UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSRS
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-21486
811-21538
Name of Fund: BlackRock Commodity Strategies Fund
Master Commodity Strategies LLC
Fund Address: P.O. Box 9011
Princeton, NJ 08543-9011
Name and address of agent for service: Robert C. Doll, Jr., Chief Executive
Officer, BlackRock Commodity Strategies Fund and Master Commodity
Strategies LLC, 800 Scudders Mill Road, Plainsboro, NJ, 08536. Mailing
address: P.O. Box 9011, Princeton, NJ, 08543-9011
Registrant's telephone number, including area code: (800) 441-7762
Date of fiscal year end: 11/30/07
Date of reporting period: 12/01/06 - 05/31/07
Item 1 - Report to Stockholders
ALTERNATIVES BLACKROCK SOLUTIONS EQUITIES FIXED INCOME LIQUIDITY
REAL ESTATE
BlackRock Commodity Strategies Fund
SEMI-ANNUAL REPORT
MAY 31, 2007 (UNAUDITED)
(BLACKROCK logo)
NOT FDIC INSURED
MAY LOSE VALUE
NO BANK GUARANTEE
This report is transmitted to shareholders only. It is not authorized for
use as an offer of sale or a solicitation of an offer to buy shares of the
Fund unless accompanied or preceded by the Fund's current prospectus. Past
performance results shown in this report should not be considered a
representation of future performance. Investment return 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.
BlackRock Commodity Strategies Fund
P.O. Box 9011
Princeton, NJ 08543-9011
(GO PAPERLESS... logo)
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To sign up today, go to www.blackrock.com/edelivery.
BlackRock Commodity Strategies Fund
Officers and Directors
Robert C. Doll, Jr., Fund President and Director
David O. Beim, Director
James T. Flynn, Director
W. Carl Kester, Director
Karen P. Robards, Director
Donald C. Burke, Vice President and Treasurer
Karen Clark, Fund Chief Compliance Officer
Alice A. Pellegrino, Secretary
Custodian
The Bank of New York
100 Church Street
New York, NY 10286
Transfer Agent
PFPC Inc.
Wilmington, DE 19809
BLACKROCK COMMODITY STRATEGIES FUND MAY 31, 2007
A Letter to Shareholders
Dear Shareholder
The 12 months from May 2006 to May 2007 took global equities on an
extraordinary ride. A sharp correction at the start, the first in almost four
years, gave way to strength in the latter half of 2006 and early 2007. This
rally was interrupted by another set-back at the end of February, before
markets resumed their upward march through May 31. Ultimately, the tailwinds
of a generally favorable global economic backdrop, tame inflation, relatively
low interest rates, still positive earnings growth and attractive valuations
prevailed over the headwinds of a weakening U.S. economy, slowing housing
market, escalating geopolitical concerns and high energy prices. In fact, both
the Dow Jones Industrial Average and the Standard & Poor's 500 Index touched
new record highs following the most recent correction.
Mixed economic signals led to volatile behavior in fixed income markets as
well. However, from the beginning of 2007 through May 31, short-term bond
yields generally fell while longer-term yields increased. This resulted in
some re-steepening of the yield curve, which had been flat to inverted
throughout 2006. On a year-over-year basis, yields on 30-year Treasury bonds
fell 20 basis points (.20%) and 10-year yields fell 22 basis points, while
bond prices correspondingly rose. Meanwhile, the Federal Reserve Board (the
Fed) has left the federal funds rate at 5.25% since first pausing in August
2006. While first-quarter gross domestic product growth of 0.6% represented
the slowest rate of expansion since 2002, the Fed reiterated its view that
inflation, not a slowing economy, remains its primary concern. Many observers
interpreted the Fed's reaction to mean that the economy has hit its low and is
bound for renewed strength, therefore reducing the likelihood of an interest
rate cut in the near future.
Against this backdrop, most major market indexes posted positive returns for
the annual and semi-annual reporting periods ended May 31, 2007, with equities
exhibiting particular strength:
Total Returns as of May 31, 2007 6-month 12-month
U.S. equities (Standard & Poor's 500 Index) +10.29% +22.79%
Small cap U.S. equities (Russell 2000 Index) + 8.39 +18.92
International equities (MSCI Europe, Australasia, Far East Index) +14.08 +26.84
Fixed income (Lehman Brothers Aggregate Bond Index) + 0.69 + 6.66
Tax-exempt fixed income (Lehman Brothers Municipal Bond Index) + 0.30 + 4.84
High yield bonds (Lehman Brothers U.S. Corporate High Yield 2% Issuer Cap Index) + 6.02 +12.64
We expect market volatility to linger throughout the remainder of 2007. As you
navigate the uncertainties, we encourage you to review your investment goals
with your financial professional and to make portfolio changes, as needed.
For more insight, we invite you to view "What's Ahead in 2007: An Investment
Perspective" and "Are You Prepared for Volatility?" at www.blackrock.com/funds.
We thank you for entrusting BlackRock with your investment assets, and we look
forward to continuing to serve you in the months and years ahead.
Sincerely,
(Robert C. Doll, Jr.)
Robert C. Doll, Jr.
Fund President and Director
THIS PAGE NOT PART OF YOUR FUND REPORT
BLACKROCK COMMODITY STRATEGIES FUND MAY 31, 2007
A Discussion With Your Fund's Portfolio Managers
Fund performance during the period reflected an early decline in commodity
prices, particularly oil and natural gas prices, which could not be overcome
by later gains.
What is the Fund's investment objective?
The Fund seeks positive long-term total return, primarily through investment
in commodity-linked derivative instruments and short-term debt obligations.
The commodity-linked derivative instruments in which the Fund may invest
include hybrid instruments, such as structured notes or commodity index-linked
notes, whose principal and/or interest payments are tied to the value of
commodities, commodity futures contracts or the performance of commodity
indexes. The debt obligations in which the Fund invests are primarily
investment grade, fixed or floating rate debt securities of any maturity.
How did the Fund perform during the period in light of the existing market
conditions?
For the six-month period ended May 31, 2007, BlackRock Commodity Strategies
Fund's (formerly BlackRock Real Investment Fund) Institutional, Investor A,
Investor B and Investor C Shares had net total returns of -2.59%, -2.71%,
- -3.01% and -3.05%, respectively. (Fund results shown do not reflect sales
charges and would be lower if sales charges were included. Complete performance
information can be found on pages 6 and 7 of this report to shareholders.) For
the same period, the Goldman Sachs Commodity Total Return Index returned
- -4.07%. As of March 30, 2007, the Fund's benchmark changed from the Goldman
Sachs Commodity Total Return Index to the Dow Jones-AIG Total Return Commodity
Index, which returned +1.07% for the six-month period. Importantly, the
indexes are used to illustrate the performance of the overall commodities
markets, but are not necessarily a comparable measure of the Fund's results.
The Fund is designed to tap into the performance of the commodities markets
and will generally track the markets' trends. However, it is a fixed income
investment and must fund the cost of gaining that commodity exposure through
the creation of commodity-linked notes. This inherent cost will necessarily
impact the Fund's results relative to the indexes.
Falling energy and commodity prices continued in the beginning of the
reporting period and contributed to the negative absolute performance of the
benchmarks and the Fund. The decline was led by the price of oil, which dipped
sharply and flirted with $50 per barrel in January before recovering to
roughly $64 per barrel by the end of the period. Natural gas prices started
close to $9 per British thermal unit (Btu) and also fell precipitously through
January, but recovered in concert with oil to end the period just shy of $8
per Btu. The early decline in energy prices was attributable to a mild start
to the winter heating season, a slowing U.S. economy and high inventory
levels. The recovery in oil prices that began in February was due to such
domestic factors as the return of normal winter temperatures and anticipation
of another gasoline-intensive summer season, as well as international issues
like the tensions surrounding the nuclear ambitions of oil-rich Iran.
Meanwhile, the metals markets exhibited a similar pattern of early decline
followed by an upswing starting in February. While silver was down to $13.47
per ounce at period-end versus $13.93 at the start, gold gained ground, moving
from $648 per ounce to $661 per ounce. Copper prices were down from roughly
$7,030 per ton six months ago to $6,787 per ton at period-end. The rise in
metals prices in the latter part of the period was attributable to a resumption
of Chinese growth and subsequent resource consumption, as well as supply-side
pressure in the form of threatened mine strikes in both Peru and Indonesia.
Because we use credit-sensitive debt securities to provide yield enhancement
for the portfolio, Fund returns also are influenced by the performance of the
credit markets. During the six-month reporting period, there was considerable
turmoil in the subprime mortgage market as loan defaults followed interest
rates higher. While the credit portion of the portfolio focused primarily on
asset-backed securities, including a significant position in home equity
product, our preference for higher-quality credits kept the Fund largely
insulated from the subprime woes.
What changes were made to the portfolio during the period?
As mentioned earlier, the Fund's benchmark changed from the Goldman Sachs
Commodity Total Return Index to the Dow Jones-AIG Total Return Commodity
Index. The overall Fund strategy remained the same as we sought to maintain
33% of total assets invested in leveraged commodity-linked notes, providing
100% commodity exposure to shareholders. The remaining 67% of net assets was
invested in our enhanced cash strategy designed to outpace the London
InterBank Offered Rate.
BLACKROCK COMMODITY STRATEGIES FUND MAY 31, 2007
Following the benchmark change, we implemented a new enhanced commodity
strategy in which 50% of the Fund's commodity exposure is invested in the
eight commodities in the Index (excluding gold and silver) that exhibit the
highest basis (that is, the difference between spot and futures prices). The
remaining 50% of the commodity exposure is invested in the nine commodities
within the Index that exhibit the highest price momentum (based on 12-month
returns). In order to maintain the stated commodity exposure, the portfolio is
rebalanced monthly based on the most recent rolling 12-month Index data.
The most notable activity in the portfolio during the six-month period was the
roll out of the new commodity strategy. In order to achieve the desired
exposure to the new benchmark, the Dow Jones-AIG Total Return Commodity Index,
we sold all of the existing commodity-linked notes from the portfolio and
purchased new notes that were structured to pay returns based on the new
benchmark. We also continued to fund the cost of acquiring the commodity-
linked exposure with income generated from low-duration fixed income
investments, such as agency debt, structured finance securities and other
corporate and mortgage products.
How would you characterize the Fund's position at the close of the period?
At period-end, the Fund's fixed income exposure stood at approximately 67% of
overall assets, broken down as follows: 14% in floating rate home equity
loans; 23% in collateralized mortgage obligations; 9% in investment grade
corporate bonds and 21% in 30-year generic pass-through securities. The Fund
ended the period with a credit profile of AA+.
The recovery in energy and commodity prices in recent months seems to confirm
that the earlier setbacks were short-term movements and commodities will be
long-term benefactors of global economic expansion. While volatility is likely
to continue in all markets for some time, commodities tend to perform opposite
of traditional asset classes and, therefore, provide diversification that is
essential under such economic conditions. Given its unique structure, the Fund
also offers shareholders access to securities that are not available to
individual investors on the open market.
Stuart Spodek
Co-Portfolio Manager
Brian Weinstein
Co-Portfolio Manager
June 8, 2007
BLACKROCK COMMODITY STRATEGIES FUND MAY 31, 2007
Performance Data
About Fund Performance
Effective October 2, 2006, the Fund's Class A, Class B, Class C and Class I
Shares were redesignated Investor A, Investor B, Investor C and Institutional
Shares, respectively. As previously communicated to shareholders, new sales
charge schedules came into effect at the same time for certain of these
classes.
The Fund has multiple classes of shares:
* Institutional Shares are not subject to any sales charge. Institutional
Shares bear no ongoing distribution or service fees and are available only to
eligible investors.
* Investor A Shares incur a maximum initial sales charge (front-end load) of
5.25% and a service fee of 0.25% per year (but no distribution fee).
* Investor B Shares are subject to a maximum contingent deferred sales charge
of 4.50% declining to 0% after six years. In addition, Investor B Shares are
subject to a distribution fee of 0.75% per year and a service fee of 0.25% per
year. These shares automatically convert to Investor A Shares after
approximately eight years. (There is no initial sales charge for automatic
share conversions.) All returns for periods greater than eight years reflect
this conversion.
* Investor C Shares are subject to a distribution fee of 0.75% per year and a
service fee of 0.25% per year. In addition, Investor C Shares are subject to a
1% contingent deferred sales charge if redeemed within one year of purchase.
Performance information reflects past performance and does not guarantee
future results. Current performance may be lower or higher than the
performance data quoted. Refer to www.blackrock.com to obtain performance data
current to the most recent month-end. Performance results do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the
redemption of fund shares. Figures shown in each of the following tables
assume reinvestment of all dividends and capital gain distributions, if any,
at net asset value on the ex-dividend date. Investment return and principal
value of shares will fluctuate so that shares, when redeemed, may be worth
more or less than their original cost. Dividends paid to each class of shares
will vary because of the different levels of service, distribution and
transfer agency fees applicable to each class, which are deducted from the
income available to be paid to shareholders. The Fund's Manager has
voluntarily waived a portion of its fee. Without such waiver, the Fund's
returns would have been lower.
Recent Performance Results
6-Month 12-Month Since Inception
As of May 31, 2007 Total Return Total Return Total Return
Institutional Shares* -2.59% -14.59% +13.57%
Investor A Shares* -2.71 -14.80 +12.70
Investor B Shares* -3.01 -15.35 +10.54
Investor C Shares* -3.05 -15.40 +10.49
Dow Jones--AIG Total Return Commodity Index** +1.07 + 2.78 +30.57
Goldman Sachs Commodity Total Return Index*** -4.07 -15.71 +19.11
* Investment results shown do not reflect sales charges; results shown would be lower if a sales charge
was included. Cumulative total investment returns are based on changes in net asset values for the
periods shown, and assume reinvestment of all dividends and capital gains distributions at net asset
value on the ex-dividend date. The Fund commenced operations on 3/26/04.
** This unmanaged Index is a widely recognized index composed of futures contracts on 19 physical
commodities, and is designed to be a highly liquid and diversified benchmark for commodities as an
asset class. Since inception total returns are from 3/26/04.
*** This unmanaged Index is calculated primarily on a world production-weighted basis and comprises
the principal physical commodities that are the subject of active, liquid futures markets. Since
inception total returns are from 3/26/04.
BLACKROCK COMMODITY STRATEGIES FUND MAY 31, 2007
Performance Data (concluded)
Total Return Based on a $10,000 Investment
A line graph illustrating the growth of a $10,000 investment in Institutional
Shares*++, Investor A Shares*++, Investor B Shares*++ and Investor C
Shares*++, compared to a similar investment in Dow Jones-AIG Total Return
Commodity Index++++ and Goldman Sachs Commodity Total Return Index++++++.
Values illustrated are as follows:
Institutional Shares*++
Date Value
3/26/2004** $10,000.00
May 2004 $10,620.00
May 2005 $11,384.00
May 2006 $13,297.00
May 2007 $11,357.00
Investor A Shares*++
Date Value
3/26/2004** $ 9,475.00
May 2004 $10,062.00
May 2005 $10,762.00
May 2006 $12,534.00
May 2007 $10,679.00
Investor B Shares*++
Date Value
3/26/2004** $10,000.00
May 2004 $10,620.00
May 2005 $11,303.00
May 2006 $13,058.00
May 2007 $10,783.00
Investor C Shares*++
Date Value
3/26/2004** $10,000.00
May 2004 $10,620.00
May 2005 $11,298.00
May 2006 $13,060.00
May 2007 $11,049.00
Dow Jones-AIG Total Return Commodity Index++++
Date Value
3/26/2004** $10,000.00
May 2004 $10,177.00
May 2005 $10,415.00
May 2006 $12,704.00
May 2007 $13,057.00
Goldman Sachs Commodity Total Return Index++++++
Date Value
3/26/2004** $10,000.00
May 2004 $10,910.00
May 2005 $11,913.00
May 2006 $14,131.00
May 2007 $11,911.00
* Assuming maximum sales charge, if any, transaction costs and other
operating expenses, including administration fees.
** Commencement of operations.
++ The Fund invests all of its assets in Master Commodity Strategies LLC.
The LLC invests primarily in commodity-linked derivative instruments,
and U.S. Government securities and other debt obligations.
++++ This unmanaged Index is a widely recognized index composed of futures
contracts on 19 physical commodities, and is designed to be a highly
liquid and diversified benchmark for commodities as an asset class.
++++++ This unmanaged Index is calculated primarily on a world production-
weighted basis and comprises the principal physical commodities that
are the subject of active, liquid futures markets.
Past performance is not indicative of future results.
Average Annual Total Return
Return Without
Sales Charge
Institutional Shares
One Year Ended 5/31/07 -14.59%
Inception (3/26/04)
through 5/31/07 + 4.08
Return Without Return With
Sales Charge Sales Charge*
Investor A Shares
One Year Ended 5/31/07 -14.80% -19.28%
Inception (3/26/04)
through 5/31/07 + 3.83 + 2.09
Return Return
Without CDSC With CDSC++++++
Investor B Shares++
One Year Ended 5/31/07 -15.35% -18.99%
Inception (3/26/04)
through 5/31/07 + 3.20 + 2.40
Return Return
Without CDSC With CDSC++++++
Investor C Shares++++
One Year Ended 5/31/07 -15.40% -16.21%
Inception (3/26/04)
through 5/31/07 + 3.19 + 3.19
* Assuming maximum sales charge of 5.25%.
++ Maximum contingent deferred sales charge is 4.50% and is
reduced to 0% after six years.
++++ Maximum contingent deferred sales charge is 1% and is reduced
to 0% after one year.
++++++ Assuming payment of applicable contingent deferred sales
charge.
BLACKROCK COMMODITY STRATEGIES FUND MAY 31, 2007
Disclosure of Expenses
Shareholders of this Fund may incur the following charges: (a) expenses
related to transactions, including sales charges, redemption fees and exchange
fees; and (b) operating expenses including advisory fees, distribution fees
including 12b-1 fees, and other Fund expenses. The following example (which is
based on a hypothetical investment of $1,000 invested on December 1, 2006 and
held through May 31, 2007) is intended to assist shareholders both in
calculating expenses based on an investment in the Fund and in comparing these
expenses with similar costs of investing in other mutual funds.
The first table below provides information about actual account values and
actual expenses. In order to estimate the expenses a shareholder paid during
the period covered by this report, shareholders can divide their account value
by $1,000 and then multiply the result by the number in the first line under
the heading entitled "Expenses Paid During the Period."
The second table below provides information about hypothetical account values
and hypothetical expenses based on the Fund's actual expense ratio and an
assumed rate of return of 5% per year before expenses. In order to assist
shareholders in comparing the ongoing expenses of investing in this Fund and
other funds, compare the 5% hypothetical example with the 5% hypothetical
examples that appear in other funds' shareholder reports.
The expenses shown in the table are intended to highlight shareholders'
ongoing costs only and do not reflect any transactional expenses, such as
sales charges, redemption fees or exchange fees. Therefore, the second table
is useful in comparing ongoing expenses only, and will not help shareholders
determine the relative total expenses of owning different funds. If these
transactional expenses were included, shareholder expenses would have been
higher.
Expenses Paid
Beginning Ending During the Period*
Account Value Account Value December 1, 2006
December 1, May 31, to May 31,
2006 2007 2007
Actual
Institutional $1,000 $ 974.10 $ 6.55
Investor A $1,000 $ 972.90 $ 7.77
Investor B $1,000 $ 968.80 $11.58
Investor C $1,000 $ 969.50 $11.59
Hypothetical (5% annual return before expenses)**
Institutional $1,000 $1,018.27 $ 6.69
Investor A $1,000 $1,017.02 $ 7.95
Investor B $1,000 $1,013.23 $11.75
Investor C $1,000 $1,013.23 $11.75
* For each class of the Fund, expenses are equal to the annualized expense ratio for the class
(1.33% for Institutional, 1.58% for Investor A, 2.34% for Investor B and 2.34% for Investor C),
multiplied by 182/365 (to reflect the one-half year period shown). Because the Fund is a feeder
fund, the expense table example reflects the expenses of both the feeder fund and the master LLC
in which it invests.
** Hypothetical 5% annual return before expenses is calculated by pro-rating the number of days in
the most recent fiscal half-year divided by 365.
BLACKROCK COMMODITY STRATEGIES FUND MAY 31, 2007
Statement of Assets and Liabilities BlackRock Commodity Strategies Fund
As of May 31, 2007 (Unaudited)
Assets
Investment in Master Commodity Strategies LLC (the "Master LLC"), at value
(identified cost--$55,431,479) $ 56,954,643
Receivable from administrator 2,643
Prepaid expenses and other assets 7,580
---------------
Total assets 56,964,866
---------------
Liabilities
Payables:
Distributor 32,474
Other affiliates 18,546
---------------
Total liabilities 51,020
---------------
Net Assets
Net assets $ 56,913,846
===============
Net Assets Consist of
Institutional Shares of beneficial interest, $.01 par value, unlimited number of
shares authorized $ 14,306
Investor A Shares of beneficial interest, $.01 par value, unlimited number of
shares authorized 10,007
Investor B Shares of beneficial interest, $.01 par value, unlimited number of
shares authorized 7,557
Investor C Shares of beneficial interest, $.01 par value, unlimited number of
shares authorized 31,390
Paid-in capital in excess of par 71,072,743
Undistributed investment income--net $ 634,356
Accumulated capital losses allocated from the Master LLC--net (16,379,677)
Unrealized appreciation allocated from the Master LLC--net 1,523,164
---------------
Total accumulated losses--net (14,222,157)
---------------
Net Assets $ 56,913,846
===============
Net Asset Value
Institutional--Based on net assets of $12,863,349 and 1,430,644 shares of beneficial
interest outstanding $ 8.99
===============
Investor A--Based on net assets of $8,990,050 and 1,000,655 shares of beneficial
interest outstanding $ 8.98
===============
Investor B--Based on net assets of $6,813,392 and 755,731 shares of beneficial
interest outstanding $ 9.02
===============
Investor C--Based on net assets of $28,247,055 and 3,139,026 shares of beneficial
interest outstanding $ 9.00
===============
See Notes to Financial Statements.
BLACKROCK COMMODITY STRATEGIES FUND MAY 31, 2007
Statement of Operations BlackRock Commodity Strategies Fund
For the Six Months Ended May 31, 2007 (Unaudited)
Investment Income
Net investment income allocated from the Master LLC:
Interest $ 1,499,680
Expenses (242,366)
---------------
Total income 1,257,314
---------------
Expenses
Administration fees $ 151,571
Service and distribution fees--Investor C 150,225
Printing and shareholder reports 39,465
Service and distribution fees--Investor B 35,912
Registration fees 32,626
Professional fees 27,196
Transfer agent fees--Investor C 19,734
Service fees--Investor A 12,713
Transfer agent fees--Institutional 8,558
Transfer agent fees--Investor A 5,433
Transfer agent fees--Investor B 4,839
Other 7,941
---------------
Total expenses before waiver 496,213
Waiver of expenses (136,366)
---------------
Total expenses after waiver 359,847
---------------
Investment income--net 897,467
---------------
Realized & Unrealized Gain (Loss) Allocated from the Master LLC--Net
Realized loss on investments, financial futures contracts, swaps and options
written--net (7,051,997)
Change in unrealized appreciation/depreciation on investments, financial futures
contracts, swaps and options written--net 3,187,679
---------------
Total realized and unrealized loss--net (3,864,318)
---------------
Net Decrease in Net Assets Resulting from Operations $ (2,966,851)
===============
See Notes to Financial Statements.
BLACKROCK COMMODITY STRATEGIES FUND MAY 31, 2007
Statements of Changes in Net Assets BlackRock Commodity Strategies Fund
For the Six For the
Months Ended Year Ended
May 31, 2007 November 30,
Increase (Decrease) in Net Assets: (Unaudited) 2006
Operations
Investment income--net $ 897,467 $ 2,004,188
Realized loss--net (7,051,997) (7,484,576)
Change in unrealized appreciation/depreciation--net 3,187,679 (1,542,807)
--------------- ---------------
Net decrease in net assets resulting from operations (2,966,851) (7,023,195)
--------------- ---------------
Dividends & Distributions to Shareholders
Investment income--net:
Institutional (942,300) (3,384,545)
Investor A (682,175) (1,944,127)
Investor B (349,737) (1,680,740)
Investor C (1,525,797) (6,489,922)
Realized gain--net:
Institutional -- (14,322)
Investor A -- (8,348)
Investor B -- (7,565)
Investor C -- (29,112)
--------------- ---------------
Net decrease in net assets resulting from dividends and distributions to shareholders (3,500,009) (13,558,681)
--------------- ---------------
Beneficial Interest Transactions
Net increase (decrease) in net assets derived from beneficial interest transactions (13,171,838) 6,640,243
--------------- ---------------
Net Assets
Total decrease in net assets (19,638,698) (13,941,633)
Beginning of period 76,552,544 90,494,177
--------------- ---------------
End of period* $ 56,913,846 $ 76,552,544
=============== ===============
* Undistributed investment income--net $ 634,356 $ 3,236,898
=============== ===============
See Notes to Financial Statements.
BLACKROCK COMMODITY STRATEGIES FUND MAY 31, 2007
Financial Highlights BlackRock Commodity Strategies Fund
Institutional Investor A
For the For the
For the Period For the Period
The following per share data Six Months For the March 26, Six Months For the March 26,
and ratios have been derived Ended Year Ended 2004++ to Ended Year Ended 2004++ to
from information provided in May 31, 2007 November 30, November 30, May 31,2007 November 30, November 30,
the financial statements. (Unaudited) 2006 2005 2004 (Unaudited) 2006 2005 2004
Per Share Operating Performance
Net asset value, beginning of period $ 9.82 $ 12.38 $ 11.58 $ 10.00 $ 9.79 $ 12.35 $ 11.57 $ 10.00
-------------------------------------------- --------------------------------------------
Investment income--net .15++++ .31++++ .22 .02 .15++++ .28++++ .18 .01
Realized and unrealized gain
(loss)--net (.42) (.97) .66 1.56 (.43) (.97) .67 1.56
-------------------------------------------- --------------------------------------------
Total from investment operations (.27) (.66) .88 1.58 (.28) (.69) .85 1.57
-------------------------------------------- --------------------------------------------
Less dividends and distributions:
Investment income--net (.56) (1.89) (.08) -- (.53) (1.86) (.07) --
Realized gain--net -- (.01) -- -- -- (.01) -- --
-------------------------------------------- --------------------------------------------
Total dividends and distributions (.56) (1.90) (.08) -- (.53) (1.87) (.07) --
-------------------------------------------- --------------------------------------------
Net asset value, end of period $ 8.99 $ 9.82 $ 12.38 $ 11.58 $ 8.98 $ 9.79 $ 12.35 $ 11.57
============================================ ============================================
Total Investment Return**
Based on net asset value per share (2.59%)+++ (6.52%) 7.70% 15.80%+++ (2.71%)+++ (6.77%) 7.39% 15.70%+++
============================================ ============================================
Ratios to Average Net Assets***
Expenses, net of waiver and
reimbursement 1.33%* 1.32% 1.32% 1.27%* 1.58%* 1.57% 1.57% 1.42%*
============================================ ============================================
Expenses 1.78%* 1.80% 2.12% 2.36%* 2.01%* 2.04% 2.37% 2.61%*
============================================ ============================================
Investment income--net 3.62%* 2.86% 1.79% .35%* 3.37%* 2.62% 1.51% .19%*
============================================ ============================================
Supplemental Data
Net assets, end of period
(in thousands) $ 12,863 $ 17,666 $ 21,808 $ 13,643 $ 8,990 $ 12,995 $ 12,860 $ 10,867
============================================ ============================================
Portfolio turnover of the Master LLC 156.50% 66.90% 50.00% 19.40% 156.50% 66.90% 50.00% 19.40%
============================================ ============================================
* Annualized.
** Total investment returns exclude the effects of sales charges.
*** Includes the Fund's share of the Master LLC's allocated expenses and/or
investment income--net.
++ Commencement of operations.
++++ Based on average shares outstanding.
+++ Aggregate total investment return.
See Notes to Financial Statements.
BLACKROCK COMMODITY STRATEGIES FUND MAY 31, 2007
Financial Highlights (concluded) BlackRock Commodity Strategies Fund
Investor B Investor C
For the For the
For the Period For the Period
The following per share data Six Months For the March 26, Six Months For the March 26,
and ratios have been derived Ended Year Ended 2004++ to Ended Year Ended 2004++ to
from information provided in May 31, 2007 November 30, November 30, May 31,2007 November 30, November 30,
the financial statements. (Unaudited) 2006 2005 2004 (Unaudited) 2006 2005 2004
Per Share Operating Performance
Net asset value, beginning of period $ 9.74 $ 12.29 $ 11.55 $ 10.00 $ 9.73 $ 12.29 $ 11.55 $ 10.00
-------------------------------------------- --------------------------------------------
Investment income (loss)--net .11++++ .20++++ .09 --++++++ .11++++ .20++++ .09 --++++++
Realized and unrealized gain
(loss)--net (.42) (.96) .67 1.55 (.42) (.97) .68 1.55
-------------------------------------------- --------------------------------------------
Total from investment operations (.31) (.76) .76 1.55 (.31) (.77) .77 1.55
-------------------------------------------- --------------------------------------------
Less dividends and distributions:
Investment income--net (.41) (1.78) (.02) -- (.42) (1.78) (.03) --
Realized gain--net -- (.01) -- -- -- (.01) -- --
-------------------------------------------- --------------------------------------------
Total dividends and distributions (.41) (1.79) (.02) -- (.42) (1.79) (.03) --
-------------------------------------------- --------------------------------------------
Net asset value, end of period $ 9.02 $ 9.74 $ 12.29 $ 11.55 $ 9.00 $ 9.73 $ 12.29 $ 11.55
============================================ ============================================
Total Investment Return**
Based on net asset value per share (3.01%)+++ (7.46%) 6.63% 15.50%+++ (3.05%)+++ (7.50%) 6.67% 15.50%+++
============================================ ============================================
Ratios to Average Net Assets***
Expenses, net of waiver and
reimbursement 2.34%* 2.34% 2.34% 1.65%* 2.34%* 2.34% 2.34% 1.67%*
============================================ ============================================
Expenses 2.79%* 2.83% 3.14% 3.37%* 2.79%* 2.82% 3.14% 3.37%*
============================================ ============================================
Investment income (loss)--net 2.61%* 1.83% .73% (.03%)* 2.61%* 1.83% .75% (.03%)*
============================================ ============================================
Supplemental Data
Net assets, end of period
(in thousands) $ 6,813 $ 8,660 $ 11,534 $ 10,663 $ 28,247 $ 37,232 $ 44,292 $ 34,403
============================================ ============================================
Portfolio turnover of the Master LLC 156.50% 66.90% 50.00% 19.40% 156.50% 66.90% 50.00% 19.40%
============================================ ============================================
* Annualized.
** Total investment returns exclude the effects of sales charges.
*** Includes the Fund's share of the Master LLC's allocated expenses and/or
investment income (loss)--net.
++ Commencement of operations.
++++ Based on average shares outstanding.
++++++ Amount is less than $(.01) per share.
+++ Aggregate total investment return.
See Notes to Financial Statements.
BLACKROCK COMMODITY STRATEGIES FUND MAY 31, 2007
Notes to Financial Statements (Unaudited) BlackRock Commodity Strategies Fund
1. Significant Accounting Policies:
On March 26, 2007, BlackRock Real Investment Fund was renamed BlackRock
Commodity Strategies Fund (the "Fund"). The Fund is registered under the
Investment Company Act of 1940, as amended, as a non-diversified, open-end
investment company. The Fund seeks to achieve its investment objective by
investing all of its assets in Master Real Investment Trust, which was renamed
Master Commodity Strategies Trust (the "Trust"), which has the same investment
objective and strategies as the Fund. Effective June 15, 2007, the Trust was
converted to a Delaware limited liability company and in accordance to the
Limited Liability Company Agreement was renamed Master Commodity Strategies
LLC (the "Master LLC"). The value of the Fund's investment in the Master LLC
reflects the Fund's proportionate interest in the net assets of the Master
LLC. The performance of the Fund is directly affected by the performance of
the Master LLC. The financial statements of the Master LLC, 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's financial
statements are prepared in conformity with U.S. generally accepted accounting
principles, which may require the use of management accruals and estimates.
Actual results may differ from these estimates. These unaudited financial
statements reflect all adjustments, which are, in the opinion of management,
necessary to present a fair statement of the results of the interim period.
All such adjustments are of a normal, recurring nature. The percentage of the
Master LLC owned by the Fund at May 31, 2007 was 87.8%. The Fund offers
multiple classes of shares. Institutional Shares are sold only to certain
eligible investors. Investor A Shares are sold with a front-end sales charge.
Shares of Investor B and Investor C may be subject to a contingent deferred
sales charge. All classes of shares have identical voting, dividend,
liquidation and other rights and the same terms and conditions, except that
Investor A, Investor B and Investor C Shares bear certain expenses related to
the shareholder servicing of such shares, and Investor B and Investor C Shares
also bear certain expenses related to the distribution of such shares. Each
class has exclusive voting rights with respect to matters relating to its
shareholder servicing and distribution expenditures (except that Investor B
shareholders may vote on certain changes to the Investor A distribution plan).
Income, expenses (other than expenses attributable to a specific class) and
realized and unrealized gains and losses are allocated daily to each class
based on its relative net assets. The following is a summary of significant
accounting policies followed by the Fund.
(a) Valuation of investments--The Fund records its investment in the Master
LLC at fair value. Valuation of securities held by the Master LLC is discussed
in Note 1(a) of the Master LLC's Notes to Financial Statements, which are
included elsewhere in this report.
(b) Investment income and expenses--The Fund records daily its proportionate
share of the Master LLC's income, expenses and realized and unrealized gains
and losses. In addition, the Fund accrues its own expenses.
(c) Income taxes--It is the Fund's policy to comply with the requirements of
the Internal Revenue Code applicable to regulated investment companies and to
distribute substantially all of its taxable income to its shareholders.
Therefore, no federal income tax provision is required.
(d) Prepaid registration fees--Prepaid registration fees are charged to
expense as the related shares are issued.
(e) Dividends and distributions--Dividends and distributions paid by the Fund
are recorded on the ex-dividend dates.
(f) Investment transactions--Investment transactions in the Master LLC are
accounted for on a trade-date basis.
(g) Recent accounting pronouncements--In July 2006, the Financial Accounting
Standards Board released FASB Interpretation No. 48 ("FIN 48"), "Accounting
for Uncertainty in Income Taxes". FIN 48 provides guidance for how uncertain
tax positions should be recognized, measured, presented and disclosed in
financial statements. FIN 48 requires the evaluation of tax positions taken in
the course of preparing the Fund's tax returns to determine whether the tax
positions are "more-likely-than-not" of being sustained by the applicable tax
authority. Tax benefits of positions not deemed to meet the more-likely-than-
not threshold would be booked as a tax expense in the current year and
recognized as: a liability for unrecognized tax benefits; a reduction of an
income tax refund receivable; a reduction of deferred tax asset; an increase
in deferred tax liability; or a combination thereof. Adoption of FIN 48 is
required for the last net asset value calculation in the first required
financial statement reporting period for fiscal years beginning after December
15, 2006. The impact on the Fund's financial statements, if any, is currently
being assessed.
BLACKROCK COMMODITY STRATEGIES FUND MAY 31, 2007
Notes to Financial Statements (continued) BlackRock Commodity Strategies Fund
In September 2006, Statement of Financial Accounting Standards No. 157, "Fair
Value Measurements" ("FAS 157"), was issued and is effective for fiscal years
beginning after November 15, 2007. FAS 157 defines fair value, establishes a
framework for measuring fair value and expands disclosures about fair value
measurements. At this time, management is evaluating the implications of FAS
157 and its impact on the Fund's financial statements, if any, has not been
determined.
In addition, in February 2007, FASB issued Statement of Financial Accounting
Standards No. 159, "The Fair Value Option for Financial Assets and Financial
Liabilities" ("FAS 159"), which is effective for fiscal years beginning after
November 15, 2007. Early adoption is permitted as of the beginning of a fiscal
year that begins on or before November 15, 2007, provided the entity also
elects to apply the provisions of FAS 157. FAS 159 permits entities to choose
to measure many financial instruments and certain other items at fair value
that are not currently required to be measured at fair value. FAS 159 also
establishes presentation and disclosure requirements designed to facilitate
comparisons between entities that choose different measurement attributes for
similar types of assets and liabilities. At this time, management is
evaluating the implications of FAS 159 and its impact on the Fund's financial
statements, if any, has not been determined.
2. Transactions with Affiliates:
The Fund has entered into an Administrative Agreement with BlackRock Advisors,
LLC (the "Administrator"), an indirect, wholly owned subsidiary of BlackRock,
Inc. The Fund pays a monthly fee at an annual rate of 0.50% of the Fund's
average net assets for the performance of administrative services (other than
investment advice and related portfolio activities) necessary for the
operation of the Fund. The Fund has entered into separate Distribution
Agreements and Distribution Plans with FAM Distributors, Inc. ("FAMD") and
BlackRock Distributors, Inc. and its affiliates ("BDI") (collectively, the
"Distributor"). FAMD is a wholly owned subsidiary of Merrill Lynch Group,
Inc., and BDI is an affiliate of BlackRock, Inc. Merrill Lynch & Co.,
Inc.("Merrill Lynch") and The PNC Financial Services Group, Inc. ("PNC") are
the principal owners of BlackRock, Inc.
In addition, the Administrator has agreed to voluntarily waive the
administration fees and/or reimburse expenses in order to cap total expenses
(excluding distribution fees and/or shareholder servicing fees) at 1.33%. For
the six months ended May 31, 2007, the Administrator earned fees of $151,571,
of which $129,259 was waived.
Pursuant to the Distribution Plans adopted by the Fund in accordance with Rule
12b-1 under the Investment Company Act of 1940, the Fund pays the Distributor
on-going service and distribution fees. The fees are accrued daily and paid
monthly at annual rates based upon the average daily net assets of the shares
as follows:
Service Distribution
Fee Fee
Investor A .25% --
Investor B .25% .75%
Investor C .25% .75%
Pursuant to sub-agreements with each Distributor, broker dealers, including
Merrill Lynch, Pierce, Fenner & Smith Incorporated ("MLPF&S"), a wholly owned
subsidiary of Merrill Lynch and the Distributor, provide shareholder servicing
and distribution services to the Fund. The ongoing service fee compensates the
Distributors and each broker dealer (including MLPF&S) for providing
shareholder servicing to Investor A, Investor B and Investor C shareholders.
The ongoing distribution fee compensates each Distributor and MLPF&S for
providing shareholder and distribution-related services to Investor B and
Investor C shareholders.
For the six months ended May 31, 2007, FAMD earned underwriting discounts and
direct commissions and MLPF&S earned dealer concessions on sales of the Fund's
Investor A Shares as follows:
FAMD MLPF&S
Investor A $612 $8,252
BLACKROCK COMMODITY STRATEGIES FUND MAY 31, 2007
Notes to Financial Statements (continued) BlackRock Commodity Strategies Fund
For the six months ended May 31, 2007, MLPF&S received contingent deferred
sales charges of $15,991 and $13,764 relating to transactions in Investor B
and Investor C Shares, respectively. Furthermore, BDI received contingent
deferred sales charges of $65 relating to transactions in Investor C Shares.
The Administrator maintains a call center, which is responsible for providing
certain shareholder services to the Fund, such as responding to shareholder
inquiries and processing transactions based upon instructions from
shareholders with respect to the subscription and redemption of fund shares.
During the six months ended May 31, 2007, the following amounts have been
accrued by the Fund to reimburse the Administrator for costs incurred in
running the call center, which are a component of the transfer agent fees in
the accompanying Statements of Operations.
Call Center
Fees
Institutional $107
Investor A $366
Investor B $104
Investor C $388
PFPC Inc., an indirect, wholly owned subsidiary of PNC and an
affiliate of the Administrator, is the Fund's transfer agent.
Certain officers and/or directors of the Fund are officers and/or
directors of BlackRock, Inc. or its affiliates.
3. Beneficial Interest Transactions:
Net increase (decrease) in net assets derived from beneficial interest
transactions were $(13,171,838) and $6,640,243 for the six months
ended May 31, 2007 and the year ended November 30, 2006, respectively.
Transactions in beneficial interest for each class were as follows:
Institutional Shares for
the Six Months Ended Dollar
May 31, 2007 Shares Amount
Shares sold 286,254 $ 2,434,944
Shares issued to shareholders in
reinvestment of dividends 88,584 769,824
--------------- ---------------
Total issued 374,838 3,204,768
Shares redeemed (743,938) (6,366,530)
--------------- ---------------
Net decrease (369,100) $ (3,161,762)
=============== ===============
Institutional Shares for the Year Dollar
Ended November 30, 2006 Shares Amount
Shares sold 1,150,740 $ 12,392,997
Shares issued to shareholders in
reinvestment of dividends and
distributions 226,083 2,403,265
--------------- ---------------
Total issued 1,376,823 14,796,262
Shares redeemed (1,338,472) (14,155,346)
--------------- ---------------
Net increase 38,351 $ 640,916
=============== ===============
Investor A Shares for
the Six Months Ended Dollar
May 31, 2007 Shares Amount
Shares sold 90,284 $ 773,868
Shares issued to shareholders in
reinvestment of dividends 69,168 601,150
--------------- ---------------
Total issued 159,452 1,375,018
Shares redeemed (486,301) (4,151,928)
--------------- ---------------
Net decrease (326,849) $ (2,776,910)
=============== ===============
Investor A Shares for the Year Dollar
Ended November 30, 2006 Shares Amount
Shares sold 631,418 $ 6,701,348
Automatic conversion of shares 14,499 154,897
Shares issued to shareholders in
reinvestment of dividends and
distributions 158,581 1,684,129
--------------- ---------------
Total issued 804,498 8,540,374
Shares redeemed (517,953) (5,324,468)
--------------- ---------------
Net increase 286,545 $ 3,215,906
=============== ===============
BLACKROCK COMMODITY STRATEGIES FUND MAY 31, 2007
Notes to Financial Statements (concluded) BlackRock Commodity Strategies Fund
Investor B Shares for
the Six Months Ended Dollar
May 31, 2007 Shares Amount
Shares sold 26,114 $ 215,485
Shares issued to shareholders in
reinvestment of dividends 34,218 299,433
--------------- ---------------
Total issued 60,332 514,918
Shares redeemed (194,026) (1,697,648)
--------------- ---------------
Net decrease (133,694) $ (1,182,730)
=============== ===============
Investor B Shares for the Year Dollar
Ended November 30, 2006 Shares Amount
Shares sold 167,012 $ 1,857,565
Shares issued to shareholders in
reinvestment of dividends &
distributions 132,292 1,407,587
--------------- ---------------
Total issued 299,304 3,265,152
--------------- ---------------
Shares redeemed (333,683) (3,425,582)
Automatic conversion of shares (14,505) (154,897)
--------------- ---------------
Total redeemed (348,188) (3,580,479)
--------------- ---------------
Net decrease (48,884) $ (315,327)
=============== ===============
Investor C Shares for
the Six Months Ended Dollar
May 31, 2007 Shares Amount
Shares sold 407,862 $ 3,422,148
Shares issued to shareholders in
reinvestment of dividends 156,911 1,371,467
--------------- ---------------
Total issued 564,773 4,793,615
Shares redeemed (1,254,167) (10,844,051)
--------------- ---------------
Net decrease (689,394) $ (6,050,436)
=============== ===============
Investor C Shares for the Year Dollar
Ended November 30, 2006 Shares Amount
Shares sold 1,519,631 $ 16,472,768
Shares issued to shareholders in
reinvestment of dividends and
distributions 530,170 5,635,707
--------------- ---------------
Total issued 2,049,801 22,108,475
Shares redeemed (1,826,184) (19,009,727)
--------------- ---------------
Net increase 223,617 $ 3,098,748
=============== ===============
4. Capital Loss Carryforward:
On November 30, 2006, the Fund had a net capital loss carryforward of
$9,400,583, all of which expires in 2014. This amount will be available to
offset like amounts of any future taxable gains.
BLACKROCK COMMODITY STRATEGIES FUND MAY 31, 2007
Portfolio Information Master Commodity Strategies LLC
As of May 31, 2007
Percent of
Total
Asset Mix Investments
Corporate Bonds & Structured Notes 36.8%
Non-Government Agency Mortgage-Backed
Securities--Collateralized Mortgage
Obligations 20.6
Government Agency Mortgage-Backed
Securities 18.0
Asset-Backed Securities 12.0
Government Agency Mortgage-Backed
Securities--Collateralized Mortgage
Obligations 5.3
Non-Government Agency Mortgage-Backed
Securities--Commercial Mortgage-Backed
Securities 4.1
Capital Trusts 2.2
Other* 1.0
* Includes portfolio holdings in short-term investments and
options purchased.
BLACKROCK COMMODITY STRATEGIES FUND MAY 31, 2007
Schedule of Investments as of May 31, 2007 (Unaudited) Master Commodity Strategies LLC
Face
Amount Asset-Backed Securities++ Value
Ameriquest Mortgage Securities, Inc. (a):
$ 1,000,000 Series 2004-IA1 Class M4, 6.82% due 9/25/2034 $ 1,008,649
1,500,000 Series 2004-R1 Class M2, 5.90% due 2/25/2034 1,503,030
368,742 Amortizing Residential Collateral Trust Series 2002-BC3 Class M2,
6.42% due 6/25/2032 (a) 370,455
1,000,000 Bear Stearns Asset Backed Securities, Inc. Series 2004-FR3 Class M2,
6.49% due 10/25/2034 (a) 1,007,360
Countrywide Asset Backed Certificates (a):
211,463 Series 2003-2 Class M1, 6.02% due 6/26/2033 211,849
1,000,000 Series 2004-5 Class M2, 5.99% due 7/25/2034 1,005,651
2,000,000 Fremont Home Loan Trust Series 2004-3 Class M2, 6.02% due 11/25/2034 (a) 2,007,214
99,730 GSAA Home Equity Trust Series 2006-8N Class N1, 6% due 10/26/2036 (g) 98,484
1,000,000 Master Asset Backed Securities Trust Series 2004-HE1 Class M5, 6.67%
due 9/25/2034 (a) 1,014,055
500,000 Residential Asset Mortgage Products, Inc. Series 2004-RZ4 Class M3,
6.22% due 12/25/2034 (a) 500,779
38,855 Wachovia Asset Securitization, Inc. Series 2003-HE1 Class A1, 5.61%
due 3/25/2033 (a) 38,890
459,000 Wells Fargo Home Equity Trust Series 2004-2 Class M5, 6.57% due
11/25/2033 (a) 464,525
Total Asset-Backed Securities (Cost--$9,179,692)--14.3% 9,230,941
Industry Corporate Bonds & Structured Notes
Aerospace & Defense--0.0% 20,000 L-3 Communications Corp. Series B, 6.375% due 10/15/2015 19,950
Capital Markets--2.6% 430,000 Credit Suisse Guernsey Ltd. Series 1, 6.05% due 5/29/2049 (a) 422,684
330,000 Goldman Sachs Capital III Series F, 6.13% due 9/29/2049 (a) 329,858
230,000 Lehman Brothers Holdings Capital Trust V, 6.19% due 5/29/2049 (a) 230,690
325,000 Lehman Brothers Holdings, Inc., 5.50% due 5/25/2010 (a) 324,920
Morgan Stanley:
100,000 5.60% due 1/09/2012 (a) 100,084
200,000 5.625% due 1/09/2012 200,336
60,000 UBS Preferred Funding Trust I, 8.622% due 10/29/2049 (a) 65,422
-------------
1,673,994
Commercial Banks--12.9% 325,000 Glitnir Banki HF, 5.618% due 4/20/2010 (a)(h) 324,383
8,000,000 Natixis Financial Products, Inc., 5.16% due 5/19/2008 (a)(g) 8,042,800
-------------
8,367,183
Commercial Services 50,000 West Corp., 9.50% due 10/15/2014 52,625
& Supplies--0.1%
Consumer Finance--0.2% 105,000 SLM Corp., 5.495% due 7/27/2009 (a) 103,339
Diversified Financial 14,000,000 AIG-FP Structured Finance (Cayman) Limited (Goldman Sachs Commodity
Services--25.6% Index Total Return Linked Notes), 5.343% due 5/12/2008 (i) 15,507,040
100,000 Ford Motor Credit Co. LLC, 7.80% due 6/01/2012 99,510
1,000,000 General Electric Capital Corp. Series A, 5% due 12/01/2010 987,140
35,000 General Motors Acceptance Corp., 6.75% due 12/01/2014 34,888
-------------
16,628,578
Diversified Telecommunication 50,000 Citizens Communications Co., 6.25% due 1/15/2013 49,500
Services--0.4% Qwest Corp.:
50,000 8.875% due 3/15/2012 54,875
145,000 6.50% due 6/01/2017 (g) 143,369
-------------
247,744
Electric Utilities--0.6% 410,000 TXU Electric Delivery Co., 5.725% due 9/16/2008 (a)(g) 410,082
Electronic Equipment 75,000 NXP BV, 8.106% due 10/15/2013 77,250
& Instruments--0.1%
Hotels, Restaurants 75,000 MGM Mirage, 5.875% due 2/27/2014 69,750
& Leisure--0.1%
Media--0.9% 230,000 Comcast Corp., 6.50% due 1/15/2017 238,425
50,000 Intelsat Bermuda Ltd.,11.25% due 6/15/2016 57,125
300,000 Time Warner Cable, Inc., 5.40% due 7/02/2012 (g) 296,469
-------------
592,019
BLACKROCK COMMODITY STRATEGIES FUND MAY 31, 2007
Schedule of Investments (continued) Master Commodity Strategies LLC
Face
Industry Amount Corporate Bonds & Structured Notes Value
Metals & Mining--0.1% $ 25,000 Freeport-McMoRan Copper & Gold, Inc., 8.375% due 4/01/2017 $ 27,313
Oil, Gas & Consumable 55,000 Peabody Energy Corp., 7.375% due 11/01/2016 58,231
Fuels--0.1%
Total Corporate Bonds & Structured Notes (Cost--$26,812,317)--43.7% 28,328,058
Government Agency Mortgage-Backed Securities++
12,500,000 Fannie Mae Guaranteed Pass-Through Certificates, 5.50% due
6/15/2037 (c) 12,203,125
Freddie Mac Mortgage Participation Certificates (a):
1,171,676 4.418% due 9/01/2035 1,164,433
15,304 5.946% due 12/01/2036 15,424
428,278 6.03% due 9/01/2036 431,225
Total Government Agency Mortgage-Backed Securities
(Cost--$13,919,127)--21.3% 13,814,207
Collateralized Mortgage Fannie Mae Trust:
Obligations--6.2% 2,211,339 Series 360 Class 2, 5.00% due 8/01/2035 (f) 560,953
763,431 Series 377 Class 2, 5.00% due 10/01/2036 (f) 198,409
363,022 Series 2005-70 Class GA, 5.50% due 12/25/2034 361,737
Freddie Mac Multiclass Certificates:
1,310,000 Series 3063 Class YB, 5.50% due 6/15/2026 (j) 1,309,406
4,898,625 Series 3295 Class SA, 0.78% due 3/15/2037 (a)(f) 169,924
3,627,050 Series 3303 Class SE, 0.76% due 4/15/2037 (a)(f) 123,529
Ginnie Mae Trust Class IO (a)(f):
9,736,636 Series 2005-9, 0.778% due 1/16/2045 490,799
7,851,915 Series 2005-76, 0.882% due 9/16/2045 427,636
7,817,907 Series 2005-90, 0.912% due 11/16/2045 407,897
Total Government Agency Mortgage-Backed Securities--
Collateralized Mortgage Obligations (Cost--$4,003,157)--6.2% 4,050,290
Non-Government Agency Mortgage-Backed Securities++
Collateralized Mortgage 876,909 ABN AMRO Mortgage Corp. Series 2003-2 Class 2A1, 5.82% due 3/25/2018 (a) 875,756
Obligations--24.5% Banc of America Mortgage Securities Inc. (a):
1,034,742 Series 2004-C Class 2A1, 3.708% due 4/25/2034 1,013,180
817,117 Series 2004-E Class 1A1, 4.525% due 6/25/2034 (j) 818,260
592,298 Countrywide Alternative Loan Trust Series 2004-2CB Class 1A4, 5.72%
due 3/25/2034 (a) 594,793
Countrywide Home Loan Mortgage Pass-Through Trust (a):
541,711 Series 2004-J2 Class A2, 5.82% due 3/25/2034 542,670
1,264,524 Series 2004-J7 Class 1A1, 5.77% due 8/25/2034 1,266,457
518,698 First Horizon Mortgage Pass-Through Trust Series 2003-4 Class 2A2,
5.77% due 6/25/2018 (a) 521,784
495,453 GSR Mortgage Loan Trust Series 2005-AR5 Class 2A3, 5.173% due
10/25/2035 (a) 490,737
542,900 Homebanc Mortgage Trust Series 2005-4 Class A1, 5.59% due 10/25/2035 (a) 543,905
3,000,000 Impac Secured Assets CMN Owner Trust Series 2004-3 Class M1, 5.92%
due 11/25/2034 (a) 3,010,281
Residential Accredit Loans, Inc. (a):
1,937,758 Series 2004-QS8 Class A4, 5.72% due 6/25/2034 1,945,877
660,526 Series 2006-QA9 Class A1, 5.50% due 11/25/2036 659,612
Residential Funding Mortgage Securities I Series 2003-S14 (a):
2,020,644 Class A5, 5.72% due 7/25/2018 2,028,699
1,098,725 Class A6, 5.72% due 7/25/2018 1,101,576
467,588 Wells Fargo Mortgage Backed Securities Series 2005-AR10 Class 2A4,
4.11% due 6/25/2035 (a) 458,198
Total Non-Government Agency Mortgage-Backed Securities--Collateralized
Mortgage Obligations (Cost--$15,840,190)--24.5% 15,871,785
BLACKROCK COMMODITY STRATEGIES FUND MAY 31, 2007
Schedule of Investments (continued) Master Commodity Strategies LLC
Face
Amount Non-Government Agency Mortgage-Backed Securities++ Value
Commercial $ 525,000 Bear Stearns Commercial Mortgage Securities Series 2006-PW14
Mortgage-Backed Class A4, 5.201% due 12/11/2038 $ 507,246
Securities--4.8% 390,000 Credit Suisse Mortgage Capital Certificate Series 2007-C2 Class A3,
5.542% due 1/15/2049 (a) 386,030
550,000 GMAC Commercial Mortgage Securities, Inc. Series 2001-C1 Class B,
6.67% due 4/15/2034 (j) 571,089
JPMorgan Chase Commercial Mortgage Securities Corp. Class A4:
425,000 Series 2006-LDP8, 5.399% due 5/15/2045 416,355
380,000 Series 2007-CB18, 5.44% due 6/12/2047 372,829
420,000 LB-UBS Commercial Mortgage Trust Series 2007-C2 Class A3, 5.43% due
2/17/2040 413,438
465,000 Merrill Lynch/Countrywide Commercial Mortgage Trust Series 2006-1
Class A4, 5.621% due 2/12/2039 (a)(b) 460,539
Total Non-Government Agency Mortgage-Backed Securities--Commercial
Mortgage-Backed Securities (Cost--$3,191,002)--4.8% 3,127,526
Capital Trusts
Capital Markets--0.6% 275,000 State Street Capital Trust IV, 6.355% due 6/01/2067 (a) 275,851
110,000 UBS Preferred Funding Trust II, 7.247% (a)(h) 116,495
-------------
392,346
Commercial Banks--1.5% 265,000 BAC Capital Trust XV, 6.16% due 6/01/2056 (a) 264,638
275,000 USB Capital IX, 6.189% (a)(h) 278,862
450,000 Wachovia Capital Trust III, 5.80% (a)(h) 450,573
-------------
994,073
Diversified Financial 290,000 JPMorgan Chase Capital XXI, 6.36% due 5/15/2077 (a)(h) 287,092
Services--0.5%
Total Capital Trusts (Cost--$1,683,704)--2.6% 1,673,511
Beneficial
Interest Short-Term Securities
$ 771,824 BlackRock Liquidity Series, LLC Cash Sweep Series, 5.26% (b)(e) 771,824
Total Short-Term Securities (Cost--$771,824)--1.2% 771,824
Number of
Contracts++++ Options Purchased
Put Options Purchased 2 Pay a fixed rate of 5.50% and receive a floating rate based on
3-month LIBOR, expiring August 2007, Broker Union Bank of
Switzerland AG (d) 22,352
Total Options Purchased (Premiums Paid--$14,376)--0.0% 22,352
Total Investments (Cost--$75,415,389)--118.6% 76,890,494
Face
Amount TBA Sale Commitments
$ 4,000,000 Fannie Mae Collateralized Pass-Through Certificates, 5.50% due
6/15/2037 (3,905,296)
Total TBA Sale Commitments (Premiums Received--$3,960,227)--(6.0%) (3,905,296)
Number of
Contracts++++ Options Written
Call Options Written 1 Pay a fixed rate of 4.96% and receive a floating rate based on
3-month LIBOR, expiring May 2008, Broker Deutsche Bank AG (d) (6,735)
Put Options Written 1 Receive a fixed rate of 5.46% and pay a floating rate based on
3-month LIBOR, expiring May 2008, Broker Deutsche Bank AG (d) (24,833)
Total Options Written (Premiums Received--$30,876)--(0.1%) (31,568)
Liabilities in Excess of Other Assets--(12.5%) (8,114,464)
-------------
Net Assets--100.0% $ 64,839,166
=============
BLACKROCK COMMODITY STRATEGIES FUND MAY 31, 2007
Schedule of Investments (continued) Master Commodity Strategies LLC
* The cost and unrealized appreciation (depreciation) of investments,
net of TBA sale commitments and options written, as of May 31, 2007,
as computed for federal income tax purposes, were as follows:
Aggregate cost $ 71,376,184
==============
Gross unrealized appreciation $ 1,824,293
Gross unrealized depreciation (246,847)
--------------
Net unrealized appreciation $ 1,577,446
==============
++ Asset-Backed and Mortgage-Backed Securities are subject to principal
paydowns as a result of prepayments or refinancings of the underlying
instruments. As a result, the average life may be substantially less
than the original maturity.
++++ One contract represents a notional amount of $1,000,000.
(a) Floating rate security.
(b) Investments in companies considered to be an affiliate of the Master
LLC, for purposes of Section 2(a)(3) of the Investment Company Act
of 1940, were as follows:
Purchase Sales Realized Interest
Affiliate Cost Cost Gain Income
BlackRock
Liquidity Series,
LLC Cash
Sweep Series -- $1,454,389* -- $32,607
Merrill Lynch/
Countrywide
Commercial
Mortgage Trust
Series 2006-1
Class A4,
5.621% due
2/12/2039 $467,920 -- -- $ 2,104
* Represents net sales cost.
(c) Represents a "to-be-announced" transaction. The Master LLC has
committed to purchasing securities for which all specific information
is not available at this time.
(d) This European style swaption, which can be exercised only on the
expiration date, represents a standby commitment whereby the writer
of the option is obligated to enter into a predetermined interest rate
swap contract upon exercise of the swaption.
(e) Represents the current yield as of May 31, 2007.
(f) Represents the interest only portion of a mortgage-backed security
and has either a nominal or notional amount of principal.
(g) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
(h) The security is a perpetual bond and has no definite maturity date.
(i) Represents a "structured note", the interest shown reflects the
effective yield at the time of purchase.
(j) All or a portion of security held as collateral in connection with open
financial futures contracts.
o For Master LLC compliance purposes, the Master LLC's industry
classifications refer to any one or more of the industry
sub-classifications used by one or more widely recognized market
indexes or ratings group indexes, and/or as defined by Master LLC
management. This definition may not apply for purposes of this report
which may combine industry sub-classifications for reporting ease.
Industries are shown as a percent of net assets.
o Financial futures contracts purchased as of May 31, 2007 were as
follows:
Number of Expiration Face Unrealized
Contracts Issue Date Value Depreciation
26 2-Year U.S. September $5,304,260 $ (5,541)
Treasury Bond 2007
o Financial futures contracts sold as of May 31, 2007 were as follows:
Number of Expiration Face Unrealized
Contracts Issue Date Value Appreciation
7 Euro Dollar June 2007 $1,656,484 $ 284
Futures
7 Euro Dollar September $1,657,665 1,028
Futures 2007
78 5-Year U.S. September $8,159,665 13,540
Treasury Bond 2007
76 10-Year U.S. September $8,097,945 13,445
Treasury Bond 2007
7 Euro Dollar December $1,660,040 2,615
Futures 2007
7 Euro Dollar March 2008 $1,662,540 3,803
Futures
5 Euro Dollar June 2008 $1,188,997 3,497
Futures
5 Euro Dollar September $1,189,647 3,834
Futures 2008
5 Euro Dollar December $1,189,759 3,884
Futures 2008
5 Euro Dollar March 2009 $1,189,747 3,871
Futures
4 Euro Dollar June 2009 $ 951,412 2,862
Futures
4 Euro Dollar September $ 951,037 2,787
Futures 2009
4 Euro Dollar December $ 950,562 2,712
Futures 2009
4 Euro Dollar March 2010 $ 950,212 2,512
Futures
----------
Total Unrealized Appreciation--Net $ 60,674
==========
BLACKROCK COMMODITY STRATEGIES FUND MAY 31, 2007
Schedule of Investments (concluded) Master Commodity Strategies LLC
o Swaps outstanding as of May 31, 2007 were as follows:
Unrealized
Notional Appreciation
Amount (Depreciation)
Sold credit default protection on
Fannie Mae and receive 0.18%
Broker, Lehman Brothers Inc.
Expires March 2010 $1,000,000 $ 3,469
Sold credit default protection on
Freddie Mac and receive 0.15%
Broker, Lehman Brothers Inc.
Expires June 2010 $4,000,000 11,388
Sold credit default protection on
Fannie Mae and receive 0.48%
Broker, Deutsche Bank AG London
Expires June 2010 $2,000,000 21,042
Receive a fixed rate of 5.036%
and pay a floating rate based on
3-month LIBOR
Broker, Citibank N.A.
Expires November 2010 $4,000,000 (36,684)
Pay a fixed rate of 4.9335%
and receive a floating rate based on
3-month LIBOR
Broker, JPMorgan Chase
Expires March 2012 $3,200,000 55,459
Receive a fixed rate of 5.085%
and pay a floating rate based on
3-month LIBOR
Broker, Deutsche Bank AG
Expires November 2016 $ 600,000 (17,758)
Pay a fixed rate of 5.225%
and receive a floating rate based on
3-month LIBOR
Broker, Deutsche Bank AG
Expires January 2017 $ 200,000 3,357
Receive a fixed rate of 5.16%
and pay a floating rate based on
3-month LIBOR
Broker, Deutsche Bank AG
Expires February 2017 $ 700,000 (15,302)
----------
Total $ 24,971
==========
See Notes to Financial Statements.
BLACKROCK COMMODITY STRATEGIES FUND MAY 31, 2007
Statement of Assets and Liabilities Master Commodity Strategies LLC
As of May 31, 2007 (Unaudited)
Assets
Investments in unaffiliated securities, at value (identified cost--$74,161,269) $ 75,635,779
Investments in affiliated securities, at value (identified cost--$1,239,744) 1,232,363
Options purchased, at value (premiums paid--$14,376) 22,352
Cash 234
Unrealized appreciation on swaps 94,715
Receivables:
Securities sold $ 6,600,703
Interest 332,852
Paydowns 145,106
Contributions 41,093
Variation margin 15,058
Swaps 12,161 7,146,973
---------------
Prepaid expenses and other assets 8,699
---------------
Total assets 84,141,115
---------------
Liabilities
Options written, at value (premiums received--$30,876) 31,568
TBA sale commitments, at value (proceeds received--$3,960,227) 3,905,296
Unrealized depreciation on swaps 69,744
Payables:
Securities purchased 14,990,014
Capital shares redeemed 180,605
Investment adviser 28,229
Other affiliates 930 15,199,778
---------------
Accrued expenses and other liabilities 95,563
---------------
Total liabilities 19,301,949
---------------
Net Assets
Net assets $ 64,839,166
===============
Net Assets Consist of
Investors' capital $ 63,229,718
Unrealized appreciation--net 1,609,448
---------------
Net Assets $ 64,839,166
===============
See Notes to Financial Statements.
BLACKROCK COMMODITY STRATEGIES FUND MAY 31, 2007
Statement of Operations Master Commodity Strategies LLC
For the Six Months Ended May 31, 2007 (Unaudited)
Investment Income
Interest (including $34,711 from affiliates) $ 1,734,503
Expenses
Investment advisory fees $ 175,729
Accounting services 50,553
Professional fees 22,013
Custodian fees 11,377
Directors' fees and expenses 6,482
Pricing fees 6,218
Printing and shareholder reports 860
Other 7,147
---------------
Total expenses 280,379
---------------
Investment income--net 1,454,124
---------------
Realized & Unrealized Gain (Loss)--Net
Realized gain (loss) on:
Investments--net (8,369,651)
Financial futures contracts and swaps--net 134,121
Options written--net 41,040 (8,194,490)
---------------
Change in unrealized appreciation/depreciation on:
Investments--net 3,542,220
Financial futures contracts and swaps--net 95,106
Options written--net 8,221 3,645,547
--------------- ---------------
Total realized and unrealized loss--net (4,548,943)
---------------
Net Decrease in Net Assets Resulting from Operations $ (3,094,819)
===============
See Notes to Financial Statements.
BLACKROCK COMMODITY STRATEGIES FUND MAY 31, 2007
Statements of Changes in Net Assets Master Commodity Strategies LLC
For the Six For the
Months Ended Year Ended
May 31, 2007 November 30,
Increase (Decrease) in Net Assets: (Unaudited) 2006
Operations
Investment income--net $ 1,454,124 $ 3,797,876
Realized loss--net (8,194,490) (9,061,179)
Change in unrealized appreciation/depreciation--net 3,645,547 (1,760,576)
--------------- ---------------
Net decrease in net assets resulting from operations (3,094,819) (7,023,879)
--------------- ---------------
Capital Transactions
Proceeds from contributions 7,411,090 49,004,105
Fair value of withdrawals (29,078,583) (58,535,826)
--------------- ---------------
Net decrease in net assets derived from capital transactions (21,667,493) (9,531,721)
--------------- ---------------
Net Assets
Total decrease in net assets (24,762,312) (16,555,600)
Beginning of period 89,601,478 106,157,078
--------------- ---------------
End of period $ 64,839,166 $ 89,601,478
=============== ===============
See Notes to Financial Statements.
BLACKROCK COMMODITY STRATEGIES FUND MAY 31, 2007
Financial Highlights Master Commodity Strategies LLC
For the Six For the Period
Months Ended For the Year Ended March 26, 2004++
The following ratios have been derived from May 31, 2007 November 30, to November 30,
information provided in the financial statements. (Unaudited) 2006 2005 2004
Total Investment Return
Total investment return (2.32%)** (5.92%) 8.26% 16.20%**
============ ============ ============ ============
Ratios to Average Net Assets
Expenses, net of waiver .80%* .70% .73% .68%*
============ ============ ============ ============
Expenses .80%* .70% .73% .73%*
============ ============ ============ ============
Investment income--net 4.14%* 3.46% 2.37% .95%*
============ ============ ============ ============
Supplemental Data
Net assets, end of period (in thousands) $ 64,839 $ 89,601 $ 106,157 $ 75,982
============ ============ ============ ============
Portfolio turnover 156.50% 66.90% 50.00% 19.40%
============ ============ ============ ============
* Annualized.
** Aggregate total investment return.
++ Commencement of operations.
See Notes to Financial Statements.
BLACKROCK COMMODITY STRATEGIES FUND MAY 31, 2007
Notes to Financial Statements (Unaudited) Master Commodity Strategies LLC
1. Significant Accounting Policies:
On March 29, 2007, Master Real Investment Trust was renamed Master Commodity
Strategies Trust (the "Trust"). The Trust is registered under the Investment
Company Act of 1940, as amended, and is organized as a Delaware statutory
trust. Effective June 15, 2007, the Trust was converted to a Delaware limited
liability company and in accordance to the Limited Liability Company Agreement
(the "LLC Agreement") was renamed Master Commodity Strategies LLC (the "Master
LLC").The Declaration of Trust permits the Trustees (and after June 15, 2007,
the LLC Agreement permits the Directors) to issue non-transferable interests
in the Trust/Master LLC, subject to certain limitations. Throughout this
report the Trust and the Master LLC are referred to as the Master LLC and the
Board of Trustees is referred to as the Board of Directors. The Master LLC's
financial statements are prepared in conformity with U.S. generally accepted
accounting principles, which may require the use of management accruals and
estimates. These unaudited financial statements reflect all adjustments, which
are, in the opinion of management, necessary to present a fair statement of
the results for the interim period. All such adjustments are of a normal,
recurring nature. Actual results may differ from these estimates. The
following is a summary of significant accounting policies followed by the
Master LLC.
(a) Valuation of investments--Debt securities are traded primarily in the over-
the-counter ("OTC") markets and are valued at the last available bid price in
the OTC markets or on the basis of yield equivalents as obtained by the Master
LLC's pricing service from one or more dealers that make markets in the
securities. Financial futures contracts and options thereon, which are traded
on exchanges, are valued at their closing prices as of the close of such
exchanges. Options written or purchased are valued at the last sale price in
the case of exchange-traded options. Options traded in the OTC markets are
valued at the last asked price (options written) or the last bid price
(options purchased). Swap agreements are valued based upon quoted fair
valuations received daily by the Master LLC from a pricing service or
counterparty. Valuation of short-term investment vehicles is generally based
upon the net asset value of the underlying investment vehicle or amortized
cost. Repurchase agreements are valued at cost plus accrued interest. The
Master LLC employs pricing services to provide certain securities prices for
the Master LLC. Securities and assets for which market quotations are not
readily available are valued at fair value as determined in good faith by or
under the direction of the Board of Directors of the Master LLC, including
valuations furnished by the pricing services retained by the Master LLC, which
may utilize a matrix system for valuations. The procedures of the pricing
service and its valuations are reviewed by the officers of the Master LLC
under the general direction of the Board of Directors. Such valuations and
procedures will be reviewed periodically by the Board of Directors of the
Master LLC.
Equity securities held by the Master LLC, which are traded on stock exchanges
or the NASDAQ Global Market are valued at the last sale price or official
close price on the exchange, as of the close of business on the day the
securities are being valued or, lacking any sales, at the last available bid
price for long positions, and at the last available asked price for short
positions. In cases where equity securities are traded on more than one
exchange, the securities are valued on the exchange designated as the primary
market by or under the authority of the Board of Directors of the Master LLC.
Long positions traded in the OTC markets, NASDAQ Capital Market or Bulletin
Board are valued at the last available bid price or yield equivalent obtained
from one or more dealers or pricing services approved by the Board of
Directors of the Master LLC. Short positions traded in the OTC markets are
valued at the last available asked price. Portfolio securities that are traded
both in the OTC markets and on a stock exchange are valued according to the
broadest and most representative market.
Generally, trading in foreign securities, as well as U.S. government
securities, money market instruments and certain fixed income securities is
substantially completed each day at various times prior to the close of
business on the New York Stock Exchange ("NYSE"). The values of such
securities used in computing the net assets of the Master LLC are determined
as of such times. Foreign currency exchange rates will generally be determined
as of the close of business on the NYSE. Occasionally, events affecting the
values of such securities and such exchange rates may occur between the times
at which they are determined and the close of business on the NYSE that may
not be reflected in the computation of the Master LLC's net assets. If events
(for example, a company announcement, market volatility or a natural disaster)
occur during such periods that are expected to materially affect the value of
such securities, those securities may be valued at their fair value as
determined in good faith by the Master LLC's Board of Directors or by
BlackRock Advisors, LLC (the "Manager"), an indirect, wholly owned subsidiary
of BlackRock, Inc., using a pricing service and/or procedures approved by the
Master LLC's Board of Directors.
BLACKROCK COMMODITY STRATEGIES FUND MAY 31, 2007
Notes to Financial Statements (continued) Master Commodity Strategies LLC
(b) Derivative financial instruments--The Master LLC may engage in various
portfolio investment strategies both to increase the return of the Master LLC
and to hedge, or protect, its exposure to interest rate movements and
movements in the securities and commodities markets. Losses may arise due to
changes in the value of the contract or if the counterparty does not perform
under the contract. The counterparty for certain instruments may pledge cash
or securities as collateral.
* Hybrid instruments--The Master LLC may invest in hybrid instruments,
including structured notes and commodity-linked notes. The principal and/or
interest payments on these hybrid instruments are linked to the value of
commodities, commodity futures contracts, or the performance of one or more
indexes or other readily measurable economic variables. The principal value of
the hybrid instruments, and/or the value of the interest that they pay, will
rise or fall in response to changes in the values of the underlying
commodities, commodity futures contracts, or commodity indexes. Although these
hybrid instruments are primarily debt obligations, they indirectly provide
exposure to changes in the value of the underlying commodities.
* Options--The Master LLC may purchase and write covered call and put options.
When the Master LLC writes an option, an amount equal to the premium received
by the Master LLC is reflected as an asset and an equivalent liability. The
amount of the liability is subsequently marked-to-market to reflect the
current market value of the option written. When a security is purchased or
sold through an exercise of an option, the related premium paid (or received)
is added to (or deducted from) the basis of the security acquired or deducted
from (or added to) the proceeds of the security sold. When an option expires
(or the Master LLC enters into a closing transaction), the Master LLC realizes
a gain or loss on the option to the extent of the premiums received or paid
(or gain or loss to the extent the cost of the closing transaction exceeds the
premium paid or received).
Written and purchased options are non-income producing investments.
* Financial futures contracts--The Master LLC may purchase or sell financial
futures contracts and options on such financial futures contracts. Financial
futures contracts are contracts for delayed delivery of securities at a
specific future date and at a specific price or yield. Upon entering into a
contract, the Master LLC deposits and maintains as collateral such initial
margin as required by the exchange on which the transaction is effected.
Pursuant to the contract, the Master LLC agrees to receive from or pay to the
broker an amount of cash equal to the daily fluctuation in value of the
contract. Such receipts or payments are known as variation margin and are
recorded by the Master LLC as unrealized gains or losses. When the contract is
closed, the Master LLC records a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and the value at
the time it was closed.
* Swaps--The Master LLC may enter into swap agreements, which are OTC
contracts in which the Master LLC and a counterparty agree to make periodic
net payments on a specified notional amount. The net payments can be made for
a set period of time or may be triggered by a predetermined credit event. The
net periodic payments may be based on a fixed or variable interest rate, the
change in market value of a specified security, basket of securities or index;
or the return generated by a security. These periodic payments received or
made by the Master LLC are recorded in the accompanying Statement of
Operations as realized gains or losses, respectively. Gains or losses are also
realized upon termination of the swap agreements. Swaps are marked-to-market
daily and changes in value are recorded as unrealized appreciation
(depreciation). Risks include changes in the returns of the underlying
instruments, failure of the counterparties to perform under the contracts'
terms and the possible lack of liquidity with respect to the swap agreements.
(c) Income taxes--The Master LLC is classified as a partnership for federal
income tax purposes. As such, each investor in the Master LLC is treated as
owner of its proportionate share of the net assets, income, expenses and
realized and unrealized gains and losses of the Master LLC. Therefore, no
federal income tax provision is required. It is intended that the Master LLC's
assets will be managed so an investor in the Master LLC can satisfy the
requirements of Subchapter M of the Internal Revenue Code.
(d) Security transactions and investment income--Security transactions are
recorded on the dates the transactions are entered into (the trade dates).
Realized gains and losses on security transactions are determined on the
identified cost basis. Dividend income is recorded on the ex-dividend dates.
Interest income is recognized on the accrual basis.
BLACKROCK COMMODITY STRATEGIES FUND MAY 31, 2007
Notes to Financial Statements (continued) Master Commodity Strategies LLC
(e) Securities lending--The Master LLC may lend securities to financial
institutions that provide cash or securities issued or guaranteed by the U.S.
government as collateral, which will be maintained at all times in an amount
equal to at least 100% of the current market value of the loaned securities.
The market value of the loaned securities is determined at the close of
business of the Master LLC and any additional required collateral is delivered
to the Master LLC on the next business day. Where the Master LLC receives
securities as collateral for the loaned securities, it collects a fee from the
borrower. The Master LLC typically receives the income on the loaned
securities but does not receive the income on the collateral. Where the Master
LLC receives cash collateral, it may invest such collateral and retain the
amount earned on such investment, net of any amount rebated to the borrower.
Loans of securities are terminable at any time and the borrower, after notice,
is required to return borrowed securities within five business days. The
Master LLC may pay reasonable finder's, lending agent, administrative and
custodial fees in connection with its loans. In the event that the borrower
defaults on its obligation to return borrowed securities because of insolvency
or for any other reason, the Master LLC could experience delays and costs in
gaining access to the collateral. The Master LLC also could suffer a loss
where the value of the collateral falls below the market value of the borrowed
securities, in the event of borrower default or in the event of losses on
investments made with cash collateral.
(f) TBA Commitments--The Master LLC may enter into to be announced ("TBA")
commitments to purchase or sell securities for a fixed price at a future date.
TBA commitments are considered securities in themselves, and involve a risk of
loss if the value of the security to be purchased/sold declines/increases
prior to the settlement date, which is in addition to the risk of decline in
the value of the Master LLC's other assets. Unsettled TBA commitments are
valued at the current market value of the underlying securities, according to
the procedures described under "Valuation of investments."
(g) Recent accounting pronouncements--In July 2006, the Financial Accounting
Standards Board released FASB Interpretation No. 48 ("FIN 48"), "Accounting
for Uncertainty in Income Taxes". FIN 48 provides guidance for how uncertain
tax positions should be recognized, measured, presented and disclosed in
financial statements. FIN 48 requires the evaluation of tax positions taken in
the course of preparing the Master LLC's tax returns to determine whether the
tax positions are "more-likely-than-not" of being sustained by the applicable
tax authority. Tax benefits of positions not deemed to meet the more-likely-
than-not threshold would be booked as a tax expense in the current year and
recognized as: a liability for unrecognized tax benefits; a reduction of an
income tax refund receivable; a reduction of deferred tax asset; an increase
in deferred tax liability; or a combination thereof. Adoption of FIN 48 is
required for the last net asset value calculation in the first required
financial statement reporting period for fiscal years beginning after December
15, 2006. The impact on the Master LLC's financial statements, if any, is
currently being assessed.
In September 2006, Statement of Financial Accounting Standards No. 157, "Fair
Value Measurements" ("FAS 157"), was issued and is effective for fiscal years
beginning after November 15, 2007. FAS 157 defines fair value, establishes a
framework for measuring fair value and expands disclosures about fair value
measurements. At this time, management is evaluating the implications of FAS
157 and its impact on the Master LLC's financial statements, if any, has not
been determined.
In addition, in February 2007, FASB issued Statement of Financial Accounting
Standards No. 159, "The Fair Value Option for Financial Assets and Financial
Liabilities" ("FAS 159"), which is effective for fiscal years beginning after
November 15, 2007. Early adoption is permitted as of the beginning of a fiscal
year that begins on or before November 15, 2007, provided the entity also
elects to apply the provisions of FAS 157. FAS 159 permits entities to choose
to measure many financial instruments and certain other items at fair value
that are not currently required to be measured at fair value. FAS 159 also
establishes presentation and disclosure requirements designed to facilitate
comparisons between entities that choose different measurement attributes for
similar types of assets and liabilities. At this time, management is
evaluating the implications of FAS 159 and its impact on the Master LLC's
financial statements, if any, has not been determined.
2. Investment Advisory Agreement Transactions with Affiliates:
The Master LLC has entered into an Investment Advisory Agreement with the
Manager. Merrill Lynch & Co., Inc. ("Merrill Lynch") and The PNC Financial
Services Group are the principal owners of BlackRock, Inc.
BLACKROCK COMMODITY STRATEGIES FUND MAY 31, 2007
Notes to Financial Statements (concluded) Master Commodity Strategies LLC
The Manager is responsible for the management of the Master LLC's investments
and provides the necessary personnel, facilities, equipment and certain other
services necessary to the operations of the Master LLC. For such services, the
Master LLC pays a monthly fee based upon the average daily value of the Master
LLC's net assets at the annual rate of 0.50%. In addition, the Manager has
entered into Sub-Advisory Agreements with BlackRock Investment Management, LLC
("BIM") and BlackRock Financial Management, Inc., both affiliates of the
Manager, under which the Manager pays each Sub-Adviser for services it
provides a fee equal to a percentage paid by the Master LLC to the Manager.
The Master LLC has received an exemptive order from the Securities and
Exchange Commission permitting it to lend portfolio securities to Merrill
Lynch, Pierce, Fenner & Smith Incorporated, or its affiliates. Pursuant to
that order, the Master LLC has retained BIM, an affiliate of the Manager, as
the securities lending agent for a fee based on a share of the returns on
investment of cash collateral. BIM may, on behalf of the Master LLC, invest
cash collateral received by the Master LLC for such loans, among other things,
in a private investment company managed by the Manager or in registered money
market funds advised by the Manager or its affiliates.
For the six months ended May 31, 2007, the Master LLC reimbursed the Manager
$877 for certain accounting services.
Certain officers and/or directors of the Master LLC are officers and/or
directors of BlackRock, Inc. or its affiliates.
3. Beneficial Interest Transactions:
Purchases and sales (including paydowns) of investments, excluding short-term
securities, for the six months ended May 31, 2007 were $128,074,881 and
$144,957,098 respectively.
Transactions in call options written for the six months ended May 31,
2007 were as follows:
Number of Premiums
Contracts* Received
Outstanding call options written,
beginning of period 2.7 $ 59,400
Options written 1 15,438
Options closed (2.7) (59,400)
--------------- ---------------
Outstanding call options written,
end of period 1 $ 15,438
=============== ===============
* One contract represents a notional amount of $1,000,000.
Transactions in put options written for the six months ended May 31,
2007 were as follows:
Number of Premiums
Contracts* Received
Outstanding put options written,
beginning of period 2.7 $ 59,400
Options written 1 15,438
Options closed (2.7) (59,400)
--------------- ---------------
Outstanding put options written,
end of period 1 $ 15,438
=============== ===============
* One contract represents a notional amount of $1,000,000.
4. Short-Term Borrowings:
The Master LLC, along with certain other funds managed by the Manager and its
affiliates, is a party to a $500,000,000 credit agreement with a group of
lenders. The Master LLC may borrow under the credit agreement to fund
shareholder redemptions and for other lawful purposes other than for leverage.
The Master LLC may borrow up to the maximum amount allowable under the Master
LLC's current prospectus and statement of additional information, subject to
various other legal, regulatory or contractual limits. On November 22, 2006,
the credit agreement was renewed for one year under substantially the same
terms. The Master LLC pays a commitment fee of .06% per annum based on the
Master LLC's pro rata share of the unused portion of the credit agreement.
Amounts borrowed under the credit agreement bear interest at a rate equal to,
at each fund's election, the federal funds rate plus .35% or a base rate as
defined in the credit agreement. The Master LLC did not borrow under the
credit agreement during the six months ended May 31, 2007.
BLACKROCK COMMODITY STRATEGIES FUND MAY 31, 2007
BlackRock Funds
BlackRock Privacy Principles
BlackRock is committed to maintaining the privacy of its current and former
fund investors and individual clients (collectively, "Clients") and to
safeguarding their non-public personal information. The following information
is provided to help you understand what personal information BlackRock
collects, how we protect that information and why in certain cases we share
such information with select parties.
If you are located in a jurisdiction where specific laws, rules or regulations
require BlackRock to provide you with additional or different privacy-related
rights beyond what is set forth below, then BlackRock will comply with those
specific laws, rules or regulations.
BlackRock obtains or verifies personal non-public information from and about
you from different sources, including the following: (i) information we
receive from you or, if applicable, your financial intermediary, on
applications, forms or other documents; (ii) information about your
transactions with us, our affiliates, or others; (iii) information we receive
from a consumer reporting agency; and (iv) from visits to our Web sites.
BlackRock does not sell or disclose to non-affiliated third parties any non-
public personal information about its Clients, except as permitted by law or
as is necessary to respond to regulatory requests or to service Client
accounts. These non-affiliated third parties are required to protect the
confidentiality and security of this information and to use it only for its
intended purpose.
We may share information with our affiliates to service your account or to
provide you with information about other BlackRock products or services that
may be of interest to you. In addition, BlackRock restricts access to non-
public personal information about its Clients to those BlackRock employees
with a legitimate business need for the information. BlackRock maintains
physical, electronic and procedural safeguards that are designed to protect
the non-public personal information of its Clients, including procedures
relating to the proper storage and disposal of such information.
Availability of Additional Information
Electronic copies of most financial reports and prospectuses are available on
the Fund's Web site or shareholders can signup for e-mail notifications of
quarterly statements, annual and semi-annual reports and prospectuses by
enrolling in the Fund's electronic delivery program.
To enroll:
Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages:
Please contact your financial advisor. Please note that not all investment
advisers, banks or brokerages may offer this service.
Shareholders Who Hold Accounts Directly with BlackRock:
1) Access the BlackRock Web site at
http://www.blackrock.com/edelivery
2) Select eDelivery under the More Information section
3) Log into your account
The Fund will mail only one copy of shareholder documents, including
prospectuses, annual and semi-annual reports and proxy statements, to
shareholders with multiple accounts at the same address. This practice is
commonly called "householding" and it is intended to reduce expenses and
eliminate duplicate mailings of shareholder documents. Mailings of your
shareholder documents may be householded indefinitely unless you instruct us
otherwise. If you do not want the mailing of these documents to be combined
with those for other members of your household, please contact the Fund at
(800) 441-7762.
BLACKROCK COMMODITY STRATEGIES FUND MAY 31, 2007
Availability of Additional Information (concluded)
Availability of Proxy Voting Policies and Procedures
The Fund has delegated proxy voting responsibilities to BlackRock and its
affiliates, subject to the general oversight of the Fund's Board of Directors.
A description of the policies and procedures that BlackRock and its affiliates
use to determine how to vote proxies relating to portfolio securities is
available without charge, upon request, on our Web site at www.blackrock.com,
by calling (800) 441-7762, or on the Web site of the Securities and Exchange
Commission (the "Commission") at http://www.sec.gov.
Availability of Proxy Voting Record
Information on how proxies relating to the Fund's voting securities were
voted (if any) by BlackRock during the most recent 12-month period ended
June 30 is available, upon request and without charge, on our Web site at
www.blackrock.com, by calling (800) 441-7762 or on the Web site of the
Commission at http://www.sec.gov.
Availability of Quarterly Portfolio Schedule
The Fund files its complete schedule of portfolio holdings for the first and
third quarters of its fiscal year with the Commission on Form N-Q. The Fund's
Forms N-Q are available on the Commission's Web site at http://www.sec.gov
and may be reviewed and copied at the Commission's Public Reference Room in
Washington, D.C. Information regarding the operation of the Public Reference
Room may be obtained by calling (800) SEC-0330. The Fund's Forms N-Q may also
be obtained upon request, without charge, by calling (800) 441-7762.
Shareholder Privileges
Account Information
Call us at (800) 441-7762 8:00 AM - 6:00 PM EST to get information about your
account balances, recent transactions and share prices. You can also reach us
on the Web at www.blackrock.com.
Automatic Investment Plans
Investor Class shareholders who want to invest regularly can arrange to have
$50 or more automatically deducted from their checking or savings account and
invested in any of the BlackRock funds.
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 is at least $10,000.
Retirement Plans
Shareholders may make investments in conjunction with Traditional, Rollover,
Roth, Coverdell, Simple IRAs, SEP IRAs and 403(b) Plans.
BLACKROCK COMMODITY STRATEGIES FUND MAY 31, 2007
A World-Class 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.
Equity Funds
BlackRock All-Cap Global Resources Portfolio
BlackRock Aurora Portfolio
BlackRock Asset Allocation Portfolio++
BlackRock Balanced Capital Fund++
BlackRock Basic Value Fund
BlackRock Capital Appreciation Portfolio
BlackRock Developing Capital Markets Fund
BlackRock Equity Dividend Fund
BlackRock EuroFund
BlackRock Focus Twenty Fund
BlackRock Focus Value Fund
BlackRock Fundamental Growth Fund
BlackRock Global Allocation Fund++
BlackRock Global Dynamic Equity Fund
BlackRock Global Financial Services Fund
BlackRock Global Growth Fund
BlackRock Global Opportunities Portfolio
BlackRock Global Resources Portfolio*
BlackRock Global Science & Technology
Opportunities Portfolio
BlackRock Global SmallCap Fund
BlackRock Healthcare Fund
BlackRock Health Sciences Opportunities Portfolio
BlackRock Index Equity Portfolio*
BlackRock International Fund
BlackRock International Index Fund
BlackRock International Opportunities Portfolio*
BlackRock International Value Fund
BlackRock Investment Trust
BlackRock Large Cap Core Fund
BlackRock Large Cap Growth Fund
BlackRock Large Cap Value Fund
BlackRock Latin America Fund
BlackRock Mid-Cap Growth Equity Portfolio
BlackRock Mid-Cap Value Equity Portfolio
BlackRock Mid Cap Value Opportunities Fund
BlackRock Natural Resources Trust
BlackRock Pacific Fund
BlackRock Small Cap Core Equity Portfolio
BlackRock Small Cap Growth Equity Portfolio
BlackRock Small Cap Growth Fund II
BlackRock Small Cap Index Fund
BlackRock Small Cap Value Equity Portfolio*
BlackRock Small/Mid-Cap Growth Portfolio
BlackRock S&P 500 Index Fund
BlackRock Technology Fund
BlackRock U.S. Opportunities Portfolio
BlackRock Utilities and Telecommunications Fund
BlackRock Value Opportunities Fund
Fixed Income Funds
BlackRock Bond Fund
BlackRock Commodity Strategies Fund
BlackRock Enhanced Income Portfolio
BlackRock GNMA Portfolio
BlackRock Government Income Portfolio
BlackRock High Income Fund
BlackRock High Yield Bond Portfolio
BlackRock Inflation Protected Bond Portfolio
BlackRock Intermediate Bond Portfolio II
BlackRock Intermediate Government
Bond Portfolio
BlackRock International Bond Portfolio
BlackRock Low Duration Bond Portfolio
BlackRock Managed Income Portfolio
BlackRock Short-Term Bond Fund
BlackRock Total Return Portfolio
BlackRock Total Return Portfolio II
BlackRock World Income Fund
Municipal Bond Funds
BlackRock AMT-Free Municipal Bond Portfolio
BlackRock California Insured Municipal Bond Fund
BlackRock Delaware Municipal Bond Portfolio
BlackRock Florida Municipal Bond Fund
BlackRock High Yield Municipal Fund
BlackRock Intermediate Municipal Fund
BlackRock Kentucky Municipal Bond Portfolio
BlackRock Municipal Insured Fund
BlackRock National Municipal Fund
BlackRock New Jersey Municipal Bond Fund
BlackRock New York Municipal Bond Fund
BlackRock Ohio Municipal Bond Portfolio
BlackRock Pennsylvania Municipal Bond Fund
BlackRock Short-Term Municipal Fund
Target Risk & Target Date Funds
BlackRock Prepared Portfolios
Conservative Prepared Portfolio
Moderate Prepared Portfolio
Growth Prepared Portfolio
Aggressive Growth Prepared Portfolio
BlackRock Lifecycle Prepared Portfolios
Prepared Portfolio 2010
Prepared Portfolio 2015
Prepared Portfolio 2020
Prepared Portfolio 2025
Prepared Portfolio 2030
Prepared Portfolio 2035
Prepared Portfolio 2040
Prepared Portfolio 2045
Prepared Portfolio 2050
* See the prospectus for information on specific limitations on investments
in the fund.
++ Mixed asset fund.
BlackRock mutual funds are distributed by BlackRock Distributors, Inc. and
certain funds are also distributed by FAM Distributors, Inc. You should
consider the investment objectives, risks, charges and expenses of the funds
under consideration carefully before investing. Each fund's prospectus
contains this and other information and is available at www.blackrock.com or
by calling 800-882-0052 or from your financial advisor. The prospectus should
be read carefully before investing.
BLACKROCK COMMODITY STRATEGIES FUND MAY 31, 2007
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 - Schedule of Investments - The registrant's Schedule of Investments
is included as part of the Report to Stockholders filed under Item 1
of this form.
Item 7 - Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies - Not Applicable
Item 8 - Portfolio Managers of Closed-End Management Investment Companies -
Not Applicable
Item 9 - Purchases of Equity Securities by Closed-End Management Investment
Company and Affiliated Purchasers - Not Applicable
Item 10 - Submission of Matters to a Vote of Security Holders - The
registrant's Nominating Committee will consider nominees to the
Board recommended by shareholders when a vacancy becomes available.
Shareholders who wish to recommend a nominee should send nominations
which include biographical information and set forth the
qualifications of the proposed nominee to the registrant's
Secretary. There have been no material changes to these procedures.
Item 11 - Controls and Procedures
11(a) - The registrant's principal executive and principal financial
officers or persons performing similar functions have concluded that
the registrant's disclosure controls and procedures (as defined in
Rule 30a-3(c) under the Investment Company Act of 1940, as amended
(the "1940 Act")) are effective as of a date within 90 days of the
filing of this report based on the evaluation of these controls and
procedures required by Rule 30a-3(b) under the 1940 Act and Rule
15d-15(b) under the Securities and Exchange Act of 1934, as amended.
11(b) - There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act
(17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter
of the period covered by this report that have materially affected,
or are reasonably likely to materially affect, the registrant's
internal control over financial reporting.
Item 12 - Exhibits attached hereto
12(a)(1) - Code of Ethics - Not Applicable to this semi-annual report
12(a)(2) - Certifications - Attached hereto
12(a)(3) - Not Applicable
12(b) - Certifications - Attached hereto
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report
to be signed on its behalf by the undersigned, thereunto duly authorized.
BlackRock Commodity Strategies Fund and Master Commodity Strategies LLC
By: /s/ Robert C. Doll, Jr.
-----------------------
Robert C. Doll, Jr.,
Chief Executive Officer of
BlackRock Commodity Strategies Fund and Master Commodity Strategies LLC
Date: July 24, 2007
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 registrant and in the capacities and on
the dates indicated.
By: /s/ Robert C. Doll, Jr.
-----------------------
Robert C. Doll, Jr.,
Chief Executive Officer of
BlackRock Commodity Strategies Fund and Master Commodity Strategies LLC
Date: July 24, 2007
By: /s/ Donald C. Burke
-------------------
Donald C. Burke,
Chief Financial Officer of
BlackRock Commodity Strategies Fund and Master Commodity Strategies LLC
Date: July 24, 2007