. Ltd., Class A | | | |
Guotai Junan Securities Co. Ltd., Class A | | | |
H World Group Ltd., ADR(b) | | | |
Haidilao International Holding Ltd.(d) | | | |
Haier Smart Home Co. Ltd., Class A | | | |
Haier Smart Home Co. Ltd., Class H | | | |
Haitian International Holdings Ltd. | | | |
Haitong Securities Co. Ltd., Class A | | | |
Haitong Securities Co. Ltd., Class H | | | |
Hangzhou First Applied Material Co. Ltd., Class A | | | |
Hangzhou Silan Microelectronics Co. Ltd., Class A(c) | | | |
Hansoh Pharmaceutical Group Co. Ltd.(d) | | | |
Henan Shuanghui Investment & Development Co. Ltd., Class A | | | |
| | | |
| |
Hengan International Group Co. Ltd. | | | |
Hengli Petrochemical Co. Ltd., Class A | | | |
Hisense Home Appliances Group Co. Ltd., Class H | | | |
Hithink RoyalFlush Information Network Co. Ltd., Class A | | | |
Horizon Construction Development Ltd.(b)(c) | | | |
Hoshine Silicon Industry Co. Ltd., Class A | | | |
Hua Hong Semiconductor Ltd.(d) | | | |
Huadian Power International Corp. Ltd., Class A | | | |
Huadong Medicine Co. Ltd., Class A | | | |
Huaibei Mining Holdings Co. Ltd., Class A | | | |
Hualan Biological Engineering, Inc., Class A | | | |
Huaneng Power International, Inc., Class A(c) | | | |
Huaneng Power International, Inc., Class H(c) | | | |
Huatai Securities Co. Ltd., Class A | | | |
Huatai Securities Co. Ltd., Class H(d) | | | |
Huaxia Bank Co. Ltd., Class A | | | |
Huayu Automotive Systems Co. Ltd., Class A | | | |
Huizhou Desay Sv Automotive Co. Ltd., Class A | | | |
Hunan Valin Steel Co. Ltd., Class A | | | |
Hundsun Technologies, Inc., Class A | | | |
Hygeia Healthcare Holdings Co. Ltd.(d) | | | |
Hygon Information Technology Co. Ltd., Class A | | | |
IEIT Systems Co. Ltd., Class A | | | |
Iflytek Co. Ltd., Class A | | | |
Imeik Technology Development Co. Ltd., Class A | | | |
Industrial & Commercial Bank of China Ltd., Class A | | | |
Industrial & Commercial Bank of China Ltd., Class H | | | |
Industrial Bank Co. Ltd., Class A | | | |
Inner Mongolia BaoTou Steel Union Co. Ltd., Class A(c) | | | |
Inner Mongolia Yili Industrial Group Co. Ltd., Class A | | | |
Inner Mongolia Yitai Coal Co. Ltd., Class B | | | |
Innovent Biologics, Inc.(c)(d) | | | |
| | | |
Isoftstone Information Technology Group Co. Ltd., Class A | | | |
JA Solar Technology Co. Ltd., Class A | | | |
JD Health International, Inc.(c)(d) | | | |
| | | |
| | | |
Jiangsu Eastern Shenghong Co. Ltd., Class A | | | |
Jiangsu Expressway Co. Ltd., Class H | | | |
Jiangsu Hengli Hydraulic Co. Ltd., Class A | | | |
Jiangsu Hengrui Pharmaceuticals Co. Ltd., Class A | | | |
Jiangsu Yanghe Brewery Joint-Stock Co. Ltd., Class A | | | |
Jiangsu Zhongtian Technology Co. Ltd., Class A | | | |
Jiangxi Copper Co. Ltd., Class H | | | |
Jinko Solar Co. Ltd., Class A | | | |
| | | |
KE Holdings, Inc., ADR(b) | | | |
Kingdee International Software Group Co. Ltd.(c) | | | |
| | | |
Kuaishou Technology(c)(d) | | | |
| | | |
Kunlun Tech Co. Ltd., Class A | | | |
Kweichow Moutai Co. Ltd., Class A | | | |
| | | |
Lens Technology Co. Ltd., Class A | | | |
Li Auto, Inc., Class A(c) | | | |
| | | |
Lingyi iTech Guangdong Co., Class A | | | |
Master Portfolio Schedule of Investments17
Schedule of Investments (unaudited)(continued)June 30, 2024
Total International ex U.S. Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
| |
Longfor Group Holdings Ltd.(d) | | | |
LONGi Green Energy Technology Co. Ltd., Class A | | | |
Luxshare Precision Industry Co. Ltd., Class A | | | |
Luzhou Laojiao Co. Ltd., Class A | | | |
Mango Excellent Media Co. Ltd., Class A | | | |
Maxscend Microelectronics Co. Ltd., Class A | | | |
| | | |
Metallurgical Corp. of China Ltd., Class A | | | |
Midea Group Co. Ltd., Class A | | | |
MINISO Group Holding Ltd. | | | |
Montage Technology Co. Ltd., Class A | | | |
Muyuan Foods Co. Ltd., Class A | | | |
NARI Technology Co. Ltd., Class A | | | |
NAURA Technology Group Co. Ltd., Class A | | | |
| | | |
New China Life Insurance Co. Ltd., Class A | | | |
New China Life Insurance Co. Ltd., Class H | | | |
New Hope Liuhe Co. Ltd., Class A(c) | | | |
New Oriental Education & Technology Group, Inc.(c) | | | |
Ninestar Corp., Class A(c) | | | |
Ningbo Tuopu Group Co. Ltd., Class A | | | |
Ningxia Baofeng Energy Group Co. Ltd., Class A | | | |
| | | |
Nongfu Spring Co. Ltd., Class H(d) | | | |
Orient Securities Co. Ltd./China, Class A | | | |
PDD Holdings, Inc., ADR(b)(c) | | | |
People’s Insurance Co. Group of China Ltd., Class H | | | |
PetroChina Co. Ltd., Class H | | | |
PICC Property & Casualty Co. Ltd., Class H | | | |
Ping An Bank Co. Ltd., Class A | | | |
Ping An Insurance Group Co. of China Ltd., Class A | | | |
Ping An Insurance Group Co. of China Ltd., Class H | | | |
Poly Developments & Holdings Group Co. Ltd., Class A | | | |
Pop Mart International Group Ltd.(d) | | | |
Postal Savings Bank of China Co. Ltd., Class A | | | |
Postal Savings Bank of China Co. Ltd., Class H(b)(d) | | | |
Power Construction Corp. of China Ltd., Class A | | | |
| | | |
Qifu Technology, Inc., ADR | | | |
Qinghai Salt Lake Industry Co. Ltd., Class A(c) | | | |
Rongsheng Petrochemical Co. Ltd., Class A | | | |
SAIC Motor Corp. Ltd., Class A | | | |
Sanan Optoelectronics Co. Ltd., Class A | | | |
Sangfor Technologies, Inc., Class A | | | |
Sany Heavy Industry Co. Ltd., Class A | | | |
SDIC Power Holdings Co. Ltd., Class A | | | |
Seres Group Co. Ltd., Class A(c) | | | |
SF Holding Co. Ltd., Class A | | | |
| | | |
Shaanxi Coal Industry Co. Ltd., Class A | | | |
Shandong Gold Mining Co. Ltd., Class A | | | |
Shandong Gold Mining Co. Ltd., Class H(d) | | | |
Shandong Himile Mechanical Science & Technology Co. Ltd., Class A | | | |
Shandong Hualu Hengsheng Chemical Co. Ltd., Class A | | | |
Shandong Weigao Group Medical Polymer Co. Ltd., Class H | | | |
Shanghai Baosight Software Co. Ltd., Class A | | | |
Shanghai Baosight Software Co. Ltd., Class B | | | |
Shanghai Fosun Pharmaceutical Group Co. Ltd., Class A | | | |
| | | |
| |
Shanghai International Airport Co. Ltd., Class A(c) | | | |
Shanghai M&G Stationery, Inc., Class A | | | |
Shanghai Pharmaceuticals Holding Co. Ltd., Class H | | | |
Shanghai Pudong Development Bank Co. Ltd., Class A | | | |
Shanghai Putailai New Energy Technology Co. Ltd., Class A | | | |
Shanghai United Imaging Healthcare Co. Ltd., Class A | | | |
Shanxi Coal International Energy Group Co. Ltd., Class A | | | |
Shanxi Coking Coal Energy Group Co. Ltd., Class A | | | |
Shanxi Xinghuacun Fen Wine Factory Co. Ltd., Class A | | | |
Shengyi Technology Co. Ltd., Class A | | | |
Shenwan Hongyuan Group Co. Ltd., Class A | | | |
Shenzhen Inovance Technology Co. Ltd., Class A | | | |
Shenzhen Kangtai Biological Products Co. Ltd., Class A | | | |
Shenzhen Mindray Bio-Medical Electronics Co. Ltd., Class A | | | |
Shenzhen New Industries Biomedical Engineering Co. Ltd., Class A | | | |
Shenzhen Transsion Holdings Co. Ltd., Class A | | | |
Shenzhou International Group Holdings Ltd. | | | |
Shijiazhuang Yiling Pharmaceutical Co. Ltd., Class A | | | |
Sichuan Chuantou Energy Co. Ltd., Class A | | | |
| | | |
Sinopharm Group Co. Ltd., Class H | | | |
| | | |
SITC International Holdings Co. Ltd. | | | |
Smoore International Holdings Ltd.(b)(d) | | | |
Sungrow Power Supply Co. Ltd., Class A | | | |
Sunny Optical Technology Group Co. Ltd. | | | |
Sunwoda Electronic Co. Ltd., Class A | | | |
Suzhou Maxwell Technologies Co. Ltd., Class A | | | |
Suzhou TFC Optical Communication Co. Ltd., Class A | | | |
TAL Education Group, ADR(c) | | | |
| | | |
TCL Technology Group Corp., Class A | | | |
TCL Zhonghuan Renewable Energy Technology Co. Ltd., Class A | | | |
| | | |
Tencent Music Entertainment Group, ADR(b) | | | |
Thunder Software Technology Co. Ltd., Class A | | | |
Tianqi Lithium Corp., Class A | | | |
Tingyi Cayman Islands Holding Corp. | | | |
Tongcheng Travel Holdings Ltd. | | | |
Tongwei Co. Ltd., Class A | | | |
Topsports International Holdings Ltd.(d) | | | |
TravelSky Technology Ltd., Class H | | | |
Trina Solar Co. Ltd., Class A | | | |
| | | |
Tsingtao Brewery Co. Ltd., Class H | | | |
Unigroup Guoxin Microelectronics Co. Ltd., Class A | | | |
Unisplendour Corp. Ltd., Class A | | | |
Vipshop Holdings Ltd., ADR | | | |
Walvax Biotechnology Co. Ltd., Class A | | | |
Wanhua Chemical Group Co. Ltd., Class A | | | |
Want Want China Holdings Ltd. | | | |
Weichai Power Co. Ltd., Class A | | | |
Weichai Power Co. Ltd., Class H | | | |
182024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
Total International ex U.S. Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
| |
Wens Foodstuffs Group Co. Ltd., Class A | | | |
| | | |
Will Semiconductor Co. Ltd. Shanghai, Class A | | | |
Wilmar International Ltd. | | | |
Wingtech Technology Co. Ltd., Class A(c) | | | |
Wuchan Zhongda Group Co. Ltd., Class A | | | |
Wuliangye Yibin Co. Ltd., Class A | | | |
WuXi AppTec Co. Ltd., Class A | | | |
WuXi AppTec Co. Ltd., Class H(d) | | | |
Wuxi Biologics Cayman, Inc.(c)(d) | | | |
Xiaomi Corp., Class B(c)(d) | | | |
Xinyi Solar Holdings Ltd. | | | |
| | | |
Yadea Group Holdings Ltd.(d) | | | |
Yankuang Energy Group Co. Ltd., Class A | | | |
Yankuang Energy Group Co. Ltd., Class H | | | |
Yealink Network Technology Corp. Ltd., Class A | | | |
Yihai Kerry Arawana Holdings Co. Ltd., Class A | | | |
Yonyou Network Technology Co. Ltd., Class A(c) | | | |
Yum China Holdings, Inc.(b) | | | |
Yunnan Baiyao Group Co. Ltd., Class A | | | |
Yunnan Energy New Material Co. Ltd., Class A | | | |
Zhangzhou Pientzehuang Pharmaceutical Co. Ltd., Class A | | | |
Zhaojin Mining Industry Co. Ltd., Class H | | | |
Zhejiang Chint Electrics Co. Ltd., Class A | | | |
Zhejiang Dahua Technology Co. Ltd., Class A | | | |
Zhejiang Expressway Co. Ltd., Class H | | | |
Zhejiang Huayou Cobalt Co. Ltd., Class A | | | |
Zhejiang Jingsheng Mechanical & Electrical Co. Ltd., Class A | | | |
Zhejiang Leapmotor Technology Co. Ltd., Class H(c)(d) | | | |
Zhejiang NHU Co. Ltd., Class A | | | |
Zheshang Securities Co. Ltd., Class A | | | |
Zhongji Innolight Co. Ltd., Class A | | | |
Zhongsheng Group Holdings Ltd. | | | |
Zhongtai Securities Co. Ltd., Class A | | | |
Zhuzhou CRRC Times Electric Co. Ltd., Class A | | | |
Zhuzhou CRRC Times Electric Co. Ltd., Class H | | | |
Zijin Mining Group Co. Ltd., Class A | | | |
Zijin Mining Group Co. Ltd., Class H | | | |
| | | |
ZTO Express Cayman, Inc., ADR(b) | | | |
| | | |
| |
| | | |
Interconexion Electrica SA ESP | | | |
| | | |
| |
| | | |
| | | |
| | | |
| | | |
| |
AP Moller - Maersk A/S, Class A | | | |
AP Moller - Maersk A/S, Class B | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
| | | |
| | | |
Novo Nordisk A/S, Class B | | | |
Novonesis (Novozymes) B, Class B | | | |
| | | |
| | | |
| | | |
| | | |
Vestas Wind Systems A/S(c) | | | |
| | | |
| |
Commercial International Bank - Egypt | | | |
| |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Cie Generale des Etablissements Michelin SCA | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Master Portfolio Schedule of Investments19
Schedule of Investments (unaudited)(continued)June 30, 2024
Total International ex U.S. Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
| |
La Francaise des Jeux SAEM, Class A(d) | | | |
| | | |
| | | |
LVMH Moet Hennessy Louis Vuitton SE | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Unibail-Rodamco-Westfield | | | |
| | | |
| | | |
| | | |
| | | |
| |
| | | |
Allianz SE, Registered Shares | | | |
| | | |
Bayer AG, Class N, Registered Shares | | | |
Bayerische Motoren Werke AG | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
CTS Eventim AG & Co. KGaA | | | |
| | | |
Deutsche Bank AG, Class N, Registered Shares | | | |
Deutsche Boerse AG, Class N | | | |
Deutsche Lufthansa AG, Registered Shares | | | |
Deutsche Post AG, Class N, Registered Shares | | | |
Deutsche Telekom AG, Class N, Registered Shares | | | |
| | | |
| | | |
Fresenius Medical Care AG | | | |
Fresenius SE & Co. KGaA(c) | | | |
| | | |
Hannover Rueck SE, Class N | | | |
| | | |
| | | |
Infineon Technologies AG, Class N | | | |
| | | |
| | | |
Mercedes-Benz Group AG, Class N | | | |
| | | |
MTU Aero Engines AG, Class N | | | |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, Class N, Registered Shares | | | |
| | | |
| | | |
| |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Siemens AG, Class N, Registered Shares | | | |
| | | |
Siemens Healthineers AG(d) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
Alpha Services and Holdings SA, Class R(c) | | | |
Eurobank Ergasias Services & Holdings SA, Class R(c) | | | |
| | | |
Hellenic Telecommunications Organization SA, Class R | | | |
| | | |
Motor Oil Hellas Corinth Refineries SA, Class R | | | |
| | | |
National Bank of Greece SA(c) | | | |
| | | |
Piraeus Financial Holdings SA(c) | | | |
Public Power Corp. SA, Class R(c) | | | |
| | | |
| |
| | | |
China Common Rich Renewable Energy Investments Ltd.(c)(e) | | | |
| | | |
CK Infrastructure Holdings Ltd. | | | |
| | | |
Futu Holdings Ltd., ADR(c) | | | |
| | | |
Henderson Land Development Co. Ltd. | | | |
HKT Trust & HKT Ltd., Class SS(a) | | | |
Hong Kong & China Gas Co. Ltd. | | | |
Hong Kong Exchanges & Clearing Ltd. | | | |
Hongkong Land Holdings Ltd. | | | |
Jardine Matheson Holdings Ltd. | | | |
| | | |
| | | |
Orient Overseas International Ltd. | | | |
Power Assets Holdings Ltd. | | | |
| | | |
Sino Biopharmaceutical Ltd. | | | |
| | | |
Sun Hung Kai Properties Ltd. | | | |
Swire Pacific Ltd., Class A | | | |
| | | |
Techtronic Industries Co., Ltd. | | | |
| | | |
Wharf Real Estate Investment Co. Ltd. | | | |
| | | |
202024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
Total International ex U.S. Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
| |
MOL Hungarian Oil & Gas PLC | | | |
| | | |
| | | |
| | | |
| |
| | | |
| | | |
Adani Green Energy Ltd.(c) | | | |
Adani Ports & Special Economic Zone Ltd. | | | |
| | | |
| | | |
| | | |
Apollo Hospitals Enterprise Ltd. | | | |
| | | |
| | | |
| | | |
AU Small Finance Bank Ltd.(d) | | | |
| | | |
Avenue Supermarts Ltd.(c)(d) | | | |
| | | |
| | | |
| | | |
| | | |
Bajaj Holdings & Investment Ltd. | | | |
Balkrishna Industries Ltd. | | | |
| | | |
| | | |
| | | |
| | | |
Bharat Heavy Electricals Ltd. | | | |
Bharat Petroleum Corp. Ltd. | | | |
| | | |
| | | |
Britannia Industries Ltd.(c) | | | |
| | | |
CG Power & Industrial Solutions Ltd. | | | |
Cholamandalam Investment and Finance Co. Ltd. | | | |
| | | |
| | | |
Colgate-Palmolive India Ltd. | | | |
Container Corp. Of India Ltd. | | | |
| | | |
| | | |
| | | |
| | | |
Dr Reddy’s Laboratories Ltd. | | | |
Dr Reddy’s Laboratories Ltd., ADR | | | |
| | | |
| | | |
GMR Airports Infrastructure Ltd.(c) | | | |
Godrej Consumer Products Ltd. | | | |
Godrej Properties Ltd., Class A(c) | | | |
| | | |
| | | |
| | | |
HDFC Asset Management Co. Ltd.(d) | | | |
| | | |
HDFC Life Insurance Co. Ltd.(d) | | | |
| | | |
| | | |
Hindustan Aeronautics Ltd. | | | |
| | | |
| |
Hindustan Petroleum Corp. Ltd. | | | |
| | | |
| | | |
| | | |
ICICI Lombard General Insurance Co. Ltd.(d) | | | |
ICICI Prudential Life Insurance Co. Ltd.(d) | | | |
| | | |
| | | |
| | | |
Indian Railway Catering & Tourism Corp. Ltd. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
InterGlobe Aviation Ltd.(c)(d) | | | |
| | | |
| | | |
Jindal Steel & Power Ltd. | | | |
Jio Financial Services Ltd.(c) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Larsen & Toubro Ltd., GDR(f) | | | |
| | | |
| | | |
Macrotech Developers Ltd. | | | |
| | | |
Mahindra & Mahindra Ltd., GDR | | | |
| | | |
| | | |
| | | |
Max Healthcare Institute Ltd. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Oil & Natural Gas Corp. Ltd. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Power Grid Corp. of India Ltd. | | | |
| | | |
| | | |
| | | |
Samvardhana Motherson International Ltd. | | | |
SBI Cards & Payment Services Ltd. | | | |
SBI Life Insurance Co. Ltd.(d) | | | |
| | | |
| | | |
| | | |
Master Portfolio Schedule of Investments21
Schedule of Investments (unaudited)(continued)June 30, 2024
Total International ex U.S. Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
| |
Solar Industries India Ltd. | | | |
Sona Blw Precision Forgings Ltd.(d) | | | |
| | | |
| | | |
State Bank of India, GDR(f) | | | |
Sun Pharmaceutical Industries Ltd. | | | |
| | | |
| | | |
| | | |
| | | |
Tata Consultancy Services Ltd. | | | |
Tata Consumer Products Ltd. | | | |
| | | |
| | | |
Tata Motors Ltd., Class A | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Torrent Pharmaceuticals Ltd. | | | |
| | | |
| | | |
Tube Investments of India Ltd. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
Adaro Energy Indonesia Tbk PT | | | |
Amman Mineral Internasional PT(c) | | | |
| | | |
Astra International Tbk PT | | | |
| | | |
Bank Mandiri Persero Tbk PT | | | |
Bank Negara Indonesia Persero Tbk PT | | | |
Bank Rakyat Indonesia Persero Tbk PT | | | |
| | | |
Chandra Asri Pacific Tbk PT | | | |
Charoen Pokphand Indonesia Tbk PT | | | |
GoTo Gojek Tokopedia Tbk PT(c) | | | |
Indah Kiat Pulp & Paper Tbk PT | | | |
Indofood CBP Sukses Makmur Tbk PT | | | |
Indofood Sukses Makmur Tbk PT | | | |
| | | |
Merdeka Copper Gold Tbk. PT(c) | | | |
Sumber Alfaria Trijaya Tbk PT | | | |
Telkom Indonesia Persero Tbk PT | | | |
Unilever Indonesia Tbk PT | | | |
| | | |
| | | |
| |
| | | |
| | | |
| |
| | | |
Bank of Ireland Group PLC | | | |
| | | |
| | | |
| | | |
| | | |
| |
| | | |
| | | |
| | | |
Check Point Software Technologies Ltd.(b)(c) | | | |
| | | |
| | | |
| | | |
| | | |
Israel Discount Bank Ltd., Class A | | | |
Mizrahi Tefahot Bank Ltd. | | | |
| | | |
Teva Pharmaceutical Industries Ltd., ADR(c) | | | |
| | | |
| | | |
| |
| | | |
Assicurazioni Generali SpA | | | |
| | | |
Coca-Cola HBC AG, Class DI | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
FinecoBank Banca Fineco SpA | | | |
Infrastrutture Wireless Italiane SpA(d) | | | |
| | | |
| | | |
Mediobanca Banca di Credito Finanziario SpA | | | |
| | | |
| | | |
| | | |
| | | |
Recordati Industria Chimica e Farmaceutica SpA | | | |
| | | |
Telecom Italia SpA/Milano(c) | | | |
Terna - Rete Elettrica Nazionale | | | |
| | | |
| | | |
| |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Asahi Group Holdings Ltd.(b) | | | |
| | | |
| | | |
| | | |
Bandai Namco Holdings, Inc. | | | |
| | | |
| | | |
| | | |
222024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
Total International ex U.S. Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
| |
| | | |
Central Japan Railway Co. | | | |
| | | |
Chubu Electric Power Co., Inc. | | | |
Chugai Pharmaceutical Co. Ltd. | | | |
Concordia Financial Group Ltd. | | | |
Dai Nippon Printing Co. Ltd. | | | |
| | | |
Dai-ichi Life Holdings, Inc. | | | |
| | | |
| | | |
Daito Trust Construction Co. Ltd. | | | |
Daiwa House Industry Co. Ltd. | | | |
Daiwa Securities Group, Inc. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Hankyu Hanshin Holdings, Inc. | | | |
| | | |
Hitachi Construction Machinery Co. Ltd. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Japan Exchange Group, Inc. | | | |
| | | |
Japan Post Holdings Co. Ltd. | | | |
Japan Post Insurance Co. Ltd. | | | |
Japan Real Estate Investment Corp. | | | |
| | | |
| | | |
| | | |
Kansai Electric Power Co., Inc. | | | |
| | | |
Kawasaki Kisen Kaisha Ltd. | | | |
| | | |
Keisei Electric Railway Co. Ltd. | | | |
| | | |
| | | |
Kintetsu Group Holdings Co. Ltd. | | | |
Kirin Holdings Co. Ltd.(b) | | | |
| | | |
Koito Manufacturing Co. Ltd. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
McDonald’s Holdings Co. Japan Ltd.(b) | | | |
| | | |
| | | |
Mitsubishi Chemical Group Corp. | | | |
| | | |
Mitsubishi Electric Corp. | | | |
Mitsubishi Estate Co. Ltd. | | | |
Mitsubishi HC Capital, Inc. | | | |
Mitsubishi Heavy Industries Ltd. | | | |
Mitsubishi UFJ Financial Group, Inc. | | | |
| | | |
| | | |
| | | |
| | | |
Mizuho Financial Group, Inc. | | | |
| | | |
MS&AD Insurance Group Holdings, Inc. | | | |
Murata Manufacturing Co. Ltd. | | | |
| | | |
| | | |
| | | |
| | | |
Nippon Building Fund, Inc.(b) | | | |
Nippon Express Holdings, Inc(b) | | | |
Nippon Paint Holdings Co. Ltd. | | | |
Nippon Sanso Holdings Corp. | | | |
| | | |
Nippon Telegraph & Telephone Corp. | | | |
| | | |
| | | |
| | | |
Nissin Foods Holdings Co. Ltd. | | | |
| | | |
| | | |
| | | |
Nomura Real Estate Holdings, Inc. | | | |
Nomura Real Estate Master Fund, Inc. | | | |
Nomura Research Institute Ltd. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Ono Pharmaceutical Co. Ltd. | | | |
| | | |
Oriental Land Co. Ltd./Japan | | | |
| | | |
| | | |
| | | |
| | | |
Pan Pacific International Holdings Corp. | | | |
| | | |
| | | |
Recruit Holdings Co. Ltd. | | | |
Renesas Electronics Corp. | | | |
Master Portfolio Schedule of Investments23
Schedule of Investments (unaudited)(continued)June 30, 2024
Total International ex U.S. Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
| |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Sekisui Chemical Co. Ltd. | | | |
| | | |
Seven & i Holdings Co. Ltd. | | | |
| | | |
| | | |
| | | |
Shin-Etsu Chemical Co. Ltd. | | | |
| | | |
| | | |
Shizuoka Financial Group, Inc. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Sumitomo Electric Industries Ltd. | | | |
Sumitomo Metal Mining Co. Ltd. | | | |
Sumitomo Mitsui Financial Group, Inc. | | | |
Sumitomo Mitsui Trust Holdings, Inc. | | | |
Sumitomo Realty & Development Co. Ltd. | | | |
Suntory Beverage & Food Ltd.(b) | | | |
| | | |
| | | |
| | | |
| | | |
Takeda Pharmaceutical Co. Ltd. | | | |
| | | |
| | | |
| | | |
| | | |
Tokio Marine Holdings, Inc. | | | |
Tokyo Electric Power Co. Holdings, Inc.(c) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
| | | |
| | | |
| | | |
| | | |
| |
Hikma Pharmaceuticals PLC | | | |
| |
| | | |
| | | |
Kuwait Finance House KSCP | | | |
| | | |
Mobile Telecommunications Co. KSCP | | | |
National Bank of Kuwait SAKP | | | |
| | | |
| |
| | | |
| | | |
| | | |
| | | |
| |
Galaxy Entertainment Group Ltd. | | | |
| | | |
| | | |
| |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Malaysia Airports Holdings Bhd | | | |
| | | |
| | | |
| | | |
| | | |
Petronas Chemicals Group Bhd(b) | | | |
| | | |
| | | |
| | | |
Press Metal Aluminium Holdings Bhd | | | |
| | | |
| | | |
| | | |
| | | |
Sime Darby Plantation Bhd | | | |
| | | |
| | | |
242024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
Total International ex U.S. Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
| |
| | | |
YTL Power International Bhd | | | |
| | | |
| |
| | | |
America Movil SAB de CV, Series B | | | |
Arca Continental SAB de CV | | | |
| | | |
| | | |
Coca-Cola Femsa SAB de CV | | | |
Fibra Uno Administracion SA de CV | | | |
Fomento Economico Mexicano SAB de CV | | | |
| | | |
Grupo Aeroportuario del Centro Norte SAB de CV, Class B | | | |
Grupo Aeroportuario del Pacifico SAB de CV, Class B | | | |
Grupo Aeroportuario del Sureste SAB de CV, Class B | | | |
Grupo Bimbo SAB de CV, Series A | | | |
Grupo Carso SAB de CV, Series A1 | | | |
Grupo Financiero Banorte SAB de CV, Class O | | | |
Grupo Financiero Inbursa SAB de CV, Series O(c) | | | |
Grupo Mexico SAB de CV, Series B | | | |
Industrias Penoles SAB de CV(c) | | | |
Kimberly-Clark de Mexico SAB de CV, Class A | | | |
Operadora De Sites Mexicanos SAB de CV, Class A-1 | | | |
Orbia Advance Corp. SAB de CV | | | |
Promotora y Operadora de Infraestructura SAB de CV | | | |
| | | |
Wal-Mart de Mexico SAB de CV | | | |
| | | |
| |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
BE Semiconductor Industries NV | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Koninklijke Ahold Delhaize NV | | | |
| | | |
Koninklijke Philips NV(c) | | | |
| | | |
| | | |
| | | |
| | | |
Wolters Kluwer NV, Class C | | | |
| | | |
| | | |
| |
Auckland International Airport Ltd. | | | |
Fisher & Paykel Healthcare Corp. Ltd. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
| | | |
| | | |
| | | |
Gjensidige Forsikring ASA | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
Cia de Minas Buenaventura SAA, ADR | | | |
| | | |
| | | |
| |
| | | |
| | | |
Bank of the Philippine Islands | | | |
| | | |
International Container Terminal Services, Inc. | | | |
| | | |
| | | |
| | | |
Metropolitan Bank & Trust Co. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
| | | |
Bank Polska Kasa Opieki SA | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
PGE Polska Grupa Energetyczna SA(c) | | | |
Powszechna Kasa Oszczednosci Bank Polski SA | | | |
Powszechny Zaklad Ubezpieczen SA | | | |
| | | |
| | | |
| |
EDP - Energias de Portugal SA | | | |
Master Portfolio Schedule of Investments25
Schedule of Investments (unaudited)(continued)June 30, 2024
Total International ex U.S. Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
| |
| | | |
| | | |
| | | |
| |
| | | |
| | | |
| | | |
| | | |
| | | |
Mesaieed Petrochemical Holding Co. | | | |
| | | |
Qatar Electricity & Water Co. QSC | | | |
| | | |
Qatar Gas Transport Co. Ltd. | | | |
Qatar International Islamic Bank QSC | | | |
| | | |
| | | |
| | | |
| |
| | | |
| |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Moscow Exchange MICEX-Rates PJSC | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
TCS Group Holding PLC, Class A, GDR(f) | | | |
United Co. RUSAL International PJSC | | | |
| | | |
| | | |
X5 Retail Group NV, GDR(f) | | | |
| | | |
| | | |
| |
| | | |
| | | |
Advanced Petrochemical Co. | | | |
| | | |
| | | |
| | | |
| | | |
Arabian Internet & Communications Services Co. | | | |
| | | |
| | | |
| | | |
Bupa Arabia for Cooperative Insurance Co. | | | |
| | | |
| |
Co. for Cooperative Insurance | | | |
| | | |
Dar Al Arkan Real Estate Development Co.(c) | | | |
Dr Sulaiman Al Habib Medical Services Group Co. | | | |
| | | |
| | | |
| | | |
Mobile Telecommunications Co. Saudi Arabia | | | |
Mouwasat Medical Services Co. | | | |
| | | |
Power & Water Utility Co. for Jubail & Yanbu | | | |
| | | |
| | | |
Sahara International Petrochemical Co. | | | |
SAL Saudi Logistics Services | | | |
Saudi Arabian Mining Co.(c) | | | |
| | | |
Saudi Aramco Base Oil Co. | | | |
| | | |
Saudi Basic Industries Corp. | | | |
| | | |
Saudi Industrial Investment Group | | | |
| | | |
Saudi Kayan Petrochemical Co.(c) | | | |
| | | |
Saudi Research & Media Group(c) | | | |
Saudi Tadawul Group Holding Co. | | | |
| | | |
| | | |
Yanbu National Petrochemical Co. | | | |
| | | |
| |
| | | |
CapitaLand Integrated Commercial Trust | | | |
CapitaLand Investment Ltd./Singapore(b) | | | |
| | | |
| | | |
Grab Holdings Ltd., Class A(c) | | | |
| | | |
Oversea-Chinese Banking Corp. Ltd. | | | |
Sea Ltd., Class A, ADR(b)(c) | | | |
| | | |
Singapore Airlines Ltd.(b) | | | |
| | | |
Singapore Technologies Engineering Ltd. | | | |
Singapore Telecommunications Ltd. | | | |
| | | |
United Overseas Bank Ltd. | | | |
| | | |
| |
| | | |
Anglo American Platinum Ltd. | | | |
| | | |
Aspen Pharmacare Holdings Ltd. | | | |
| | | |
| | | |
Capitec Bank Holdings Ltd. | | | |
| | | |
| | | |
| | | |
| | | |
262024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
Total International ex U.S. Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
| |
| | | |
Harmony Gold Mining Co. Ltd. | | | |
Impala Platinum Holdings Ltd. | | | |
| | | |
| | | |
| | | |
| | | |
Northam Platinum Holdings Ltd. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Sibanye Stillwater Ltd.(b) | | | |
| | | |
| | | |
Woolworths Holdings Ltd./South Africa | | | |
| | | |
| |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Doosan Enerbility Co. Ltd.(c) | | | |
| | | |
| | | |
| | | |
| | | |
Hana Financial Group, Inc. | | | |
| | | |
Hankook Tire & Technology Co. Ltd. | | | |
| | | |
Hanmi Semiconductor Co. Ltd. | | | |
Hanwha Aerospace Co. Ltd. | | | |
| | | |
| | | |
| | | |
HD Hyundai Electric Co. Ltd. | | | |
| | | |
| | | |
| | | |
Hyundai Engineering & Construction Co. Ltd. | | | |
| | | |
Hyundai Heavy Industries Co. Ltd.(c) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Korea Aerospace Industries Ltd. | | | |
Korea Electric Power Corp.(c) | | | |
| | | |
| |
Korea Investment Holdings Co. Ltd. | | | |
Korea Shipbuilding & Offshore Engineering Co. Ltd.(c) | | | |
| | | |
Korean Air Lines Co. Ltd. | | | |
| | | |
| | | |
| | | |
| | | |
Kumho Petrochemical Co. Ltd. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
LG Energy Solution Ltd.(c) | | | |
| | | |
| | | |
| | | |
| | | |
Meritz Financial Group, Inc. | | | |
Mirae Asset Securities Co. Ltd. | | | |
| | | |
| | | |
| | | |
NH Investment & Securities Co. Ltd. | | | |
Orion Corp./Republic of Korea | | | |
| | | |
| | | |
| | | |
Posco International Corp. | | | |
Samsung Biologics Co. Ltd.(c)(d) | | | |
| | | |
Samsung Electro-Mechanics Co. Ltd. | | | |
Samsung Electronics Co. Ltd. | | | |
Samsung Engineering Co. Ltd.(c) | | | |
Samsung Fire & Marine Insurance Co. Ltd. | | | |
Samsung Heavy Industries Co. Ltd.(c) | | | |
Samsung Life Insurance Co. Ltd. | | | |
| | | |
| | | |
Shinhan Financial Group Co. Ltd. | | | |
SK Biopharmaceuticals Co. Ltd.(c) | | | |
SK Bioscience Co. Ltd.(c) | | | |
| | | |
SK IE Technology Co. Ltd.(c)(d) | | | |
SK Innovation Co. Ltd.(c) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Woori Financial Group, Inc. | | | |
| | | |
| | | |
| |
| | | |
ACS Actividades de Construccion y Servicios SA | | | |
| | | |
| | | |
Banco Bilbao Vizcaya Argentaria SA | | | |
| | | |
Master Portfolio Schedule of Investments27
Schedule of Investments (unaudited)(continued)June 30, 2024
Total International ex U.S. Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
| |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Industria de Diseno Textil SA | | | |
| | | |
| | | |
| | | |
| | | |
| |
| | | |
| | | |
| | | |
| | | |
Beijer Ref AB, Class B(b) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Fastighets AB Balder, Class B(c) | | | |
| | | |
H&M Hennes & Mauritz AB, B Shares | | | |
| | | |
| | | |
| | | |
Industrivarden AB, C Shares | | | |
Industrivarden AB, Class A | | | |
| | | |
Investment AB Latour, Class B | | | |
| | | |
L E Lundbergforetagen AB, Class B | | | |
| | | |
Nibe Industrier AB, Class B | | | |
| | | |
| | | |
| | | |
| | | |
Skandinaviska Enskilda Banken AB, Class A | | | |
| | | |
| | | |
Svenska Cellulosa AB SCA, Class B | | | |
Svenska Handelsbanken AB, A Shares | | | |
| | | |
Swedish Orphan Biovitrum AB(c) | | | |
| | | |
Telefonaktiebolaget LM Ericsson, B Shares | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
ABB Ltd., Class N, Registered Shares | | | |
Adecco Group AG, Class N, Registered Shares | | | |
| | | |
| | | |
| |
Avolta AG, Class N, Registered Shares | | | |
Bachem Holding AG, Class N | | | |
Baloise Holding AG, Class N, Registered Shares | | | |
Banque Cantonale Vaudoise, Registered Shares | | | |
Barry Callebaut AG, Class N, Registered Shares | | | |
| | | |
Chocoladefabriken Lindt & Spruengli AG | | | |
Chocoladefabriken Lindt & Spruengli AG, Class N, Registered Shares | | | |
Cie Financiere Richemont SA, Class A, Registered Shares | | | |
Clariant AG, Class N, Registered Shares | | | |
| | | |
EMS-Chemie Holding AG, Registered Shares | | | |
Geberit AG, Class N, Registered Shares | | | |
Givaudan SA, Class N, Registered Shares | | | |
Helvetia Holding AG, Registered Shares | | | |
Julius Baer Group Ltd., Class N | | | |
Kuehne and Nagel International AG, Registered Shares | | | |
Logitech International SA, Class N, Registered Shares | | | |
Lonza Group AG, Registered Shares | | | |
Novartis AG, Class N, Registered Shares | | | |
Partners Group Holding AG | | | |
| | | |
| | | |
Schindler Holding AG, Class N, Registered Shares | | | |
SGS SA, Registered Shares | | | |
| | | |
Sika AG, Registered Shares | | | |
Sonova Holding AG, Registered Shares | | | |
Straumann Holding AG, Registered Shares | | | |
| | | |
Swatch Group AG, Class N, Registered Shares | | | |
Swiss Life Holding AG, Class N, Registered Shares | | | |
Swiss Prime Site AG, Registered Shares | | | |
Swisscom AG, Class N, Registered Shares | | | |
Temenos AG, Class N, Registered Shares | | | |
UBS Group AG, Registered Shares | | | |
| | | |
Zurich Insurance Group AG, Class N | | | |
| | | |
| |
| | | |
| | | |
| | | |
| | | |
ASE Technology Holding Co. Ltd. | | | |
| | | |
Asia Vital Components Co. Ltd. | | | |
| | | |
| | | |
Catcher Technology Co. Ltd. | | | |
Cathay Financial Holding Co. Ltd. | | | |
Chailease Holding Co. Ltd. | | | |
Chang Hwa Commercial Bank Ltd. | | | |
Cheng Shin Rubber Industry Co. Ltd. | | | |
| | | |
China Development Financial Holding Corp.(c) | | | |
| | | |
Chunghwa Telecom Co. Ltd. | | | |
282024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
Total International ex U.S. Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
| |
| | | |
CTBC Financial Holding Co. Ltd. | | | |
| | | |
| | | |
E.Sun Financial Holding Co. Ltd. | | | |
| | | |
| | | |
| | | |
Evergreen Marine Corp. Taiwan Ltd. | | | |
Far Eastern New Century Corp. | | | |
Far EasTone Telecommunications Co. Ltd. | | | |
Feng TAY Enterprise Co. Ltd. | | | |
First Financial Holding Co. Ltd. | | | |
Formosa Chemicals & Fibre Corp. | | | |
Formosa Petrochemical Corp. | | | |
| | | |
Fortune Electric Co. Ltd. | | | |
Fubon Financial Holding Co. Ltd. | | | |
Gigabyte Technology Co. Ltd. | | | |
| | | |
| | | |
Hon Hai Precision Industry Co. Ltd. | | | |
| | | |
Hua Nan Financial Holdings Co. Ltd. | | | |
| | | |
| | | |
Largan Precision Co. Ltd. | | | |
| | | |
| | | |
Mega Financial Holding Co. Ltd. | | | |
Micro-Star International Co. Ltd. | | | |
| | | |
Nanya Technology Corp.(c) | | | |
Nien Made Enterprise Co. Ltd. | | | |
Novatek Microelectronics Corp. | | | |
| | | |
| | | |
| | | |
President Chain Store Corp. | | | |
| | | |
Realtek Semiconductor Corp. | | | |
Ruentex Development Co. Ltd. | | | |
Shanghai Commercial & Savings Bank Ltd. | | | |
Shin Kong Financial Holding Co. Ltd.(c) | | | |
SinoPac Financial Holdings Co. Ltd. | | | |
Synnex Technology International Corp. | | | |
Taishin Financial Holding Co. Ltd. | | | |
| | | |
| | | |
Taiwan Cooperative Financial Holding Co. Ltd. | | | |
Taiwan High Speed Rail Corp. | | | |
| | | |
Taiwan Semiconductor Manufacturing Co. Ltd. | | | |
Unimicron Technology Corp. | | | |
Uni-President Enterprises Corp. | | | |
United Microelectronics Corp. | | | |
Vanguard International Semiconductor Corp. | | | |
Voltronic Power Technology Corp. | | | |
| | | |
| | | |
Winbond Electronics Corp. | | | |
| | | |
| | | |
| |
| | | |
| | | |
| | | |
Yang Ming Marine Transport Corp. | | | |
Yuanta Financial Holding Co. Ltd. | | | |
Zhen Ding Technology Holding Ltd. | | | |
| | | |
| |
Advanced Info Service PCL, NVDR | | | |
Airports of Thailand PCL, NVDR | | | |
Asset World Corp. PCL, NVDR | | | |
Bangkok Dusit Medical Services PCL, NVDR | | | |
Bangkok Expressway & Metro PCL, NVDR | | | |
Bumrungrad Hospital PCL, NVDR | | | |
Central Pattana PCL, NVDR | | | |
Central Retail Corp. PCL, NVDR | | | |
Charoen Pokphand Foods PCL, NVDR(c) | | | |
| | | |
| | | |
Delta Electronics Thailand PCL, NVDR(b) | | | |
Energy Absolute PCL, NVDR | | | |
Global Power Synergy PCL, NVDR | | | |
Gulf Energy Development PCL, NVDR | | | |
Home Product Center PCL, NVDR | | | |
Indorama Ventures PCL, NVDR | | | |
Intouch Holdings PCL, NVDR | | | |
| | | |
Krung Thai Bank PCL, NVDR | | | |
| | | |
Minor International PCL, NVDR | | | |
PTT Exploration & Production PCL, NVDR | | | |
PTT Global Chemical PCL, NVDR | | | |
PTT Oil & Retail Business PCL, NVDR | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
TMBThanachart Bank PCL, NVDR | | | |
| | | |
| | | |
| |
| | | |
Aselsan Elektronik Sanayi Ve Ticaret A/S, Class A | | | |
BIM Birlesik Magazalar A/S, Class A | | | |
Coca-Cola Icecek A/S, Class A | | | |
Eregli Demir ve Celik Fabrikalari TAS, Class A, Registered Shares | | | |
Ford Otomotiv Sanayi A/S, Class A | | | |
Haci Omer Sabanci Holding A/S, Class A | | | |
| | | |
Sasa Polyester Sanayi AS(c) | | | |
Tofas Turk Otomobil Fabrikasi A/S, Class A | | | |
Turk Hava Yollari AO, Class A(c) | | | |
Turkcell Iletisim Hizmetleri A/S, Class A | | | |
Turkiye Is Bankasi A/S, Class C | | | |
Turkiye Petrol Rafinerileri A/S, Class A | | | |
Turkiye Sise ve Cam Fabrikalari A/S, Class A | | | |
Yapi ve Kredi Bankasi A/S, Class A | | | |
| | | |
Master Portfolio Schedule of Investments29
Schedule of Investments (unaudited)(continued)June 30, 2024
Total International ex U.S. Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
United Arab Emirates — 0.3% | |
Abu Dhabi Commercial Bank PJSC | | | |
Abu Dhabi Islamic Bank PJSC | | | |
Abu Dhabi National Oil Co. for Distribution PJSC | | | |
| | | |
Americana Restaurants International PLC | | | |
| | | |
| | | |
| | | |
Emirates Telecommunications Group Co. PJSC | | | |
First Abu Dhabi Bank PJSC | | | |
| | | |
| | | |
| |
| | | |
| | | |
| | | |
| | | |
Associated British Foods PLC | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Berkeley Group Holdings PLC | | | |
British American Tobacco PLC | | | |
| | | |
| | | |
| | | |
| | | |
CK Hutchison Holdings Ltd. | | | |
Coca-Cola Europacific Partners PLC(b) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Flutter Entertainment PLC(c) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
InterContinental Hotels Group PLC | | | |
| | | |
| | | |
| | | |
| | | |
Land Securities Group PLC | | | |
Legal & General Group PLC | | | |
| | | |
London Stock Exchange Group PLC | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Phoenix Group Holdings PLC | | | |
| | | |
United Kingdom (continued) | |
Reckitt Benckiser Group PLC | | | |
| | | |
| | | |
Rolls-Royce Holdings PLC(c) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
United Utilities Group PLC | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
| | | |
Brookfield Renewable Corp., Class A | | | |
| | | |
| | | |
CyberArk Software Ltd.(b)(c) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
James Hardie Industries PLC(c) | | | |
| | | |
Legend Biotech Corp., ADR(b)(c) | | | |
| | | |
Nestle SA, Class N, Registered Shares | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
First Quantum Minerals Ltd. | | | |
Total Common Stocks — 102.5%
(Cost: $1,389,724,969) | |
|
|
| |
| | | |
Centrais Eletricas Brasileiras SA | | | |
Cia Energetica de Minas Gerais | | | |
302024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
Total International ex U.S. Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
| |
Companhia Paranaense de Energia | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
Sociedad Quimica y Minera de Chile SA, Series B | | | |
| |
| | | |
| |
Bayerische Motoren Werke AG | | | |
Dr Ing hc F Porsche AG(d) | | | |
| | | |
Porsche Automobil Holding SE | | | |
| | | |
| | | |
| | | |
| |
Surgutneftegas PJSC(c)(e) | | | |
| |
Hyundai Motor Co., Preference Shares, | | | |
| | | |
Samsung Electronics Co. Ltd. | | | |
| | | |
Total Preferred Securities — 0.9%
(Cost: $14,496,660) | |
|
| |
Localiza Rent a Car SA, (Expires 08/20/24, Strike Price BRL(c) | | | |
| |
Amplifon SpA , (Expires 07/16/24, Strike Price EUR 29.56)(b) | | | |
Total Rights — 0.0%
(Cost: $ — ) | |
| | | |
|
| |
Constellation Software, Inc., (Issued 08/29/23, 1 Share for 1 Warrant, Expires 03/31/40, Strike Price CAD 11.50)(c)(e) | | | |
Total Warrants — 0.0%
(Cost: $ — ) | |
Total Long-Term Investments — 103.4%
(Cost: $1,404,221,629) | |
|
Money Market Funds — 3.9% | |
BlackRock Cash Funds: Institutional, SL Agency Shares, 5.48%(g)(h)(i) | | | |
BlackRock Cash Funds: Treasury, SL Agency Shares, 5.28%(g)(h) | | | |
Total Short-Term Securities — 3.9%
(Cost: $72,517,319) | |
Total Investments — 107.3%
(Cost: $1,476,738,948) | |
Liabilities in Excess of Other Assets — (7.3)% | |
| |
| A security contractually bound to one or more other securities to form a single saleable unit which cannot be sold separately. |
| All or a portion of this security is on loan. |
| Non-income producing security. |
| 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. |
| Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
| Affiliate of the Master Portfolio. |
| Annualized 7-day yield as of period end. |
| All or a portion of this security was purchased with the cash collateral from loaned securities. |
Investments in issuers considered to be affiliate(s) of the Master Portfolio during the six months ended June 30, 2024 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| | | | | Change in
Unrealized
Appreciation
(Depreciation) | | | | Capital Gain
Distributions
from
Underlying
Funds |
BlackRock Cash Funds: Institutional, SL Agency Shares | | | | | | | | | |
BlackRock Cash Funds: Treasury, SL Agency Shares | | | | | | | | | |
| | | | | | | | | |
| Represents net amount purchased (sold). |
| All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
Master Portfolio Schedule of Investments31
Schedule of Investments (unaudited)(continued)June 30, 2024
Total International ex U.S. Index Master Portfolio
Derivative Financial Instruments Outstanding as of Period End
| | | | Value/
Unrealized
Appreciation
(Depreciation) |
| | | | |
| | | | |
| | | | |
MSCI Emerging Markets Index | | | | |
| | | | |
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:
| | | | Foreign
Currency
Exchange
Contracts | | | |
Assets — Derivative Financial Instruments | | | | | | | |
Futures contracts
Unrealized appreciation on futures contracts(a) | | | | | | | |
| Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Master Portfolio Schedule of Investments. In the Statement of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in net unrealized appreciation (depreciation). |
For the period ended June 30, 2024, the effect of derivative financial instruments in the Statement of Operations was as follows:
| | | | Foreign
Currency
Exchange
Contracts | | | |
Net Realized Gain (Loss) from: | | | | | | | |
| | | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | |
| | | | | | | |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| |
Average notional value of contracts — long | |
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 financial instruments. For a description of the input levels and information about the Master Portfolio’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Master Portfolio’s financial instruments categorized in the fair value hierarchy. The breakdown of the Master Portfolio’s financial instruments into major categories is disclosed in the Schedule of Investments above.
322024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
Total International ex U.S. Index Master Portfolio
Fair Value Hierarchy as of Period End (continued)
| | | | |
Common Stocks (continued) | | | | |
| | | | |
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| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Master Portfolio Schedule of Investments33
Schedule of Investments (unaudited)(continued)June 30, 2024
Total International ex U.S. Index Master Portfolio
Fair Value Hierarchy as of Period End (continued)
| | | | |
| | | | |
| | | | |
| | | | |
Derivative Financial Instruments(a) | | | | |
| | | | |
| | | | |
| Derivative financial instruments are futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
See notes to financial statements.
342024 BlackRock Semi-Annual Financial Statements
Statement of Assets and Liabilities(unaudited)June 30, 2024
| Total International
ex U.S. Index
Master Portfolio |
| |
Investments, at value — unaffiliated(a)(b) | |
Investments, at value — affiliated(c) | |
| |
Cash pledged for futures contracts | |
Foreign currency, at value(d) | |
| |
| |
Securities lending income — affiliated | |
| |
| |
Variation margin on futures contracts | |
| |
| |
| |
Collateral on securities loaned | |
| |
| |
| |
Deferred foreign capital gain tax | |
| |
| |
| |
| |
| |
Variation margin on futures contracts | |
| |
Commitments and contingent liabilities | |
| |
| |
| |
Net unrealized appreciation (depreciation) | |
| |
(a) Investments, at cost—unaffiliated | |
(b) Securities loaned, at value | |
(c) Investments, at cost—affiliated | |
(d) Foreign currency, at cost | |
See notes to financial statements.
Master Portfolio Statement of Assets and Liabilities35
Statement of Operations (unaudited)Six Months Ended June 30, 2024
| Total International
ex U.S. Index
Master Portfolio |
| |
| |
| |
Securities lending income — affiliated — net | |
| |
| |
| |
| |
| |
| |
| |
| |
| |
Total expenses excluding interest expense | |
Interest expense — unaffiliated | |
| |
| |
Fees waived and/or reimbursed by the Manager | |
Total expenses after fees waived and/or reimbursed | |
| |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) from: | |
Investments — unaffiliated(a) | |
| |
Foreign currency transactions | |
| |
| |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated(b) | |
| |
Foreign currency translations | |
| |
| |
Net realized and unrealized gain | |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | |
(a) Net of foreign capital gain tax and capital gain tax refund, if applicable of | |
(b) Net of increase in deferred foreign capital gain tax of | |
See notes to financial statements.
362024 BlackRock Semi-Annual Financial Statements
Statements of Changes in Net Assets
| Total International ex U.S. Index
Master Portfolio |
| Six Months Ended
06/30/24
(unaudited) | |
INCREASE (DECREASE) IN NET ASSETS | | |
| | |
| | |
| | |
Net change in unrealized appreciation (depreciation) | | |
Net increase in net assets resulting from operations | | |
| | |
Proceeds from contributions | | |
| | |
Net increase in net assets derived from capital transactions | | |
| | |
Total increase in net assets | | |
| | |
| | |
See notes to financial statements.
Master Portfolio Statements of Changes in Net Assets37
Financial Highlights(unaudited)
| Total International ex U.S. Index Master Portfolio |
| Six Months Ended
06/30/24
(unaudited) | | | | | |
|
| | | | | | |
| | | | | | |
Ratios to Average Net Assets(b) | | | | | | |
| | | | | | |
Total expenses after fees waived and/or reimbursed | | | | | | |
| | | | | | |
| | | | | | |
Net assets, end of period (000) | | | | | | |
| | | | | | |
| |
| Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| |
See notes to financial statements.
382024 BlackRock Semi-Annual Financial Statements
Notes to Financial Statements (unaudited)
Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. MIP is organized as a Delaware statutory trust. Total International ex U.S. Index Master Portfolio (the “Master Portfolio”) is a series of MIP. The Master Portfolio is classified as diversified.
The Master Portfolio, 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 funds referred to as the BlackRock Multi-Asset Complex.
2.
SIGNIFICANT ACCOUNTING POLICIES
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Master Portfolio is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. Dividends from foreign securities where the ex-dividend dates may have passed are subsequently recorded when the Master Portfolio is informed of the ex-dividend dates. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain.
Foreign Currency Translation: The Master Portfolio’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange (“NYSE”). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.
The Master Portfolio does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of investments for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statement of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. The Master Portfolio reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.
Foreign Taxes: The Master Portfolio may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Master Portfolio invests. These foreign taxes, if any, are paid by the Master Portfolio and are reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as “Foreign taxes withheld”, and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of June 30, 2024, if any, are disclosed in the Statement of Assets and Liabilities.
The Master Portfolio files withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. The Master Portfolio may record a reclaim receivable based on collectability, which includes factors such as the jurisdiction’s applicable laws, payment history and market convention. The Statement of Operations includes tax reclaims recorded as well as professional and other fees, if any, associated with recovery of foreign withholding taxes.
Bank Overdraft: The Master Portfolio had outstanding cash disbursements exceeding deposited cash amounts at the custodian during the reporting period. The Master Portfolio is obligated to repay the custodian for any overdraft, including any related costs or expenses, where applicable. For financial reporting purposes, overdraft fees, if any, are included in interest expense in the Statement of Operations.
Collateralization: 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.
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.
Master Portfolio Notes to Financial Statements39
Notes to Financial Statements (unaudited) (continued)
3.
INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
Investment Valuation Policies: The Master Portfolio’s investments are valued at fair value (also referred to as “market value” within the financial statements) each day that the Master Portfolio is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Board of Trustees of MIP (the “Board”) has approved the designation of the Master Portfolio’s Manager as the valuation designee for the Master Portfolio. The Master Portfolio determines the fair values of its financial instruments using various independent dealers or pricing services under the Manager’s policies. If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with the Manager’s policies and procedures as reflecting fair value. The Manager has formed a committee (the “Valuation Committee”) to develop pricing policies and procedures and to oversee the pricing function for all financial instruments, with assistance from other BlackRock pricing committees.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of the Master Portfolio’s assets and liabilities:
•Equity investments traded on a recognized securities exchange are valued at that day’s official closing price, as applicable, on the exchange where the stock is primarily traded. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price.
•Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published net asset value (“NAV”).
•Futures contracts are valued based on that day’s last reported settlement or trade price on the exchange where the contract is traded.
Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Each business day, the Master Portfolio uses current market factors supplied by independent pricing services to value certain foreign instruments (“Systematic Fair Value Price”). The Systematic Fair Value Price is designed to value such foreign securities at fair value as of the close of trading on the NYSE, which follows the close of the local markets.
If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that 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 Valuation Committee in accordance with the Manager’s policies and procedures as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Valuation Committee 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 Valuation Committee deems relevant and consistent with the principles of fair value measurement.
For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by the Valuation Committee and third-party pricing services utilized by the Valuation Committee include one or a combination of, but not limited to, the following inputs.
| Standard Inputs Generally Considered By The Valuation Committee And Third-Party Pricing Services |
| | recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; |
| | recapitalizations and other transactions across the capital structure; and |
| | market multiples of comparable issuers. |
| | future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks; |
| | quoted prices for similar investments or assets in active markets; and |
| | other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. |
| | audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company; |
| | changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; |
| | relevant news and other public sources; and |
| | known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company. |
Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Enterprise valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”), current value method or a hybrid of those techniques are used as deemed appropriate under the circumstances. The use of these valuation techniques involves a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.
The Private Companies are not subject to the public company disclosure, timing, and reporting standards applicable to other investments held by the Master Portfolio. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date the Master Portfolio is calculating its NAV. This factor may result in a difference between the value of the investment and the price the Master Portfolio could receive upon the sale of the investment.
Fair Value Hierarchy: Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
402024 BlackRock Semi-Annual Financial Statements
Notes to Financial Statements (unaudited) (continued)
•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); and
•Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Valuation Committee’s assumptions used in determining the fair value of financial instruments).
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.
4.
SECURITIES AND OTHER INVESTMENTS
Preferred Stocks: Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well), but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.
Warrants: Warrants entitle a fund to purchase a specified number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. If the price of the underlying stock does not rise above the strike price before the warrant expires, the warrant generally expires without any value and a fund will lose any amount it paid for the warrant. Thus, investments in warrants may involve more risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.
Securities Lending: The Master Portfolio may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Master Portfolio collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by the Master Portfolio is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Master Portfolio and any additional required collateral is delivered to the Master Portfolio, or excess collateral returned by the Master Portfolio, on the next business day. During the term of the loan, the Master Portfolio is entitled to all distributions made on or in respect of the loaned securities, but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested by the securities lending agent, BlackRock Institutional Trust Company, N.A. (“BTC”), if any, is disclosed in the Schedule of Investments. Any non-cash collateral received cannot be sold, re-invested or pledged by the Master Portfolio, except in the event of borrower default. The securities on loan, if any, are disclosed in the Master Portfolio’s Schedule of Investments. The market value of any securities on loan and the value of related collateral, if any, are shown separately in the Statement of Assets and Liabilities as a component of investments at value – unaffiliated and collateral on securities loaned, respectively.
Securities lending transactions are entered into by the Master Portfolio under Master Securities Lending Agreements (each, an “MSLA”), which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Master Portfolio, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and the Master Portfolio can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties’ obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.
As of period end, the following table is a summary of the Master Portfolio’s securities on loan by counterparty which are subject to offset under an MSLA:
| Securities
Loaned at Value | | Non-Cash Collateral
Received, at Fair Value(a) | |
| | | | |
| | | | |
| | | | |
Master Portfolio Notes to Financial Statements41
Notes to Financial Statements (unaudited) (continued)
| Securities Loaned at Value | Cash Collateral Received(a) | Non-Cash Collateral Received, at Fair Value(a) | |
| | | | |
Citigroup Global Markets Ltd. | | | | |
| | | | |
| | | | |
J.P. Morgan Securities LLC | | | | |
| | | | |
Mizuho Securities USA LLC | | | | |
| | | | |
State Street Bank & Trust Co. | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| Collateral received, if any, in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by the Master Portfolio is disclosed in the Master Portfolio’s Statement of Assets and Liabilities. |
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Master Portfolio benefits from a borrower default indemnity provided by BlackRock, Inc. (“BlackRock”). BlackRock’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value on the securities loaned in the event of borrower default. The Master Portfolio could incur a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received. Such losses are borne entirely by the Master Portfolio.
5.
DERIVATIVE FINANCIAL INSTRUMENTS
The Master Portfolio engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Master Portfolio and/or to manage its exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedule of Investments. These contracts may be transacted on an exchange or over-the-counter (“OTC”).
Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Futures contracts are exchange-traded agreements between the Master Portfolio and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Master Portfolio is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statement of Assets and Liabilities.
Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statement of Assets and Liabilities. Pursuant to the contract, the Master Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statement of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.
Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).
A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Master Portfolio are denominated and in some cases, may be used to obtain exposure to a particular market. The contracts are traded OTC and not on an organized exchange.
The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies, and such value may exceed the amount(s) reflected in the Statement of Assets and Liabilities. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statement of Assets and Liabilities. The Master Portfolio’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Master Portfolio.
422024 BlackRock Semi-Annual Financial Statements
Notes to Financial Statements (unaudited) (continued)
6.
INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
Investment Advisory: MIP, on behalf of the Master Portfolio, entered into an Investment Advisory Agreement with the Manager, the Master Portfolio’s investment adviser and an indirect, wholly-owned subsidiary of BlackRock, 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 at an annual rate equal to 0.03% of the average daily value of the Master Portfolio’s net assets.
BAL is not entitled to compensation for providing administrative services to the Master Portfolio, for so long as BAL (or an affiliate) is entitled to compensation for providing administrative 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.
Expense Waivers and Reimbursements: With respect to the Master Portfolio, the Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees the Master Portfolio pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through June 30, 2025. The contractual agreement may be terminated upon 90 days’ notice by a majority of the trustees who are not “interested persons” of MIP, as defined in the 1940 Act ("Independent Trustees"), or by a vote of a majority of the outstanding voting securities of the Master Portfolio. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended June 30, 2024, the amount waived and/or reimbursed was $6,140.
The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Master Portfolio’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2025. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Trustees, or by a vote of a majority of the outstanding voting securities of the Master Portfolio. For the six months ended June 30, 2024, there were no fees waived by the Manager pursuant to this arrangement.
Securities Lending: The SEC 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, including any custodial costs. The Master Portfolio is responsible for fees in connection with the investment of cash collateral received for securities on loan (the “collateral investment fees”). The cash collateral is invested in a money market fund, BlackRock Cash Funds: Institutional or BlackRock Cash Funds: Treasury, 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 SL Agency Shares of such money market fund will not be subject to a sales load, redemption fee, distribution fee or service fee. The money market fund in which the cash collateral has been invested may impose a discretionary liquidity fee of up to 2% of the value redeemed, if such fee is determined to be in the best interests of such money market fund.
Securities lending income is generally equal to the total of income earned from the reinvestment of cash collateral (and excludes collateral investment fees), and any fees or other payments to and from borrowers of securities. The Master Portfolio retains a portion of the securities lending income and remits the remaining portion to BTC as compensation for its services as securities lending agent.
Pursuant to the current securities lending agreement, the Master Portfolio retains 82% of securities lending income (which excludes collateral investment fees), 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 the BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, the Master Portfolio, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 85% of securities lending income (which excludes collateral investment fees), 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 income — affiliated — net in the Statement of Operations. For the six months ended June 30, 2024, the Master Portfolio paid BTC $32,119 for securities lending agent services.
Interfund Lending: In accordance with an exemptive order (the “Order”) from the SEC, the Master Portfolio may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Master Portfolio’s investment policies and restrictions. The Master Portfolio is currently permitted to borrow and lend under the Interfund Lending Program.
A lending BlackRock fund may lend in aggregate up to 15% of its net assets but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.
During the period ended June 30, 2024, the Master Portfolio did not participate in the Interfund Lending Program.
Trustees and Officers: Certain trustees and/or officers of MIP are directors and/or officers of BlackRock or its affiliates.
Master Portfolio Notes to Financial Statements43
Notes to Financial Statements (unaudited) (continued)
Other Transactions: The Master Portfolio may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the six months ended June 30, 2024, the purchase and sale transactions and any net realized gains (losses) with affiliated funds in compliance with Rule 17a-7 under the 1940 Act were as follows:
| | | |
Total International ex U.S. Index Master Portfolio | | | |
For the six months ended June 30, 2024, purchases and sales of investments, excluding short-term securities, were $183,228,819 and $77,878,554, respectively.
The Master Portfolio is classified as a partnership for U.S. federal income tax purposes. As such, each investor in the Master Portfolio is treated as the owner of its proportionate share of net assets, income, expenses and realized and unrealized gains and losses of the Master Portfolio. Therefore, no U.S. federal income tax provision is required. It is intended that the Master Portfolio’s assets will be managed so an investor in the Master Portfolio can satisfy the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended.
The Master Portfolio files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Master Portfolio’s U.S. federal tax returns generally remains open for a period of three years after they are filed. The statutes of limitations on the Master Portfolio’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Master Portfolio as of June 30, 2024, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Master Portfolio’s financial statements.
As of June 30, 2024, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:
| | Gross Unrealized
Appreciation | Gross Unrealized
Depreciation | Net Unrealized
Appreciation
(Depreciation) |
Total International ex U.S. Index Master Portfolio | | | | |
MIP, on behalf of the Master Portfolio, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is party to a 364-day, $2.40 billion credit agreement with a group of lenders. Under this agreement, the Master Portfolio may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Master Portfolio, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) Overnight Bank Funding Rate (“OBFR”) (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum, (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 or (c) the sum of (x) Daily Simple Secured Overnight Financing Rate (“SOFR”) (but, in any event, not less than 0.00%) on the date the loan is made plus 0.10% and (y) 0.80% per annum. The agreement expires in April 2025 unless extended or renewed. Prior to April 11, 2024, the aggregate commitment amount was $2.50 billion. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the six months ended June 30, 2024, the Master Portfolio did not borrow under the credit agreement.
In the normal course of business, the Master Portfolio invests in securities or other instruments and may enter into certain transactions, and such activities subject the Master Portfolio to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Master Portfolio and its investments. The Master Portfolio’s prospectus provides details of the risks to which the Master Portfolio is subject.
The Manager uses an indexing approach to try to achieve the Master Portfolio’s investment objective. The Master Portfolio is not actively managed, and the Manager generally does not attempt to take defensive positions under any market conditions, including declining markets.
The Master Portfolio may be exposed to additional risks when reinvesting cash collateral in money market funds that do not seek to maintain a stable NAV per share of $1.00, which may be subject to discretionary liquidity fees under certain circumstances.
442024 BlackRock Semi-Annual Financial Statements
Notes to Financial Statements (unaudited) (continued)
Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Master Portfolio may invest in illiquid investments. An illiquid investment is any investment that the Master Portfolio reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Master Portfolio may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause the Master Portfolio’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of the Master Portfolio may lose value, regardless of the individual results of the securities and other instruments in which the Master Portfolio invests.
The price the Master Portfolio could receive upon the sale of any particular portfolio investment may differ from the Master Portfolio’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore the Master Portfolio’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by the Master Portfolio, and the Master Portfolio could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. The Master Portfolio’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third-party service providers.
Counterparty Credit Risk: The Master Portfolio may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Master Portfolio manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Master Portfolio to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Master Portfolio’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Master Portfolio.
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
With exchange-traded futures, there is less counterparty credit risk to the Master Portfolio since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Master Portfolio does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Master Portfolio.
Geographic/Asset Class Risk: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within the Master Portfolio’s portfolio are disclosed in its Schedule of Investments.
The Master Portfolio invests a substantial amount of its assets in issuers located in a single country or a limited number of countries. When a fund concentrates its investments in this manner, it assumes the risk that economic, regulatory, political and social conditions in those countries may have a significant impact on their investment performance and could affect the income from, or the value or liquidity of, the Master Portfolio’s portfolio. Unanticipated or sudden political or social developments may cause uncertainty in the markets and as a result adversely affect the Master Portfolio’s investments. Foreign issuers may not be subject to the same uniform accounting, auditing and financial reporting standards and practices as used in the United States. Foreign securities markets may also be more volatile and less liquid than U.S. securities and may be less subject to governmental supervision not typically associated with investing in U.S. securities. Investment percentages in specific countries are presented in the Schedule of Investments.
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 as well as acts of war in the region. These events may spread to other countries in Europe and may affect the value and liquidity of certain of the Master Portfolio’s investments.
Responses to the financial problems by European governments, central banks and others, including austerity measures and reforms, may not work, may result in social unrest and may limit future growth and economic recovery or have other unintended consequences. Further defaults or restructurings by governments and others of their debt could have additional adverse effects on economies, financial markets and asset valuations around the world. The United Kingdom has withdrawn from the European Union, and one or more other countries may withdraw from the European Union and/or abandon the Euro, the common currency of the European Union. These events and actions have adversely affected, and may in the future adversely affect, the value and exchange rate of the Euro and may continue to significantly affect the economies of every country in Europe, including countries that do not use the Euro and non-European Union member states. The impact of these actions, especially if they occur in a disorderly fashion, is not clear but could be significant and far reaching. In addition, Russia launched a large-scale invasion of Ukraine on February 24, 2022. The extent and duration of the military action, resulting sanctions and resulting future market disruptions in the region are impossible to predict, but have been, and may continue to be, significant and have a severe adverse effect on the region, including significant negative impacts on the economy and the markets for certain securities and commodities, such as oil and natural gas, as well as other sectors.
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
Master Portfolio Notes to Financial Statements45
Notes to Financial Statements (unaudited) (continued)
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.
Significant Shareholder Redemption Risk: Certain shareholders may own or manage a substantial amount of fund shares and/or hold their fund investments for a limited period of time. Large redemptions of fund shares by these shareholders may force a fund to sell portfolio securities, which may negatively impact the fund’s NAV, increase the fund’s brokerage costs, and/or accelerate the realization of taxable income/gains and cause the fund to make additional taxable distributions to shareholders.
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.
462024 BlackRock Semi-Annual Financial Statements
Changes in and Disagreements with Accountants
Remuneration Paid to Trustees, Officers, and Others
Compensation to the independent directors/trustees of the Trust and MIP is paid by the Trust and MIP, on behalf of the Fund/Master Portfolio.
Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Fund/Master Portfolio may be found on BlackRock’s website, which can be accessed at blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Fund/Master Portfolio and does not, and is not intended to, incorporate BlackRock’s website in this report.
Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports and prospectuses by enrolling in the electronic delivery program.
To enroll in electronic delivery:
Shareholders Who Hold Accounts with Investment Advisors, Banks or Brokerages:
Please contact your financial advisor. Please note that not all investment advisors, banks or brokerages may offer this service.
Shareholders Who Hold Accounts Directly with BlackRock:
1. Access the BlackRock website at blackrock.com
2. Select “Access Your Account”
3. Next, select “eDelivery” in the “Related Resources” box and follow the sign-up instructions.
BlackRock’s Mutual Fund Family
BlackRock offers a diverse lineup of open-end mutual funds crossing all investment styles and managed by experts in equity, fixed-income and tax-exempt investing. Visit blackrock.com for more information.
Call us at (800) 441-7762 from 8:00 AM to 6:00 PM ET on any business day to get information about your account balances, recent transactions and share prices. You can also visit blackrock.com for more information.
Automatic Investment Plans
Investor class shareholders who want to invest regularly can arrange to have $50 or more automatically deducted from their checking or savings account and invested in any of the BlackRock funds.
Systematic Withdrawal Plans
Investor class shareholders can establish a systematic withdrawal plan and receive periodic payments of $50 or more from their BlackRock funds, as long as their account balance is at least $10,000.
Shareholders may make investments in conjunction with Traditional, Rollover, Roth, Coverdell, Simple IRAs, SEP IRAs and 403(b) Plans.
Fund and/or MIP Service Providers
Investment Adviser
BlackRock Fund Advisors
San Francisco, CA 94105
BlackRock Advisors, LLC
Wilmington, DE 19809
Accounting Agent and Custodian
State Street Bank and Trust Company
Boston, MA 02114
BNY Mellon Investment Servicing (US) Inc.
Wilmington, DE 19809
Additional Information (continued)
Fund and/or MIP Service Providers (continued)
Distributor
BlackRock Investments, LLC
New York, NY 10001
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Philadelphia, PA 19103
Legal Counsel
Sidley Austin LLP
New York, NY 10019
400 Howard Street
San Francisco, CA 94105
482024 BlackRock Semi-Annual Financial Statements
Disclosure of Investment Advisory Agreement
The Board of Trustees of Master Investment Portfolio (the “Master Portfolio”) met on April 16, 2024 (the “April Meeting”) and May 16-17, 2024 (the “May Meeting”) to consider the approval to continue the investment advisory agreement (the “Agreement”) between the Master Portfolio, on behalf of Total International ex U.S. Index Master Portfolio (the “Master Fund”) and BlackRock Fund Advisors (the “Manager” or “BlackRock”), the Master Portfolio’s investment advisor. iShares MSCI Total International Index Fund (the “Feeder Fund”), a series of BlackRock Funds III (the “Feeder Trust”), is a “feeder” fund that invests all of its investable assets in the Master Fund. Accordingly, the Board of Trustees of the Feeder Trust also considered the approval of the Agreement with respect to the Master Fund. For simplicity: (a) the Board of Trustees of the Master Portfolio and the Board of Trustees of the Feeder Trust are referred to herein collectively as the “Board,” and the members are referred to as “Board Members”; (b) the shareholders of the Feeder Fund and the interest holders of the Master Fund are referred to as “shareholders”; and (c) the Master Fund and the Feeder Fund are referred to herein together as the “Fund”.
Consistent with the requirements of the Investment Company Act of 1940 (the “1940 Act”), the Board considers the continuation of the Agreement for the Master Portfolio on an annual basis. The Board members who are not “interested persons” of the Master Portfolio, as defined in the 1940 Act, are considered independent Board members (the “Independent Board Members”). The Board’s consideration entailed a year-long deliberative process during which the Board and its committees assessed BlackRock’s various services to the Master Portfolio, including through the review of written materials and oral presentations, and the review of additional information provided in response to requests from the Independent Board Members. The Board had four quarterly meetings per year, each of which extended over a two-day period, as well as additional ad hoc meetings throughout the year, as needed. The committees of the Board similarly met throughout the year. The Board also had an additional one-day meeting to consider specific information regarding the renewal of the Agreement. In considering the renewal of the Agreement, the Board assessed, among other things, the nature, extent and quality of the services provided to the Fund by BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management services; accounting oversight; administrative and shareholder services; oversight of the Fund’s service providers; risk management and oversight; and legal, regulatory and compliance services. Throughout the year, including during the contract renewal process, the Independent Board Members were advised by independent legal counsel, and met with independent legal counsel in various executive sessions outside of the presence of BlackRock’s management.
During the year, the Board, acting directly and through its committees, considers information that was relevant to its annual consideration of the renewal of the Agreement, including the services and support provided by BlackRock to the Master Fund, the Feeder Fund and their shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, and/or since inception periods, as applicable, against peer funds, relevant benchmarks, and other performance metrics, as applicable, as well as BlackRock senior management’s and portfolio managers’ investment performance analyses, and the reasons for any outperformance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Fund for services; (c) the Fund’s operating expenses and how BlackRock allocates expenses to the Fund; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Fund’s investment objective, policies and restrictions, and meeting regulatory requirements; (e) BlackRock’s and the Fund’s adherence to applicable compliance policies and procedures; (f) the nature, character and scope of non-investment management services provided by BlackRock and its affiliates and the estimated cost of such services, as applicable; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) the use of brokerage commissions and execution quality of portfolio transactions; (j) BlackRock’s implementation of the Fund’s valuation and liquidity procedures; (k) an analysis of management fees paid to BlackRock for products with similar investment mandates across the open-end fund, exchange-traded fund (“ETF”), closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to the Fund; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.
Prior to and in preparation for the April Meeting, the Board requested and reviewed materials specifically relating to the renewal of the Agreement. The Independent Board Members continuously engaged in a process with their independent legal counsel and BlackRock to review the nature and scope of the information provided to the Board to better assist its deliberations. The materials provided in connection with the April Meeting included, among other things: (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), based on either a Lipper Classification or Morningstar category, regarding fees and expenses of the Fund, as applicable, as compared with a peer group of funds as determined by Broadridge (“Expense Peers”), and the investment performance of the Fund as compared with a peer group of funds (“Performance Peers”); (b) information on the composition of the Expense Peers and Performance Peers, and a description of Broadridge’s methodology; (c) information on the estimated profits realized by BlackRock and its affiliates pursuant to the Agreement and a discussion of fall-out benefits to BlackRock and its affiliates; (d) a general analysis provided by BlackRock concerning investment management fees received in connection with other types of investment products, such as institutional accounts, sub-advised mutual funds, ETFs, closed-end funds, open-end funds, and separately managed accounts, under similar investment mandates, as well as the performance of such other products, as applicable; (e) a review of non-management fees; (f) the existence, impact and sharing of potential economies of scale, if any, with the Fund; (g) a summary of aggregate amounts paid by the Fund to BlackRock; (h) sales and redemption data regarding the Feeder Fund’s shares; and (i) various additional information requested by the Board as appropriate regarding BlackRock’s, the Fund’s operations.
At the April Meeting, the Board reviewed materials relating to its consideration of the Agreement, and the Independent Board Members presented BlackRock with questions and requests for additional information. BlackRock responded to these questions and requests with additional written information in advance of the May Meeting, and such responses were reviewed by the Board Members.
At the May Meeting, the Board concluded its assessment of, among other things: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Fund as compared to its Performance Peers and to other metrics, as applicable; (c) the advisory fee and the estimated cost of the services and estimated profits realized by BlackRock and its affiliates from their relationship with the Fund; (d) the Fund’s fees and expenses compared to its Expense Peers; (e) the existence and sharing of potential economies of scale; (f) any fall-out benefits to BlackRock and its affiliates as a result of BlackRock’s relationship with the Fund; and (g) other factors deemed relevant by the Board Members.
Disclosure of Investment Advisory Agreement49
Disclosure of Investment Advisory Agreement (continued)
The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, and BlackRock’s services related to the valuation and pricing of portfolio holdings of the Master Fund. The Board noted the willingness of BlackRock’s personnel to engage in open, candid discussions with the Board. The Board evaluated the information available to it on a fund-by-fund basis. The following paragraphs provide more information about some of the primary factors that were relevant to the Board’s decision. The Board Members did not identify any particular information, or any single factor as determinative, and each Board Member may have attributed different weights to the various items and factors considered.
A. Nature, Extent and Quality of the Services Provided by BlackRock
The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services, and the resulting performance of the Fund. Throughout the year, the Board compared the Fund’s performance to the performance of a comparable group of mutual funds, relevant benchmarks, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by the Fund’s portfolio management team discussing the Fund’s performance and the Fund’s investment strategies and outlook.
The Board considered, among other factors, with respect to BlackRock: the experience of the Fund’s portfolio management team; research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board also considered BlackRock’s overall risk management program, including the continued efforts of BlackRock and its affiliates to address cybersecurity risks and the role of BlackRock’s Risk & Quantitative Analysis Group. The Board engaged in a review of BlackRock’s compensation structure with respect to the Master Fund’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.
In addition to investment advisory services, the Board considered the nature and quality of the administrative and other non-investment advisory services provided to the Fund. BlackRock and its affiliates provide the Fund with certain administrative, shareholder and other services (in addition to any such services provided to the Fund by third parties) and officers and other personnel as are necessary for the operations of the Fund. In particular, BlackRock and its affiliates provide the Fund with administrative services including, among others: (i) responsibility for disclosure documents, such as the prospectus, the summary prospectus (as applicable), the statement of additional information and periodic shareholder reports; (ii) oversight of daily accounting and pricing; (iii) responsibility for periodic filings with regulators; (iv) overseeing and coordinating the activities of third party service providers including, among others, the custodian, fund accountant, transfer agent, and auditor for the Fund, as applicable; (v) organizing Board meetings and preparing the materials for such Board meetings; (vi) providing legal and compliance support; (vii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain open-end funds; and (viii) performing or managing administrative functions necessary for the operation of the Fund, such as tax reporting, expense management, fulfilling regulatory filing requirements, overseeing the Feeder Fund’s distribution partners, and shareholder call center and other services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations. The Board considered the operation of BlackRock’s business continuity plans.
B. The Investment Performance of the Fund
The Board, including the Independent Board Members, reviewed and considered the performance history of the Fund throughout the year and at the April Meeting. The Board noted that the Feeder Fund’s investment results correspond directly to the investment results of the Master Fund. In preparation for the April Meeting, the Board was provided with reports independently prepared by Broadridge, which included an analysis of the Fund’s performance as of December 31, 2023, as compared to its Performance Peers. Broadridge ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. In connection with its review, the Board received and reviewed information regarding the investment performance of the Fund as compared to its Performance Peers and the performance of the Fund as compared with its benchmark. The Board and its Performance Oversight Committee regularly review, and meet with Fund management to discuss, the performance of the Fund, as applicable, throughout the year.
In evaluating performance, the Board focused particular attention on funds with less favorable performance records. The Board also noted that while it found the data provided by Broadridge generally useful, it recognized the limitations of such data, including in particular, that notable differences may exist between a fund and its Performance Peers (for example, the investment objectives and strategies). Further, the Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. The Board also acknowledged that long-term performance could be impacted by even one period of significant outperformance or underperformance and that a single investment theme could have the ability to disproportionately affect long-term performance.
The Board noted that for the one-year period reported, the Fund’s net performance was within the tolerance range of its benchmark. The Board noted that BlackRock believes that net performance relative to the benchmark is an appropriate performance metric for the Fund, and that BlackRock has explained its rationale for this belief to the Board.
C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services and Estimated Profits Realized by BlackRock and its Affiliates from their Relationship with the Fund
The Board, including the Independent Board Members, reviewed the Fund’s contractual management fee rate compared with those of the Fund’s Expense Peers. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared the Fund’s total expense ratio, as well as the Fund’s actual management fee rate, to those of the Fund’s Expense Peers. The total expense ratio represents a fund’s total net operating expenses, including any 12b-1 or non 12b-1 service fees. The total expense ratio gives effect to any expense reimbursements or fee waivers, and the actual management fee rate gives effect to any management fee reimbursements or waivers. The Board considered that the fee and expense information in the Broadridge report for the Fund reflected information for a specific period and that historical asset levels and expenses may differ from current levels, particularly in a period of market volatility. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).
502024 BlackRock Semi-Annual Financial Statements
Disclosure of Investment Advisory Agreement (continued)
The Board received and reviewed statements relating to BlackRock’s financial condition. The Board reviewed BlackRock’s profitability methodology and was also provided with an estimated profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Fund. The Board reviewed BlackRock’s estimated profitability with respect to the Fund and other funds the Board currently oversees for the year ended December 31, 2023 compared to available aggregate estimated profitability data provided for the prior two years. The Board reviewed BlackRock’s estimated profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the estimated profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at the individual fund level is difficult.
The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly traded asset management firms. The Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.
The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreement and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time and resources, assumption of risk, and liability profile in servicing the Fund, including in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable.
The Board noted that the Fund’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and the Fund’s total expense ratio each ranked in the second quartile relative to the Fund’s Expense Peers. The Board also noted that BlackRock and the Board have contractually agreed to a cap on the Fund’s total expenses as a percentage of the Fund’s average daily net assets on a class-by-class basis.
The Board, including the Independent Board Members, considered the extent to which any economies of scale might benefit the Fund in a variety of ways as the assets of the Fund increase. The Board considered multiple factors, including the advisory fee rate and breakpoints, unitary fee structure, fee waivers, and/or expense caps, as applicable. The Board considered the Fund’s asset levels and whether the current fee schedule was appropriate.
E. Other Factors Deemed Relevant by the Board Members
The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from BlackRock’s respective relationships with the Fund, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and its risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Fund, including for administrative, distribution, securities lending and cash management services. With respect to securities lending, during the year the Board also considered information provided by independent third-party consultants related to the performance of each BlackRock affiliate as securities lending agent. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that, subject to applicable law, BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.
In connection with its consideration of the Agreement, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.
The Board noted the competitive nature of the open-end fund marketplace, and that shareholders are able to redeem their Feeder Fund shares if they believe that the Fund’s fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
At the May Meeting, in a continuation of the discussions that occurred during the April Meeting, and as a culmination of the Board’s year-long deliberative process, the Board of the Master Portfolio, including the Independent Board Members, unanimously approved the continuation of the Agreement between the Manager and the Master Portfolio, on behalf of the Master Fund for a one-year term ending June 30, 2025. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board of the Master Portfolio, including the Independent Board Members, was satisfied that the terms of the Agreement were fair and reasonable and in the best interest of the Master Fund and its shareholders. The Board of the Feeder Trust, including the Independent Board Members, also considered the continuation of the Agreement with respect to the Master Fund and found the Agreement to be satisfactory. In arriving at its decision to approve the Agreement, the Board of the Master Portfolio 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 advised by independent legal counsel throughout the deliberative process.
Disclosure of Investment Advisory Agreement51
Glossary of Terms Used in this Report
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| American Depositary Receipt |
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| Certificaten Van Aandelen (Dutch Certificate) |
| Global Depositary Receipt |
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| Morgan Stanley Capital International |
| Non-Voting Depositary Receipt |
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| Public Joint Stock Company |
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| Real Estate Investment Trust |
| Societe en Commandite par Actions |
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522024 BlackRock Semi-Annual Financial Statements
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Want to know more?
blackrock.com | 800-441-7762
This report is intended for current holders. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Fund unless preceded or accompanied by the Fund’s current prospectus. Past performance results shown in this report should not be considered a representation of future performance. Investment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Statements and other information herein are as dated and are subject to change.
June 30, 2024
2024 Semi-Annual Financial Statements (Unaudited) |
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• iShares U.S. Aggregate Bond Index Fund |
Not FDIC Insured • May Lose Value • No Bank Guarantee |
Statement of Assets and Liabilities (unaudited)June 30, 2024
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Aggregate Bond
Index Fund |
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Investments, at value — Master Portfolio | |
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Fund Statement of Assets and Liabilities3
Statement of Assets and Liabilities (unaudited) (continued)June 30, 2024
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Aggregate Bond
Index Fund |
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See notes to financial statements.
42024 BlackRock Semi-Annual Financial Statements
Statement of Operations (unaudited)Six Months Ended June 30, 2024
| iShares U.S.
Aggregate Bond
Index Fund |
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Net investment income allocated from the Master Portfolio: | |
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Securities lending income — affiliated — net | |
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Administration — class specific | |
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Fees waived and/or reimbursed by the Administrator | |
Total expenses after fees waived and/or reimbursed | |
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REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM THE MASTER PORTFOLIO | |
Net realized gain (loss) from: | |
Investments — unaffiliated | |
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Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated | |
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Net realized and unrealized loss | |
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | |
See notes to financial statements.
Fund Statement of Operations5
Statements of Changes in Net Assets
| iShares U.S.
Aggregate Bond
Index Fund |
| Six Months Ended
06/30/24
(unaudited) | |
INCREASE (DECREASE) IN NET ASSETS | | |
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Decrease in net assets resulting from distributions to shareholders | | |
CAPITAL SHARE TRANSACTIONS | | |
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| Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
62024 BlackRock Semi-Annual Financial Statements
Financial Highlights(For a share outstanding throughout each period)
| iShares U.S. Aggregate Bond Index Fund |
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| Six Months Ended
06/30/24
(unaudited) | | | | | |
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Net asset value, beginning of period | | | | | | |
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Portfolio turnover rate of the Master Portfolio(j) | | | | | | |
| Based on average shares outstanding. |
| Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| Amount is greater than $(0.005) per share. |
| Where applicable, assumes the reinvestment of distributions |
| |
| Includes payment from an affiliate, which had no impact on the Fund’s total return. |
| Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income. |
| Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| |
| Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
| Six Months Ended
06/30/24
(unaudited) | | | | | |
|
Portfolio turnover rate (excluding MDRs) | | | | | | |
See notes to financial statements.
Fund Financial Highlights7
Financial Highlights (continued)(For a share outstanding throughout each period)
| iShares U.S. Aggregate Bond Index Fund (continued) |
| |
| Six Months Ended
06/30/24
(unaudited) | | | | | |
|
Net asset value, beginning of period | | | | | | |
| | | | | | |
Net realized and unrealized gain (loss) | | | | | | |
Net increase (decrease) from investment operations | | | | | | |
| | | | | | |
From net investment income | | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
Net asset value, end of period | | | | | | |
| | | | | | |
| | | | | | |
Ratios to Average Net Assets(g)(h) | | | | | | |
| | | | | | |
Total expenses after fees waived and/or reimbursed | | | | | | |
| | | | | | |
| | | | | | |
Net assets, end of period (000) | | | | | | |
Portfolio turnover rate of the Master Portfolio(j) | | | | | | |
| Based on average shares outstanding. |
| Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| Amount is greater than $(0.005) per share. |
| Where applicable, assumes the reinvestment of distributions |
| |
| Includes payment from an affiliate, which had no impact on the Fund’s total return. |
| Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income. |
| Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| |
| Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
| Six Months Ended
06/30/24
(unaudited) | | | | | |
|
Portfolio turnover rate (excluding MDRs) | | | | | | |
See notes to financial statements.
82024 BlackRock Semi-Annual Financial Statements
Financial Highlights (continued)(For a share outstanding throughout each period)
| iShares U.S. Aggregate Bond Index Fund (continued) |
| |
| Six Months Ended
06/30/24
(unaudited) | | | | | |
|
Net asset value, beginning of period | | | | | | |
| | | | | | |
Net realized and unrealized gain (loss) | | | | | | |
Net increase (decrease) from investment operations | | | | | | |
| | | | | | |
From net investment income | | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
Net asset value, end of period | | | | | | |
| | | | | | |
| | | | | | |
Ratios to Average Net Assets(g)(h) | | | | | | |
| | | | | | |
Total expenses after fees waived and/or reimbursed | | | | | | |
| | | | | | |
| | | | | | |
Net assets, end of period (000) | | | | | | |
Portfolio turnover rate of the Master Portfolio(j) | | | | | | |
| Based on average shares outstanding. |
| Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| Amount is greater than $(0.005) per share. |
| Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions. |
| |
| Includes payment from an affiliate, which had no impact on the Fund’s total return. |
| Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income. |
| Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| |
| Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
| Six Months Ended
06/30/24
(unaudited) | | | | | |
|
Portfolio turnover rate (excluding MDRs) | | | | | | |
See notes to financial statements.
Fund Financial Highlights9
Financial Highlights (continued)(For a share outstanding throughout each period)
| iShares U.S. Aggregate Bond Index Fund (continued) |
| |
| Six Months Ended
06/30/24
(unaudited) | | | | | |
|
Net asset value, beginning of period | | | | | | |
| | | | | | |
Net realized and unrealized gain (loss) | | | | | | |
Net increase (decrease) from investment operations | | | | | | |
| | | | | | |
From net investment income | | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
Net asset value, end of period | | | | | | |
| | | | | | |
| | | | | | |
Ratios to Average Net Assets(g)(h) | | | | | | |
| | | | | | |
Total expenses after fees waived and/or reimbursed | | | | | | |
| | | | | | |
| | | | | | |
Net assets, end of period (000) | | | | | | |
Portfolio turnover rate of the Master Portfolio(j) | | | | | | |
| Based on average shares outstanding. |
| Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| Amount is greater than $(0.005) per share. |
| Where applicable, assumes the reinvestment of distributions |
| |
| Includes payment from an affiliate, which had no impact on the Fund’s total return. |
| Includes the Fund’s share of the Master Portfolio’s allocated net expenses and/or net investment income. |
| Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| |
| Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
| Six Months Ended
06/30/24
(unaudited) | | | | | |
|
Portfolio turnover rate (excluding MDRs) | | | | | | |
See notes to financial statements.
102024 BlackRock Semi-Annual Financial Statements
Notes to Financial Statements (unaudited)
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. iShares U.S. Aggregate Bond Index Fund (the “Fund”) is a series of the Trust. The Fund is classified as diversified.
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”), a series of Master Investment Portfolio (“MIP”) and an affiliate of the Trust, 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 June 30, 2024, the percentage of the Master Portfolio owned by the Fund was 100.0%. 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 certain classes bear expenses related to the shareholder servicing and distribution of such shares. Institutional and Class K Shares are sold only to certain eligible investors. Investor A and Investor P Shares bear certain expenses related to shareholder servicing of such shares. Investor A Shares are generally available through financial intermediaries. Investor P Shares are only available through registered representatives of an insurance company’s broker-dealer that has entered into an agreement with the Fund’s distributor to offer such shares. Each class has exclusive voting rights with respect to matters relating to its shareholder servicing and distribution expenditures.
| | | |
Institutional, Investor A and Class K Shares | | | |
| | | |
| Investor P Shares may be subject to a contingent deferred sales charge (“CDSC”) for certain redemptions where no initial sales charge was paid at the time of purchase. |
The Board of Trustees of the Trust and Board of Trustees of MIP are referred to throughout this report as the “Board” and the members are referred to as “Trustees.”
The Fund, 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 funds referred to as the BlackRock Multi-Asset Complex.
2.
SIGNIFICANT ACCOUNTING POLICIES
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, contributions to and withdrawals from the Master Portfolio are accounted for on a trade date basis. The Fund records its proportionate share of the Master Portfolio’s income, expenses and realized and unrealized gains and losses on a daily basis. 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 dates and made at least annually. The portion of distributions, if any, that exceeds a 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 U.S. 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. Expenses directly related to the Fund and other shared expenses prorated to the Fund are allocated daily to each class based on its relative net assets or other appropriate methods. Other operating expenses shared by several funds, including other funds managed by BlackRock Advisors, LLC (“BAL” or the “Administrator”), are prorated among those funds on the basis of relative net assets or other appropriate methods.
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
Administration: The Trust, on behalf of the Fund, entered into an Administration Agreement with BAL, which has agreed to provide general administrative services (other than investment advice and related portfolio activities). BAL has agreed to bear all of the Fund’s ordinary operating expenses, excluding, generally, investment advisory fees,
Fund Notes to Financial Statements11
Notes to Financial Statements (unaudited) (continued)
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 administrative services an annual fee based on the average daily net assets of the Fund as follows:
| | | | |
Administration fees - class specific | | | | |
For the six months ended June 30, 2024, the following table shows the class specific administration fees borne directly by each share class of the Fund:
| | | | | |
Administration fees — class specific | | | | | |
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 six months ended June 30, 2024, BAL did not waive any amount.
Service Fees: 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 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:
BRIL and broker-dealers, pursuant to sub-agreements with BRIL, provide shareholder servicing to the Fund. The ongoing service fee compensates BRIL and each broker-dealer for providing shareholder servicing related services to shareholders.
For the six months ended June 30, 2024, the following table shows the class specific service fees borne directly by each share class of the Fund:
| | | |
iShares U.S. Aggregate Bond Index Fund | | | |
Other Fees: For the six months ended June 30, 2024, affiliates earned underwriting discounts, direct commissions and dealer concessions on sales of the Fund’s Investor P Shares for a total of $939.
Expense Limitations, Waivers and Reimbursements: 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. Each of BAL and BFA, as applicable, 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 these independent expenses through June 30, 2025. The amount waived is included in fees waived and/or reimbursed by the Administrator in the Statement of Operations. For the six months ended June 30, 2024, the amount waived was $6,079.
Interfund Lending: In accordance with an exemptive order (the “Order”) from the U.S. Securities and Exchange Commission (“SEC”), the Fund may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Fund’s investment policies and restrictions. The Fund is currently permitted to borrow and lend under the Interfund Lending Program.
A lending BlackRock fund may lend in aggregate up to 15% of its net assets but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.
During the period ended June 30, 2024, the Fund did not participate in the Interfund Lending Program.
Trustees and Officers: Certain trustees and/or officers of the Trust are directors and/or officers of BlackRock, Inc. (“BlackRock”) or its affiliates.
It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s U.S. federal tax returns generally remains open for a period of three years after they are filed. The statutes of limitations on the Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Fund as of June 30, 2024, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Fund’s financial statements.
122024 BlackRock Semi-Annual Financial Statements
Notes to Financial Statements (unaudited) (continued)
As of December 31, 2023, the Fund had non-expiring capital loss carryforwards available to offset future realized capital gains as follows:
| Non-Expiring
Capital Loss
Carryforwards |
iShares U.S. Aggregate Bond Index Fund | |
6.
CAPITAL SHARE TRANSACTIONS
Transactions in capital shares for each class were as follows:
| | |
| | | | |
iShares U.S. Aggregate Bond Index Fund | | | | |
| | | | |
| | | | |
Shares issued in reinvestment of distributions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Shares issued in reinvestment of distributions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Shares issued in reinvestment of distributions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Shares issued in reinvestment of distributions | | | | |
| | | | |
| | | | |
| | | | |
As of June 30, 2024, BlackRock Financial Management, Inc., an affiliate of the Fund, owned 20,346 Investor P Shares of the Fund.
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.
Fund Notes to Financial Statements13
Schedule of Investments (unaudited)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
|
American Express Credit Account Master Trust, Series 2022-2, Class A, 3.39%, 05/15/27 | | | |
BA Credit Card Trust, Series 2023-A2, Class A2, 4.98%, 11/15/28 | | | |
CarMax Auto Owner Trust, Series 2023-4, Class A3, 6.00%, 07/17/28 | | | |
Chase Issuance Trust, Series 2024-A2, Class A, 4.63%, 01/15/31 | | | |
GM Financial Consumer Automobile Receivables Trust, Series 2023-4, Class A3, 5.78%, 08/16/28 | | | |
Santander Drive Auto Receivables Trust, Series 2024-1, Class B, 5.23%, 12/15/28 | | | |
Toyota Auto Receivables Owner Trust, Series 2021-B, Class A3, 0.26%, 11/17/25 | | | |
WF Card Issuance Trust, Series 2024-A1, Class A, 4.94%, 02/15/29 | | | |
Total Asset-Backed Securities — 0.4%
(Cost: $11,091,454) | |
|
Advertising Agencies — 0.0% |
| | | |
| | | |
| | | |
Omnicom Group, Inc./Omnicom Capital, Inc., 3.60%, 04/15/26 | | | |
| | | |
Aerospace & Defense — 0.5% |
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GE Capital International Funding Co. Unlimited Co., 4.42%, 11/15/35(a) | | | |
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Aerospace & Defense (continued) |
General Dynamics Corp. (continued) | | | |
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General Electric Co., 6.75%, 03/15/32(a) | | | |
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Huntington Ingalls Industries, Inc., 2.04%, 08/16/28(a) | | | |
L3Harris Technologies, Inc. | | | |
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142024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Aerospace & Defense (continued) |
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Air Freight & Logistics — 0.1% |
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United Parcel Service, Inc. | | | |
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Automobile Components — 0.0% |
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BorgWarner, Inc., 2.65%, 07/01/27(a) | | | |
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Automobile Components (continued) |
| | | |
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Magna International, Inc. | | | |
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|
American Honda Finance Corp. | | | |
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Ford Motor Credit Co. LLC | | | |
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Master Portfolio Schedule of Investments15
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
|
General Motors Co. (continued) | | | |
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General Motors Financial Co., Inc. | | | |
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Honda Motor Co. Ltd., 2.97%, 03/10/32(a) | | | |
Mercedes-Benz Finance North America LLC, 8.50%, 01/18/31 | | | |
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Toyota Motor Credit Corp. | | | |
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|
Toyota Motor Credit Corp. (continued) | | | |
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Series B, 5.00%, 03/19/27(a) | | | |
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|
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Asian Infrastructure Investment Bank, 4.88%, 09/14/26(a) | | | |
Banco Bilbao Vizcaya Argentaria SA(a)(c) | | | |
(1-year CMT + 2.30%), 5.86%, 09/14/26 | | | |
(1-year CMT + 3.30%), 7.88%, 11/15/34 | | | |
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(1-year CMT + 0.90%), 1.72%, 09/14/27(c) | | | |
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(1-day SOFR + 0.96%), 1.73%, 07/22/27(c) | | | |
(1-day SOFR + 1.01%), 1.20%, 10/24/26(a)(c) | | | |
(1-day SOFR + 1.05%), 2.55%, 02/04/28(c) | | | |
(1-day SOFR + 1.06%), 2.09%, 06/14/29(c) | | | |
(1-day SOFR + 1.21%), 2.57%, 10/20/32(c) | | | |
(1-day SOFR + 1.22%), 2.30%, 07/21/32(c) | | | |
(1-day SOFR + 1.29%), 5.08%, 01/20/27(c) | | | |
(1-day SOFR + 1.32%), 2.69%, 04/22/32(a)(c) | | | |
162024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
|
Bank of America Corp. (continued) | | | |
(1-day SOFR + 1.33%), 2.97%, 02/04/33(a)(c) | | | |
(1-day SOFR + 1.34%), 5.93%, 09/15/27(a)(c) | | | |
(1-day SOFR + 1.37%), 1.92%, 10/24/31(c) | | | |
(1-day SOFR + 1.53%), 1.90%, 07/23/31(c) | | | |
(1-day SOFR + 1.56%), 2.97%, 07/21/52(a)(c) | | | |
(1-day SOFR + 1.57%), 5.82%, 09/15/29(a)(c) | | | |
(1-day SOFR + 1.58%), 4.38%, 04/27/28(c) | | | |
(1-day SOFR + 1.58%), 3.31%, 04/22/42(c) | | | |
(1-day SOFR + 1.63%), 5.20%, 04/25/29(c) | | | |
(1-day SOFR + 1.65%), 5.47%, 01/23/35(a)(c) | | | |
(1-day SOFR + 1.75%), 4.83%, 07/22/26(c) | | | |
(1-day SOFR + 1.83%), 4.57%, 04/27/33(c) | | | |
(1-day SOFR + 1.84%), 5.87%, 09/15/34(a)(c) | | | |
(1-day SOFR + 1.88%), 2.83%, 10/24/51(c) | | | |
(1-day SOFR + 1.91%), 5.29%, 04/25/34(c) | | | |
(1-day SOFR + 1.93%), 2.68%, 06/19/41(a)(c) | | | |
(1-day SOFR + 1.99%), 6.20%, 11/10/28(c) | | | |
(1-day SOFR + 2.04%), 4.95%, 07/22/28(c) | | | |
(1-day SOFR + 2.15%), 2.59%, 04/29/31(a)(c) | | | |
(1-day SOFR + 2.16%), 5.02%, 07/22/33(a)(c) | | | |
(3-mo. CME Term SOFR + 1.25%), 2.50%, 02/13/31(c) | | | |
(3-mo. CME Term SOFR + 1.30%), 3.42%, 12/20/28(c) | | | |
(3-mo. CME Term SOFR + 1.32%), 3.56%, 04/23/27(c) | | | |
(3-mo. CME Term SOFR + 1.33%), 3.97%, 03/05/29(c) | | | |
(3-mo. CME Term SOFR + 1.44%), 3.19%, 07/23/30(c) | | | |
(3-mo. CME Term SOFR + 1.45%), 2.88%, 10/22/30(c) | | | |
(3-mo. CME Term SOFR + 1.45%), 3.95%, 01/23/49(c) | | | |
(3-mo. CME Term SOFR + 1.47%), 3.97%, 02/07/30(a)(c) | | | |
(3-mo. CME Term SOFR + 1.57%), 4.27%, 07/23/29(c) | | | |
(3-mo. CME Term SOFR + 1.58%), 4.08%, 04/23/40(c) | | | |
(3-mo. CME Term SOFR + 1.63%), 3.59%, 07/21/28(c) | | | |
(3-mo. CME Term SOFR + 1.77%), 3.71%, 04/24/28(c) | | | |
(3-mo. CME Term SOFR + 1.78%), 4.33%, 03/15/50(c) | | | |
(3-mo. CME Term SOFR + 1.84%), 3.82%, 01/20/28(c) | | | |
(3-mo. CME Term SOFR + 2.08%), 4.24%, 04/24/38(c) | | | |
(3-mo. CME Term SOFR + 2.25%), 4.44%, 01/20/48(c) | | | |
(3-mo. CME Term SOFR + 3.41%), 4.08%, 03/20/51(c) | | | |
(5-year CMT + 1.20%), 2.48%, 09/21/36(c) | | | |
Series L, 4.18%, 11/25/27 | | | |
Series N, (1-day SOFR + 0.91%), 1.66%, 03/11/27(c) | | | |
Series N, (1-day SOFR + 1.22%), 2.65%, 03/11/32(c) | | | |
Series N, (1-day SOFR + 1.65%), 3.48%, 03/13/52(a)(c) | | | |
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Series BKNT, 6.00%, 10/15/36 | | | |
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(5-year CMT + 1.40%), 3.09%, 01/10/37(c) | | | |
(5-year USD Swap + 1.43%), 3.80%, 12/15/32(c) | | | |
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(1-day SOFR + 2.21%), 5.83%, 05/09/27(c) | | | |
(1-day SOFR + 2.42%), 6.04%, 03/12/55(c) | | | |
(1-day SOFR + 2.62%), 6.69%, 09/13/34(a)(c) | | | |
(1-day SOFR + 2.98%), 6.22%, 05/09/34(c) | | | |
(1-day SOFR + 3.57%), 7.12%, 06/27/34(a)(c) | | | |
(1-year CMT + 1.05%), 2.28%, 11/24/27(c) | | | |
(1-year CMT + 1.20%), 2.67%, 03/10/32(c) | | | |
(1-year CMT + 1.30%), 3.33%, 11/24/42(c) | | | |
(1-year CMT + 2.30%), 5.30%, 08/09/26(c) | | | |
(1-year CMT + 2.65%), 5.50%, 08/09/28(c) | | | |
(1-year CMT + 3.05%), 7.33%, 11/02/26(c) | | | |
(1-year CMT + 3.30%), 7.39%, 11/02/28(c) | | | |
(1-year CMT + 3.50%), 7.44%, 11/02/33(c) | | | |
(3-mo. LIBOR US + 1.90%), 4.97%, 05/16/29(c) | | | |
Canadian Imperial Bank of Commerce | | | |
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Series BKNT, 5.49%, 12/04/26 | | | |
Citibank NA, Series BKNT, 5.44%, 04/30/26(a) | | | |
Master Portfolio Schedule of Investments17
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
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(1-day SOFR + 0.77%), 1.12%, 01/28/27(c) | | | |
(1-day SOFR + 0.77%), 1.46%, 06/09/27(c) | | | |
(1-day SOFR + 1.15%), 2.67%, 01/29/31(a)(c) | | | |
(1-day SOFR + 1.17%), 2.56%, 05/01/32(c) | | | |
(1-day SOFR + 1.18%), 2.52%, 11/03/32(c) | | | |
(1-day SOFR + 1.28%), 3.07%, 02/24/28(a)(c) | | | |
(1-day SOFR + 1.35%), 3.06%, 01/25/33(c) | | | |
(1-day SOFR + 1.36%), 5.17%, 02/13/30(c) | | | |
(1-day SOFR + 1.38%), 2.90%, 11/03/42(c) | | | |
(1-day SOFR + 1.42%), 2.98%, 11/05/30(c) | | | |
(1-day SOFR + 1.45%), 5.45%, 06/11/35(c) | | | |
(1-day SOFR + 1.55%), 5.61%, 09/29/26(c) | | | |
(1-day SOFR + 1.89%), 4.66%, 05/24/28(c) | | | |
(1-day SOFR + 1.94%), 3.79%, 03/17/33(c) | | | |
(1-day SOFR + 2.06%), 5.83%, 02/13/35(a)(c) | | | |
(1-day SOFR + 2.09%), 4.91%, 05/24/33(c) | | | |
(1-day SOFR + 2.11%), 2.57%, 06/03/31(c) | | | |
(1-day SOFR + 2.34%), 6.27%, 11/17/33(a)(c) | | | |
(1-day SOFR + 2.66%), 6.17%, 05/25/34(a)(c) | | | |
(1-day SOFR + 3.91%), 4.41%, 03/31/31(a)(c) | | | |
(3-mo. CME Term SOFR + 1.41%), 3.52%, 10/27/28(a)(c) | | | |
(3-mo. CME Term SOFR + 1.43%), 3.88%, 01/24/39(c) | | | |
(3-mo. CME Term SOFR + 1.45%), 4.08%, 04/23/29(a)(c) | | | |
(3-mo. CME Term SOFR + 1.60%), 3.98%, 03/20/30(c) | | | |
(3-mo. CME Term SOFR + 1.65%), 3.67%, 07/24/28(c) | | | |
(3-mo. CME Term SOFR + 1.82%), 3.89%, 01/10/28(c) | | | |
(3-mo. CME Term SOFR + 2.10%), 4.28%, 04/24/48(a)(c) | | | |
Citizens Financial Group, Inc. | | | |
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(1-day SOFR + 2.01%), 5.84%, 01/23/30(a)(c) | | | |
(5-year CMT + 2.75%), 5.64%, 05/21/37(a)(c) | | | |
Comerica, Inc., 4.00%, 02/01/29(a) | | | |
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Series BKNT, 5.25%, 05/24/41(a) | | | |
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Council of Europe Development Bank, 3.75%, 05/25/26 | | | |
Credit Suisse AG/New York | | | |
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Deutsche Bank AG, 4.10%, 01/13/26(a) | | | |
Deutsche Bank AG/New York | | | |
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(1-day SOFR + 1.22%), 2.31%, 11/16/27(c) | | | |
(1-day SOFR + 1.32%), 2.55%, 01/07/28(c) | | | |
(1-day SOFR + 2.52%), 7.15%, 07/13/27(c) | | | |
(1-day SOFR + 2.76%), 3.73%, 01/14/32(c) | | | |
(1-day SOFR + 3.04%), 3.55%, 09/18/31(a)(c) | | | |
(1-day SOFR + 3.18%), 6.72%, 01/18/29(c) | | | |
(1-day SOFR + 3.65%), 7.08%, 02/10/34(c) | | | |
Discover Bank, Series BKNT, 3.45%, 07/27/26 | | | |
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(1-day SOFR + 0.69%), 1.71%, 11/01/27(c) | | | |
(1-day SOFR + 1.36%), 4.06%, 04/25/28(c) | | | |
(1-day SOFR + 1.66%), 4.34%, 04/25/33(c) | | | |
(1-day SOFR + 1.84%), 5.63%, 01/29/32(c) | | | |
(1-day SOFR Index + 2.13%), 4.77%, 07/28/30(c) | | | |
(1-day SOFR Index + 2.19%), 6.36%, 10/27/28(a)(c) | | | |
First-Citizens Bank & Trust Co., 6.13%, 03/09/28(a) | | | |
Goldman Sachs Bank USA, (1-day SOFR + 0.75%), 5.41%, 05/21/27(a)(c) | | | |
Goldman Sachs Bank USA/New York, Series BKNT, (1-day SOFR + 0.78%), 5.28%, 03/18/27(c) | | | |
Goldman Sachs Group, Inc. | | | |
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(1-day SOFR + 0.80%), 1.43%, 03/09/27(c) | | | |
(1-day SOFR + 0.82%), 1.54%, 09/10/27(c) | | | |
(1-day SOFR + 0.91%), 1.95%, 10/21/27(c) | | | |
(1-day SOFR + 1.08%), 5.80%, 08/10/26(c) | | | |
(1-day SOFR + 1.09%), 1.99%, 01/27/32(a)(c) | | | |
(1-day SOFR + 1.11%), 2.64%, 02/24/28(c) | | | |
(1-day SOFR + 1.25%), 2.38%, 07/21/32(a)(c) | | | |
(1-day SOFR + 1.26%), 2.65%, 10/21/32(c) | | | |
(1-day SOFR + 1.27%), 5.73%, 04/25/30(a)(c) | | | |
(1-day SOFR + 1.28%), 2.62%, 04/22/32(c) | | | |
(1-day SOFR + 1.41%), 3.10%, 02/24/33(a)(c) | | | |
(1-day SOFR + 1.47%), 2.91%, 07/21/42(c) | | | |
(1-day SOFR + 1.51%), 4.39%, 06/15/27(a)(c) | | | |
(1-day SOFR + 1.51%), 3.21%, 04/22/42(c) | | | |
(1-day SOFR + 1.55%), 5.85%, 04/25/35(a)(c) | | | |
(1-day SOFR + 1.63%), 3.44%, 02/24/43(c) | | | |
(1-day SOFR + 1.73%), 4.48%, 08/23/28(c) | | | |
(1-day SOFR + 1.77%), 6.48%, 10/24/29(c) | | | |
182024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
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Goldman Sachs Group, Inc. (continued) | | | |
(1-day SOFR + 1.85%), 3.62%, 03/15/28(c) | | | |
(1-day SOFR + 1.95%), 6.56%, 10/24/34(a)(c) | | | |
(3-mo. CME Term SOFR + 1.42%), 3.81%, 04/23/29(c) | | | |
(3-mo. CME Term SOFR + 1.56%), 4.22%, 05/01/29(c) | | | |
(3-mo. CME Term SOFR + 1.63%), 4.02%, 10/31/38(c) | | | |
(3-mo. CME Term SOFR + 1.69%), 4.41%, 04/23/39(c) | | | |
(3-mo. CME Term SOFR + 1.77%), 3.69%, 06/05/28(c) | | | |
HSBC Bank USA NA, Series BKNT, 7.00%, 01/15/39 | | | |
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(1-day SOFR + 1.06%), 5.60%, 05/17/28(a)(c) | | | |
(1-day SOFR + 1.46%), 5.55%, 03/04/30(a)(c) | | | |
(1-day SOFR + 1.52%), 5.73%, 05/17/32(c) | | | |
(1-day SOFR + 1.57%), 5.89%, 08/14/27(c) | | | |
(1-day SOFR + 1.78%), 5.72%, 03/04/35(a)(c) | | | |
(1-day SOFR + 1.97%), 6.16%, 03/09/29(c) | | | |
(1-day SOFR + 2.11%), 4.76%, 06/09/28(c) | | | |
(1-day SOFR + 2.39%), 2.85%, 06/04/31(c) | | | |
(1-day SOFR + 2.39%), 6.25%, 03/09/34(a)(c) | | | |
(1-day SOFR + 2.53%), 4.76%, 03/29/33(c) | | | |
(1-day SOFR + 2.61%), 5.21%, 08/11/28(c) | | | |
(1-day SOFR + 2.65%), 6.33%, 03/09/44(c) | | | |
(1-day SOFR + 2.98%), 6.55%, 06/20/34(a)(c) | | | |
(1-day SOFR + 3.02%), 7.40%, 11/13/34(c) | | | |
(1-day SOFR + 4.25%), 8.11%, 11/03/33(c) | | | |
(3-mo. CME Term SOFR + 1.61%), 4.29%, 09/12/26(c) | | | |
(3-mo. CME Term SOFR + 1.81%), 4.04%, 03/13/28(c) | | | |
(3-mo. CME Term SOFR + 1.87%), 3.97%, 05/22/30(c) | | | |
(1-day SOFR + 3.03%), 7.34%, 11/03/26(a)(c) | | | |
(1-day SOFR + 3.35%), 7.39%, 11/03/28(c) | | | |
Huntington Bancshares, Inc.(c) | | | |
(1-day SOFR + 1.97%), 4.44%, 08/04/28 | | | |
(1-day SOFR + 2.05%), 5.02%, 05/17/33(a) | | | |
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(1-day SOFR Index + 1.65%), 4.55%, 05/17/28(c) | | | |
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(1-day SOFR + 1.01%), 1.73%, 04/01/27(c) | | | |
(1-day SOFR + 1.44%), 5.34%, 03/19/30(c) | | | |
(1-day SOFR + 1.77%), 5.55%, 03/19/35(a)(c) | | | |
(1-day SOFR + 1.83%), 4.02%, 03/28/28(c) | | | |
(1-day SOFR + 2.09%), 6.11%, 09/11/34(c) | | | |
Inter-American Development Bank(a) | | | |
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International Bank for Reconstruction & Development | | | |
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(1-day SOFR + 0.77%), 1.47%, 09/22/27(c) | | | |
(1-day SOFR + 0.89%), 1.58%, 04/22/27(c) | | | |
(1-day SOFR + 0.93%), 5.57%, 04/22/28(c) | | | |
(1-day SOFR + 1.02%), 2.07%, 06/01/29(c) | | | |
(1-day SOFR + 1.07%), 1.95%, 02/04/32(c) | | | |
(1-day SOFR + 1.16%), 5.58%, 04/22/30(c) | | | |
(1-day SOFR + 1.17%), 2.95%, 02/24/28(c) | | | |
(1-day SOFR + 1.18%), 2.55%, 11/08/32(c) | | | |
(1-day SOFR + 1.19%), 5.04%, 01/23/28(c) | | | |
(1-day SOFR + 1.26%), 2.96%, 01/25/33(c) | | | |
(1-day SOFR + 1.31%), 5.01%, 01/23/30(c) | | | |
(1-day SOFR + 1.33%), 6.07%, 10/22/27(c) | | | |
(1-day SOFR + 1.45%), 5.30%, 07/24/29(c) | | | |
(1-day SOFR + 1.46%), 3.16%, 04/22/42(c) | | | |
(1-day SOFR + 1.49%), 5.77%, 04/22/35(c) | | | |
(1-day SOFR + 1.56%), 4.32%, 04/26/28(c) | | | |
(1-day SOFR + 1.57%), 6.09%, 10/23/29(c) | | | |
(1-day SOFR + 1.58%), 3.33%, 04/22/52(c) | | | |
(1-day SOFR + 1.62%), 5.34%, 01/23/35(a)(c) | | | |
(1-day SOFR + 1.75%), 4.57%, 06/14/30(a)(c) | | | |
(1-day SOFR + 1.80%), 4.59%, 04/26/33(c) | | | |
(1-day SOFR + 1.81%), 6.25%, 10/23/34(a)(c) | | | |
(1-day SOFR + 1.85%), 5.35%, 06/01/34(c) | | | |
(1-day SOFR + 1.99%), 4.85%, 07/25/28(a)(c) | | | |
(1-day SOFR + 2.04%), 2.52%, 04/22/31(c) | | | |
(1-day SOFR + 2.08%), 4.91%, 07/25/33(a)(c) | | | |
(1-day SOFR + 2.44%), 3.11%, 04/22/51(c) | | | |
(1-day SOFR + 2.58%), 5.72%, 09/14/33(a)(c) | | | |
(3-mo. CME Term SOFR + 0.70%), 1.04%, 02/04/27(c) | | | |
(3-mo. CME Term SOFR + 1.11%), 1.76%, 11/19/31(c) | | | |
(3-mo. CME Term SOFR + 1.21%), 3.51%, 01/23/29(c) | | | |
(3-mo. CME Term SOFR + 1.25%), 2.58%, 04/22/32(a)(c) | | | |
(3-mo. CME Term SOFR + 1.38%), 4.01%, 04/23/29(c) | | | |
(3-mo. CME Term SOFR + 1.42%), 3.70%, 05/06/30(c) | | | |
Master Portfolio Schedule of Investments19
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
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JPMorgan Chase & Co. (continued) | | | |
(3-mo. CME Term SOFR + 1.48%), 3.90%, 01/23/49(a)(c) | | | |
(3-mo. CME Term SOFR + 1.51%), 2.74%, 10/15/30(c) | | | |
(3-mo. CME Term SOFR + 1.51%), 2.53%, 11/19/41(c) | | | |
(3-mo. CME Term SOFR + 1.52%), 4.20%, 07/23/29(c) | | | |
(3-mo. CME Term SOFR + 1.59%), 4.45%, 12/05/29(a)(c) | | | |
(3-mo. CME Term SOFR + 1.60%), 3.78%, 02/01/28(c) | | | |
(3-mo. CME Term SOFR + 1.62%), 3.88%, 07/24/38(c) | | | |
(3-mo. CME Term SOFR + 1.64%), 3.54%, 05/01/28(c) | | | |
(3-mo. CME Term SOFR + 1.64%), 3.96%, 11/15/48(a)(c) | | | |
(3-mo. CME Term SOFR + 1.72%), 4.03%, 07/24/48(c) | | | |
(3-mo. CME Term SOFR + 1.84%), 4.26%, 02/22/48(a)(c) | | | |
(3-mo. CME Term SOFR + 2.46%), 3.11%, 04/22/41(c) | | | |
(3-mo. CME Term SOFR + 2.52%), 2.96%, 05/13/31(c) | | | |
(3-mo. CME Term SOFR + 3.79%), 4.49%, 03/24/31(a)(c) | | | |
JPMorgan Chase Bank NA, Class BN, 5.11%, 12/08/26(a) | | | |
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Series BKNT, 5.85%, 11/15/27(a) | | | |
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(1-day SOFR Index + 2.06%), 4.79%, 06/01/33(c) | | | |
Kreditanstalt fuer Wiederaufbau | | | |
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Landwirtschaftliche Rentenbank, 0.88%, 09/03/30(a) | | | |
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(1-year CMT + 1.07%), 5.72%, 06/05/30(c) | | | |
(1-year CMT + 1.48%), 5.99%, 08/07/27(c) | | | |
(1-year CMT + 1.70%), 5.87%, 03/06/29(c) | | | |
(1-year CMT + 1.80%), 3.75%, 03/18/28(c) | | | |
(1-year CMT + 2.30%), 4.98%, 08/11/33(a)(c) | | | |
(1-year CMT + 3.75%), 7.95%, 11/15/33(c) | | | |
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(1-day SOFR + 1.85%), 5.05%, 01/27/34 | | | |
(1-day SOFR Index + 1.78%), 4.55%, 08/16/28 | | | |
Manufacturers & Traders Trust Co. | | | |
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Mitsubishi UFJ Financial Group, Inc. | | | |
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(1-year CMT + 0.83%), 2.34%, 01/19/28(c) | | | |
(1-year CMT + 0.95%), 2.31%, 07/20/32(c) | | | |
(1-year CMT + 0.97%), 2.49%, 10/13/32(c) | | | |
(1-year CMT + 1.10%), 2.85%, 01/19/33(c) | | | |
(1-year CMT + 1.30%), 4.08%, 04/19/28(c) | | | |
(1-year CMT + 1.90%), 5.35%, 09/13/28(a)(c) | | | |
(1-year CMT + 1.95%), 5.02%, 07/20/28(c) | | | |
(1-year CMT + 2.13%), 5.13%, 07/20/33(c) | | | |
(1-year CMT + 2.13%), 5.47%, 09/13/33(c) | | | |
Mizuho Financial Group, Inc.(c) | | | |
(1-year CMT + 0.67%), 1.23%, 05/22/27 | | | |
(1-year CMT + 1.25%), 3.26%, 05/22/30 | | | |
(1-year CMT + 1.65%), 5.78%, 07/06/29 | | | |
(1-year CMT + 1.90%), 5.75%, 07/06/34 | | | |
(1-year CMT + 2.05%), 5.41%, 09/13/28 | | | |
(1-year CMT + 2.40%), 5.67%, 09/13/33 | | | |
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(1-day SOFR + 0.72%), 0.99%, 12/10/26(c) | | | |
(1-day SOFR + 0.86%), 1.51%, 07/20/27(c) | | | |
(1-day SOFR + 0.88%), 1.59%, 05/04/27(a)(c) | | | |
(1-day SOFR + 1.00%), 2.48%, 01/21/28(c) | | | |
(1-day SOFR + 1.01%), 5.65%, 04/13/28(a)(c) | | | |
(1-day SOFR + 1.02%), 1.93%, 04/28/32(c) | | | |
(1-day SOFR + 1.03%), 1.79%, 02/13/32(c) | | | |
(1-day SOFR + 1.14%), 2.70%, 01/22/31(c) | | | |
(1-day SOFR + 1.18%), 2.24%, 07/21/32(a)(c) | | | |
(1-day SOFR + 1.20%), 2.51%, 10/20/32(c) | | | |
(1-day SOFR + 1.26%), 5.66%, 04/18/30(a)(c) | | | |
(1-day SOFR + 1.29%), 2.94%, 01/21/33(a)(c) | | | |
(1-day SOFR + 1.30%), 5.05%, 01/28/27(c) | | | |
(1-day SOFR + 1.36%), 2.48%, 09/16/36(c) | | | |
(1-day SOFR + 1.43%), 2.80%, 01/25/52(a)(c) | | | |
(1-day SOFR + 1.45%), 5.17%, 01/16/30(c) | | | |
(1-day SOFR + 1.49%), 3.22%, 04/22/42(c) | | | |
(1-day SOFR + 1.58%), 5.83%, 04/19/35(a)(c) | | | |
(1-day SOFR + 1.59%), 5.16%, 04/20/29(c) | | | |
(1-day SOFR + 1.61%), 4.21%, 04/20/28(c) | | | |
(1-day SOFR + 1.63%), 5.45%, 07/20/29(c) | | | |
(1-day SOFR + 1.67%), 4.68%, 07/17/26(a)(c) | | | |
(1-day SOFR + 1.73%), 5.12%, 02/01/29(c) | | | |
(1-day SOFR + 1.73%), 5.47%, 01/18/35(c) | | | |
202024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
|
Morgan Stanley (continued) | | | |
(1-day SOFR + 1.77%), 6.14%, 10/16/26(c) | | | |
(1-day SOFR + 1.83%), 6.41%, 11/01/29(c) | | | |
(1-day SOFR + 1.87%), 5.25%, 04/21/34(a)(c) | | | |
(1-day SOFR + 1.88%), 5.42%, 07/21/34(c) | | | |
(1-day SOFR + 2.05%), 6.63%, 11/01/34(c) | | | |
(1-day SOFR + 2.08%), 4.89%, 07/20/33(c) | | | |
(1-day SOFR + 2.24%), 6.30%, 10/18/28(a)(c) | | | |
(1-day SOFR + 2.56%), 6.34%, 10/18/33(a)(c) | | | |
(1-day SOFR + 2.62%), 5.30%, 04/20/37(c) | | | |
(1-day SOFR + 3.12%), 3.62%, 04/01/31(c) | | | |
(1-day SOFR + 4.84%), 5.60%, 03/24/51(a)(c) | | | |
(3-mo. CME Term SOFR + 1.40%), 3.77%, 01/24/29(c) | | | |
(3-mo. CME Term SOFR + 1.69%), 4.46%, 04/22/39(c) | | | |
(3-mo. CME Term SOFR + 1.89%), 4.43%, 01/23/30(c) | | | |
(5-year CMT + 1.80%), 5.94%, 02/07/39(c) | | | |
(5-year CMT + 2.43%), 5.95%, 01/19/38(c) | | | |
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Series BKNT, 4.75%, 04/21/26 | | | |
Series BKNT, 5.88%, 10/30/26 | | | |
Series BKNT, (1-day SOFR + 0.87%), 5.50%, 05/26/28(c) | | | |
National Australia Bank Ltd./New York | | | |
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(1-year CMT + 2.10%), 6.02%, 03/02/34 | | | |
(1-year CMT + 2.85%), 7.47%, 11/10/26 | | | |
(3-mo. LIBOR US + 1.91%), 5.08%, 01/27/30 | | | |
(5-year CMT + 2.35%), 3.03%, 11/28/35 | | | |
Oesterreichische Kontrollbank AG, 4.25%, 03/01/28 | | | |
PNC Bank NA, Series BKNT, 4.05%, 07/26/28 | | | |
PNC Financial Services Group, Inc. | | | |
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(1-day SOFR + 0.98%), 2.31%, 04/23/32(a)(c) | | | |
(1-day SOFR + 1.20%), 5.49%, 05/14/30(c) | | | |
(1-day SOFR + 1.34%), 5.30%, 01/21/28(a)(c) | | | |
(1-day SOFR + 1.62%), 5.35%, 12/02/28(c) | | | |
(1-day SOFR + 1.84%), 5.58%, 06/12/29(a)(c) | | | |
(1-day SOFR + 1.93%), 5.07%, 01/24/34(a)(c) | | | |
(1-day SOFR + 1.95%), 5.94%, 08/18/34(c) | | | |
(1-day SOFR + 2.28%), 6.88%, 10/20/34(a)(c) | | | |
(1-day SOFR Index + 1.09%), 4.76%, 01/26/27(a)(c) | | | |
(1-day SOFR Index + 1.73%), 6.62%, 10/20/27(a)(c) | | | |
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(1-day SOFR + 1.49%), 5.72%, 06/06/30(c) | | | |
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|
Royal Bank of Canada (continued) | | | |
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Santander Holdings USA, Inc. | | | |
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(1-day SOFR + 1.25%), 2.49%, 01/06/28(c) | | | |
(1-day SOFR + 2.14%), 6.34%, 05/31/35(c) | | | |
(1-day SOFR + 2.33%), 5.81%, 09/09/26(a)(c) | | | |
(1-day SOFR + 2.36%), 6.50%, 03/09/29(c) | | | |
(1-day SOFR + 2.50%), 6.17%, 01/09/30(a)(c) | | | |
(1-day SOFR + 2.70%), 6.57%, 06/12/29(a)(c) | | | |
(1-day SOFR + 3.28%), 7.66%, 11/09/31(a)(c) | | | |
Santander U.K. Group Holdings PLC(c) | | | |
(1-day SOFR + 1.22%), 2.47%, 01/11/28 | | | |
(1-day SOFR + 2.60%), 6.53%, 01/10/29 | | | |
(1-day SOFR + 2.75%), 6.83%, 11/21/26 | | | |
Sumitomo Mitsui Financial Group, Inc. | | | |
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Synchrony Bank, 5.63%, 08/23/27 | | | |
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Master Portfolio Schedule of Investments21
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
|
Toronto-Dominion Bank (continued) | | | |
| | | |
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(5-year USD Swap + 2.21%), 3.63%, 09/15/31(c) | | | |
| | | |
Series BKNT, 3.63%, 09/16/25(a) | | | |
Series BKNT, 3.80%, 10/30/26 | | | |
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(1-day SOFR + 0.86%), 1.89%, 06/07/29(a)(c) | | | |
(1-day SOFR + 1.37%), 4.12%, 06/06/28(a)(c) | | | |
(1-day SOFR + 1.44%), 4.87%, 01/26/29(a)(c) | | | |
(1-day SOFR + 1.46%), 4.26%, 07/28/26(a)(c) | | | |
(1-day SOFR + 1.62%), 5.44%, 01/24/30(a)(c) | | | |
(1-day SOFR + 1.63%), 5.90%, 10/28/26(c) | | | |
(1-day SOFR + 1.85%), 5.12%, 01/26/34(a)(c) | | | |
(1-day SOFR + 1.92%), 5.71%, 01/24/35(c) | | | |
(1-day SOFR + 2.05%), 6.05%, 06/08/27(c) | | | |
(1-day SOFR + 2.24%), 4.92%, 07/28/33(a)(c) | | | |
(1-day SOFR + 2.30%), 6.12%, 10/28/33(c) | | | |
(1-day SOFR + 2.36%), 5.87%, 06/08/34(c) | | | |
(1-day SOFR + 2.45%), 7.16%, 10/30/29(a)(c) | | | |
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(1-day SOFR + 0.73%), 2.22%, 01/27/28(c) | | | |
(1-day SOFR + 1.02%), 2.68%, 01/27/33(a)(c) | | | |
(1-day SOFR + 1.23%), 4.65%, 02/01/29(a)(c) | | | |
(1-day SOFR + 1.43%), 5.73%, 10/21/26(c) | | | |
(1-day SOFR + 1.60%), 4.84%, 02/01/34(c) | | | |
(1-day SOFR + 1.66%), 4.55%, 07/22/28(c) | | | |
(1-day SOFR + 1.88%), 6.79%, 10/26/27(c) | | | |
(1-day SOFR + 2.02%), 5.78%, 06/12/29(c) | | | |
(1-day SOFR + 2.09%), 5.85%, 10/21/33(c) | | | |
(1-day SOFR + 2.11%), 4.97%, 07/22/33(c) | | | |
(1-day SOFR + 2.26%), 5.84%, 06/12/34(a)(c) | | | |
(5-year CMT + 0.95%), 2.49%, 11/03/36(c) | | | |
Series V, 2.38%, 07/22/26(a) | | | |
Series X, 3.15%, 04/27/27 | | | |
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Wachovia Corp., 5.50%, 08/01/35 | | | |
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(1-day SOFR + 1.07%), 5.71%, 04/22/28(c) | | | |
(1-day SOFR + 1.50%), 5.20%, 01/23/30(a)(c) | | | |
(1-day SOFR + 1.50%), 3.35%, 03/02/33(c) | | | |
(1-day SOFR + 1.51%), 3.53%, 03/24/28(c) | | | |
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|
Wells Fargo & Co. (continued) | | | |
(1-day SOFR + 1.56%), 4.54%, 08/15/26(c) | | | |
(1-day SOFR + 1.74%), 5.57%, 07/25/29(c) | | | |
(1-day SOFR + 1.78%), 5.50%, 01/23/35(a)(c) | | | |
(1-day SOFR + 1.79%), 6.30%, 10/23/29(c) | | | |
(1-day SOFR + 1.98%), 4.81%, 07/25/28(c) | | | |
(1-day SOFR + 1.99%), 5.56%, 07/25/34(c) | | | |
(1-day SOFR + 2.02%), 5.39%, 04/24/34(a)(c) | | | |
(1-day SOFR + 2.06%), 6.49%, 10/23/34(c) | | | |
(1-day SOFR + 2.10%), 2.39%, 06/02/28(c) | | | |
(1-day SOFR + 2.10%), 4.90%, 07/25/33(a)(c) | | | |
(1-day SOFR + 2.13%), 4.61%, 04/25/53(a)(c) | | | |
(1-day SOFR + 2.53%), 3.07%, 04/30/41(c) | | | |
(3-mo. CME Term SOFR + 1.26%), 2.57%, 02/11/31(c) | | | |
(3-mo. CME Term SOFR + 1.43%), 3.20%, 06/17/27(a)(c) | | | |
(3-mo. CME Term SOFR + 1.43%), 2.88%, 10/30/30(c) | | | |
(3-mo. CME Term SOFR + 1.57%), 3.58%, 05/22/28(c) | | | |
(3-mo. CME Term SOFR + 4.03%), 4.48%, 04/04/31(c) | | | |
(3-mo. CME Term SOFR + 4.50%), 5.01%, 04/04/51(a)(c) | | | |
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Series BKNT, 5.55%, 08/01/25 | | | |
Series BKNT, 5.45%, 08/07/26 | | | |
Series BKNT, 6.60%, 01/15/38 | | | |
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(1-year CMT + 2.68%), 5.41%, 08/10/33(c) | | | |
(5-year CMT + 1.53%), 3.02%, 11/18/36(c) | | | |
(5-year CMT + 1.75%), 2.67%, 11/15/35(a)(c) | | | |
(5-year CMT + 2.00%), 4.11%, 07/24/34(c) | | | |
(5-year USD ICE Swap + 2.24%), 4.32%, 11/23/31(c) | | | |
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Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. | | | |
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Anheuser-Busch InBev Finance, Inc. | | | |
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222024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
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|
Anheuser-Busch InBev Finance, Inc. (continued) | | | |
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Anheuser-Busch InBev Worldwide, Inc. | | | |
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Coca-Cola Consolidated, Inc. | | | |
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Coca-Cola Femsa SAB de CV | | | |
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Constellation Brands, Inc. | | | |
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Diageo Investment Corp., 4.25%, 05/11/42(a) | | | |
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|
Keurig Dr Pepper, Inc. (continued) | | | |
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Series 10, 5.20%, 03/15/31 | | | |
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Molson Coors Beverage Co. | | | |
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Pepsico Singapore Financing I Pte. Ltd. | | | |
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Master Portfolio Schedule of Investments23
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
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Biotechnology (continued) |
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Baxalta, Inc., 5.25%, 06/23/45 | | | |
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Bio-Rad Laboratories, Inc.(a) | | | |
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Regeneron Pharmaceuticals, Inc. | | | |
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Alibaba Group Holding Ltd. | | | |
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Broadline Retail (continued) |
Amazon.com, Inc. (continued) | | | |
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JD.com, Inc., 3.38%, 01/14/30(a) | | | |
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Building Materials — 0.1% |
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Eagle Materials, Inc., 2.50%, 07/01/31(a) | | | |
Fortune Brands Innovations, Inc. | | | |
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Johnson Controls International PLC | | | |
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Johnson Controls International PLC/Tyco Fire & Security Finance SCA | | | |
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Martin Marietta Materials, Inc. | | | |
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Series CB, 2.50%, 03/15/30 | | | |
242024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Building Materials (continued) |
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Trane Technologies Financing Ltd.(a) | | | |
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Trane Technologies Global Holding Co. Ltd., 4.30%, 02/21/48 | | | |
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Building Products (continued) |
Home Depot, Inc. (continued) | | | |
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Bain Capital Specialty Finance, Inc., 2.55%, 10/13/26(a) | | | |
Bank of New York Mellon Corp. | | | |
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(1-day SOFR + 1.03%), 4.95%, 04/26/27(c) | | | |
(1-day SOFR + 1.09%), 4.98%, 03/14/30(a)(c) | | | |
(1-day SOFR + 1.15%), 3.99%, 06/13/28(c) | | | |
(1-day SOFR + 1.17%), 4.54%, 02/01/29(c) | | | |
(1-day SOFR + 1.35%), 4.41%, 07/24/26(c) | | | |
(1-day SOFR + 1.42%), 4.29%, 06/13/33(c) | | | |
(1-day SOFR + 1.42%), 5.19%, 03/14/35(c) | | | |
(1-day SOFR + 1.51%), 4.71%, 02/01/34(c) | | | |
(1-day SOFR + 1.60%), 6.32%, 10/25/29(c) | | | |
(1-day SOFR + 1.76%), 4.60%, 07/26/30(c) | | | |
(1-day SOFR + 1.85%), 6.47%, 10/25/34(c) | | | |
Master Portfolio Schedule of Investments25
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
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Capital Markets (continued) |
Bank of New York Mellon Corp. (continued) | | | |
(1-day SOFR Index + 1.80%), 5.80%, 10/25/28(c) | | | |
(1-day SOFR Index + 2.07%), 5.83%, 10/25/33(c) | | | |
(3-mo. CME Term SOFR + 1.33%), 3.44%, 02/07/28(c) | | | |
Series J, (1-day SOFR + 1.61%), 4.97%, 04/26/34(c) | | | |
Blackstone Private Credit Fund | | | |
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Blackstone Secured Lending Fund | | | |
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Blue Owl Capital Corp. III, 3.13%, 04/13/27 | | | |
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FactSet Research Systems, Inc. | | | |
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Hercules Capital, Inc., 3.38%, 01/20/27(a) | | | |
Main Street Capital Corp. | | | |
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Oaktree Specialty Lending Corp., 7.10%, 02/15/29(a) | | | |
Prospect Capital Corp.(a) | | | |
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Capital Markets (continued) |
State Street Corp. (continued) | | | |
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(1-day SOFR + 0.56%), 1.68%, 11/18/27(c) | | | |
(1-day SOFR + 0.73%), 2.20%, 02/07/28(c) | | | |
(1-day SOFR + 1.00%), 2.62%, 02/07/33(c) | | | |
(1-day SOFR + 1.35%), 5.75%, 11/04/26(c) | | | |
(1-day SOFR + 1.48%), 5.68%, 11/21/29(c) | | | |
(1-day SOFR + 1.49%), 3.03%, 11/01/34(c) | | | |
(1-day SOFR + 1.57%), 4.82%, 01/26/34(c) | | | |
(1-day SOFR + 1.72%), 5.82%, 11/04/28(a)(c) | | | |
(1-day SOFR + 1.73%), 4.16%, 08/04/33(c) | | | |
(1-day SOFR + 1.89%), 5.16%, 05/18/34(c) | | | |
(1-day SOFR + 1.96%), 6.12%, 11/21/34(c) | | | |
(1-day SOFR + 2.65%), 3.15%, 03/30/31(a)(c) | | | |
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|
Air Products and Chemicals, Inc. | | | |
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Albemarle Corp., 5.45%, 12/01/44(a) | | | |
Cabot Corp., 5.00%, 06/30/32(a) | | | |
Celanese U.S. Holdings LLC | | | |
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262024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
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Huntsman International LLC, 2.95%, 06/15/31 | | | |
International Flavors & Fragrances, Inc. | | | |
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LYB International Finance BV | | | |
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LYB International Finance III LLC | | | |
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Rohm and Haas Co., 7.85%, 07/15/29 | | | |
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RPM International, Inc. (continued) | | | |
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Commercial Services & Supplies — 0.3% |
American University, Series 2019, 3.67%, 04/01/49(a) | | | |
Automatic Data Processing, Inc. | | | |
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Block Financial LLC, 2.50%, 07/15/28(a) | | | |
Brown University, Series A, 2.92%, 09/01/50(a) | | | |
California Endowment, Series 2021, 2.50%, 04/01/51(a) | | | |
California Institute of Technology, 3.65%, 09/01/2119(a) | | | |
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Series 2020, 2.68%, 10/01/44 | | | |
Series 2020, 2.83%, 10/01/55(a) | | | |
Emory University, Series 2020, 2.97%, 09/01/50(a) | | | |
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Series 2020, 2.42%, 06/01/50(a) | | | |
Series 2020, 2.82%, 06/01/70 | | | |
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George Washington University | | | |
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Series 2014, 4.30%, 09/15/44(a) | | | |
Series 2018, 4.13%, 09/15/48(a) | | | |
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Series 20A, 2.94%, 04/01/50(a) | | | |
Series A, 5.22%, 10/01/2118(a) | | | |
Series B, 4.32%, 04/01/49 | | | |
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Master Portfolio Schedule of Investments27
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Commercial Services & Supplies (continued) |
Global Payments, Inc. (continued) | | | |
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Howard University, Series 22A, 5.21%, 10/01/52(a) | | | |
Leland Stanford Junior University | | | |
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Massachusetts Institute of Technology | | | |
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Series F, 2.99%, 07/01/50 | | | |
Series G, 2.29%, 07/01/51(a) | | | |
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Northeastern University, Series 2020, 2.89%, 10/01/50(a) | | | |
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Series 2017, 3.66%, 12/01/57 | | | |
Series 2020, 2.64%, 12/01/50(a) | | | |
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President and Fellows of Harvard College | | | |
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Rockefeller Foundation, Series 2020, 2.49%, 10/01/50 | | | |
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Commercial Services & Supplies (continued) |
S&P Global, Inc. (continued) | | | |
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Thomas Jefferson University, 3.85%, 11/01/57 | | | |
Trustees of Boston College, 3.13%, 07/01/52(a) | | | |
Trustees of Boston University, Series CC, 4.06%, 10/01/48 | | | |
Trustees of Princeton University(a) | | | |
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Series 2020, 2.52%, 07/01/50 | | | |
Trustees of the University of Pennsylvania(a) | | | |
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Series 2020, 2.40%, 10/01/50 | | | |
UL Solutions, Inc., 6.50%, 10/20/28(a)(b) | | | |
University of Chicago, Series C, 2.55%, 04/01/50(a) | | | |
University of Miami, Series 2022, 4.06%, 04/01/52 | | | |
University of Notre Dame du Lac, Series 2017, 3.39%, 02/15/48(a) | | | |
University of Southern California(a) | | | |
| | | |
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Series 21A, 2.95%, 10/01/51 | | | |
Series A, 3.23%, 10/01/2120 | | | |
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Series 2022, 3.52%, 04/15/54(a) | | | |
William Marsh Rice University, 3.77%, 05/15/55(a) | | | |
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Series 2020, 1.48%, 04/15/30 | | | |
Series 2020, 2.40%, 04/15/50 | | | |
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Communications Equipment — 0.1% |
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Juniper Networks, Inc.(a) | | | |
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282024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Communications Equipment (continued) |
Motorola Solutions, Inc. (continued) | | | |
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Construction & Engineering — 0.0% |
MasTec, Inc., 5.90%, 06/15/29 | | | |
Construction Materials — 0.0% |
LKQ Corp., 5.75%, 06/15/28 | | | |
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(1-day SOFR + 0.75%), 5.65%, 04/23/27(c) | | | |
(1-day SOFR + 0.97%), 5.39%, 07/28/27(c) | | | |
(1-day SOFR + 1.00%), 5.10%, 02/16/28(c) | | | |
(1-day SOFR + 1.09%), 5.53%, 04/25/30(c) | | | |
(1-day SOFR + 1.33%), 6.34%, 10/30/26(c) | | | |
(1-day SOFR + 1.76%), 4.42%, 08/03/33(a)(c) | | | |
(1-day SOFR + 1.84%), 5.04%, 05/01/34(c) | | | |
(1-day SOFR + 1.94%), 6.49%, 10/30/31(c) | | | |
(1-day SOFR + 2.26%), 4.99%, 05/26/33(c) | | | |
(1-day SOFR Index + 1.28%), 5.28%, 07/27/29(c) | | | |
Ameriprise Financial, Inc. | | | |
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Andrew W Mellon Foundation, Series 2020, 0.95%, 08/01/27(a) | | | |
Apollo Global Management, Inc., 6.38%, 11/15/33 | | | |
BGC Group, Inc., 6.60%, 06/10/29(b) | | | |
Brookfield Finance I U.K. PLC/Brookfield Finance, Inc., 2.34%, 01/30/32 | | | |
Capital One Financial Corp. | | | |
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(1-day SOFR + 0.86%), 1.88%, 11/02/27(c) | | | |
(1-day SOFR + 1.27%), 2.62%, 11/02/32(a)(c) | | | |
(1-day SOFR + 1.34%), 2.36%, 07/29/32(a)(c) | | | |
(1-day SOFR + 1.79%), 3.27%, 03/01/30(c) | | | |
(1-day SOFR + 1.91%), 5.70%, 02/01/30(a)(c) | | | |
(1-day SOFR + 2.06%), 4.93%, 05/10/28(c) | | | |
(1-day SOFR + 2.08%), 5.47%, 02/01/29(a)(c) | | | |
(1-day SOFR + 2.16%), 4.99%, 07/24/26(c) | | | |
(1-day SOFR + 2.26%), 6.05%, 02/01/35(c) | | | |
(1-day SOFR + 2.44%), 7.15%, 10/29/27(c) | | | |
(1-day SOFR + 2.60%), 5.25%, 07/26/30(c) | | | |
(1-day SOFR + 2.60%), 5.82%, 02/01/34(a)(c) | | | |
(1-day SOFR + 2.64%), 6.31%, 06/08/29(c) | | | |
(1-day SOFR + 2.86%), 6.38%, 06/08/34(c) | | | |
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Consumer Finance (continued) |
Charles Schwab Corp. (continued) | | | |
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(1-day SOFR + 1.88%), 6.20%, 11/17/29(a)(c) | | | |
(1-day SOFR + 2.50%), 5.85%, 05/19/34(a)(c) | | | |
CI Financial Corp., 3.20%, 12/17/30(a) | | | |
Credit Suisse USA, Inc., 7.13%, 07/15/32(a) | | | |
Discover Financial Services | | | |
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(1-day SOFR Index + 3.37%), 7.96%, 11/02/34(c) | | | |
Franklin Resources, Inc., 2.95%, 08/12/51 | | | |
Invesco Finance PLC, 5.38%, 11/30/43(a) | | | |
Jefferies Financial Group, Inc. | | | |
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Legg Mason, Inc., 5.63%, 01/15/44(a) | | | |
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Raymond James Financial, Inc., 4.95%, 07/15/46(a) | | | |
Stifel Financial Corp., 4.00%, 05/15/30(a) | | | |
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Master Portfolio Schedule of Investments29
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Consumer Finance (continued) |
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Consumer Staples Distribution & Retail — 0.4% |
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Costco Wholesale Corp.(a) | | | |
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Ingredion, Inc., 3.90%, 06/01/50 | | | |
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Koninklijke Ahold Delhaize NV, 5.70%, 10/01/40 | | | |
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Consumer Staples Distribution & Retail (continued) |
Kraft Heinz Foods Co. (continued) | | | |
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302024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Consumer Staples Distribution & Retail (continued) |
Walmart, Inc. (continued) | | | |
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Series M, 2.38%, 09/24/29 | | | |
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Containers & Packaging — 0.1% |
Amcor Finance USA, Inc., 5.63%, 05/26/33(a) | | | |
Amcor Flexibles North America, Inc. | | | |
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Packaging Corp. of America | | | |
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WestRock MWV LLC, 8.20%, 01/15/30(a) | | | |
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Brixmor Operating Partnership LP | | | |
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Broadstone Net Lease LLC, 2.60%, 09/15/31 | | | |
Corporate Office Properties LP | | | |
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Diversified REITs (continued) |
Corporate Office Properties LP (continued) | | | |
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DOC DR LLC, 2.63%, 11/01/31(a) | | | |
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Essential Properties LP, 2.95%, 07/15/31 | | | |
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GLP Capital LP/GLP Financing II, Inc. | | | |
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Healthcare Realty Holdings LP, 3.10%, 02/15/30 | | | |
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Invitation Homes Operating Partnership LP | | | |
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Mid-America Apartments LP | | | |
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Master Portfolio Schedule of Investments31
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Diversified REITs (continued) |
Mid-America Apartments LP (continued) | | | |
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Piedmont Operating Partnership LP, 3.15%, 08/15/30 | | | |
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Rexford Industrial Realty LP | | | |
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Sun Communities Operating LP | | | |
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Tanger Properties LP, 3.88%, 07/15/27(a) | | | |
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Diversified REITs (continued) |
VICI Properties LP (continued) | | | |
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Diversified Telecommunication Services — 1.0% |
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Bell Telephone Co. of Canada or Bell Canada | | | |
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British Telecommunications PLC, 9.63%, 12/15/30 | | | |
Deutsche Telekom International Finance BV, 8.75%, 06/15/30(a) | | | |
Orange SA, 9.00%, 03/01/31(a) | | | |
Rogers Communications, Inc. | | | |
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322024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Diversified Telecommunication Services (continued) |
Rogers Communications, Inc. (continued) | | | |
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Telefonica Europe BV, 8.25%, 09/15/30(a) | | | |
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Verizon Communications, Inc. | | | |
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Diversified Telecommunication Services (continued) |
Verizon Communications, Inc. (continued) | | | |
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Electric Utilities — 2.1% |
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Series H, 3.45%, 01/15/50 | | | |
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Series M, 3.65%, 04/01/50 | | | |
Series N, 2.75%, 08/15/51(a) | | | |
Series O, 4.50%, 06/15/52 | | | |
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Master Portfolio Schedule of Investments33
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Electric Utilities (continued) |
Alabama Power Co. (continued) | | | |
Series 2020-A, 1.45%, 09/15/30 | | | |
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American Electric Power Co., Inc. | | | |
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Series J, 4.30%, 12/01/28(a) | | | |
Series N, 1.00%, 11/01/25(a) | | | |
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Series BB, 4.50%, 08/01/32(a) | | | |
Series Z, 3.70%, 05/01/50 | | | |
Arizona Public Service Co. | | | |
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Avista Corp., 4.35%, 06/01/48 | | | |
Baltimore Gas and Electric Co. | | | |
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Berkshire Hathaway Energy Co. | | | |
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Electric Utilities (continued) |
Black Hills Corp. (continued) | | | |
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CenterPoint Energy Houston Electric LLC | | | |
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Series AF, 3.35%, 04/01/51(a) | | | |
Series AG, 3.00%, 03/01/32(a) | | | |
Series AH, 3.60%, 03/01/52 | | | |
Series AJ, 4.85%, 10/01/52 | | | |
CenterPoint Energy, Inc.(a) | | | |
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Cleco Corporate Holdings LLC, 3.74%, 05/01/26 | | | |
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(5-year CMT + 2.90%), 3.75%, 12/01/50(c) | | | |
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Series 127, 3.20%, 11/15/49 | | | |
Series 130, 3.13%, 03/15/51 | | | |
Series 131, 2.75%, 09/01/51(a) | | | |
Series 133, 3.85%, 03/15/52 | | | |
Connecticut Light and Power Co. | | | |
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Series A, 3.20%, 03/15/27(a) | | | |
Series A, 2.05%, 07/01/31(a) | | | |
Consolidated Edison Co. of New York, Inc. | | | |
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342024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Electric Utilities (continued) |
Consolidated Edison Co. of New York, Inc. (continued) | | | |
| | | |
Series 2007-A, 6.30%, 08/15/37 | | | |
Series 2012-A, 4.20%, 03/15/42 | | | |
Series 20A, 3.35%, 04/01/30(a) | | | |
Series 20B, 3.95%, 04/01/50(a) | | | |
Series C, 4.30%, 12/01/56 | | | |
Series C, 4.00%, 11/15/57 | | | |
Series D, 4.00%, 12/01/28(a) | | | |
Series E, 4.65%, 12/01/48 | | | |
Constellation Energy Generation LLC | | | |
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Dominion Energy South Carolina, Inc. | | | |
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Series A, 2.30%, 12/01/31 | | | |
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Series A, 1.45%, 04/15/26 | | | |
Series A, 4.35%, 08/15/32(a) | | | |
Series B, 3.30%, 04/15/41 | | | |
Series B, 4.85%, 08/15/52(a) | | | |
Series C, 3.38%, 04/01/30(a) | | | |
Series C, 2.25%, 08/15/31(a) | | | |
Series C, 4.90%, 08/01/41 | | | |
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Series A, 1.90%, 04/01/28 | | | |
Series A, 3.00%, 03/01/32(a) | | | |
Series A, 4.00%, 04/01/43(a) | | | |
Series A, 4.05%, 05/15/48 | | | |
Series B, 3.25%, 04/01/51 | | | |
Series B, 3.65%, 03/01/52 | | | |
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Series C, 3.40%, 06/15/29 | | | |
Duke Energy Carolinas LLC | | | |
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| | | |
Electric Utilities (continued) |
Duke Energy Carolinas LLC (continued) | | | |
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Series A, 6.00%, 12/01/28 | | | |
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(5-year CMT + 2.32%), 3.25%, 01/15/82(c) | | | |
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Series WWW, 4.90%, 07/15/43 | | | |
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Master Portfolio Schedule of Investments35
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Electric Utilities (continued) |
Duke Energy Progress LLC (continued) | | | |
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El Paso Electric Co., 6.00%, 05/15/35(a) | | | |
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Evergy Kansas Central, Inc. | | | |
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Electric Utilities (continued) |
Evergy Kansas Central, Inc. (continued) | | | |
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Evergy, Inc., 2.90%, 09/15/29 | | | |
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Series M, 3.30%, 01/15/28 | | | |
Series Q, 0.80%, 08/15/25(a) | | | |
Series R, 1.65%, 08/15/30(a) | | | |
Series U, 1.40%, 08/15/26 | | | |
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FirstEnergy Corp., Series B, 4.15%, 07/15/27(a) | | | |
Florida Power & Light Co. | | | |
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362024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Electric Utilities (continued) |
Fortis, Inc./Canada, 3.06%, 10/04/26 | | | |
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Series A, 3.25%, 03/15/51(a) | | | |
Series B, 2.65%, 09/15/29 | | | |
Series B, 3.70%, 01/30/50(a) | | | |
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Indiana Michigan Power Co. | | | |
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Series K, 4.55%, 03/15/46(a) | | | |
Series L, 3.75%, 07/01/47 | | | |
Interstate Power and Light Co. | | | |
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IPALCO Enterprises, Inc., 4.25%, 05/01/30(a) | | | |
ITC Holdings Corp., 3.25%, 06/30/26 | | | |
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Louisville Gas and Electric Co., 5.45%, 04/15/33 | | | |
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Series 12-A, 4.25%, 03/15/42 | | | |
Series B, 3.10%, 07/30/51(a) | | | |
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National Rural Utilities Cooperative Finance Corp. | | | |
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Electric Utilities (continued) |
National Rural Utilities Cooperative Finance Corp. (continued) | | | |
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Series DD, 2.40%, 05/01/30(a) | | | |
Series EE, 3.13%, 08/01/50(a) | | | |
Series GG, 5.90%, 05/01/53(a) | | | |
NextEra Energy Capital Holdings, Inc. | | | |
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Northern States Power Co. | | | |
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OGE Energy Corp., 5.45%, 05/15/29(a) | | | |
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Series Q, 1.63%, 01/15/31 | | | |
Master Portfolio Schedule of Investments37
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Electric Utilities (continued) |
Ohio Power Co. (continued) | | | |
Series R, 2.90%, 10/01/51 | | | |
Oklahoma Gas and Electric Co. | | | |
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Oncor Electric Delivery Co. LLC | | | |
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Pacific Gas and Electric Co. | | | |
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Electric Utilities (continued) |
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Potomac Electric Power Co. | | | |
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PPL Electric Utilities Corp. | | | |
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Progress Energy, Inc., 7.75%, 03/01/31(a) | | | |
Public Service Co. of Colorado | | | |
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Series 35, 1.90%, 01/15/31(a) | | | |
Series 38, 4.10%, 06/01/32(a) | | | |
Public Service Co. of New Hampshire | | | |
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Public Service Co. of Oklahoma | | | |
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Series J, 2.20%, 08/15/31 | | | |
Series K, 3.15%, 08/15/51(a) | | | |
Public Service Electric and Gas Co. | | | |
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Public Service Enterprise Group, Inc.(a) | | | |
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382024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Electric Utilities (continued) |
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San Diego Gas & Electric Co. | | | |
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Series VVV, 1.70%, 10/01/30 | | | |
Series WWW, 2.95%, 08/15/51(a) | | | |
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(5-year CMT + 2.87%), 4.13%, 04/01/52(c) | | | |
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Southern California Edison Co. | | | |
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Series 2008-A, 5.95%, 02/01/38(a) | | | |
Series B, 4.88%, 03/01/49 | | | |
Series C, 3.60%, 02/01/45(a) | | | |
Series C, 4.13%, 03/01/48 | | | |
Series D, 4.70%, 06/01/27(a) | | | |
Series E, 3.70%, 08/01/25(a) | | | |
Series E, 5.45%, 06/01/52(a) | | | |
Series G, 2.50%, 06/01/31(a) | | | |
Series H, 3.65%, 06/01/51(a) | | | |
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| | | |
| | | |
Electric Utilities (continued) |
| | | |
Series B, (5-year CMT + 3.73%), 4.00%, 01/15/51(c) | | | |
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| | | |
Series F, 4.95%, 12/15/46(a) | | | |
Southwestern Electric Power Co. | | | |
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| | | |
Series L, 3.85%, 02/01/48(a) | | | |
Series M, 4.10%, 09/15/28 | | | |
Southwestern Public Service Co. | | | |
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Series 8, 3.15%, 05/01/50(a) | | | |
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Toledo Edison Co., 6.15%, 05/15/37(a) | | | |
Tucson Electric Power Co.(a) | | | |
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Virginia Electric and Power Co. | | | |
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Series A, 3.15%, 01/15/26 | | | |
Series A, 3.50%, 03/15/27 | | | |
Series A, 3.80%, 04/01/28 | | | |
Series A, 2.88%, 07/15/29(a) | | | |
Series A, 6.00%, 05/15/37 | | | |
Series B, 3.75%, 05/15/27(a) | | | |
Series B, 6.00%, 01/15/36 | | | |
Series B, 3.80%, 09/15/47 | | | |
Series C, 4.00%, 11/15/46 | | | |
Series C, 4.63%, 05/15/52 | | | |
Series D, 4.65%, 08/15/43 | | | |
Master Portfolio Schedule of Investments39
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Electric Utilities (continued) |
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Wisconsin Electric Power Co. | | | |
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Wisconsin Power and Light Co. | | | |
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Wisconsin Public Service Corp. | | | |
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Electrical Equipment — 0.0% |
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Electronic Equipment, Instruments & Components — 0.2% |
Allegion PLC, 3.50%, 10/01/29(a) | | | |
Allegion U.S. Holding Co., Inc. | | | |
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Arrow Electronics, Inc.(a) | | | |
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CDW LLC/CDW Finance Corp. | | | |
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Electronic Equipment, Instruments & Components (continued) |
Corning, Inc. (continued) | | | |
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Fortive Corp., 3.15%, 06/15/26 | | | |
Honeywell International, Inc. | | | |
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Keysight Technologies, Inc., 3.00%, 10/30/29 | | | |
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Trimble, Inc., 6.10%, 03/15/33 | | | |
Tyco Electronics Group SA | | | |
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Vontier Corp., 1.80%, 04/01/26 | | | |
| | | |
Energy Equipment & Services — 0.1% |
Baker Hughes Holdings LLC, 5.13%, 09/15/40 | | | |
Baker Hughes Holdings LLC/Baker Hughes Co.- Obligor, Inc. | | | |
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Schlumberger Investment SA | | | |
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402024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Entertainment (continued) |
Electronic Arts, Inc. (continued) | | | |
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Take-Two Interactive Software, Inc. | | | |
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TWDC Enterprises 18 Corp. | | | |
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Series E, 4.13%, 12/01/41 | | | |
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Environmental, Maintenance & Security Service — 0.1% |
Nature Conservancy, Series A, 3.96%, 03/01/52(a) | | | |
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Environmental, Maintenance & Security Service (continued) |
Waste Connections, Inc. (continued) | | | |
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Financial Services — 0.5% |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | | | |
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Aircastle Ltd., 4.25%, 06/15/26 | | | |
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(1-day SOFR + 2.82%), 6.85%, 01/03/30(c) | | | |
Berkshire Hathaway Finance Corp. | | | |
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Berkshire Hathaway, Inc.(a) | | | |
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Master Portfolio Schedule of Investments41
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Financial Services (continued) |
Blue Owl Credit Income Corp. | | | |
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Cboe Global Markets, Inc., 3.00%, 03/16/32(a) | | | |
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Corebridge Financial, Inc. | | | |
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(5-year CMT + 3.85%), 6.88%, 12/15/52(a)(c) | | | |
Corp. Andina de Fomento, 5.00%, 01/24/29 | | | |
Enact Holdings, Inc., 6.25%, 05/28/29 | | | |
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Essent Group Ltd., 6.25%, 07/01/29 | | | |
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Fidelity National Information Services, Inc. | | | |
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Hannon Armstrong Sustainable Infrastructure Capital, Inc., 07/01/34(b)(e) | | | |
Intercontinental Exchange, Inc. | | | |
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Jackson Financial, Inc., 3.13%, 11/23/31(a) | | | |
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Financial Services (continued) |
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Rayonier LP, 2.75%, 05/17/31(a) | | | |
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|
Archer-Daniels-Midland Co. | | | |
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Flowers Foods, Inc., 2.40%, 03/15/31(a) | | | |
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JBS USA Holding Lux SARL/JBS USA Food Co./JBS Lux Co. SARL | | | |
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Mondelez International, Inc. | | | |
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422024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Food Products (continued) |
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CenterPoint Energy Resources Corp.(a) | | | |
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ONE Gas, Inc., 4.66%, 02/01/44 | | | |
Piedmont Natural Gas Co., Inc.(a) | | | |
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Southern California Gas Co. | | | |
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Series TT, 2.60%, 06/15/26(a) | | | |
Series UU, 4.13%, 06/01/48 | | | |
Series VV, 4.30%, 01/15/49 | | | |
Series XX, 2.55%, 02/01/30 | | | |
Southern Co. Gas Capital Corp. | | | |
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Series 20-A, 1.75%, 01/15/31 | | | |
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Washington Gas Light Co., 3.65%, 09/15/49 | | | |
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| | | |
Ground Transportation — 0.4% |
BNSF Funding Trust I, (3-mo. LIBOR US + 2.35%), 6.61%, 12/15/55(c) | | | |
Burlington Northern Santa Fe LLC | | | |
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Canadian National Railway Co. | | | |
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Canadian Pacific Railway Co. | | | |
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JB Hunt Transport Services, Inc., 3.88%, 03/01/26 | | | |
Master Portfolio Schedule of Investments43
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Ground Transportation (continued) |
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Health Care Equipment & Supplies — 0.3% |
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Health Care Equipment & Supplies (continued) |
Abbott Laboratories (continued) | | | |
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Agilent Technologies, Inc.(a) | | | |
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Baxter International, Inc.(a) | | | |
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DH Europe Finance II SARL | | | |
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GE HealthCare Technologies, Inc. | | | |
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Koninklijke Philips NV, 5.00%, 03/15/42(a) | | | |
Medtronic Global Holdings SCA | | | |
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Medtronic, Inc., 4.38%, 03/15/35(a) | | | |
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STERIS Irish FinCo UnLtd Co., 2.70%, 03/15/31(a) | | | |
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Thermo Fisher Scientific, Inc. | | | |
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442024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Health Care Equipment & Supplies (continued) |
Thermo Fisher Scientific, Inc. (continued) | | | |
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Zimmer Biomet Holdings, Inc.(a) | | | |
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Health Care Providers & Services — 0.8% |
AdventHealth Obligated Group, Series E, 2.80%, 11/15/51(a) | | | |
Adventist Health System, 3.63%, 03/01/49(a) | | | |
Advocate Health & Hospitals Corp. | | | |
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AHS Hospital Corp., Series 2021, 2.78%, 07/01/51 | | | |
Allina Health System, Series 2021, 2.90%, 11/15/51(a) | | | |
| | | |
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Series B, 2.53%, 11/15/29 | | | |
Series B, 3.11%, 11/15/39 | | | |
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Series 2020, 3.18%, 01/01/50(a) | | | |
Baptist Healthcare System Obligated Group, Series 20B, 3.54%, 08/15/50(a) | | | |
BayCare Health System, Inc., Series 2020, 3.83%, 11/15/50 | | | |
Baylor Scott & White Holdings | | | |
Series 2021, 1.78%, 11/15/30 | | | |
Series 2021, 2.84%, 11/15/50(a) | | | |
Beth Israel Lahey Health, Inc., Series L, 3.08%, 07/01/51 | | | |
Bon Secours Mercy Health, Inc. | | | |
| | | |
Series 2018, 4.30%, 07/01/28(a) | | | |
Series 2020-2002, 3.21%, 06/01/50 | | | |
Catholic Health Services of Long Island Obligated Group, Series 2020, 3.37%, 07/01/50(a) | | | |
Cedars-Sinai Health System, Series 2021, 2.29%, 08/15/31(a) | | | |
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| | | |
Health Care Providers & Services (continued) |
Children’s Health System of Texas, Series 2021, 2.51%, 08/15/50 | | | |
Children’s Hospital Corp., Series 2017, 4.12%, 01/01/47(a) | | | |
Children’s Hospital of Philadelphia, Series 2020, 2.70%, 07/01/50(a) | | | |
CHRISTUS Health, Series C, 4.34%, 07/01/28(a) | | | |
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Community Health Network, Inc., Series 2020-A, 3.10%, 05/01/50(a) | | | |
Corewell Health Obligated Group, Series 19A, 3.49%, 07/15/49(a) | | | |
Cottage Health Obligated Group, Series 2020, 3.30%, 11/01/49(a) | | | |
Dartmouth-Hitchcock Health, Series B, 4.18%, 08/01/48 | | | |
Dignity Health, 5.27%, 11/01/64(a) | | | |
Duke University Health System, Inc., 3.92%, 06/01/47 | | | |
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Hackensack Meridian Health, Inc. | | | |
Series 2020, 2.68%, 09/01/41 | | | |
Series 2020, 2.88%, 09/01/50(a) | | | |
Hartford HealthCare Corp., 3.45%, 07/01/54 | | | |
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Master Portfolio Schedule of Investments45
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Health Care Providers & Services (continued) |
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Hoag Memorial Hospital Presbyterian, 3.80%, 07/15/52(a) | | | |
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Indiana University Health, Inc. Obligated Group, Series 2021, 2.85%, 11/01/51(a) | | | |
Inova Health System Foundation, 4.07%, 05/15/52(a) | | | |
Integris Baptist Medical Center, Inc., Series A, 3.88%, 08/15/50 | | | |
Johns Hopkins Health System Corp., 3.84%, 05/15/46(a) | | | |
Kaiser Foundation Hospitals | | | |
| | | |
| | | |
Series 2019, 3.27%, 11/01/49(a) | | | |
Series 2021, 2.81%, 06/01/41(a) | | | |
Series 2021, 3.00%, 06/01/51(a) | | | |
Laboratory Corp. of America Holdings | | | |
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| | | |
Mass General Brigham, Inc. | | | |
Series 2017, 3.77%, 07/01/48 | | | |
Series 2020, 3.19%, 07/01/49 | | | |
Series 2020, 3.34%, 07/01/60(a) | | | |
| | | |
Series 2016, 4.13%, 11/15/52 | | | |
Series 2021, 3.20%, 11/15/61 | | | |
MedStar Health, Inc., Series 20 A, 3.63%, 08/15/49 | | | |
Memorial Health Services, 3.45%, 11/01/49 | | | |
Memorial Sloan-Kettering Cancer Center | | | |
| | | |
| | | |
Methodist Hospital, Series 20A, 2.71%, 12/01/50(a) | | | |
| | | |
Health Care Providers & Services (continued) |
Montefiore Obligated Group, 4.29%, 09/01/50 | | | |
Mount Nittany Medical Center Obligated Group, Series 2022, 3.80%, 11/15/52(a) | | | |
| | | |
Series 2019, 3.74%, 07/01/49 | | | |
Series 2020, 3.39%, 07/01/50(a) | | | |
MyMichigan Health, Series 2020, 3.41%, 06/01/50 | | | |
Nationwide Children’s Hospital, Inc., 4.56%, 11/01/52(a) | | | |
New York and Presbyterian Hospital | | | |
| | | |
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| | | |
Series 2019, 3.95%, 08/01/2119(a) | | | |
Northwell Healthcare, Inc. | | | |
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OhioHealth Corp., 2.83%, 11/15/41(a) | | | |
Orlando Health Obligated Group | | | |
| | | |
| | | |
PeaceHealth Obligated Group | | | |
Series 2018, 4.79%, 11/15/48(a) | | | |
Series 2020, 1.38%, 11/15/25 | | | |
Series 2020, 3.22%, 11/15/50(a) | | | |
Piedmont Healthcare, Inc.(a) | | | |
| | | |
Series 2042, 2.72%, 01/01/42 | | | |
Presbyterian Healthcare Services, 4.88%, 08/01/52(a) | | | |
Providence St Joseph Health Obligated Group | | | |
Series 19A, 2.53%, 10/01/29 | | | |
Series 21A, 2.70%, 10/01/51(a) | | | |
Series A, 3.93%, 10/01/48 | | | |
Queen’s Health Systems, 4.81%, 07/01/52(a) | | | |
| | | |
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| | | |
Rady Children’s Hospital-San Diego, Series 21A, 3.15%, 08/15/51(a) | | | |
Seattle Children’s Hospital, Series 2021, 2.72%, 10/01/50(a) | | | |
Sentara Healthcare, Series 2021, 2.93%, 11/01/51(a) | | | |
Sharp HealthCare, Series 20B, 2.68%, 08/01/50(a) | | | |
Stanford Health Care, Series 2018, 3.80%, 11/15/48 | | | |
Summa Health, 3.51%, 11/15/51 | | | |
| | | |
Series 2018, 4.09%, 08/15/48 | | | |
Series 20A, 1.32%, 08/15/25 | | | |
Series 20A, 2.29%, 08/15/30(a) | | | |
Series 20A, 3.16%, 08/15/40 | | | |
Series 20A, 3.36%, 08/15/50 | | | |
Texas Health Resources, 2.33%, 11/15/50(a) | | | |
| | | |
Series 2019, 3.43%, 12/01/48 | | | |
462024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Health Care Providers & Services (continued) |
Trinity Health Corp. (continued) | | | |
Series 2021, 2.63%, 12/01/40(a) | | | |
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Universal Health Services, Inc. | | | |
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| | | |
WakeMed, Series A, 3.29%, 10/01/52(a) | | | |
West Virginia United Health System Obligated Group, Series 2020, 3.13%, 06/01/50(a) | | | |
| | | |
Health Care Providers & Services (continued) |
Willis-Knighton Medical Center, Series 2018, 4.81%, 09/01/48(a) | | | |
Yale-New Haven Health Services Corp., Series 2020, 2.50%, 07/01/50(a) | | | |
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Omega Healthcare Investors, Inc. | | | |
| | | |
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Hotel & Resort REITs — 0.0% |
| | | |
| | | |
Series H, 3.38%, 12/15/29 | | | |
Series J, 2.90%, 12/15/31 | | | |
| | | |
Hotels, Restaurants & Leisure — 0.2% |
Choice Hotels International, Inc. | | | |
| | | |
| | | |
Darden Restaurants, Inc., 6.30%, 10/10/33(a) | | | |
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Marriott International, Inc. | | | |
| | | |
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| | | |
Series FF, 4.63%, 06/15/30(a) | | | |
Series GG, 3.50%, 10/15/32(a) | | | |
Series R, 3.13%, 06/15/26 | | | |
Series X, 4.00%, 04/15/28(a) | | | |
| | | |
| | | |
Master Portfolio Schedule of Investments47
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Hotels, Restaurants & Leisure (continued) |
McDonald’s Corp. (continued) | | | |
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Household Durables — 0.1% |
| | | |
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Lennar Corp., 4.75%, 11/29/27(a) | | | |
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PulteGroup, Inc., 7.88%, 06/15/32(a) | | | |
Toll Brothers Finance Corp. | | | |
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Household Durables (continued) |
Whirlpool Corp. (continued) | | | |
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| | | |
Household Products — 0.0% |
| | | |
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| | | |
Church & Dwight Co., Inc. | | | |
| | | |
| | | |
Clorox Co., 3.10%, 10/01/27(a) | | | |
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| | | |
Industrial Conglomerates — 0.1% |
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Illinois Tool Works, Inc.(a) | | | |
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| | | |
Pentair Finance SARL, 5.90%, 07/15/32(a) | | | |
Teledyne Technologies, Inc., 2.75%, 04/01/31(a) | | | |
Textron, Inc., 3.00%, 06/01/30 | | | |
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|
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482024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
|
Alleghany Corp. (continued) | | | |
| | | |
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American Financial Group, Inc., 4.50%, 06/15/47 | | | |
American International Group, Inc. | | | |
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Aon Corp./Aon Global Holdings PLC | | | |
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Arch Capital Finance LLC, 4.01%, 12/15/26 | | | |
Arch Capital Group Ltd., 3.64%, 06/30/50(a) | | | |
Arch Capital Group U.S., Inc., 5.14%, 11/01/43 | | | |
| | | |
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Assured Guaranty U.S. Holdings, Inc., 6.13%, 09/15/28(a) | | | |
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Brighthouse Financial, Inc. | | | |
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|
Brown & Brown, Inc. (continued) | | | |
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Series 1, 6.50%, 05/15/38 | | | |
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CNO Financial Group, Inc., 6.45%, 06/15/34(a) | | | |
Enstar Group Ltd., 3.10%, 09/01/31 | | | |
Everest Reinsurance Holdings, Inc.(a) | | | |
| | | |
| | | |
F&G Annuities & Life, Inc. | | | |
| | | |
| | | |
Fairfax Financial Holdings Ltd. | | | |
| | | |
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| | | |
| | | |
Fidelity National Financial, Inc. | | | |
| | | |
| | | |
First American Financial Corp., 2.40%, 08/15/31(a) | | | |
Globe Life, Inc., 2.15%, 08/15/30 | | | |
Hanover Insurance Group, Inc. | | | |
| | | |
| | | |
Hartford Financial Services Group, Inc. | | | |
| | | |
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Kemper Corp., 3.80%, 02/23/32 | | | |
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(5-year USD ICE Swap + 1.65%), 4.06%, 02/24/32(c) | | | |
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| | | |
Master Portfolio Schedule of Investments49
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
|
Markel Group, Inc. (continued) | | | |
| | | |
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Marsh & McLennan Cos., Inc. | | | |
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NMI Holdings, Inc., 6.00%, 08/15/29 | | | |
Old Republic International Corp.(a) | | | |
| | | |
| | | |
Primerica, Inc., 2.80%, 11/19/31 | | | |
Principal Financial Group, Inc. | | | |
| | | |
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Prudential Financial, Inc. | | | |
| | | |
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| | | |
|
Prudential Financial, Inc. (continued) | | | |
| | | |
(3-mo. LIBOR US + 2.67%), 5.70%, 09/15/48(a)(c) | | | |
(5-year CMT + 2.85%), 6.75%, 03/01/53(c) | | | |
(5-year CMT + 3.04%), 3.70%, 10/01/50(c) | | | |
(5-year CMT + 3.16%), 5.13%, 03/01/52(c) | | | |
Prudential Funding Asia PLC | | | |
| | | |
| | | |
Reinsurance Group of America, Inc.(a) | | | |
| | | |
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| | | |
RenaissanceRe Holdings Ltd., 5.75%, 06/05/33 | | | |
| | | |
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Travelers Property Casualty Corp., 6.38%, 03/15/33 | | | |
Trinity Acquisition PLC, 4.40%, 03/15/26(a) | | | |
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Willis North America, Inc. | | | |
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Interactive Media & Services — 0.1% |
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502024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
|
Booking Holdings, Inc.(a) | | | |
| | | |
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| | | |
Equinix Europe 2 Financing Corp. LLC, 5.50%, 06/15/34(a) | | | |
IBM International Capital Pte. Ltd. | | | |
| | | |
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International Business Machines Corp. | | | |
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Kyndryl Holdings, Inc., 4.10%, 10/15/41 | | | |
Leidos, Inc., 2.30%, 02/15/31 | | | |
VeriSign, Inc., 4.75%, 07/15/27 | | | |
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|
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|
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Caterpillar Financial Services Corp. | | | |
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| | | |
|
Caterpillar Financial Services Corp. (continued) | | | |
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CNH Industrial Capital LLC | | | |
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Flowserve Corp., 2.80%, 01/15/32(a) | | | |
IDEX Corp., 2.63%, 06/15/31(a) | | | |
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Master Portfolio Schedule of Investments51
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
|
John Deere Capital Corp. (continued) | | | |
| | | |
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| | | |
Kennametal, Inc., 2.80%, 03/01/31 | | | |
Nordson Corp., 5.80%, 09/15/33 | | | |
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Rockwell Automation, Inc. | | | |
| | | |
| | | |
Snap-on, Inc., 3.10%, 05/01/50 | | | |
Stanley Black & Decker, Inc. | | | |
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Westinghouse Air Brake Technologies Corp., 4.70%, 09/15/28(a) | | | |
Xylem, Inc./New York, 4.38%, 11/01/46 | | | |
| | | |
|
Charter Communications Operating LLC/Charter Communications Operating Capital | | | |
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|
Charter Communications Operating LLC/Charter Communications Operating Capital (continued) | | | |
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Discovery Communications LLC | | | |
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522024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
|
Discovery Communications LLC (continued) | | | |
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Interpublic Group of Cos., Inc. | | | |
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TCI Communications, Inc., 7.88%, 02/15/26 | | | |
Time Warner Cable Enterprises LLC, 8.38%, 07/15/33(a) | | | |
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Warnermedia Holdings, Inc. | | | |
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|
AngloGold Ashanti Holdings PLC, 3.75%, 10/01/30 | | | |
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Barrick North America Finance LLC | | | |
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Metals & Mining (continued) |
Barrick PD Australia Finance Pty. Ltd., 5.95%, 10/15/39 | | | |
BHP Billiton Finance USA Ltd. | | | |
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Newmont Corp./Newcrest Finance Pty. Ltd.(a)(b) | | | |
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Precision Castparts Corp., 4.38%, 06/15/45(a) | | | |
Rio Tinto Finance USA Ltd. | | | |
| | | |
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| | | |
Rio Tinto Finance USA PLC | | | |
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| | | |
Master Portfolio Schedule of Investments53
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Metals & Mining (continued) |
| | | |
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| | | |
Vale SA, 5.63%, 09/11/42(a) | | | |
Valmont Industries, Inc., 5.00%, 10/01/44(a) | | | |
| | | |
|
Alexandria Real Estate Equities, Inc. | | | |
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Oil, Gas & Consumable Fuels — 1.6% |
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BP Capital Markets America, Inc. | | | |
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| | | |
Oil, Gas & Consumable Fuels (continued) |
BP Capital Markets America, Inc. (continued) | | | |
| | | |
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| | | |
Canadian Natural Resources Ltd. | | | |
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Cheniere Corpus Christi Holdings LLC | | | |
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Cheniere Energy Partners LP | | | |
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Columbia Pipeline Group, Inc., 5.80%, 06/01/45(a) | | | |
ConocoPhillips, 6.50%, 02/01/39 | | | |
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Continental Resources, Inc. | | | |
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DCP Midstream Operating LP, 5.60%, 04/01/44 | | | |
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542024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Oil, Gas & Consumable Fuels (continued) |
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Eastern Gas Transmission & Storage, Inc., 3.00%, 11/15/29(a) | | | |
Enbridge Energy Partners LP | | | |
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Oil, Gas & Consumable Fuels (continued) |
Energy Transfer LP (continued) | | | |
| | | |
| | | |
Enterprise Products Operating LLC | | | |
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(3-mo. CME Term SOFR + 2.83%), 5.38%, 02/15/78(c) | | | |
Series E, (3-mo. CME Term SOFR + 3.29%), 5.25%, 08/16/77(c) | | | |
EOG Resources, Inc., 4.95%, 04/15/50(a) | | | |
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HF Sinclair Corp., 5.88%, 04/01/26(a) | | | |
Kinder Morgan Energy Partners LP | | | |
| | | |
Master Portfolio Schedule of Investments55
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Oil, Gas & Consumable Fuels (continued) |
Kinder Morgan Energy Partners LP (continued) | | | |
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Occidental Petroleum Corp. | | | |
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ONEOK Partners LP, 6.13%, 02/01/41(a) | | | |
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Oil, Gas & Consumable Fuels (continued) |
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Pioneer Natural Resources Co. | | | |
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Plains All American Pipeline LP/PAA Finance Corp. | | | |
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Sabine Pass Liquefaction LLC | | | |
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Shell International Finance BV | | | |
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Spectra Energy Partners LP, 4.50%, 03/15/45 | | | |
562024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Oil, Gas & Consumable Fuels (continued) |
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Targa Resources Partners LP/Targa Resources Partners Finance Corp. | | | |
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TC PipeLines LP, 3.90%, 05/25/27 | | | |
TotalEnergies Capital International SA | | | |
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TransCanada PipeLines Ltd. | | | |
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Transcontinental Gas Pipe Line Co. LLC | | | |
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Valero Energy Partners LP, 4.50%, 03/15/28 | | | |
Western Midstream Operating LP | | | |
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Oil, Gas & Consumable Fuels (continued) |
Western Midstream Operating LP (continued) | | | |
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Paper & Forest Products — 0.0% |
Georgia-Pacific LLC, 8.88%, 05/15/31(a) | | | |
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Suzano International Finance BV, 5.50%, 01/17/27 | | | |
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Passenger Airlines — 0.0% |
American Airlines Pass-Through Trust(a) | | | |
Series 2016-2, Class AA, 3.20%, 12/15/29 | | | |
Series 2019-1, Class AA, 3.15%, 08/15/33 | | | |
Series 2021-1, Class A, 2.88%, 01/11/36 | | | |
JetBlue Pass-Through Trust, Series 2019-1, Class AA, 2.75%, 11/15/33(a) | | | |
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United Airlines Pass-Through Trust | | | |
Series 2016-1, Class AA, 3.10%, 01/07/30(a) | | | |
Series 2019-2, Class AA, 2.70%, 11/01/33(a) | | | |
Series 2020-1, Class A, 5.88%, 04/15/29 | | | |
Series 2023-1, Class A, 4.30%, 02/15/27(a) | | | |
Series 2023-1, Class A, 5.80%, 07/15/37(a) | | | |
| | | |
Personal Care Products — 0.2% |
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Master Portfolio Schedule of Investments57
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Personal Care Products (continued) |
Estee Lauder Cos., Inc. (continued) | | | |
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Pharmaceuticals (continued) |
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582024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Pharmaceuticals (continued) |
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Pharmaceuticals (continued) |
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GlaxoSmithKline Capital PLC, 3.38%, 06/01/29(a) | | | |
GlaxoSmithKline Capital, Inc. | | | |
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McKesson Corp., 1.30%, 08/15/26 | | | |
Mead Johnson Nutrition Co. | | | |
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Merck Sharp & Dohme Corp., 5.75%, 11/15/36(a) | | | |
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Master Portfolio Schedule of Investments59
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Pharmaceuticals (continued) |
Mylan, Inc.(a) (continued) | | | |
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Pfizer Investment Enterprises Pte. Ltd. | | | |
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Sanofi SA, 3.63%, 06/19/28(a) | | | |
Shire Acquisitions Investments Ireland DAC, 3.20%, 09/23/26(a) | | | |
Takeda Pharmaceutical Co. Ltd. | | | |
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Utah Acquisition Sub, Inc. | | | |
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Pharmaceuticals (continued) |
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Professional Services — 0.0% |
Broadridge Financial Solutions, Inc. | | | |
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Jacobs Engineering Group, Inc.(a) | | | |
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Real Estate Management & Development(a) — 0.0% |
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Jones Lang LaSalle, Inc., 6.88%, 12/01/28 | | | |
Store Capital LLC, 2.70%, 12/01/31 | | | |
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|
AvalonBay Communities, Inc. | | | |
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602024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
|
Realty Income Corp. (continued) | | | |
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SITE Centers Corp., 4.25%, 02/01/26(a) | | | |
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Semiconductors & Semiconductor Equipment — 0.5% |
Advanced Micro Devices, Inc.(a) | | | |
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Broadcom Corp./Broadcom Cayman Finance Ltd. | | | |
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Semiconductors & Semiconductor Equipment (continued) |
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Microchip Technology, Inc. | | | |
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Master Portfolio Schedule of Investments61
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Semiconductors & Semiconductor Equipment (continued) |
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NXP BV/NXP Funding LLC/NXP USA, Inc. | | | |
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Qorvo, Inc., 4.38%, 10/15/29(a) | | | |
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Xilinx, Inc., 2.38%, 06/01/30 | | | |
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|
Atlassian Corp. (continued) | | | |
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622024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
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ServiceNow, Inc., 1.40%, 09/01/30(a) | | | |
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Specialized REITs (continued) |
American Tower Corp. (continued) | | | |
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Public Storage Operating Co. | | | |
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Master Portfolio Schedule of Investments63
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Specialty Retail (continued) |
AutoZone, Inc. (continued) | | | |
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Best Buy Co., Inc., 1.95%, 10/01/30(a) | | | |
Dick’s Sporting Goods, Inc., 4.10%, 01/15/52(a) | | | |
O’Reilly Automotive, Inc. | | | |
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Ross Stores, Inc., 1.88%, 04/15/31 | | | |
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Technology Hardware, Storage & Peripherals — 0.4% |
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Technology Hardware, Storage & Peripherals (continued) |
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Dell International LLC/EMC Corp. | | | |
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Hewlett Packard Enterprise Co. | | | |
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Textiles, Apparel & Luxury Goods — 0.0% |
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VF Corp., 2.95%, 04/23/30(a) | | | |
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|
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642024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
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Altria Group, Inc. (continued) | | | |
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BAT International Finance PLC(a) | | | |
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Philip Morris International, Inc. | | | |
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American Water Capital Corp. | | | |
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Essential Utilities, Inc. | | | |
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Total Corporate Bonds — 24.6%
(Cost: $763,035,121) | |
Foreign Agency Obligations |
| |
Canada Government International Bond, 3.75%, 04/26/28(a) | | | |
Export Development Canada, 3.38%, 08/26/25 | | | |
Province of Alberta Canada(a) | | | |
| | | |
| | | |
Province of British Columbia Canada | | | |
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Province of Manitoba Canada, Series HB, 1.50%, 10/25/28(a) | | | |
Province of New Brunswick Canada, 3.63%, 02/24/28 | | | |
Province of Ontario Canada | | | |
| | | |
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Province of Quebec Canada | | | |
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Master Portfolio Schedule of Investments65
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
| |
Province of Quebec Canada (continued) | | | |
| | | |
Series PD, 7.50%, 09/15/29 | | | |
| | | |
| |
Chile Government International Bond | | | |
| | | |
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| |
Landwirtschaftliche Rentenbank, 1.75%, 07/27/26 | | | |
| |
Hungary Government International Bond, 7.63%, 03/29/41(a) | | | |
| |
Indonesia Government International Bond | | | |
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| |
Israel Government International Bond | | | |
| | | |
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| | | |
State of Israel, 2.50%, 01/15/30(a) | | | |
| | | |
| |
Republic of Italy Government International Bond | | | |
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Japan Bank for International Cooperation | | | |
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Japan Bank for International Cooperation (continued) | | | |
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Japan International Cooperation Agency | | | |
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| |
Mexico Government International Bond | | | |
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Panama Government International Bond | | | |
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Peruvian Government International Bond | | | |
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662024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
| |
Peruvian Government International Bond (continued) | | | |
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| |
Philippines Government International Bond | | | |
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| |
Republic of Poland Government International Bond | | | |
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| |
Export-Import Bank of Korea | | | |
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Supranational (continued) | |
Asian Development Bank (continued) | | | |
| | | |
Asian Infrastructure Investment Bank | | | |
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Corp. Andina de Fomento, 2.25%, 02/08/27(a) | | | |
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Inter-American Development Bank | | | |
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International Bank for Reconstruction & Development | | | |
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International Finance Corp. | | | |
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Nordic Investment Bank, 4.38%, 03/14/28 | | | |
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| |
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| |
Uruguay Government International Bond | | | |
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Master Portfolio Schedule of Investments67
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
| |
Uruguay Government International Bond (continued) | | | |
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Total Foreign Agency Obligations — 2.3%
(Cost: $70,886,755) | |
|
| |
Alabama Federal Aid Highway Finance Authority, Refunding RB, Series B, 2.65%, 09/01/37 | | | |
| |
Salt River Project Agricultural Improvement & Power District, RB, BAB, 4.84%, 01/01/41(a) | | | |
| |
Bay Area Toll Authority, RB, BAB | | | |
Series S-1, 6.92%, 04/01/40 | | | |
Series S-1, 7.04%, 04/01/50 | | | |
Bay Area Toll Authority, Refunding RB, Series F-3, 3.13%, 04/01/55 | | | |
California Health Facilities Financing Authority, RB, | | | |
Sustainability Bonds, 4.19%, 06/01/37 | | | |
Sustainability Bonds, 4.35%, 06/01/41 | | | |
California State University, RB | | | |
Series B, 5.18%, 11/01/53(a) | | | |
Series E, 2.90%, 11/01/51 | | | |
California State University, Refunding RB, Series B, 2.98%, 11/01/51 | | | |
City of Los Angeles Department of Airports Customer Facility Charge Revenue, Refunding ARB, Class A, Sustainability Bonds, (AGM), 4.24%, 05/15/48(a) | | | |
City of San Francisco California Public Utilities Commission Water Revenue, RB, BAB, 6.95%, 11/01/50 | | | |
East Bay Municipal Utility District Water System Revenue, RB, BAB, 5.87%, 06/01/40 | | | |
Foothill-Eastern Transportation Corridor Agency, Refunding RB | | | |
Series A, 4.09%, 01/15/49 | | | |
Series A, (AGM), 3.92%, 01/15/53 | | | |
Golden State Tobacco Securitization Corp., Refunding RB | | | |
Class B, (SAP), 2.75%, 06/01/34 | | | |
Class B, (SAP), 3.29%, 06/01/42(a) | | | |
Class B, (SAP), 3.00%, 06/01/46 | | | |
Series A-1, 3.71%, 06/01/41 | | | |
Subordinate, 3.85%, 06/01/50 | | | |
Los Angeles Community College District, GO, BAB, 6.75%, 08/01/49(a) | | | |
Los Angeles County Public Works Financing Authority, Refunding RB, BAB, 7.62%, 08/01/40 | | | |
Los Angeles Department of Water & Power, RB, BAB, 6.57%, 07/01/45 | | | |
| | | |
| |
Regents of the University of California Medical Center Pooled Revenue, RB | | | |
Series N, 3.71%, 05/15/2120 | | | |
Series Q, 4.13%, 05/15/32 | | | |
Series Q, 4.56%, 05/15/53 | | | |
Regents of the University of California Medical Center Pooled Revenue, RB, BAB, Series H, 6.55%, 05/15/48 | | | |
San Diego County Regional Transportation Commission, RB, BAB, 5.91%, 04/01/48 | | | |
San Diego County Water Authority, RB, BAB, Series B, 6.14%, 05/01/49 | | | |
San Joaquin Hills Transportation Corridor Agency, Refunding RB, Series B, (AGM), 3.49%, 01/15/50 | | | |
State of California, GO, BAB | | | |
| | | |
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State of California, Refunding GO | | | |
| | | |
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| | | |
University of California, RB | | | |
Series AD, 4.86%, 05/15/2112 | | | |
Series AQ, 4.77%, 05/15/2115 | | | |
Series BD, 3.35%, 07/01/29(a) | | | |
Series BG, 0.88%, 05/15/25 | | | |
University of California, Refunding RB, Series AX, 3.06%, 07/01/25 | | | |
| | | |
| |
Regional Transportation District Sales Tax Revenue, RB, BAB, Series B, 5.84%, 11/01/50 | | | |
| |
State of Connecticut, GO, Series A, 5.85%, 03/15/32 | | | |
District of Columbia — 0.0% | |
District of Columbia Income Tax Revenue, RB, BAB, Series E, 5.59%, 12/01/34 | | | |
District of Columbia Water & Sewer Authority, RB, Series A, Senior Lien, Sustainability Bonds, 4.81%, 10/01/2114(a) | | | |
District of Columbia Water & Sewer Authority, Refunding RB, Series D, Subordinate Lien, 3.21%, 10/01/48 | | | |
Metropolitan Washington Airports Authority Dulles Toll Road Revenue, RB, BAB, 7.46%, 10/01/46 | | | |
| | | |
| |
County of Miami-Dade Florida Aviation Revenue, Refunding RB, Series C, 4.28%, 10/01/41 | | | |
County of Miami-Dade Florida Transit System, Refunding RB, Series B, 2.60%, 07/01/42 | | | |
State Board of Administration Finance Corp., RB | | | |
Series A, 1.26%, 07/01/25(a) | | | |
682024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
| |
State Board of Administration Finance Corp., RB (continued) | | | |
Series A, 2.15%, 07/01/30(a) | | | |
Series A, 5.53%, 07/01/34 | | | |
| | | |
| |
City of Atlanta Georgia Water & Wastewater Revenue, Refunding RB, 2.26%, 11/01/35 | | | |
Municipal Electric Authority of Georgia, Refunding RB, BAB, 6.66%, 04/01/57 | | | |
| | | |
| |
Idaho Energy Resources Authority, RB, 2.86%, 09/01/46(a) | | | |
| |
Chicago O’Hare International Airport, ARB(a) | | | |
Series C, Senior Lien, 4.47%, 01/01/49 | | | |
Series C, Senior Lien, 4.57%, 01/01/54 | | | |
Chicago Transit Authority Sales & Transfer Tax Receipts Revenue, RB, Series A, 6.90%, 12/01/40 | | | |
Illinois State Toll Highway Authority, RB, BAB, Series A, 6.18%, 01/01/34 | | | |
Metropolitan Water Reclamation District of Greater Chicago, GOL, BAB, 5.72%, 12/01/38 | | | |
Sales Tax Securitization Corp., Refunding RB, Series B, 2nd Lien, 3.24%, 01/01/42 | | | |
State of Illinois, GO, 5.10%, 06/01/33(a) | | | |
State of Illinois, GO, BAB, 7.35%, 07/01/35 | | | |
| | | |
| |
Indiana Finance Authority, Refunding RB, Sustainability Bonds, 3.05%, 01/01/51(a) | | | |
| |
Kansas Development Finance Authority, RB, Series K, (BAM), 2.77%, 05/01/51 | | | |
| |
Louisiana Local Government Environmental Facilities & Community Development Authority, RB | | | |
Class A-1, 3.62%, 02/01/29 | | | |
Class A-4, 4.48%, 08/01/39 | | | |
Series A-3, 5.20%, 12/01/39(a) | | | |
State of Louisiana Gasoline & Fuels Tax Revenue, Refunding RB, Series A, 2.95%, 05/01/41(a) | | | |
| | | |
| |
Commonwealth of Massachusetts, GOL, Series H, 2.90%, 09/01/49 | | | |
Commonwealth of Massachusetts, GOL, BAB, 5.46%, 12/01/39 | | | |
| | | |
Massachusetts (continued) | |
Massachusetts School Building Authority, RB, BAB, 5.72%, 08/15/39 | | | |
Massachusetts School Building Authority, Refunding RB, Series B, Sustainability Bonds, 1.75%, 08/15/30 | | | |
Massachusetts Water Resources Authority, Refunding RB, Series C, Sustainability Bonds, 2.82%, 08/01/41 | | | |
| | | |
| |
Michigan Finance Authority, Refunding RB | | | |
| | | |
| | | |
Michigan State Building Authority, Refunding RB, Series 2, 2.71%, 10/15/40 | | | |
Michigan State University, RB, Series A, 4.17%, 08/15/2122 | | | |
Michigan Strategic Fund, RB, 3.23%, 09/01/47 | | | |
University of Michigan, RB | | | |
Series A, 3.50%, 04/01/52 | | | |
Series A, 4.45%, 04/01/2122 | | | |
Series B, Sustainability Bonds, 3.50%, 04/01/52 | | | |
| | | |
| |
University of Minnesota, RB, 4.05%, 04/01/52(a) | | | |
| |
Health & Educational Facilities Authority of the State of Missouri, RB, Series A, 3.65%, 08/15/57 | | | |
| |
County of Clark Department of Aviation, ARB, BAB, Series C, 6.82%, 07/01/45(a) | | | |
| |
New Jersey Economic Development Authority, RB, Series A, (NPFGC), 7.43%, 02/15/29(a) | | | |
New Jersey Transportation Trust Fund Authority, RB, BAB | | | |
Series B, 6.56%, 12/15/40 | | | |
Series C, 5.75%, 12/15/28 | | | |
New Jersey Turnpike Authority, RB, BAB, Series F, 7.41%, 01/01/40(a) | | | |
Rutgers The State University of New Jersey, RB, Series P, 3.92%, 05/01/2119 | | | |
Rutgers The State University of New Jersey, Refunding RB, Series R, 3.27%, 05/01/43 | | | |
| | | |
| |
City of New York, GO, BAB | | | |
Series A-2, 5.21%, 10/01/31 | | | |
Series F-1, 6.27%, 12/01/37 | | | |
Metropolitan Transportation Authority, RB, BAB | | | |
| | | |
| | | |
Master Portfolio Schedule of Investments69
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
| |
Metropolitan Transportation Authority, RB, BAB (continued) | | | |
| | | |
New York City Municipal Water Finance Authority, | | | |
| | | |
| | | |
| | | |
New York City Transitional Finance Authority Future Tax Secured Revenue, RB, BAB, 5.57%, 11/01/38 | | | |
New York State Urban Development Corp., RB, Series B, 3.90%, 03/15/33 | | | |
Port Authority of New York & New Jersey, ARB | | | |
| | | |
Series 192, 4.81%, 10/15/65 | | | |
Port Authority of New York & New Jersey, RB | | | |
Series 159, 6.04%, 12/01/29 | | | |
Series 168, 4.93%, 10/01/51 | | | |
Series 182, 5.31%, 08/01/46 | | | |
Port Authority of New York & New Jersey, Refunding ARB, Series 239, 5.07%, 07/15/53(a) | | | |
| | | |
| |
Charlotte-Mecklenburg Hospital Authority, RB, Series S, 3.20%, 01/15/51 | | | |
| |
American Municipal Power, Inc., RB, Series B, 8.08%, 02/15/50 | | | |
JobsOhio Beverage System, Refunding RB | | | |
Series A, 2.83%, 01/01/38 | | | |
Series B, 3.99%, 01/01/29 | | | |
Ohio State University, RB, BAB, Series C, 4.91%, 06/01/40 | | | |
Ohio Turnpike & Infrastructure Commission, Refunding RB, Series A, Junior Lien, 3.22%, 02/15/48(a) | | | |
| | | |
| |
Oregon School Boards Association, GOL, Series B, (NPFGC), 5.55%, 06/30/28 | | | |
Oregon State University, RB, (BAM), 3.42%, 03/01/60 | | | |
State of Oregon Department of Transportation, RB, BAB, Series A, 5.83%, 11/15/34 | | | |
State of Oregon, GO, 5.89%, 06/01/27 | | | |
| | | |
| |
City of Philadelphia Pennsylvania Water & Wastewater Revenue, Refunding RB, Series B, 2.93%, 07/01/45 | | | |
Commonwealth Financing Authority, RB, Series A, 2.99%, 06/01/42(a) | | | |
| | | |
| |
Pennsylvania State University, Refunding RB, Series D, 2.79%, 09/01/43 | | | |
University of Pittsburgh-of the Commonwealth System of Higher Education, RB, 3.56%, 09/15/2119 | | | |
| | | |
| |
South Carolina Public Service Authority, RB, BAB, Series C, 6.45%, 01/01/50 | | | |
| |
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board, RB, Series B, 4.05%, 07/01/26 | | | |
| |
City of San Antonio Texas Electric & Gas Systems Revenue, RB, 4.43%, 02/01/42 | | | |
City of San Antonio Texas Electric & Gas Systems Revenue, RB, BAB, Junior Lien, 5.81%, 02/01/41(a) | | | |
Dallas Area Rapid Transit, Refunding RB, Series A, Senior Lien, 2.61%, 12/01/48(a) | | | |
Dallas Fort Worth International Airport, Refunding RB | | | |
| | | |
Series A, 2.99%, 11/01/38 | | | |
Series C, 2.92%, 11/01/50 | | | |
Grand Parkway Transportation Corp., Refunding RB, Subordinate, 3.24%, 10/01/52 | | | |
North Texas Tollway Authority, RB, BAB, Series B, 6.72%, 01/01/49 | | | |
North Texas Tollway Authority, Refunding RB, 3.01%, 01/01/43 | | | |
State of Texas, GO, BAB, 5.52%, 04/01/39(a) | | | |
Texas Department of Transportation State Highway Fund, RB, BAB, Series B, 5.18%, 04/01/30 | | | |
Texas Natural Gas Securitization Finance Corp., | | | |
Series 2023-1, 5.10%, 04/01/35 | | | |
Series 2023-1, 5.17%, 04/01/41 | | | |
Texas Private Activity Bond Surface Transportation Corp., RB, Series B, 3.92%, 12/31/49(a) | | | |
Texas Transportation Commission, Refunding GO, 2.47%, 10/01/44 | | | |
| | | |
| |
University of Virginia, RB, Series C, 4.18%, 09/01/2117(a) | | | |
University of Virginia, Refunding RB | | | |
| | | |
Series U, 2.58%, 11/01/51 | | | |
| | | |
702024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
| |
State of Wisconsin, RB, Series A, (AGM), 5.70%, 05/01/26 | | | |
State of Wisconsin, Refunding RB, Series A, 3.95%, 05/01/36 | | | |
| | | |
Total Municipal Bonds — 0.5%
(Cost: $16,914,506) | |
Non-Agency Mortgage-Backed Securities |
Commercial Mortgage-Backed Securities — 0.7% |
| | | |
Series 2019-BN18, Class A4, 3.58%, 05/15/62 | | | |
Series 2019-BN21, Class A5, 2.85%, 10/17/52 | | | |
Series 2020-BN27, Class A5, 2.14%, 04/15/63 | | | |
Series 2024-5YR7, Class A3, 5.77%, 06/15/57 | | | |
| | | |
Series 2017-C1, Class A4, 3.67%, 02/15/50 | | | |
Series 2023-C21, Class A5, 6.00%, 09/15/56(c) | | | |
BBCMS Trust, Series 2021-C10, Class A5, 2.49%, 07/15/54 | | | |
| | | |
Series 2018-B5, Class A4, 4.21%, 07/15/51 | | | |
Series 2019-B10, Class A4, 3.72%, 03/15/62 | | | |
Series 2019-B11, Class A4, 3.28%, 05/15/52 | | | |
Series 2019-B9, Class A5, 4.02%, 03/15/52 | | | |
Series 2020-B19, Class B, 2.35%, 09/15/53 | | | |
Series 2020-B21, Class A4, 1.70%, 12/17/53 | | | |
Series 2020-B21, Class A5, 1.98%, 12/17/53 | | | |
Series 2021-B29, Class A5, 2.39%, 09/15/54 | | | |
Citigroup Commercial Mortgage Trust | | | |
Series 2016-GC37, Class A4, 3.31%, 04/10/49 | | | |
Series 2016-P5, Class A4, 2.94%, 10/10/49 | | | |
Series 2017-P7, Class A4, 3.71%, 04/14/50 | | | |
Commercial Mortgage Trust, Series 2016-CR28, Class A4, 3.76%, 02/10/49 | | | |
CSAIL Commercial Mortgage Trust | | | |
Series 2015-C3, Class A4, 3.72%, 08/15/48 | | | |
Series 2016-C7, Class A5, 3.50%, 11/15/49 | | | |
Series 2018-CX11, Class A5, 4.03%, 04/15/51(c) | | | |
DBJPM Mortgage Trust, Series 2016-C3, Class A5, 2.89%, 08/10/49 | | | |
GS Mortgage Securities Trust | | | |
Series 2015-GC30, Class A4, 3.38%, 05/10/50 | | | |
Series 2015-GS1, Class A3, 3.73%, 11/10/48 | | | |
Series 2018-GS10, Class A5, 4.16%, 07/10/51(c) | | | |
JPMBB Commercial Mortgage Securities Trust, Series 2015-C31, Class A3, 3.80%, 08/15/48 | | | |
JPMCC Commercial Mortgage Securities Trust, Series 2017-JP7, Class A5, 3.45%, 09/15/50 | | | |
JPMDB Commercial Mortgage Securities Trust, Series 2017-C7, Class A5, 3.41%, 10/15/50 | | | |
Morgan Stanley Bank of America Merrill Lynch Trust | | | |
Series 2015-C24, Class A4, 3.73%, 05/15/48 | | | |
Series 2016-C28, Class A4, 3.54%, 01/15/49 | | | |
Morgan Stanley Capital I Trust | | | |
Series 2015-UBS8, Class A4, 3.81%, 12/15/48 | | | |
Series 2018-H3, Class A4, 3.91%, 07/15/51 | | | |
Series 2019-H6, Class A4, 3.42%, 06/15/52 | | | |
Series 2019-L3, Class AS, 3.49%, 11/15/52 | | | |
| | | |
Commercial Mortgage-Backed Securities (continued) |
Wells Fargo Commercial Mortgage Trust | | | |
Series 2015-SG1, Class A4, 3.79%, 09/15/48 | | | |
Series 2019-C49, Class A5, 4.02%, 03/15/52 | | | |
Series 2020-C56, Class A5, 2.45%, 06/15/53 | | | |
Series 2020-C58, Class A4, 2.09%, 07/15/53 | | | |
Total Non-Agency Mortgage-Backed Securities — 0.7%
(Cost: $22,490,558) | |
|
|
| |
Goldman Sachs Capital I, Class I, 6.35%, 02/15/34(a) | | | |
Electric Utilities — 0.0% | |
American Electric Power Co., Inc., 3.88%, 02/15/62(a)(c) | | | |
| |
MetLife, Inc., 6.40%, 12/15/66 | | | |
Prudential Financial, Inc., 6.50%, 03/15/54(a)(c) | | | |
| | | |
Oil, Gas & Consumable Fuels — 0.0% | |
BP Capital Markets PLC, 6.45%(a)(c)(f) | | | |
| |
Total Preferred Securities — 0.0%
(Cost: $589,497) | |
U.S. Government Sponsored Agency Securities |
Agency Obligations — 0.6% | |
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Federal Home Loan Mortgage Corp. | | | |
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Tennessee Valley Authority | | | |
| | | |
| | | |
| | | |
| | | |
Commercial Mortgage-Backed Securities — 0.8% | |
| | | |
Series 2016-M5, Class A2, 2.47%, 04/25/26 | | | |
Series 2017-M15, Class A2, 3.06%, 09/25/27(c) | | | |
Series 2018-M12, Class A2, 3.76%, 08/25/30(c) | | | |
Series 2019-M22, Class A2, 2.52%, 08/25/29 | | | |
Series 2020-M46, Class A2, 1.32%, 05/25/30 | | | |
Series 2021-M13, Class A2, 1.65%, 04/25/31(c) | | | |
Series 2021-M17, Class A2, 1.71%, 07/25/31(c) | | | |
Master Portfolio Schedule of Investments71
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
Commercial Mortgage-Backed Securities (continued) | |
Fannie Mae-Aces (continued) | | | |
Series 2021-M2S, Class A2, 1.87%, 10/25/31(c) | | | |
Freddie Mac Multifamily Structured Pass Through Certificates | | | |
Series K052, Class A2, 3.15%, 11/25/25 | | | |
Series K063, Class A2, 3.43%, 01/25/27(c) | | | |
Series K066, Class A2, 3.12%, 06/25/27 | | | |
Series K067, Class A1, 2.90%, 03/25/27 | | | |
Series K076, Class A2, 3.90%, 04/25/28 | | | |
Series K088, Class A2, 3.69%, 01/25/29 | | | |
Series K100, Class A2, 2.67%, 09/25/29 | | | |
Series K101, Class A2, 2.52%, 10/25/29 | | | |
Series K110, Class A2, 1.48%, 04/25/30 | | | |
Series K111, Class A2, 1.35%, 05/25/30 | | | |
Series K123, Class A2, 1.62%, 12/25/30 | | | |
Series K126, Class A2, 2.07%, 01/25/31 | | | |
Series K-1521, Class A2, 2.18%, 08/25/36 | | | |
Series K-154, Class A2, 4.35%, 01/25/33(c) | | | |
Series K-156, Class A2, 4.43%, 02/25/33(c) | | | |
Series K734, Class A2, 3.21%, 02/25/26 | | | |
Series K-752, Class A2, 4.28%, 07/25/30 | | | |
Series K755, Class A2, 5.20%, 02/25/31 | | | |
| | | |
Mortgage-Backed Securities — 25.8% | |
Fannie Mae Mortgage-Backed Securities | | | |
| | | |
4.00%, 02/01/47 - 02/01/57 | | | |
| | | |
(12-mo. LIBOR US + 1.53%), 6.94%, 05/01/43(c) | | | |
(12-mo. LIBOR US + 1.54%), 7.02%, 06/01/43(c) | | | |
(12-mo. LIBOR US + 1.70%), 7.50%, 08/01/42(c) | | | |
(12-mo. LIBOR US + 1.75%), 6.56%, 08/01/41(c) | | | |
(12-mo. LIBOR US + 1.83%), 6.08%, 11/01/40(c) | | | |
Freddie Mac Mortgage-Backed Securities | | | |
| | | |
3.00%, 03/01/27 - 10/01/47 | | | |
2.50%, 07/01/28 - 01/01/33 | | | |
3.50%, 03/01/32 - 06/01/49 | | | |
5.00%, 04/01/33 - 04/01/49 | | | |
4.00%, 05/01/33 - 01/01/49 | | | |
5.50%, 06/01/35 - 01/01/39 | | | |
4.50%, 06/01/38 - 01/01/49 | | | |
(12-mo. LIBOR US + 1.71%), 5.98%, 08/01/41(c) | | | |
(12-mo. LIBOR US + 1.84%), 6.30%, 09/01/40(c) | | | |
Ginnie Mae Mortgage-Backed Securities | | | |
5.50%, 12/15/32 - 07/15/54(h) | | | |
6.00%, 03/15/35 - 07/15/54(h) | | | |
6.50%, 09/15/36 - 07/15/54(h) | | | |
4.50%, 07/15/39 - 07/15/54(h) | | | |
5.00%, 11/15/39 - 07/15/54(h) | | | |
4.00%, 03/15/41 - 07/15/54(h) | | | |
3.50%, 09/20/42 - 07/15/54(h) | | | |
3.00%, 01/20/43 - 07/15/54(h) | | | |
2.50%, 05/20/45 - 07/15/54(h) | | | |
2.00%, 07/20/50 - 07/15/54(h) | | | |
| | | |
Uniform Mortgage-Backed Securities | | | |
4.00%, 10/01/25 - 07/15/54(h) | | | |
3.50%, 02/01/26 - 07/15/54(h) | | | |
3.00%, 01/01/27 - 07/15/54(h) | | | |
2.50%, 09/01/28 - 07/15/54(h) | | | |
| | | |
Mortgage-Backed Securities (continued) | |
Uniform Mortgage-Backed Securities (continued) | | | |
| | | |
6.50%, 07/01/32 - 07/15/54(h) | | | |
5.00%, 11/01/33 - 07/15/54(h) | | | |
6.00%, 03/01/34 - 07/15/54(h) | | | |
2.00%, 12/01/35 - 07/15/54(h)(i) | | | |
1.50%, 03/01/36 - 11/01/51(h) | | | |
5.50%, 04/01/36 - 07/15/54(h) | | | |
4.50%, 07/15/39 - 07/15/54(h) | | | |
| | | |
Total U.S. Government Sponsored Agency Securities — 27.2%
(Cost: $851,800,575) | |
U.S. Treasury Obligations |
| | | |
| | | |
| | | |
| | | |
| | | |
5.25%, 11/15/28 - 02/15/29(a) | | | |
| | | |
| | | |
4.50%, 02/15/36 - 02/15/44 | | | |
4.75%, 02/15/37 - 11/15/53(a) | | | |
| | | |
4.38%, 02/15/38 - 08/15/43(a) | | | |
| | | |
4.25%, 05/15/39 - 02/15/54(a) | | | |
4.63%, 02/15/40 - 05/15/54(a) | | | |
1.13%, 05/15/40 - 08/15/40 | | | |
3.88%, 08/15/40 - 05/15/43 | | | |
1.38%, 11/15/40 - 08/15/50 | | | |
1.88%, 02/15/41 - 11/15/51 | | | |
2.25%, 05/15/41 - 02/15/52 | | | |
| | | |
3.75%, 08/15/41 - 11/15/43 | | | |
2.00%, 11/15/41 - 08/15/51(a) | | | |
3.13%, 11/15/41 - 05/15/48(a) | | | |
2.38%, 02/15/42 - 05/15/51 | | | |
3.00%, 05/15/42 - 08/15/52 | | | |
| | | |
2.75%, 08/15/42 - 11/15/47(a) | | | |
3.38%, 08/15/42 - 11/15/48 | | | |
4.00%, 11/15/42 - 11/15/52 | | | |
2.88%, 05/15/43 - 05/15/52(a) | | | |
3.63%, 08/15/43 - 05/15/53 | | | |
2.50%, 02/15/45 - 05/15/46(a) | | | |
| | | |
| | | |
| | | |
| | | |
0.25%, 06/30/25 - 10/31/25 | | | |
2.75%, 06/30/25 - 08/15/32 | | | |
3.00%, 07/15/25 - 10/31/25 | | | |
2.88%, 07/31/25 - 05/15/32 | | | |
2.00%, 08/15/25 - 11/15/26 | | | |
3.13%, 08/15/25 - 08/31/29 | | | |
3.50%, 09/15/25 - 02/15/33 | | | |
| | | |
4.25%, 10/15/25 - 06/30/31 | | | |
2.25%, 11/15/25 - 11/15/27 | | | |
722024 BlackRock Semi-Annual Financial Statements
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio(Percentages shown are based on Net Assets)
| | | |
U.S. Treasury Obligations (continued) |
U.S. Treasury Notes (continued) | | | |
4.50%, 11/15/25 - 11/15/33 | | | |
0.38%, 11/30/25 - 09/30/27 | | | |
4.00%, 12/15/25 - 02/15/34 | | | |
3.88%, 01/15/26 - 08/15/33 | | | |
2.63%, 01/31/26 - 07/31/29 | | | |
1.63%, 02/15/26 - 05/15/31 | | | |
0.50%, 02/28/26 - 10/31/27(a) | | | |
4.63%, 03/15/26 - 05/31/31 | | | |
0.75%, 03/31/26 - 01/31/28 | | | |
3.75%, 04/15/26 - 12/31/30 | | | |
3.63%, 05/15/26 - 03/31/30 | | | |
4.13%, 06/15/26 - 11/15/32 | | | |
0.88%, 06/30/26 - 11/15/30 | | | |
1.88%, 06/30/26 - 02/15/32 | | | |
0.63%, 07/31/26 - 08/15/30 | | | |
1.50%, 08/15/26 - 02/15/30 | | | |
4.38%, 08/15/26 - 05/15/34 | | | |
1.38%, 08/31/26 - 11/15/31 | | | |
1.13%, 10/31/26 - 02/15/31 | | | |
1.25%, 11/30/26 - 08/15/31 | | | |
1.75%, 12/31/26 - 01/31/29 | | | |
| | | |
2.38%, 05/15/27 - 05/15/29 | | | |
3.25%, 06/30/27 - 06/30/29 | | | |
| | | |
4.88%, 10/31/28 - 10/31/30 | | | |
| | | |
Total U.S. Treasury Obligations — 42.4%
(Cost: $1,296,417,597) | |
Total Long-Term Investments — 98.1%
(Cost: $3,033,226,063) | |
| | | |
|
Money Market Funds — 16.8% | |
BlackRock Cash Funds: Institutional, SL Agency Shares, 5.48%(j)(k)(l) | | | |
BlackRock Cash Funds: Treasury, SL Agency Shares, 5.28%(j)(k) | | | |
| |
| | | |
U.S. Government Sponsored Agency Securities — 0.0% | |
Fannie Mae, 2.63%, 09/06/24 | | | |
| | | |
U.S. Treasury Obligations — 0.7% | |
| | | |
| | | |
| | | |
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| |
Total Short-Term Securities — 17.5%
(Cost: $490,441,079) | |
Total Investments Before TBA Sale Commitments — 115.6%
(Cost: $3,523,667,142) | |
|
Mortgage-Backed Securities — (0.3)% | |
Ginnie Mae Mortgage-Backed Securities, 6.50%, 07/15/54 | | | |
Uniform Mortgage-Backed Securities | | | |
| | | |
| | | |
| | | |
| | | |
Total TBA Sale Commitments — (0.3)%
(Proceeds: $(8,311,805)) | |
Total Investments, Net of TBA Sale Commitments — 115.3%
(Cost: $3,515,355,337) | |
Liabilities in Excess of Other Assets — (15.3)% | |
| |
| All or a portion of this security is on loan. |
| 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. |
| Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
| Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step- down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect. |
| |
| Perpetual security with no stated maturity date. |
| Rounds to less than 1,000. |
| Represents or includes a TBA transaction. |
| All or a portion of the security has been pledged as collateral in connection with outstanding TBA commitments. |
| Affiliate of the Master Portfolio. |
| Annualized 7-day yield as of period end. |
| All or a portion of this security was purchased with the cash collateral from loaned securities. |
For purposes of this report, industry and sector sub-classifications may differ from those utilized by the Master Portfolio for compliance purposes.
Master Portfolio Schedule of Investments73
Schedule of Investments (unaudited)(continued)June 30, 2024
U.S. Total Bond Index Master Portfolio
Affiliates
Investments in issuers considered to be affiliate(s) of the Master Portfolio during the six months ended June 30, 2024 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| | | | | Change in
Unrealized
Appreciation
(Depreciation) | | | | Capital Gain
Distributions
from
Underlying
Funds |
BlackRock Cash Funds: Institutional, SL Agency Shares | | | | | | | | | |
BlackRock Cash Funds: Treasury, SL Agency Shares | | | | | | | | | |
| | | | | | | | | |
| Represents net amount purchased (sold). |
| All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Master Portfolio’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Master Portfolio’s financial instruments categorized in the fair value hierarchy. The breakdown of the Master Portfolio’s financial instruments into major categories is disclosed in the Schedule of Investments above.
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Foreign Agency Obligations | | | | |
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Non-Agency Mortgage-Backed Securities | | | | |
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U.S. Government Sponsored Agency Securities | | | | |
U.S. Treasury Obligations | | | | |
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U.S. Government Sponsored Agency Securities | | | | |
U.S. Treasury Obligations | | | | |
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See notes to financial statements.
742024 BlackRock Semi-Annual Financial Statements
Statement of Assets and Liabilities(unaudited)June 30, 2024
| U.S. Total
Bond Index
Master Portfolio |
| |
Investments, at value — unaffiliated(a)(b) | |
Investments, at value — affiliated(c) | |
| |
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| |
Securities lending income — affiliated | |
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Contributions from investors | |
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Cash received as collateral for TBA commitments | |
Collateral on securities loaned | |
TBA sale commitments, at value(d) | |
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Commitments and contingent liabilities | |
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Net unrealized appreciation (depreciation) | |
| |
(a) Investments, at cost—unaffiliated | |
(b) Securities loaned, at value | |
(c) Investments, at cost—affiliated | |
(d) Proceeds from TBA sale commitments | |
See notes to financial statements.
Master Portfolio Statement of Assets and Liabilities75
Statement of Operations (unaudited)Six Months Ended June 30, 2024
| U.S. Total
Bond Index
Master Portfolio |
| |
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Securities lending income — affiliated — net | |
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Fees waived and/or reimbursed by the Manager | |
Total expenses after fees waived and/or reimbursed | |
| |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) from: | |
Investments — unaffiliated | |
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Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated | |
| |
| |
Net realized and unrealized loss | |
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | |
See notes to financial statements.
762024 BlackRock Semi-Annual Financial Statements
Statements of Changes in Net Assets
| U.S. Total Bond Index Master Portfolio |
| Six Months Ended
06/30/24
(unaudited) | |
INCREASE (DECREASE) IN NET ASSETS | | |
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Net change in unrealized appreciation (depreciation) | | |
Net increase (decrease) in net assets resulting from operations | | |
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Proceeds from contributions | | |
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Net increase in net assets derived from capital transactions | | |
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Total increase in net assets | | |
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See notes to financial statements.
Master Portfolio Statements of Changes in Net Assets77
Financial Highlights(unaudited)
| U.S. Total Bond Index Master Portfolio |
| Six Months Ended
06/30/24
(unaudited) | | | | | |
|
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Ratios to Average Net Assets(c) | | | | | | |
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Total expenses after fees waived and/or reimbursed | | | | | | |
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Net assets, end of period (000) | | | | | | |
Portfolio turnover rate(e)(f) | | | | | | |
| |
| Includes payment from an affiliate, which had no impact on the Master Portfolio’s total return. |
| Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| |
| Portfolio turnover rates include TBA transactions, if any. |
| Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
| Six Months Ended
06/30/24
(unaudited) | | | | | |
|
Portfolio turnover rate (excluding MDRs) | | | | | | |
| Portfolio turnover rate excludes in-kind transactions. |
See notes to financial statements.
782024 BlackRock Semi-Annual Financial Statements
Notes to Financial Statements (unaudited)
Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. MIP is organized as a Delaware statutory trust. U.S. Total Bond Index Master Portfolio (the “Master Portfolio”) is a series of MIP. The Master Portfolio is classified as diversified.
The Master Portfolio, 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 funds referred to as the BlackRock Multi-Asset Complex.
2.
SIGNIFICANT ACCOUNTING POLICIES
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Master Portfolio is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. Upon notification from issuers, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized daily on an accrual basis.
Foreign Taxes: The Master Portfolio may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Master Portfolio invests. These foreign taxes, if any, are paid by the Master Portfolio and are reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as “Foreign taxes withheld”, and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of June 30, 2024, if any, are disclosed in the Statement of Assets and Liabilities.
The Master Portfolio files withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. The Master Portfolio may record a reclaim receivable based on collectability, which includes factors such as the jurisdiction’s applicable laws, payment history and market convention. The Statement of Operations includes tax reclaims recorded as well as professional and other fees, if any, associated with recovery of foreign withholding taxes.
Collateralization: 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.
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.
3.
INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
Investment Valuation Policies: The Master Portfolio’s investments are valued at fair value (also referred to as “market value” within the financial statements) each day that the Master Portfolio is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Board of Trustees of the Master Portfolio (the “Board”) has approved the designation of the Master Portfolio’s Manager as the valuation designee for the Master Portfolio. The Master Portfolio determines the fair values of its financial instruments using various independent dealers or pricing services under the Manager’s policies. If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with the Manager’s policies and procedures as reflecting fair value. The Manager has formed a committee (the “Valuation Committee”) to develop pricing policies and procedures and to oversee the pricing function for all financial instruments, with assistance from other BlackRock pricing committees.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of the Master Portfolio’s assets and liabilities:
•Fixed-income investments for which market quotations are readily available are generally valued using the last available bid price or current market quotations provided by independent dealers or third-party pricing services. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), market data, credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a
Master Portfolio Notes to Financial Statements79
Notes to Financial Statements (unaudited) (continued)
benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value.
•Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published net asset value (“NAV”).
If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that 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 Valuation Committee in accordance with the Manager’s policies and procedures as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Valuation Committee 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 Valuation Committee deems relevant and consistent with the principles of fair value measurement.
Fair Value Hierarchy: Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
•Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Master Portfolio has the ability to access;
•Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs); and
•Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Valuation Committee’s assumptions used in determining the fair value of financial instruments).
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.
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, a fund may subsequently have to reinvest the proceeds at lower interest rates. If a fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.
For mortgage pass-through securities (the “Mortgage Assets”) there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.
Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.
Multiple Class Pass-Through Securities: Multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities, may be issued by Ginnie Mae, U.S. Government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by a pool of residential or commercial mortgage loans or Mortgage Assets. The payments on these are used to make payments on the CMOs or multiple pass-through securities. Multiple class pass-through securities represent direct ownership interests in the Mortgage Assets. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the
802024 BlackRock Semi-Annual Financial Statements
Notes to Financial Statements (unaudited) (continued)
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, a fund’s 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. In the case of trust preferred securities, an affiliated business trust of a corporation issues these securities, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.
Forward Commitments, When-Issued and Delayed Delivery Securities: The Master Portfolio may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. The Master Portfolio may purchase securities under such conditions with the intention of actually acquiring them but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, the Master Portfolio may be required to pay more at settlement than the security is worth. In addition, a fund is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Master Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the Master Portfolio’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions. These types of securities may be considered unfunded and may obligate the Master Portfolio to make future cash payments. An unfunded commitment is marked-to-market and any unrealized appreciation (depreciation) is separately presented in the Statement of Assets and Liabilities and Statement of Operations.
TBA Commitments: TBA commitments are forward agreements for the purchase or sale of securities, including 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, a fund 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, if there are expenses or delays in connection with the TBA transactions, or if the counterparty fails to complete the transaction.
In order to better define contractual rights and to secure rights that will help a fund mitigate its counterparty risk, TBA commitments may be entered into by a fund 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 a fund and the counterparty. Cash collateral that has been pledged to cover the obligations of a fund and cash collateral received from the counterparty, if any, is reported separately in the Statement of Assets and Liabilities as cash pledged as collateral for TBA commitments or cash received as collateral for TBA commitments, respectively. Non-cash collateral pledged by a fund, if any, is noted in the Schedule of Investments. Typically, a fund is permitted to sell, re-pledge or use the collateral it receives; however, the counterparty is not permitted to do so. To the extent amounts due to a fund are not fully collateralized, contractually or otherwise, a fund bears the risk of loss from counterparty non-performance.
Mortgage Dollar Roll Transactions: The Master Portfolio may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, a fund is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and a fund realizes gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that a fund is required to purchase may decline below the agreed upon repurchase price of those securities.
Securities Lending: The Master Portfolio may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Master Portfolio collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by the Master Portfolio is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Master Portfolio and any additional required collateral is delivered to the Master Portfolio, or excess collateral returned by the Master Portfolio, on the next business day. During the term of the loan, the Master Portfolio is entitled to all distributions made on or in respect of the loaned securities, but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested by the securities lending agent, BlackRock Institutional Trust Company, N.A. (“BTC”), if any, is disclosed in the Schedule of Investments. Any non-cash collateral received cannot be sold, re-invested or pledged by the Master Portfolio, except in the event of borrower default. The securities on loan, if any, are disclosed in the Master Portfolio’s Schedule of Investments. The market value of any securities on loan and the value of related collateral, if any, are shown separately in the Statement of Assets and Liabilities as a component of investments at value – unaffiliated and collateral on securities loaned, respectively.
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.
Master Portfolio Notes to Financial Statements81
Notes to Financial Statements (unaudited) (continued)
However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and the Master Portfolio can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties’ obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.
As of period end, the following table is a summary of the Master Portfolio’s securities on loan by counterparty which are subject to offset under an MSLA:
| Securities
Loaned at Value | | Non-Cash Collateral
Received, at Fair Value(a) | |
| | | | |
| | | | |
BMO Capital Markets Corp. | | | | |
| | | | |
| | | | |
Citigroup Global Markets, Inc. | | | | |
Deutsche Bank Securities, Inc. | | | | |
| | | | |
HSBC Securities (USA), Inc. | | | | |
J.P. Morgan Securities LLC | | | | |
| | | | |
| | | | |
Nomura Securities International, Inc. | | | | |
| | | | |
| | | | |
Scotia Capital (USA), Inc. | | | | |
State Street Bank & Trust Co. | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Wells Fargo Securities LLC | | | | |
| | | | |
| Collateral received, if any, in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by the Master Portfolio is disclosed in the Master Portfolio’s Statement of Assets and Liabilities. |
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Master Portfolio benefits from a borrower default indemnity provided by BlackRock, Inc. (“BlackRock”). BlackRock’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value on the securities loaned in the event of borrower default. The Master Portfolio could incur a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received. Such losses are borne entirely by the Master Portfolio.
5.
INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
Investment Advisory: MIP, on behalf of the Master Portfolio, entered into an Investment Advisory Agreement with the Manager, the Master Portfolio’s investment adviser and an indirect, wholly-owned subsidiary of BlackRock, 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 at an annual rate equal to 0.04% of the average daily value of the Master Portfolio’s net assets.
Administration: MIP, on behalf of the Master Portfolio, entered into an Administration Agreement with BlackRock Advisors, LLC (“BAL”), which has agreed to provide general administrative services (other than investment advice and related portfolio activities). BAL 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 is not entitled to compensation for providing administrative services to the Master Portfolio, for so long as BAL (or an affiliate) is entitled to compensation for providing administrative 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.
Expense Waivers and Reimbursements: 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 Portfolio’s independent registered public accounting firm (together, the “independent expenses”) are paid directly by the Master Portfolio. Each of BAL and BFA have contractually agreed to reimburse the Master Portfolio or provide an offsetting credit against the investment advisory fees paid by the Master Portfolio in an amount equal to these independent expenses through June 30, 2025. The amount waived is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended June 30, 2024, the amount waived was $12,554.
822024 BlackRock Semi-Annual Financial Statements
Notes to Financial Statements (unaudited) (continued)
The Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees the Master Portfolio pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through June 30, 2025. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Trustees, or by a vote of a majority of the outstanding voting securities of the Master Portfolio. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended June 30, 2024, the amount waived was $49,917.
The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Master Portfolio’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2025. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Master Portfolio’s Independent Trustees, or by a vote of a majority of the outstanding voting securities of the Master Portfolio. For the six months ended June 30, 2024, there were no fees waived by the Manager pursuant to this arrangement.
Securities Lending: The U.S. Securities and Exchange Commission (“SEC”) 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, including any custodial costs. The Master Portfolio is responsible for fees in connection with the investment of cash collateral received for securities on loan (the “collateral investment fees”). The cash collateral is invested in a money market fund, BlackRock Cash Funds: Institutional or BlackRock Cash Funds: Treasury, 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 SL Agency Shares of such money market fund will not be subject to a sales load, redemption fee, distribution fee or service fee. The money market fund in which the cash collateral has been invested may impose a discretionary liquidity fee of up to 2% of the value redeemed, if such fee is determined to be in the best interests of such money market fund.
Securities lending income is generally equal to the total of income earned from the reinvestment of cash collateral (and excludes collateral investment fees), and any fees or other payments to and from borrowers of securities. The Master Portfolio retains a portion of the securities lending income and remits the remaining portion to BTC as compensation for its services as securities lending agent.
Pursuant to the current securities lending agreement, the Master Portfolio retains 82% of securities lending income (which excludes collateral investment fees), 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 the BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, the Master Portfolio, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 85% of securities lending income (which excludes collateral investment fees), 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 income — affiliated — net in the Statement of Operations. For the six months ended June 30, 2024, the Master Portfolio paid BTC $218,264 for securities lending agent services.
Interfund Lending: In accordance with an exemptive order (the “Order”) from the SEC, the Master Portfolio may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Master Portfolio’s investment policies and restrictions. The Master Portfolio is currently permitted to borrow and lend under the Interfund Lending Program.
A lending BlackRock fund may lend in aggregate up to 15% of its net assets but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.
During the period ended June 30, 2024, the Master Portfolio did not participate in the Interfund Lending Program.
Trustees and Officers: Certain trustees and/or officers of MIP are directors and/or officers of BlackRock or its affiliates.
For the six months ended June 30, 2024, purchases and sales of investments, including paydowns/payups, mortgage dollar rolls and excluding short-term securities, were as follows:
| U.S. Government Securities | |
| | | | |
U.S. Total Bond Index Master Portfolio | | | | |
For the six months ended June 30, 2024, purchases and sales related to mortgage dollar rolls were $665,826,828 and $665,561,672, respectively.
Master Portfolio Notes to Financial Statements83
Notes to Financial Statements (unaudited) (continued)
The Master Portfolio is disregarded as an entity separate from its owner for tax purposes. As such, the owner of the Master Portfolio is treated as the owner of the net assets,income, expenses and realized and unrealized gains and losses of the Master Portfolio. Therefore, no U.S. federal income tax provision is required. It is intended that the Master Portfolio’s assets will be managed so the owner of the Master Portfolio can satisfy the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended.
As of June 30, 2024, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:
| | Gross Unrealized
Appreciation | Gross Unrealized
Depreciation | Net Unrealized
Appreciation
(Depreciation) |
U.S. Total Bond Index Master Portfolio | | | | |
MIP, on behalf of the Master Portfolio, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is party to a 364-day, $2.40 billion credit agreement with a group of lenders. Under this agreement, the Master Portfolio may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Master Portfolio, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) Overnight Bank Funding Rate (“OBFR”) (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum, (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 or (c) the sum of (x) Daily Simple Secured Overnight Financing Rate (“SOFR”) (but, in any event, not less than 0.00%) on the date the loan is made plus 0.10% and (y) 0.80% per annum. The agreement expires in April 2025 unless extended or renewed. Prior to April 11, 2024, the aggregate commitment amount was $2.50 billion. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the six months ended June 30, 2024, the Master Portfolio did not borrow under the credit agreement.
In the normal course of business, the Master Portfolio invests in securities or other instruments and may enter into certain transactions, and such activities subject the Master Portfolio to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Master Portfolio and its investments. The Master Portfolio’s prospectus provides details of the risks to which the Master Portfolio is subject.
BFA uses an indexing approach to try to achieve the Master Portfolio’s investment objective. The Master Portfolio is not actively managed, and BFA generally does not attempt to take defensive positions under any market conditions, including declining markets.
The Master Portfolio may be exposed to additional risks when reinvesting cash collateral in money market funds that do not seek to maintain a stable NAV per share of $1.00, which may be subject to discretionary liquidity fees under certain circumstances.
Market Risk: The Master Portfolio may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force the Master Portfolio to reinvest in lower yielding securities. The Master Portfolio may also be exposed to reinvestment risk, which is the risk that income from the Master Portfolio’s portfolio will decline if the Master Portfolio invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below the Master Portfolio portfolio’s current earnings rate.
Municipal securities are subject to the risk that litigation, legislation or other political events, local business or economic conditions, credit rating downgrades, or the bankruptcy of the issuer could have a significant effect on an issuer’s ability to make payments of principal and/or interest or otherwise affect the value of such securities. Municipal securities can be significantly affected by political or economic changes, including changes made in the law after issuance of the securities, as well as uncertainties in the municipal market related to, taxation, legislative changes or the rights of municipal security holders, including in connection with an issuer insolvency. Municipal securities backed by current or anticipated revenues from a specific project or specific assets can be negatively affected by the discontinuance of the tax benefits supporting the project or assets or the inability to collect revenues for the project or from the assets. Municipal securities may be less liquid than taxable bonds, and there may be less publicly available information on the financial condition of municipal security issuers than for issuers of other securities.
Counterparty Credit Risk: The Master Portfolio may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Master Portfolio manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Master Portfolio to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Master Portfolio’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Master Portfolio.
842024 BlackRock Semi-Annual Financial Statements
Notes to Financial Statements (unaudited) (continued)
Geographic/Asset Class Risk: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within the Master Portfolio’s portfolio are disclosed in its Schedule of Investments.
The Master Portfolio invests a significant portion of its assets in 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 decrease as interest rates rise and increase as interest rates fall. The Master Portfolio may be subject to a greater risk of rising interest rates during a period of historically low interest rates. The Federal Reserve has raised the federal funds rate as part of its efforts to address inflation. Changing interest rates may have unpredictable effects on markets, may result in heightened market volatility, and could negatively impact the Master Portfolio’s performance.
The Master Portfolio invests a significant portion of its assets in securities of issuers located in the United States. A decrease in imports or exports, changes in trade regulations, inflation and/or an economic recession in the United States may have a material adverse effect on the U.S. economy and the securities listed on U.S. exchanges. Proposed and adopted policy and legislative changes in the United States may also have a significant effect on U.S. markets generally, as well as on the value of certain securities. Governmental agencies project that the United States will continue to maintain elevated public debt levels for the foreseeable future which may constrain future economic growth. Circumstances could arise that could prevent the timely payment of interest or principal on U.S. government debt, such as reaching the legislative “debt ceiling.” Such non-payment would result in substantial negative consequences for the U.S. economy and the global financial system. If U.S. relations with certain countries deteriorate, it could adversely affect issuers that rely on the United States for trade. The United States has also experienced increased internal unrest and discord. If these trends were to continue, they may have an adverse impact on the U.S. economy and the issuers in which the Master Portfolio invests.
The Master Portfolio invests a significant portion of its assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. When a fund concentrates its investments in this manner, it assumes a greater risk of prepayment or payment extension by securities issuers. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions. Investment percentages in these securities are presented in the Schedule of Investments.
Significant Shareholder Redemption Risk: Certain shareholders may own or manage a substantial amount of fund shares and/or hold their fund investments for a limited period of time. Large redemptions of fund shares by these shareholders may force a fund to sell portfolio securities, which may negatively impact the fund’s NAV, increase the fund’s brokerage costs, and/or accelerate the realization of taxable income/gains and cause the fund to make additional taxable distributions to shareholders.
LIBOR Transition Risk: The Master Portfolio may be exposed to financial instruments that recently transitioned from, or continue to be tied to, the London Interbank Offered Rate (“LIBOR”) to determine payment obligations, financing terms, hedging strategies or investment value. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, has ceased publishing all LIBOR settings, but some USD LIBOR settings will continue to be published under a synthetic methodology until September 30, 2024 for certain legacy contracts. SOFR has been used increasingly on a voluntary basis in new instruments and transactions. Under U.S. regulations that implement a statutory fallback mechanism to replace LIBOR, benchmark rates based on SOFR have replaced LIBOR in certain financial contracts. The ultimate effect of the LIBOR transition process on the Master Portfolio is uncertain.
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.
Master Portfolio Notes to Financial Statements85
Changes in and Disagreements with Accountants
Remuneration Paid to Trustees, Officers, and Others
Each of BAL and BFA has contractually agreed to reimburse, or provide offsetting credits to, the Fund/Master Portfolio for the Fund’s/Master Portfolio’s allocable portion of the fees and expenses of the independent trustees of the Trust and MIP, counsel to such independent trustees and the independent registered public accounting firm.
Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Fund/Master Portfolio may be found on BlackRock’s website, which can be accessed at blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Fund/Master Portfolio and does not, and is not intended to, incorporate BlackRock’s website in this report.
Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports and prospectuses by enrolling in the electronic delivery program.
To enroll in electronic delivery:
Shareholders Who Hold Accounts with Investment Advisors, Banks or Brokerages:
Please contact your financial advisor. Please note that not all investment advisors, banks or brokerages may offer this service.
Shareholders Who Hold Accounts Directly with BlackRock:
1. Access the BlackRock website at blackrock.com
2. Select “Access Your Account”
3. Next, select “eDelivery” in the “Related Resources” box and follow the sign-up instructions.
BlackRock’s Mutual Fund Family
BlackRock offers a diverse lineup of open-end mutual funds crossing all investment styles and managed by experts in equity, fixed-income and tax-exempt investing. Visit blackrock.com for more information.
Call us at (800) 441-7762 from 8:00 AM to 6:00 PM ET on any business day to get information about your account balances, recent transactions and share prices. You can also visit blackrock.com for more information.
Automatic Investment Plans
Investor class shareholders who want to invest regularly can arrange to have $50 or more automatically deducted from their checking or savings account and invested in any of the BlackRock funds.
Systematic Withdrawal Plans
Investor class shareholders can establish a systematic withdrawal plan and receive periodic payments of $50 or more from their BlackRock funds, as long as their account balance is at least $10,000.
Shareholders may make investments in conjunction with Traditional, Rollover, Roth, Coverdell, Simple IRAs, SEP IRAs and 403(b) Plans.
862024 BlackRock Semi-Annual Financial Statements
Additional Information (continued)
Fund and/or MIP Service Providers
Investment Adviser
BlackRock Fund Advisors
San Francisco, CA 94105
BlackRock Advisors, LLC
Wilmington, DE 19809
Accounting Agent and Custodian
State Street Bank and Trust Company
Boston, MA 02114
BNY Mellon Investment Servicing (US) Inc.
Wilmington, DE 19809
Distributor
BlackRock Investments, LLC
New York, NY 10001
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Philadelphia, PA 19103
Sidley Austin LLP
New York, NY 10019
400 Howard Street
San Francisco, CA 94105
Disclosure of Investment Advisory Agreement
The Board of Trustees of Master Investment Portfolio (the “Master Portfolio”) met on April 16, 2024 (the “April Meeting”) and May 16-17, 2024 (the “May Meeting”) to consider the approval to continue the investment advisory agreement (the “Agreement”) between the Master Portfolio, on behalf of U.S. Total Bond Index Master Portfolio (the “Master Fund”) and BlackRock Fund Advisors (the “Manager” or “BlackRock”), the Master Portfolio’s investment advisor. iShares U.S. Aggregate Bond Index Fund (the “Feeder Fund”), a series of BlackRock Funds III (the “Feeder Trust”), is a “feeder” fund that invests all of its investable assets in the Master Fund. Accordingly, the Board of Trustees of the Feeder Trust also considered the approval of the Agreement with respect to the Master Fund. For simplicity: (a) the Board of Trustees of the Master Portfolio and the Board of Trustees of the Feeder Trust are referred to herein collectively as the “Board,” and the members are referred to as “Board Members”; (b) the shareholders of the Feeder Fund and the interest holders of the Master Fund are referred to as “shareholders”; and (c) the Master Fund and the Feeder Fund are referred to herein together as the “Fund”.
Consistent with the requirements of the Investment Company Act of 1940 (the “1940 Act”), the Board considers the continuation of the Agreement for the Master Portfolio on an annual basis. The Board members who are not “interested persons” of the Master Portfolio, as defined in the 1940 Act, are considered independent Board members (the “Independent Board Members”). The Board’s consideration entailed a year-long deliberative process during which the Board and its committees assessed BlackRock’s various services to the Master Portfolio, including through the review of written materials and oral presentations, and the review of additional information provided in response to requests from the Independent Board Members. The Board had four quarterly meetings per year, each of which extended over a two-day period, as well as additional ad hoc meetings throughout the year, as needed. The committees of the Board similarly met throughout the year. The Board also had an additional one-day meeting to consider specific information regarding the renewal of the Agreement. In considering the renewal of the Agreement, the Board assessed, among other things, the nature, extent and quality of the services provided to the Fund by BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management services; accounting oversight; administrative and shareholder services; oversight of the Fund’s service providers; risk management and oversight; and legal, regulatory and compliance services. Throughout the year, including during the contract renewal process, the Independent Board Members were advised by independent legal counsel, and met with independent legal counsel in various executive sessions outside of the presence of BlackRock’s management.
During the year, the Board, acting directly and through its committees, considers information that was relevant to its annual consideration of the renewal of the Agreement, including the services and support provided by BlackRock to the Master Fund, the Feeder Fund and their shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, and/or since inception periods, as applicable, against peer funds, relevant benchmarks, and other performance metrics, as applicable, as well as BlackRock senior management’s and portfolio managers’ investment performance analyses, and the reasons for any outperformance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Fund for services; (c) the Fund’s operating expenses and how BlackRock allocates expenses to the Fund; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Fund’s investment objective, policies and restrictions, and meeting regulatory requirements; (e) BlackRock’s and the Fund’s adherence to applicable compliance policies and procedures; (f) the nature, character and scope of non-investment management services provided by BlackRock and its affiliates and the estimated cost of such services, as applicable; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) execution quality of portfolio transactions; (j) BlackRock’s implementation of the Fund’s valuation and liquidity procedures; (k) an analysis of management fees paid to BlackRock for products with similar investment mandates across the open-end fund, exchange-traded fund (“ETF”), closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to the Fund; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.
Prior to and in preparation for the April Meeting, the Board requested and reviewed materials specifically relating to the renewal of the Agreement. The Independent Board Members continuously engaged in a process with their independent legal counsel and BlackRock to review the nature and scope of the information provided to the Board to better assist its deliberations. The materials provided in connection with the April Meeting included, among other things: (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), based on either a Lipper Classification or Morningstar category, regarding fees and expenses of the Fund, as applicable, as compared with a peer group of funds as determined by Broadridge (“Expense Peers”), and the investment performance of the Fund as compared with a peer group of funds (“Performance Peers”); (b) information on the composition of the Expense Peers and Performance Peers, and a description of Broadridge’s methodology; (c) information on the estimated profits realized by BlackRock and its affiliates pursuant to the Agreement and a discussion of fall-out benefits to BlackRock and its affiliates; (d) a general analysis provided by BlackRock concerning investment management fees received in connection with other types of investment products, such as institutional accounts, sub-advised mutual funds, ETFs, closed-end funds, open-end funds, and separately managed accounts, under similar investment mandates, as well as the performance of such other products, as applicable; (e) a review of non-management fees; (f) the existence, impact and sharing of potential economies of scale, if any, with the Fund; (g) a summary of aggregate amounts paid by the Fund to BlackRock; (h) sales and redemption data regarding the Feeder Fund’s shares; and (i) various additional information requested by the Board as appropriate regarding BlackRock’s, the Fund’s operations.
At the April Meeting, the Board reviewed materials relating to its consideration of the Agreement, and the Independent Board Members presented BlackRock with questions and requests for additional information. BlackRock responded to these questions and requests with additional written information in advance of the May Meeting, and such responses were reviewed by the Board Members.
At the May Meeting, the Board concluded its assessment of, among other things: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Fund as compared to its Performance Peers and to other metrics, as applicable; (c) the advisory fee and the estimated cost of the services and estimated profits realized by BlackRock and its affiliates from their relationship with the Fund; (d) the Fund’s fees and expenses compared to its Expense Peers; (e) the existence and sharing of potential economies of scale; (f) any fall-out benefits to BlackRock and its affiliates as a result of BlackRock’s relationship with the Fund; and (g) other factors deemed relevant by the Board Members.
882024 BlackRock Semi-Annual Financial Statements
Disclosure of Investment Advisory Agreement (continued)
The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, and BlackRock’s services related to the valuation and pricing of portfolio holdings of the Master Fund. The Board noted the willingness of BlackRock’s personnel to engage in open, candid discussions with the Board. The Board evaluated the information available to it on a fund-by-fund basis. The following paragraphs provide more information about some of the primary factors that were relevant to the Board’s decision. The Board Members did not identify any particular information, or any single factor as determinative, and each Board Member may have attributed different weights to the various items and factors considered.
A. Nature, Extent and Quality of the Services Provided by BlackRock
The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services, and the resulting performance of the Fund. Throughout the year, the Board compared the Fund’s performance to the performance of a comparable group of mutual funds, relevant benchmarks, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by the Fund’s portfolio management team discussing the Fund’s performance and the Fund’s investment strategies and outlook.
The Board considered, among other factors, with respect to BlackRock: the experience of the Fund’s portfolio management team; research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board also considered BlackRock’s overall risk management program, including the continued efforts of BlackRock and its affiliates to address cybersecurity risks and the role of BlackRock’s Risk & Quantitative Analysis Group. The Board engaged in a review of BlackRock’s compensation structure with respect to the Master Fund’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.
In addition to investment advisory services, the Board considered the nature and quality of the administrative and other non-investment advisory services provided to the Fund. BlackRock and its affiliates provide the Fund with certain administrative, shareholder and other services (in addition to any such services provided to the Fund by third parties) and officers and other personnel as are necessary for the operations of the Fund. In particular, BlackRock and its affiliates provide the Fund with administrative services including, among others: (i) responsibility for disclosure documents, such as the prospectus, the summary prospectus (as applicable), the statement of additional information and periodic shareholder reports; (ii) oversight of daily accounting and pricing; (iii) responsibility for periodic filings with regulators; (iv) overseeing and coordinating the activities of third party service providers including, among others, the custodian, fund accountant, transfer agent, and auditor for the Fund, as applicable; (v) organizing Board meetings and preparing the materials for such Board meetings; (vi) providing legal and compliance support; (vii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain open-end funds; and (viii) performing or managing administrative functions necessary for the operation of the Fund, such as tax reporting, expense management, fulfilling regulatory filing requirements, overseeing the Feeder Fund’s distribution partners, and shareholder call center and other services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations. The Board considered the operation of BlackRock’s business continuity plans.
B. The Investment Performance of the Fund
The Board, including the Independent Board Members, reviewed and considered the performance history of the Fund throughout the year and at the April Meeting. The Board noted that the Feeder Fund’s investment results correspond directly to the investment results of the Master Fund. In preparation for the April Meeting, the Board was provided with reports independently prepared by Broadridge, which included an analysis of the Fund’s performance as of December 31, 2023, as compared to its Performance Peers. Broadridge ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. In connection with its review, the Board received and reviewed information regarding the investment performance of the Fund as compared to its Performance Peers and the performance of the Fund as compared with its benchmark. The Board and its Performance Oversight Committee regularly review, and meet with Fund management to discuss, the performance of the Fund, throughout the year.
In evaluating performance, the Board focused particular attention on funds with less favorable performance records. The Board also noted that while it found the data provided by Broadridge generally useful, it recognized the limitations of such data, including in particular, that notable differences may exist between a fund and its Performance Peers (for example, the investment objectives and strategies). Further, the Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. The Board also acknowledged that long-term performance could be impacted by even one period of significant outperformance or underperformance and that a single investment theme could have the ability to disproportionately affect long-term performance.
The Board noted that for the one-year period reported, the Fund’s net performance was above the tolerance range of its benchmark. The Board noted that BlackRock believes that net performance relative to the benchmark is an appropriate performance metric for the Fund, and that BlackRock has explained its rationale for this belief to the Board. The Board and BlackRock reviewed the Fund’s above tolerance performance relative to its benchmark over the period.
C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services and Estimated Profits Realized by BlackRock and its Affiliates from their Relationship with the Fund
The Board, including the Independent Board Members, reviewed the Fund’s contractual management fee rate compared with those of the Fund’s Expense Peers. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared the Fund’s total expense ratio, as well as the Fund’s actual management fee rate, to those of the Fund’s Expense Peers. The total expense ratio represents a fund’s total net operating expenses, including any 12b-1 or non 12b-1 service fees. The total expense ratio gives effect to any expense reimbursements or fee waivers, and the actual management fee rate gives effect to any management fee reimbursements or waivers. The Board considered that the fee and expense information in the Broadridge report for the Fund reflected information for a specific period and that historical asset levels and expenses may differ from current levels, particularly in a period
Disclosure of Investment Advisory Agreement89
Disclosure of Investment Advisory Agreement (continued)
of market volatility. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).
The Board received and reviewed statements relating to BlackRock’s financial condition. The Board reviewed BlackRock’s profitability methodology and was also provided with an estimated profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Fund. The Board reviewed BlackRock’s estimated profitability with respect to the Fund and other funds the Board currently oversees for the year ended December 31, 2023 compared to available aggregate estimated profitability data provided for the prior two years. The Board reviewed BlackRock’s estimated profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the estimated profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at the individual fund level is difficult.
The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly traded asset management firms. The Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.
The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreement and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time and resources, assumption of risk, and liability profile in servicing the Fund, including in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable.
The Board noted that the Fund’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and the Fund’s total expense ratio each ranked in the first quartile relative to the Fund’s Expense Peers. The Board also noted that BlackRock and its affiliates have contractually agreed to reimburse or otherwise compensate the Fund for certain other fees and expenses.
The Board, including the Independent Board Members, considered the extent to which economies of scale might benefit the Fund in a variety of ways as the assets of the Fund increase. The Board considered multiple factors, including the advisory fee rate and breakpoints, unitary fee structure, fee waivers, and/or expense caps, as applicable. The Board considered the Fund’s asset levels and whether the current fee schedule was appropriate.
E. Other Factors Deemed Relevant by the Board Members
The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from BlackRock’s respective relationships with the Fund, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and its risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Fund, including for administrative, distribution, securities lending and cash management services. With respect to securities lending, during the year the Board also considered information provided by independent third-party consultants related to the performance of each BlackRock affiliate as securities lending agent. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that, subject to applicable law, BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.
In connection with its consideration of the Agreement, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.
The Board noted the competitive nature of the open-end fund marketplace, and that shareholders are able to redeem their Feeder Fund shares if they believe that the Fund’s fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
At the May Meeting, in a continuation of the discussions that occurred during the April Meeting, and as a culmination of the Board’s year-long deliberative process, the Board of the Master Portfolio, including the Independent Board Members, unanimously approved the continuation of the Agreement between the Manager and the Master Portfolio, on behalf of the Master Fund for a one-year term ending June 30, 2025. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board of the Master Portfolio, including the Independent Board Members, was satisfied that the terms of the Agreement were fair and reasonable and in the best interest of the Master Fund and its shareholders. The Board of the Feeder Trust, including the Independent Board Members, also considered the continuation of the Agreement with respect to the Master Fund and found the Agreement to be satisfactory. In arriving at its decision to approve the Agreement, the Board of the Master Portfolio 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 advised by independent legal counsel throughout the deliberative process.
902024 BlackRock Semi-Annual Financial Statements
Glossary of Terms Used in this Report
|
| Assured Guaranty Municipal Corp. |
| |
| |
| Build America Mutual Assurance Co. |
| Constant Maturity Treasury |
| Designated Activity Company |
| |
| |
| London Interbank Offered Rate |
| |
| National Public Finance Guarantee Corp. |
| |
| Real Estate Investment Trust |
| |
| Subject to Appropriations |
| Societe en Commandite par Actions |
| Secured Overnight Financing Rate |
| |
Glossary of Terms Used in This Report91
Want to know more?
blackrock.com | 800-441-7762
This report is intended for current holders. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Fund unless preceded or accompanied by the Fund’s current prospectus. Past performance results shown in this report should not be considered a representation of future performance. Investment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Statements and other information herein are as dated and are subject to change.
Item 8 – Changes in and Disagreements with Accountants for Open-End Management Investment Companies – See Item 7
Item 9 – Proxy Disclosures for Open-End Management Investment Companies – See Item 7
Item 10 – Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies – See
Item 7
Item 11 – Statement Regarding Basis for Approval of Investment Advisory Contract – See Item 7
Item 12 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not
Applicable
Item 13 – Portfolio Managers of Closed-End Management Investment Companies – Not Applicable
Item 14 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not
Applicable
Item 15 – Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.
Item 16 – 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
3
Act”)) are effective as of a date within 90 days of the filing date of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the registrants’ internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrants’ internal control over financial reporting.
Item 17 – Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable
Item 18 – Recovery of Erroneously Awarded Compensation – Not Applicable
Item 19 – Exhibits attached hereto
(a)(1) Code of Ethics – Not applicable to this semi-annual report
(a)(2) Any policy required by the listing standards adopted pursuant to Rule 10D-1 under the Exchange Act (17 CFR 240.10D-1) by the registered national securities exchange or registered national securities association upon which the registrant’s securities are listed – Not Applicable
(a)(3) Section 302 Certifications are attached
(a)(4) Any written solicitation to purchase securities under Rule 23c-1 – Not Applicable
(a)(5) Change in Registrant’s independent public accountant – Not Applicable
(b) Section 906 Certifications are attached
4
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrants have duly caused this report to be signed on their 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: August 22, 2024
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 the registrants 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: August 22, 2024
| | |
| By: | | /s/ Trent Walker |
| | Trent Walker |
| | Chief Financial Officer (principal financial officer) of |
| | BlackRock Funds III and Master Investment Portfolio |
Date: August 22, 2024
5
