UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT
COMPANIES
Investment Company Act file number 811-21486
811-21538
Name of Fund: BlackRock Commodity Strategies Fund
Master Commodity Strategies LLC
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: Donald C. Burke, 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: 11/30/2007
Date of reporting period: 12/01/2006 - 11/30/2007
Item 1 - Report to Stockholders
EQUITIES FIXED INCOME REAL ESTATE LIQUIDITY ALTERNATIVES
BLACKROCK SOLUTIONS
BlackRock Commodity
Strategies Fund
ANNUAL REPORT NOVEMBER 30, 2007
(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
100 Bellevue Parkway
Wilmington, DE 19809
(GO PAPERLESS... logo)
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Table of Contents
Page
A Letter to Shareholders 3
Annual Report:
Fund Summary 4
About Fund Performance 6
Disclosure of Expenses 6
Fund Financial Statements:
Statement of Assets and Liabilities 7
Statement of Operations 8
Statements of Changes in Net Assets 9
Fund Financial Highlights 10
Fund Notes to Financial Statements 12
Fund Report of Independent Registered Public Accounting Firm 15
Proxy Results 16
Master Portfolio Summary 16
Master Financial Statements:
Schedule of Investments 17
Statement of Assets and Liabilities 21
Statement of Operations 22
Statements of Changes in Net Assets 23
Master Financial Highlights 23
Master Notes to Financial Statements 24
Master Report of Independent Registered Public Accounting Firm 28
Officers and Directors 29
Important Tax Information 32
BlackRock Fund Information 33
Mutual Fund Family 35
BLACKROCK COMMODITY STRATEGIES FUND NOVEMBER 30, 2007
A Letter to Shareholders
Dear Shareholder
The November reporting period was fairly tumultuous for financial markets,
culminating in mixed results for some of the major benchmark indexes:
Total Returns as of November 30, 2007 6-month 12-month
U.S. equities (S&P 500 Index) -2.33% + 7.72%
Small cap U.S. equities (Russell 2000 Index) -8.82 - 1.17
International equities (MSCI Europe, Australasia, Far East Index) +2.82 +17.30
Fixed income (Lehman Brothers U.S. Aggregate Bond Index) +5.32 + 6.05
Tax-exempt fixed income (Lehman Brothers Municipal Bond Index) +2.40 + 2.71
High yield bonds (Lehman Brothers U.S. Corporate High Yield 2% Issuer Cap Index) -2.84 + 3.01
Past performance is no guarantee of future results. Index performance shown
for illustrative purposes only. You cannot invest directly in an index.
Subprime mortgage woes dominated headlines for much of 2007, but intensified
in the summer and fall, spawning a widespread liquidity and credit crisis with
ramifications across global markets. The Federal Reserve Board (the "Fed")
stepped in to inject liquidity into the markets and bolster investor
confidence, cutting the federal funds rate by 0.50% in September, 0.25% in
October and 0.25% in December, which brought the target short-term interest
rate to 4.25%. In taking action, the central bankers, who had long deemed
themselves inflation fighters, were seeking to stem the fallout from the
credit crunch and forestall a wider economic unraveling.
Amid the volatility throughout 2007, equity markets displayed surprising
resilience. To some extent, the credit turmoil dampened corporate merger-and-
acquisition (M&A) activity, a key source of strength for equity markets.
Still, market fundamentals generally held firm, dividend payouts and share
buybacks continued, and valuations remained attractive. As the returns
indicate, the most recent six months were more trying, reflecting the slowing
U.S. economy, a troubled housing market and a more difficult corporate
earnings backdrop. Overall, large cap stocks outperformed small caps as
investors grew increasingly risk averse. International markets fared better
than their U.S. counterparts, benefiting from generally stronger economies.
In fixed income markets, mixed economic signals and the credit woes resulted
in a flight to quality. Investors shunned bonds associated with the housing
and credit markets in favor of higher-quality Treasury issues. The yield on
10-year Treasury issues, which touched 5.30% in June (its highest level in
five years), fell to 3.97% by period-end, while prices correspondingly rose.
Meanwhile, the tax-exempt bond market has been challenged by a combination of
record-setting supply, economic uncertainty and concerns around the credit
worthiness of bond insurers. This brought municipal bond prices to relatively
attractive levels and, as such, demand generally held firm.
As you navigate market volatility, we encourage you to review your investment
goals with your financial professional and to make portfolio changes, as
needed. For more market insight and commentary from BlackRock investment
professionals, we invite you to visit www.blackrock.com/funds. As always, 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,
/s/ Rob Kapito
- ---------------
Rob Kapito
President, BlackRock Advisors, LLC
THIS PAGE NOT PART OF YOUR FUND REPORT
Fund Summary
Portfolio Management Commentary
How did the Fund perform?
* The Fund, through its investment in Master Commodity Strategies LLC,
underperformed its benchmark for the fiscal year. 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. Both 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
impact the Fund's results relative to the indexes.
What factors influenced performance?
* Broad market themes hurt the benchmark and the Fund. Unseasonably warm
weather through part of the 2006-2007 winter hampered demand for energy,
to which the Fund is exposed. Exposure to metals contracts also detracted
from performance, as concerns about the U.S. housing market contributed to
price volatility throughout the sector. In addition, commodities markets
suffered a significant sell-off in conjunction with this summer's credit
market turmoil. Investors abandoned commodities in favor of less risky
assets, despite positive fundamentals across most of the market. We also
use credit-sensitive debt securities to provide yield enhancement for the
portfolio and, as such, Fund returns are further influenced by the
performance of the credit markets.
* The Fund generally benefited from its exposure to oil. Although prices
were volatile, strong demand from China and predominately low inventory
levels contributed to a bullish outlook for crude oil over the year.
Exposure to agriculture products also proved positive. In a year when
housing concerns sparked trouble across metals, as well as erratic energy
pricing, agricultural futures such as wheat, soybeans, corn and soybean
oil were strong performers. Population growth and global demand for food
have helped these futures weather turbulent markets.
Describe recent portfolio activity.
* The most significant change for the Fund was the introduction of its
new benchmark, which invests in a combined allocation to two enhanced
indexes--the AIG Commodities Basis Index and the AIG Commodities Relative
Strength Index.
* Despite the change in benchmark, the Fund's overall strategy remained the
same: 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 (LIBOR).
Describe Fund positioning at period-end.
* At period-end, the Fund held overweight positions across the energy
sector, as oil prices are expected to continue their climb amid increased
winter demand. In addition, the benchmark is positioned to take advantage
of what many see as a supercycle for agriculture. As such, the Fund holds
overweight positions in wheat, soybeans and soybean oil.
Expense Example
Actual Hypothetical**
Beginning Ending Expenses Beginning Ending Expenses
Account Value Account Value Paid During Account Value Account Value Paid During
June 1, 2007 November 30, 2007 the Period* June 1, 2007 November 30, 2007 the Period*
Institutional $1,000 $949.90 $ 6.57 $1,000 $1,018.56 $ 6.80
Investor A $1,000 $948.80 $ 7.70 $1,000 $1,017.39 $ 7.98
Investor B $1,000 $944.60 $11.48 $1,000 $1,013.49 $11.89
Investor C $1,000 $944.40 $11.53 $1,000 $1,013.44 $11.94
* For each class of the Fund, expenses are equal to the annualized expense ratio for the class
(1.33% for Institutional, 1.56% for Investor A, 2.33% for Investor B and 2.34% for Investor C),
multiplied by the average account value over the period, multiplied by 185/365 (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 and the master 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.
See "Disclosure of Expenses" on page 6 for further information on how expenses were calculated.
BLACKROCK COMMODITY STRATEGIES FUND NOVEMBER 30, 2007
Total Return Based on a $10,000 Investment
A line graph illustrating the growth of a $10,000 investment in Institutional
Shares*++ and Investor A 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
November 2004 $11,580.00
November 2005 $12,472.00
November 2006 $11,659.00
November 2007 $10,788.00
Investor A Shares*++
Date Value
3/26/2004** $ 9,475.00
November 2004 $10,963.00
November 2005 $11,773.00
November 2006 $10,976.00
November 2007 $10,132.00
Dow Jones - AIG Total Return Commodity Index++++
Date Value
3/26/2004** $10,000.00
November 2004 $10,463.00
November 2005 $11,702.00
November 2006 $12,919.00
November 2007 $13,692.00
Goldman Sachs Commodity Total Return Index++++++
Date Value
3/26/2004** $10,000.00
November 2004 $12,018.00
November 2005 $13,203.00
November 2006 $12,416.00
November 2007 $14,466.00
* 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 Master 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. The Fund used the
Goldman Sachs Commodity Total Return Index as its benchmark index
until March 30, 2007.
Performance Summary for the Period Ended November 30, 2007
Average Annual Total Returns*
1 Year Since Inception**
6-Month w/o sales w/sales w/o sales w/sales
Total Returns charge charge charge charge
Institutional - 5.01% - 7.46% -- + 2.08% --
Investor A - 5.12 - 7.69 -12.54% + 1.84 +0.36%
Investor B - 5.54 - 8.39 -12.32 + 1.18 +0.50
Investor C - 5.56 - 8.44 - 9.31 + 1.16 +1.16
Dow Jones--AIG Total Return Commodity Index + 4.86 + 5.98 -- + 8.91 --
Goldman Sachs Commodity Total Return Index +21.45 +16.51 -- +10.55 --
*Assuming maximum sales charges. See "About Fund Performance" on page 6 for a detailed description of
share classes, including any related sales charges and fees.
** The Fund commenced operations on 3/26/04.
Past performance is not indicative of future results.
BLACKROCK COMMODITY STRATEGIES FUND NOVEMBER 30, 2007
About Fund Performance
* 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/funds to obtain
performance data current to the most recent month-end. Performance results do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares. Figures shown in the
performance tables on page 5 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.
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 expense example on page 4
(which is based on a hypothetical investment of $1,000 invested on June 1,
2007 and held through November 30, 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 table provides information about actual account values and actual
expenses. In order to estimate the expenses a shareholder paid during the
period covered by this report, shareholders can divide their account value by
$1,000 and then multiply the result by the number corresponding to their share
class under the heading entitled "Expenses Paid During the Period."
The table also provides information about hypothetical account values and
hypothetical expenses based on the Fund's actual expense ratio and an assumed
rate of return of 5% per year before expenses. In order to assist shareholders
in comparing the ongoing expenses of investing in 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 hypothetical
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.
BLACKROCK COMMODITY STRATEGIES FUND NOVEMBER 30, 2007
Statement of Assets and Liabilities BlackRock Commodity Strategies Fund
As of November 30, 2007
Assets
Investment in Master Commodity Strategies LLC (the "Master LLC"), at value
(identified cost--$36,076,014) $ 39,791,851
Receivable from administrator 42,106
Prepaid expenses 3,554
---------------
Total assets 39,837,511
---------------
Liabilities
Payables:
Distributor $ 25,025
Other affiliates 14,518 39,543
---------------
Accrued expenses 31,414
---------------
Total liabilities 70,957
---------------
Net Assets
Net assets $ 39,766,554
===============
Net Assets Consist of
Institutional Shares of beneficial interest, $.01 par value, unlimited number of shares authorized $ 10,019
Investor A Shares of beneficial interest, $.01 par value, unlimited number of shares authorized 7,727
Investor B Shares of beneficial interest, $.01 par value, unlimited number of shares authorized 6,320
Investor C Shares of beneficial interest, $.01 par value, unlimited number of shares authorized 22,626
Paid-in capital in excess of par 57,001,486
Undistributed investment income--net 1,851,891
Accumulated realized capital losses allocated from the Master LLC--net (22,849,352)
Unrealized appreciation allocated from the Master LLC--net 3,715,837
---------------
Net Assets $ 39,766,554
===============
Net Asset Value
Institutional--Based on net assets of $8,556,854 and 1,001,915 shares of beneficial
interest outstanding $ 8.54
===============
Investor A--Based on net assets of $6,585,857 and 772,675 shares of beneficial
interest outstanding $ 8.52
===============
Investor B--Based on net assets of $5,384,356 and 631,976 shares of beneficial
interest outstanding $ 8.52
===============
Investor C--Based on net assets of $19,239,487 and 2,262,593 shares of beneficial
interest outstanding $ 8.50
===============
See Notes to Financial Statements.
BLACKROCK COMMODITY STRATEGIES FUND NOVEMBER 30, 2007
Statement of Operations BlackRock Commodity Strategies Fund
For the Year Ended November 30, 2007
Investment Income
Net investment allocated from the Master LLC:
Interest $ 2,805,641
Expenses (527,548)
---------------
Total income 2,278,093
---------------
Expenses
Administration fees $ 273,617
Service and distribution fees--Investor C 269,983
Printing and shareholder reports 69,618
Service and distribution fees--Investor B 65,906
Registration fees 55,850
Transfer agent fees--Investor C 49,849
Professional fees 42,683
Transfer agent fees--Institutional 22,573
Service fees--Investor A 22,446
Transfer agent fees--Investor A 14,306
Transfer agent fees--Investor B 12,079
Other 15,146
---------------
Total expenses before waiver and reimbursement 914,056
Waiver and reimbursement of expenses (354,696)
---------------
Total expenses after waiver and reimbursement 559,360
---------------
Investment income--net 1,718,733
---------------
Realized and Unrealized Gain (Loss) Allocated from the Master LLC--Net
Realized loss on investments, financial futures contracts, swaps, options written and
foreign currency transactions--net (13,125,403)
Change in unrealized appreciation/depreciation on investments, financial futures contracts,
swaps, options written and foreign currency transactions--net 5,380,352
Total realized and unrealized loss--net (7,745,051)
---------------
Net Decrease in Net Assets Resulting from Operations $ (6,026,318)
===============
See Notes to Financial Statements.
BLACKROCK COMMODITY STRATEGIES FUND NOVEMBER 30, 2007
Statements of Changes in Net Assets BlackRock Commodity Strategies Fund
For the Year Ended
November 30,
Increase (Decrease) in Net Assets: 2007 2006
Operations
Investment income--net $ 1,718,733 $ 2,004,188
Realized loss--net (13,125,403) (7,484,576)
Change in unrealized appreciation/depreciation--net 5,380,352 (1,542,807)
--------------- ---------------
Net decrease in net assets resulting from operations (6,026,318) (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 (349,736) (1,680,740)
Investor C (1,525,798) (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 (27,259,677) 6,640,243
--------------- ---------------
Redemption Fee
Redemption fee 14 --
--------------- ---------------
Net Assets
Total decrease in net assets (36,785,990) (13,941,633)
Beginning of year 76,552,544 90,494,177
--------------- ---------------
End of year* $ 39,766,554 $ 76,552,544
=============== ===============
* Undistributed investment income--net $ 1,851,891 $ 3,236,898
=============== ===============
See Notes to Financial Statements.
BLACKROCK COMMODITY STRATEGIES FUND NOVEMBER 30, 2007
Financial Highlights BlackRock Commodity Strategies Fund
Institutional Investor A
The following per share
data and ratios have For the Period For the Period
been derived from March 26, March 26,
information provided For the Year 2004++ to For the Year 2004++ to
in the financial Ended November 30, November 30, Ended November 30, November 30,
statements. 2007 2006 2005 2004 2007 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 .33++++ .31++++ .22 .02 .31++++ .28++++ .18 .01
Realized and
unrealized gain
(loss)--net (1.05)+++++ (.97) .66 1.56 (1.05)+++++ (.97) .67 1.56
-------------------------------------------------- --------------------------------------------------
Total from investment
operations (.72) (.66) .88 1.58 (.74) (.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 $ 8.54 $ 9.82 $ 12.38 $ 11.58 $ 8.52 $ 9.79 $ 12.35 $ 11.57
================================================== ==================================================
Total Investment Return**
Based on net asset
value per share (7.46%) (6.52%) 7.70% 15.80%+++ (7.69%) (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%* 1.57% 1.57% 1.57% 1.42%*
================================================== ==================================================
Expenses 1.98% 1.80% 2.12% 2.36%* 2.21% 2.04% 2.37% 2.61%*
================================================== ==================================================
Investment income--net 3.81% 2.86% 1.79% .35%* 3.55% 2.62% 1.51% .19%*
================================================== ==================================================
Supplemental Data
Net assets, end of
period (in thousands) $ 8,557 $ 17,666 $ 21,808 $ 13,643 $ 6,586 $ 12,995 $ 12,860 $ 10,867
================================================== ==================================================
Portfolio turnover
of the Master LLC 346% 67% 50% 19% 346% 67% 50% 19%
================================================== ==================================================
* Annualized.
** Total investment returns exclude the effects of any 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.
+++++ Includes a redemption fee, which is less than $.01 per share.
See Notes to Financial Statements.
BLACKROCK COMMODITY STRATEGIES FUND NOVEMBER 30, 2007
Financial Highlights (concluded) BlackRock Commodity Strategies Fund
Investor B Investor C
The following per share
data and ratios have For the Period For the Period
been derived from March 26, March 26,
information provided For the Year 2004++ to For the Year 2004++ to
in the financial Ended November 30, November 30, Ended November 30, November 30,
statements. 2007 2006 2005 2004 2007 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 .24++++ .20++++ .09 --++++++ .24++++ .20++++ .09 --++++++
Realized and
unrealized gain
(loss)--net (1.05)+++++ (.96) .67 1.55 (1.05)+++++ (.97) .68 1.55
-------------------------------------------------- --------------------------------------------------
Total from investment
operations (.81) (.76) .76 1.55 (.81) (.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 $ 8.52 $ 9.74 $ 12.29 $ 11.55 $ 8.50 $ 9.73 $ 12.29 $ 11.55
================================================== ==================================================
Total Investment Return**
Based on net asset
value per share (8.39%) (7.46%) 6.63% 15.50%+++ (8.44%) (7.50%) 6.67% 15.50%+++
================================================== ==================================================
Ratios to Average Net Assets***
Expenses, net of
waiver and
reimbursement 2.33% 2.34% 2.34% 1.65%* 2.34% 2.34% 2.34% 1.67%*
================================================== ==================================================
Expenses 2.99% 2.83% 3.14% 3.37%* 2.99% 2.82% 3.14% 3.37%*
================================================== ==================================================
Investment income
(loss)--net 2.78% 1.83% .73% (.03%)* 2.79% 1.83% .75% (.03%)*
================================================== ==================================================
Supplemental Data
Net assets, end of
period (in thousands) $ 5,384 $ 8,660 $ 11,534 $ 10,663 $ 19,239 $ 37,232 $ 44,292 $ 34,403
================================================== ==================================================
Portfolio turnover
of the Master LLC 346% 67% 50% 19% 346% 67% 50% 19%
================================================== ==================================================
* 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.
+++++ Includes a redemption fee, which is less than $.01 per share.
See Notes to Financial Statements.
BLACKROCK COMMODITY STRATEGIES FUND NOVEMBER 30, 2007
Notes to Financial Statements BlackRock Commodity Strategies Fund
1. Significant Accounting Policies:
Effective March 29, 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 Commodity Strategies LLC (the "Master
LLC"), which has the same investment objective and strategies as the Fund. 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. The percentage of the Master LLC owned by the
Fund at November 30, 2007 was 92.7%. The Fund offers multiple classes of
shares. Institutional Shares are sold only to certain eligible investors.
Investor A Shares are generally 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 ("FASB") issued Interpretation No. 48 ("FIN 48"), "Accounting
for Uncertainty in Income Taxes--an interpretation of FASB Statement No. 109."
FIN 48 prescribes the minimum recognition threshold a tax position must meet
in connection with accounting for uncertainties in income tax positions taken
or expected to be taken by an entity, including mutual funds, before being
measured and recognized in the financial statements. 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.
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. The impact on the Fund's financial statement disclosures, if
any, is currently being assesed.
In addition, in February 2007, Statement of Financial Accounting Standards
No. 159, "The Fair Value Option for Financial Assets and Financial
Liabilities" ("FAS 159"), was issued and 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. The impact
on the Fund's financial statement disclosures, if any, is currently being
assesed.
BLACKROCK COMMODITY STRATEGIES FUND NOVEMBER 30, 2007
Notes to Financial Statements (continued) BlackRock Commodity Strategies Fund
(h) Reclassification--U.S. generally accepted accounting principles require
that certain components of net assets be adjusted to reflect permanent
differences between financial and tax reporting. Accordingly, during the
current year, $396,269 has been reclassified between accumulated net realized
capital losses and undistributed net investment income as a result of
permanent differences attributable to the characterization of realized gains
on certain debt instruments, swap agreements, and accounting for paydowns.
This reclassification has no effect on net assets or net asset values per
share.
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 .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 year ended November 30, 2007, the Administrator earned fees of $273,617,
all of which was waived. In addition, the Administrator reimbursed the Fund
$81,079 in additional operating expenses.
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
ongoing service and distribution fees. The fees are accrued daily and paid
monthly at annual rates based upon the average daily net assets of the 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 the Distributor and the broker-
dealers for providing distribution-related services to Investor B and
Investor C shareholders.
For the year ended November 30, 2007, FAMD and BDI earned underwriting
discounts and direct commissions and MLPF&S and BDI earned dealer concessions
on sales of the Fund's Investor A Shares, which totaled $13,352.
For the year ended November 30, 2007, affiliates received contingent deferred
sales charges of $29,560 and $17,341 relating to transactions in Investor B
and Investor C Shares, respectively.
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 year ended November 30, 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 $ 108
Investor A $ 291
Investor B $ 110
Investor C $ 337
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 $(27,259,677) and $6,640,243 for the years ended November
30, 2007 and November 30, 2006, respectively.
Transactions in beneficial interest for each class were as follows:
BLACKROCK COMMODITY STRATEGIES FUND NOVEMBER 30, 2007
Notes to Financial Statements (continued) BlackRock Commodity Strategies Fund
For the Year Ended For the Year Ended
November 30, 2007 November 30, 2006
Shares Amount Shares Amount
Institutional Shares
Shares sold 566,172 $ 4,810,390 1,150,740 $ 12,392,997
Shares issued to shareholders in reinvestment of dividends
and distributions 88,584 769,824 226,083 2,403,265
------------------------------ ------------------------------
Total issued 654,756 5,580,214 1,376,823 14,796,262
Shares redeemed (1,452,585) (12,322,167) (1,338,472) (14,155,346)
------------------------------ ------------------------------
Net increase (decrease) (797,829) $ (6,741,953) 38,351 $ 640,916
============================== ==============================
Investor A Shares
Shares sold and automatic conversion of shares 178,737 $ 1,536,390 645,917 $ 6,856,245
Shares issued to shareholders in reinvestment of dividends
and distributions 69,168 601,150 158,581 1,684,129
------------------------------ ------------------------------
Total issued 247,905 2,137,540 804,498 8,540,374
Shares redeemed (802,734) (6,873,449) (517,953) (5,324,468)
------------------------------ ------------------------------
Net increase (decrease) (554,829) $ (4,735,909) 286,545 $ 3,215,906
============================== ==============================
Investor B Shares
Shares sold 38,506 $ 321,349 167,012 $ 1,857,565
Shares issued to shareholders in reinvestment of dividends
and distributions 34,218 299,433 132,292 1,407,587
------------------------------ ------------------------------
Shares issued 72,724 620,782 299,304 3,265,152
Shares redeemed and automatic conversion of shares (330,173) (2,875,347) (348,188) (3,580,479)
------------------------------ ------------------------------
Net decrease (257,449) $ (2,254,565) (48,884) $ (315,327)
============================== ==============================
Investor C Shares
Shares sold 522,014 $ 4,395,055 1,519,631 $ 16,472,768
Shares issued to shareholders in reinvestment of dividends 156,911 1,371,467 530,170 5,635,707
------------------------------ ------------------------------
Total issued 678,925 5,766,522 2,049,801 22,108,475
Shares redeemed (2,244,752) (19,293,772) (1,826,184) (19,009,727)
------------------------------ ------------------------------
Net increase (decrease) (1,565,827) $(13,527,250) 223,617 $ 3,098,748
============================== ==============================
The Fund charges a 2% redemption fee on the proceeds (calculated at market
value) of a redemption (either by sale or exchange) of Fund shares made within
30 days of purchase or exchange. The redemption fee is paid to the Fund and is
intended to offset the trading costs, market impact and other costs associated
with short-term trading into and out of the Fund.
BLACKROCK COMMODITY STRATEGIES FUND NOVEMBER 30, 2007
Notes to Financial Statements (concluded) BlackRock Commodity Strategies Fund
4. Distributions to Shareholders:
The tax character of distributions paid during the fiscal years ended November
30, 2007 and November 30, 2006 was as follows:
11/30/2007 11/30/2006
Distributions paid from:
Ordinary income $ 3,500,009 $ 13,499,334
Net long-term capital gains -- 59,347
--------------- ---------------
Total distributions $ 3,500,009 $ 13,558,681
=============== ===============
As of November 30, 2007, the components of accumulated losses on a tax
basis were as follows:
Undistributed ordinary income - net $ 1,851,444
Undistributed long-term capital gains - net --
---------------
Total undistributed earnings - net 1,851,444
Capital loss carryforward (22,212,704)*
Unrealized gains - net 3,079,636**
---------------
Total accumulated losses - net $ (17,281,624)
===============
* On November 30, 2007, the Fund had a net capital loss carryforward of
$22,212,704, of which $9,401,925 expires in 2014 and $12,810,779 expires
in 2015. This amount will be available to offset like amounts of any
future taxable gains.
** The difference between book-basis and tax-basis net unrealized gains is
attributable primarily to the deferral of post-October capital losses for
tax purposes, the realization for tax purposes of unrealized gains (losses)
on certain futures, options and foreign currency contracts and other
book/tax temporary differences.
5. Subsequent Event:
The Fund paid an ordinary income dividend in the amount of $.539510 per
Institutional Share, $.514973 per Investor A Share, $.438212 per Investor B
Share and $.423204 per Investor C Share on December 21, 2007 to shareholders
of record on December 20, 2007.
Report of Independent Registered Public Accounting Firm
BlackRock Commodity Strategies Fund
To the Shareholders and Board of Directors
of BlackRock Commodity Strategies Fund:
We have audited the accompanying statement of assets and liabilities, of
BlackRock Commodity Strategies Fund (formerly BlackRock Real Investment Fund)
(the "Fund") as of November 30, 2007, and the related statement of operations
for the year then ended, and the statements of changes in net assets and the
financial highlights for each of the two years in the period then ended. These
financial statements and financial highlights are the responsibility of the
Fund's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits. The
financial highlights of the Fund for the year ended November 30, 2005 and for
the period March 26, 2004 (commencement of operations) to November 30, 2004,
were audited by other auditors whose report, dated January 18, 2006, expressed
an unqualified opinion on those financial highlights.
We conducted our audits in accordance with the standards of the Public
Company Accounting Oversight Board (United States). Those standards require
that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements and financial highlights are free of material
misstatement. The Fund is not required to have, nor were we engaged to
perform, an audit of its internal control over financial reporting. Our audit
included consideration of internal control over financial reporting as a basis
for designing audit procedures that are appropriate in the circumstances, but
not for the purpose of expressing an opinion on the effectiveness of the
Fund's internal control over financial reporting. Accordingly, we express no
such opinion. An audit also includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
as well as evaluating the overall financial statement presentation. We believe
that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
BlackRock Commodity Strategies Fund as of November 30, 2007, the results of
its operations for the year then ended, and the changes in its net assets and
its financial highlights for each of the two years in the period then ended,
in conformity with accounting principles generally accepted in the United
States of America.
Deloitte & Touche LLP
Princeton, New Jersey
January 28, 2008
BLACKROCK COMMODITY STRATEGIES FUND NOVEMBER 30, 2007
Proxy Results
During the six-month period ended November 30, 2007, the shareholders* of
BlackRock Commodity Strategies Fund voted on the following proposal, which was
approved at a special shareholders' meeting on September 7, 2007. This
proposal was a part of the reorganization of the Fund's Board of Directors
that took effect on November 1, 2007. A description of the proposal and number
of shares voted are as follows:
Shares Voted Shares Withheld
For From Voting
To elect the Fund's Board of Directors: James H. Bodurtha 5,939,214 163,118
Bruce R. Bond 5,939,214 163,118
Donald W. Burton 5,938,159 164,173
Richard S. Davis 5,939,214 163,118
Stuart E. Eizenstat 5,939,386 162,946
Laurence D. Fink 5,940,441 161,891
Kenneth A. Froot 5,939,214 163,118
Henry Gabbay 5,939,214 163,118
Robert M. Hernandez 5,939,214 163,118
John F. O'Brien 5,938,159 164,173
Roberta Cooper Ramo 5,939,214 163,118
Jean Margo Reid 5,939,214 163,118
David H. Walsh 5,939,214 163,118
Fred G. Weiss 5,939,386 162,946
Richard R. West 5,938,159 164,173
* As feeder fund of Master Commodity Strategies LLC, the shareholders of BlackRock Commodity Strategies Fund
also voted to elect the above-named individuals as Directors of Master Commodity Strategies LLC.
Portfolio Summary Master Commodity Strategies LLC
As of November 30, 2007
Percent of
Long-Term
Asset Mix Investments
Corporate Bonds 28.9%
Non-Government Agency Mortgage-Backed
Securities--Collateralized Mortgage
Obligations 25.9
Structured Notes 24.1
Non-Government Agency Mortgage-Backed
Securities--Commercial Mortgage-
Backed Securities 6.2
Government Agency Mortgage-Backed
Securities 6.1
Government Agency Mortgage-Backed
Securities--Collateralized Mortgage
Obligations 5.5
Asset-Backed Securities 2.8
Capital Trusts 0.2
Other* 0.3
* Includes portfolio holdings in options purchased.
BLACKROCK COMMODITY STRATEGIES FUND NOVEMBER 30, 2007
Schedule of Investments as of November 30, 2007 Master Commodity Strategies LLC
Face
Amount Asset-Backed Securities++ Value
USD 294,971 Amortizing Residential Collateral Trust Series 2002-BC3 Class M2,
5.889% due 6/25/2032 (a) $ 147,485
194,643 Countrywide Asset Backed Certificates Series 2003-2 Class M1,
5.489% due 6/26/2033 (a) 165,446
34,992 GSAA Home Equity Trust Series 2006-8N Class N1, 6% due 10/26/2036 (e) 10,498
500,000 Residential Asset Mortgage Products, Inc. Series 2004-RZ4
Class M3, 5.689% due 12/25/2034 (a) 441,138
28,180 Wachovia Asset Securitization, Inc. Series 2003-HE1 Class A1,
5.079% due 3/25/2033 (a) 27,706
459,000 Wells Fargo Home Equity Trust Series 2004-2 Class M5, 6.039%
due 11/25/2033 (a) 414,431
Total Asset-Backed Securities (Cost--$1,514,105)--2.8% 1,206,704
Industry Corporate Bonds
Capital Markets--0.9% Morgan Stanley:
200,000 5.625% due 1/09/2012 203,188
175,000 6.25% due 8/28/2017 177,951
-------------
381,139
Commercial Banks--23.9% 325,000 Glitnir Banki HF, 5.44% due 4/20/2010 (a)(e) 317,745
8,000,000 Natixis Financial Products, Inc., 5.299% due 9/22/2008 (a)(e) 9,921,440
-------------
10,239,185
Commercial Services & 50,000 West Corp., 9.50% due 10/15/2014 49,250
Supplies - 0.1%
Diversified Financial 115,000 Citigroup, Inc., 5.30% due 10/17/2012 116,577
Services--0.5% 100,000 Ford Motor Credit Co. LLC, 7.80% due 6/01/2012 89,119
-------------
205,696
Diversified Telecommunication 50,000 Citizens Communications Co., 6.25% due 1/15/2013 48,313
Services--0.5% 50,000 Qwest Communications International, Inc., 7.50% due 2/15/2014 49,625
145,000 Qwest Corp., 6.50% due 6/01/2017 (e) 138,113
-------------
236,051
Electronic Equipment & 75,000 NXP BV, 7.993% due 10/15/2013 (a) 70,875
Instruments--0.2%
Food & Staples Retailing--0.4% 190,000 CVS/Caremark Corp., 5.921% due 6/01/2010 (a) 186,971
Hotels, Restaurants & 75,000 MGM Mirage, 5.875% due 2/27/2014 67,969
Leisure--0.2%
Media--0.7% 300,000 Time Warner Cable, Inc., 5.40% due 7/02/2012 301,856
Metals & Mining--0.2% 95,000 Freeport-McMoRan Copper & Gold, Inc., 8.375% due 4/01/2017 102,600
Oil, Gas & Consumable Fuels--0.2% 55,000 Peabody Energy Corp., 7.375% due 11/01/2016 56,375
40,000 Petrobras International Finance Co., 5.875% due 3/01/2018 40,900
-------------
97,275
Total Corporate Bonds (Cost--$10,053,157)--27.8% 11,938,867
Structured Notes
Diversified Financial 8,000,000 AIG-FP Private Funding (Cayman) Limited (AIG Commodity Relative
Services--24.4% Strength Index Total Return (SM) Linked Notes), 5.343% due
5/12/2008 (f) 10,455,012
Total Structured Notes (Cost--$8,000,000)--24.4% 10,455,012
Government Agency Mortgage-Backed Securities++
2,571,653 Fannie Mae Guaranteed Pass-Through Certificates, 6.50% due
3/01/2037 - 12/15/2037 (b) 2,645,259
Total Government Agency Mortgage-Backed Securities
(Cost--$2,621,978)--6.2% 2,645,259
BLACKROCK COMMODITY STRATEGIES FUND NOVEMBER 30, 2007
Schedule of Investments (continued) Master Commodity Strategies LLC
Face
Amount Government Agency Mortgage-Backed Securities++ Value
Collateralized Mortgage Fannie Mae Trust (c):
Obligations--5.5% USD 2,101,712 Series 360 Class 2, 5% due 8/01/2035 $ 513,179
731,385 Series 377 Class 2, 5% due 10/01/2036 182,051
489,443 Series 2007-79 Class QC, .148% due 4/17/2037 (a) 3,118
646,003 Series 2007-88 Class SA, .283% due 8/25/2035 (a) 4,406
Freddie Mac Multiclass Certificates (a)(c):
4,700,901 Series 3295 Class SA, 0.78% due 3/15/2037 254,489
3,514,575 Series 3303 Class SE, 0.76% due 4/15/2037 179,797
Ginnie Mae Trust (a)(c):
9,514,631 Series 2005-9 Class IO, 0.778% due 1/16/2045 442,891
7,802,431 Series 2005-76 Class IO, 0.882% due 9/16/2045 400,755
7,769,255 Series 2005-90 Class IO, 0.912% due 11/16/2045 376,942
1,270,999 Series 2006-61 Class SA, .791% due 11/20/2036 21,414
Total Government Agency Mortgage-Backed Securities--
Collateralized Mortgage Obligations (Cost--$2,196,682)--5.5% 2,379,042
Non-Government Agency Mortgage-Backed Securities++
Collateralized Mortgage 810,858 ABN AMRO Mortgage Corp. Series 2003-2 Class 2A1, 5.289%
Obligations--26.2% due 3/25/2018 (a) 809,926
Banc of America Mortgage Securities Inc.:
979,688 Series 2004-C Class 2A1, 3.705% due 4/25/2034 (a) 963,792
492,364 Series 2007-3 Class 1A1, 6% due 9/25/2037 494,210
506,483 Countrywide Alternative Loan Trust Series 2004-2CB Class 1A4,
5.189% due 3/25/2034 (a) 499,667
Countrywide Home Loan Mortgage Pass-Through Trust (a):
480,584 Series 2004-J2 Class A2, 5.289% due 3/25/2034 477,455
1,062,721 Series 2004-J7 Class 1A1, 5.239% due 8/25/2034 1,057,675
480,711 First Horizon Asset Securities, Inc. Series 2003-4 Class 2A2,
5.239% due 6/25/2018 (a) 478,443
466,796 GSR Mortgage Loan Trust Series 2005-AR5 Class 2A3, 5.166% due
10/25/2035 (a) 466,313
506,779 Homebanc Mortgage Trust Series 2005-4 Class A1, 5.059% due
10/25/2035 (a) 495,438
Residential Accredit Loans, Inc. (a):
1,764,803 Series 2004-QS8 Class A4, 5.183% due 6/25/2034 1,735,554
582,593 Series 2006-QA9 Class A1, 4.969% due 11/25/2036 553,195
Residential Funding Mortgage Securities I Series 2003-S14 (a):
1,856,987 Class A5, 5.189% due 7/25/2018 1,847,899
1,009,737 Class A6, 5.189% due 7/25/2018 1,002,017
400,000 WaMu Mortgage Pass-Through Certificates Series 2005-AR13
Class A1C3, 5.279% due 10/25/2045 (a) 386,381
Total Non-Government Agency Mortgage-Backed Securities--
Collateralized Mortgage Obligations (Cost--$11,766,267)--26.2% 11,267,965
Commercial Mortgage-Backed Credit Suisse Mortgage Capital Certificates (a):
Securities--6.3% 390,000 Series 2007-C2 Class A3, 5.542% due 1/15/2049 390,481
400,000 Series 2007-C3 Class A4, 5.723% due 6/15/2039 407,522
550,000 GMAC Commercial Mortgage Securities, Inc. Series 2001-C1
Class B, 6.67% due 4/15/2034 (a)(h) 578,272
425,000 JPMorgan Chase Commercial Mortgage Securities Corp. Series
2006-LDP8 Class A4, 5.399% due 5/15/2045 423,299
420,000 LB-UBS Commercial Mortgage Trust Series 2007-C2 Class A3, 5.43%
due 2/15/2040 417,811
465,000 Merrill Lynch/Countrywide Commercial Mortgage Trust Series
2006-1 Class A4, 5.621% due 2/12/2039 (a)(d) 468,137
Total Non-Government Agency Mortgage-Backed Securities--
Commercial Mortgage-Backed Securities (Cost--$2,270,442)--6.3% 2,685,522
Industry Capital Trusts
Capital Markets--1.7% 160,000 Credit Suisse Guernsey Ltd. Series 1, 5.559% (a)(i) 156,477
330,000 Goldman Sachs Capital III Series F, 5.894% (a)(i) 277,787
230,000 Lehman Brothers Holdings Capital Trust V, 5.911% (a)(h)(i) 195,795
125,000 State Street Capital Trust IV, 6.694% due 6/01/2067 (a) 99,218
Total Capital Trusts (Cost--$845,419)--1.7% 729,277
BLACKROCK COMMODITY STRATEGIES FUND NOVEMBER 30, 2007
Schedule of Investments (continued) Master Commodity Strategies LLC
Number of
Contracts Options Purchased Value
Call Options Purchased 1++++ Receive a fixed rate of 5.56% and pay a floating rate based on
3-month USD LIBOR, expiring November 2012, Broker Deutsche
Bank AG (g) $ 66,804
Put Options Purchased 18 Euro dollar futures, expiring December 2007 at $94.625, Broker
CitiGroup Global Markets, Inc. 225
18 Euro dollar futures, expiring December 2007 at $94.875, Broker
CitiGroup Global Markets, Inc. 787
1++++ Pay a fixed rate of 5.56% and receive a floating rate based on
3-month USD LIBOR, expiring November 2012, Broker Deutsche
Bank AG (g) 47,795
-------------
48,807
Total Options Purchased (Premiums Paid--$112,963)--0.3% 115,611
Total Investments Before Options Written
(Cost--$39,381,013*)--101.2% 43,423,259
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 (g) (48,052)
Put Options Written 36 European dollar futures, expiring December 2007 at $94.75, Broker
CitiGroup Global Markets, Inc. (675)
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 (g) (3,848)
-------------
(4,523)
Total Options Written (Premiums Received--$33,765)--(0.1%) (52,575)
Total Investments, Net of Options Written (Cost--$39,347,248)--101.1% 43,370,684
Liabilities in Excess of Other Assets--(1.1%) (448,488)
-------------
Net Assets - 100.0% $ 42,922,196
=============
++ 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.
* The cost and unrealized appreciation (depreciation) of investments,
as of November 30, 2007, as computed for federal income tax
purposes, were as follows:
Aggregate cost $ 39,381,013
==============
Gross unrealized appreciation $ 4,660,249
Gross unrealized depreciation (618,003)
--------------
Net unrealized appreciation $ 4,042,246
==============
(a) Floating rate security.
(b) All or a portion of security held as collateral in connection with
reverse repurchase agreements. Reverse repurchase agreements outstanding
as of November 30, 2007 were as follows:
Net
Counter- Interest Trade Maturity Closing Face
party Rate Date Date Amount Amount
Lehman
Brothers,
Inc. 4.75% 11/30/2007 12/03/2007 $295,117 $295,000
(c) Represents the interest only portion of a mortgage-backed security
and has either a nominal or a notional amount of principal.
(d) 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 -- $2,226,213* -- $55,810
Merrill Lynch/
Countrywide
Commercial
Mortgage Trust
Series 2006-1
Class A4,
5.621% due
2/12/2039 $467,903 -- -- $16,479
* Represents net sales cost.
(e) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
(f) Represents a "structured note", the interest rate shown reflects the
effective yield at the time of purchase.
BLACKROCK COMMODITY STRATEGIES FUND NOVEMBER 30, 2007
Schedule of Investments (concluded) Master Commodity Strategies LLC
(g) 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.
(h) All or a portion of security held as collateral in connection with
open financial futures contracts.
(i) The security is a perpetual bond and has no definite maturity date.
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. These industry classifications
are unaudited.
o Forward foreign exchange contracts as of November 30, 2007
were as follows:
Foreign
Currency Settlement Unrealized
Purchased Date Depreciation
AUD 20,000 January 2008 $ (147)
SEK 120,000 January 2008 (362)
-----------
Total Unrealized Depreciation on Forward
Foreign Exchange Contracts--Net
(USD Commitment--$36,923) $ (509)
===========
o Financial futures contracts sold as of November 30, 2007
were as follows:
Unrealized
Number of Expiration Face Appreciation
Contracts Issue Date Value (Depreciation)
7 Euro Dollar December $1,660,040 $ (5,172)
Futures 2007
31 5-Year U.S. December $3,391,588 (30,037)
Treasury Bond 2007
7 Euro Dollar March $1,662,540 (14,485)
Futures 2008
4 2-Year U.S. March $ 840,205 (232)
Treasury Bond 2008
21 10-Year U.S. March $2,377,625 359
Treasury Bond 2008
5 Euro Dollar June $1,188,997 (14,378)
Futures 2008
5 Euro Dollar September $1,189,647 (16,541)
Futures 2008
5 Euro Dollar December $1,189,759 (17,303)
Futures 2008
5 Euro Dollar March $1,189,747 (17,003)
Futures 2009
4 Euro Dollar June $ 951,412 (12,888)
Futures 2009
4 Euro Dollar September $ 951,037 (11,913)
Futures 2009
4 Euro Dollar December $ 950,562 (10,937)
Futures 2009
4 Euro Dollar March $ 950,212 (9,988)
Futures 2010
------------
Total Unrealized Depreciation--Net $ (160,518)
============
o Swaps outstanding as of November 30, 2007 were as follows:
Unrealized
Notional Appreciation
Amount (Depreciation)
Receive a fixed rate of 5.39%
and pay a floating rate based on
3-month USD LIBOR
Broker, Deustche Bank AG
Expires July 2009 USD 3,905,000 $ 84,798
Receive a fixed rate of 4.4325%
and pay a floating rate based on
3-month STIBOR
Broker, Deustche Bank AG
Expires August 2009 SEK 19,920,000 (7,542)
Receive a fixed rate of 4.25625%
and pay a floating rate based on
3-month USD LIBOR
Broker, Credit Suisse First Boston
Expires November 2009 USD 2,977,000 19,783
Pay a fixed rate of 3.965%
and receive a floating based on
3-month USD LIBOR
Broker, Deustche Bank AG
Expires December 2009 USD 3,680,000 (2,366)
Sold credit default protection on
Fannie Mae and receive 0.18%
Broker, Lehman Brothers Inc.
Expires March 2010 USD 1,000,000 (1,840)
Sold credit default protection on
Freddie Mac and receive 0.15%
Broker, Lehman Brothers Inc.
Expires June 2010 USD 4,000,000 (61,960)
Sold credit default protection on
Fannie Mae and receive 0.48%
Broker, Deustche Bank AG
Expires June 2010 USD 2,000,000 (2,886)
Receive a fixed rate of 5.036%
and pay a floating rate based
on 3-month LIBOR
Broker, Citibank NA
Expires November 2010 USD 4,000,000 121,454
Receive a fixed rate of 7.1192%
and pay a floating rate based
6-month AUD Bank Bill Rate
Broker, Deustche Bank AG
Expires October 2012 AUD 1,520,000 (10,934)
----------
Total $ 138,507
==========
o Currency Abbreviations:
AUD Australian Dollar
SEK Swedish Krona
USD U.S. Dollar
See Notes to Financial Statements.
BLACKROCK COMMODITY STRATEGIES FUND NOVEMBER 30, 2007
Statement of Assets and Liabilities Master Commodity Strategies LLC
As of November 30, 2007
Assets
Investments in unaffiliated securities, at value (identified cost--$38,800,147) $ 42,839,511
Investments in affiliated securities, at value (identified cost--$467,903) 468,137
Options purchased, at value (premiums paid--$112,963) 115,611
Unrealized appreciation on swaps 226,035
Receivables:
Securities sold $ 2,087,799
Interest 491,093
Contributions 125,698
Swaps 91,706
Principal paydowns 23,355
Variation margin 626 2,820,277
---------------
Prepaid expenses 1,718
---------------
Total assets 46,471,289
---------------
Liabilities
Options written, at value (premiums received--$33,765) 52,575
Reverse repurchase agreements 295,000
Bank overdraft 305,989
Unrealized depreciation on swaps 87,528
Unrealized depreciation on forward foreign exchange contracts 509
Payables:
Securities purchased 2,026,790
Withdrawals 612,317
Swaps 92,915
Investment adviser 20,628
Other affiliates 410 2,753,060
---------------
Accrued expenses and other liabilities 54,432
---------------
Total liabilities 3,549,093
---------------
Net Assets
Net assets $ 42,922,196
===============
Net Assets Consist of
Investors' capital $ 38,921,280
Unrealized appreciation--net 4,000,916
---------------
Net Assets $ 42,922,196
===============
See Notes to Financial Statements.
BLACKROCK COMMODITY STRATEGIES FUND NOVEMBER 30, 2007
Statement of Operations Master Commodity Strategies LLC
For the Year Ended November 30, 2007
Investment Income
Interest (including $72,289 from affiliates) $ 3,164,086
---------------
Expenses
Investment advisory fees $ 309,199
Accounting services 113,384
Professional fees 97,687
Custodian fees 25,455
Pricing fees 14,836
Directors' fees and expenses 12,492
Printing and shareholder reports 2,165
Interest expense 590
Other 15,141
---------------
Total expenses 590,949
---------------
Investment income--net 2,573,137
---------------
Realized & Unrealized Gain (Loss)--Net
Realized gain (loss) on:
Investments--net (13,880,967)
Financial futures contracts and swaps--net (1,057,280)
Options written--net 75,051
Foreign currency transactions--net 242 (14,862,954)
---------------
Change in unrealized appreciation/depreciation on:
Investments--net 6,054,430
Financial futures contracts and swaps--net (7,009)
Options written--net (9,897)
Foreign currency transactions--net (509) 6,037,015
--------------- ---------------
Total realized and unrealized loss--net (8,825,939)
---------------
Net Decrease in Net Assets Resulting from Operations $ (6,252,802)
===============
See Notes to Financial Statements.
BLACKROCK COMMODITY STRATEGIES FUND NOVEMBER 30, 2007
Statements of Changes in Net Assets Master Commodity Strategies LLC
For the Year Ended
November 30,
Increase (Decrease) in Net Assets: 2007 2006
Operations
Investment income--net $ 2,573,137 $ 3,797,876
Realized loss--net (14,862,954) (9,061,179)
Change in unrealized appreciation/depreciation--net 6,037,015 (1,760,576)
--------------- ---------------
Net decrease in net assets resulting from operations (6,252,802) (7,023,879)
--------------- ---------------
Capital Transactions
Proceeds from contributions 11,859,424 49,004,105
Fair value of withdrawals (52,285,904) (58,535,826)
--------------- ---------------
Net decrease in net assets derived from capital transactions (40,426,480) (9,531,721)
--------------- ---------------
Net Assets
Total decrease in net assets (46,679,282) (16,555,600)
Beginning of year 89,601,478 106,157,078
--------------- ---------------
End of year $ 42,922,196 $ 89,601,478
=============== ===============
See Notes to Financial Statements.
Financial Highlights Master Commodity Strategies LLC
For the Period
For the Year Ended March 26, 2004++
The following ratios have been derived from November 30, to November 30,
information provided in the financial statements. 2007 2006 2005 2004
Total Investment Return
Total investment return (7.09%) (5.92%) 8.26% 16.20%**
=========== =========== =========== ===========
Ratios to Average Net Assets
Expenses, net of waiver and excluding interest expense .95% .70% .73% .68%*
=========== =========== =========== ===========
Expenses, net of waiver .96% .70% .73% .68%*
=========== =========== =========== ===========
Expenses .96% .70% .73% .73%*
=========== =========== =========== ===========
Investment income--net 4.16% 3.46% 2.37% .95%*
=========== =========== =========== ===========
Supplemental Data
Net assets, end of period (in thousands) $ 42,922 $ 89,601 $ 106,157 $ 75,982
=========== =========== =========== ===========
Portfolio turnover 346% 67% 50% 19%
=========== =========== =========== ===========
* Annualized.
** Aggregate total investment return.
++ Commencement of operations.
See Notes to Financial Statements.
BLACKROCK COMMODITY STRATEGIES FUND NOVEMBER 30, 2007
Notes to Financial Statements Master Commodity Strategies LLC
1. Significant Accounting Policies:
Master Real Investment Trust was renamed Master Commodity Strategies Trust
effective March 29, 2007, and was renamed Master Commodity Strategies LLC (the
"Master LLC") effective June 15, 2007. The Master LLC is registered under the
Investment Company Act of 1940, as amended, and is organized as a Delaware
limited liability company. Prior to June 15, 2007, the Master LLC was
organized as a Delaware statutory trust (the "Trust"). The Limited Liability
Company Agreement permits the Directors (and prior to June 15, 2007, the
Declaration of Trust permitted the Trustees) to issue nontransferable
interests in the Master LLC/Trust, subject to certain limitations. Throughout
this report the Trust and the Master LLC are referred to as the Master LLC and
the Board of Directors of the Master LLC and the Board of Trustees of the
Trust are 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.
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. Effective September 4, 2007, exchange-traded options are valued at
the mean between the last bid and ask prices at the close of the options
market in which the options trade and previously were valued at the last sales
price as of the close of options trading on applicable exchanges. Options
traded in the OTC market 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. 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
are reviewed periodically by the Board of Directors of the Master LLC.
Equity securities held by the Master LLC that 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.
(b) Asset-backed securities--The Master LLC invests a significant portion of
its assets in securities backed by commercial or residential mortgage loans or
in issuers that hold mortgage and other asset-backed securities. Please see
the Schedule of Investments for these securities. Changes in economic
conditions, including delinquencies and/or defaults or assets underlying these
securities, can affect the value, income and/or liquidity of such positions.
(c) 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.
BLACKROCK COMMODITY STRATEGIES FUND NOVEMBER 30, 2007
Notes to Financial Statements (continued) Master Commodity Strategies LLC
* 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.
(d) 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.
(e) 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.
(f) 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.
BLACKROCK COMMODITY STRATEGIES FUND NOVEMBER 30, 2007
Notes to Financial Statements (continued) Master Commodity Strategies LLC
(g) 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 settlement date, which is in addition to the risk of decline in the
value of a 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."
(h) Reverse repurchase agreements--Under reverse repurchase agreements, the
Master LLC sold securities to the counterparty and agreed to repurchase them
at a mutually agreed upon date and price, and may have exchanged their
respective commitments to pay or receive interest. If the counterparty
defaulted on its obligation, the Master LLC's ability to receive interest
would be delayed or limited. Furthermore, if the Master LLC did not have
sufficient investment income to pay its obligation under the reverse
repurchase agreement, the Master LLC would be in default and the counterparty
would have been able to terminate the repurchase agreement. At the time the
Master LLC entered into a reverse repurchase agreement, it would have
established a segregated account with the custodian containing cash, or cash
equivalents of liquid high grade debt securities having a value at least equal
to the repurchase price.
(i) Bank overdraft--The Master LLC recorded a bank overdraft resulting from a
timing difference of security transaction settlements.
(j) Recent accounting pronouncements--In July 2006, the Financial Accounting
Standards Board ("FASB") issued Interpretation No. 48 ("FIN 48"), "Accounting
for Uncertainty in Income Taxes--an interpretation of FASB Statement No. 109."
FIN 48 prescribes the minimum recognition threshold a tax position must meet
in connection with accounting for uncertainties in income tax positions taken
or expected to be taken by an entity, including mutual funds, before being
measured and recognized in the financial statements. 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. The impact on the Master LLC's financial statement disclosures,
if any, is currently being assesed.
In addition, in February 2007, Statement of Financial Accounting Standards
No. 159, "The Fair Value Option for Financial Assets and Financial
Liabilities" ("FAS 159"), was issued and 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. The impact
on the Master LLC's financial statement disclosures, if any, is currently
being assesed.
2. Investment Advisory Agreement and 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, Inc. are the principal owners of BlackRock, Inc.
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 .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 monthly fee at an annual rate
equal to a percentage of the management fee 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, a wholly owned subsidiary of
Merrill Lynch, or its affiliates. Pursuant to that order, the Master LLC has
retained BIM 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 year ended November 30, 2007, the Master LLC reimbursed the Manager
$1,085 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. Investments:
Purchases and sales (including paydowns) of investments, excluding short-term
securities, for the year ended November 30, 2007 were $244,627,424 and
$291,179,003, respectively.
BLACKROCK COMMODITY STRATEGIES FUND NOVEMBER 30, 2007
Notes to Financial Statements (concluded) Master Commodity Strategies LLC
Transactions in call options written for the year ended November 30,
2007 were as follows:
Number of Premiums
Contracts* Received
Outstanding call options written,
beginning of year 3 $ 59,400
Options written 1 15,438
Options closed (3) (59,400)
------------ ------------
Outstanding call options written,
end of year 1 $15,438
============ ============
* One contract represents a notional amount of $1,000,000.
Transactions in put options written for the year ended November 30,
2007 were as follows:
Number of Premiums
Contracts* Received
Outstanding put options written,
beginning of year 3 $ 59,400
Options written 139 52,338
Options closed (3) (59,400)
Options expired (102) (34,011)
------------ ------------
Outstanding put options written,
end of year 37 $ 18,327
============ ============
* Some contracts represent 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 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. 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
year ended November 30, 2007. On November 21, 2007, the credit agreement was
renewed for one year under substantially the same terms.
5. Reverse Repurchase Agreement:
For the year ended November 30, 2007, the Master LLC's average amount
outstanding was approximately $11,000 and the daily weighted average interest
rate was 5.33%.
BLACKROCK COMMODITY STRATEGIES FUND NOVEMBER 30, 2007
Report of Independent Registered Public Accounting Firm
Master Commodity Strategies LLC
To the Investors and Board of Directors of Master
Commodity Strategies LLC:
We have audited the accompanying statement of assets and liabilities,
including the schedule of investments, of Master Commodity Strategies LLC
(formerly Master Real Investment Trust) (the "Master LLC") as of November 30,
2007, and the related statement of operations for the year then ended, and the
statement of changes in net assets and the financial highlights for each of
the two years in the period then ended. These financial statements and
financial highlights are the responsibility of the Master LLC's management.
Our responsibility is to express an opinion on these financial statements and
financial highlights based on our audits. The financial highlights of the
Master LLC for the year ended November 30, 2005 and for the period March 26,
2004 (commencement of operations) to November 30, 2004, were audited by other
auditors whose report, dated January 18, 2006, expressed an unqualified
opinion on those financial highlights.
We conducted our audits in accordance with the standards of the Public
Company Accounting Oversight Board (United States). Those standards require
that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements and financial highlights are free of material
misstatement. The Master LLC is not required to have, nor were we engaged to
perform, an audit of its internal control over financial reporting. Our audit
included consideration of internal control over financial reporting as a basis
for designing audit procedures that are appropriate in the circumstances, but
not for the purpose of expressing an opinion on the effectiveness of the
Master LLC's internal control over financial reporting. Accordingly, we
express no such opinion. An audit also includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial statements,
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
Our procedures included confirmation of securities owned as of November 30,
2007, by correspondence with the custodian and brokers; where replies were not
received from brokers, we performed other auditing procedures. We believe that
our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
Master Commodity Strategies LLC as of November 30, 2007, the results of its
operations for the year then ended, and the changes in its net assets and its
financial highlights for each of the two years in the period then ended, in
conformity with accounting principles generally accepted in the United States
of America.
Deloitte & Touche LLP
Princeton, New Jersey
January 28, 2008
BLACKROCK COMMODITY STRATEGIES FUND NOVEMBER 30, 2007
Officers and Directors
Number of
BlackRock-
Advised
Position(s) Funds and
Held with Portfolios
Name, Address Fund/ Length of Currently Public
and Year of Birth Master LLC Time Served Principal Occupation(s) During Past 5 Years Overseen Directorships
Non-Interested Directors*
James H. Bodurtha Director 1995 to Director, The China Business Group, Inc. 37 Funds None
40 East 52nd Street present since 1996 and Executive Vice President 99 Portfolios
New York, NY 10022 thereof from 1996 to 2003; Chairman of the
1944 Board, Berkshire Holding Corporation since
1980; Partner, Squire, Sanders & Dempsey
(a law firm) from 1980 to 1993.
Bruce R. Bond Director 2007 to Trustee and member of the Governance 37 Funds Avaya, Inc.
40 East 52nd Street present Committee, State Street Research mutual 99 Portfolios
New York, NY 10022 funds ("SSR Funds") from 1997 to 2005.
1946
Donald W. Burton Director 2007 to Managing General Partner of The Burton 37 Funds Knology, Inc.
40 East 52nd Street present Partnership, Limited Partnership (an 99 Portfolios (telecommunica-
New York, NY 10022 investment partnership) since 1979; Managing tions);
1944 General Partner of The South Atlantic Venture Capital
Funds since 1983; Member of the Investment Southwest
Advisory Council of the Florida State Board (financial).
of Administration since 2001.
Honorable Director 2007 to Partner and Head of International Practice, 37 Funds UPS Corporation
Stuart E. Eizenstat present Covington and Burling (law firm) from 2001 99 Portfolios
40 East 52nd Street to the present. Deputy Secretary of the
New York, NY 10022 Treasury from 1999 to 2001; Under Secretary
1943 of State for Economic, Business and Agricultural
Affairs from 1997 to 1999; Under Secretary
of Commerce for International Trade from 1996
to 1997; U.S. Ambassador to the European Union
from 1993 to 1996.
Kenneth A. Froot Director 2005 to Professor, Harvard University since 1992; 37 Funds None
40 East 52nd Street present Professor, Massachusetts Institute of 99 Portfolios
New York, NY 10022 Technology from 1986 to 1992.
1957
Robert M. Hernandez Director and 2007 to USX Corporation, (a diversified company 37 Funds ACE Limited
40 East 52nd Street Chairman of present principally engaged in energy and steel 99 Portfolios (insurance
New York, NY 10022 the Board of businesses); Director from 1991 to 2001; Vice company);
1944 Directors and Chairman and Chief Financial Officer from 1994 Eastman
Member of to 2001; Executive Vice President-- Accounting Chemical
the Audit and Finance and Chief Financial Officer from Company; RTI
Committee 1991 to 1994. International
Metals, Inc.
John F. O'Brien Director 2007 to President and Chief Executive Officer of 37 Funds Cabot Corporation
40 East 52nd Street present Allmerica Financial Corporation (financial 99 Portfolios (chemicals); LKQ
New York, NY 10022 services holding company) from 1995 to 2002 Corporation
1943 and Director from 1995 to 2003; President of (auto parts
Allmerica Investment Management Co., Inc. manufacturing);
(investment adviser) from 1989 to 2002, TJX Companies,
Director from 1989 to 2002 and Chairman of Inc. (retailer).
the Board from 1989 to 1990; President, Chief
Executive Officer and Director of First
Allmerica Financial Life Insurance Company
from 1989 to 2002 and Director of various
other Allmerica Financial companies until 2002;
Director from 1989 to 2006, Member of the
Governance Nominating Committee from 2004 to
2006, Member of the Compensation Committee from
1989 to 2006 and Member of the Audit Committee
from 1990 to 2004 of ABIOMED; Director, Member
of the Governance and Nomination Committee and
Member of the Audit Committee of Cabot Corporation
since 1990; Director and Member of the Audit
Committee and Compensation Committee of LKQ
Corporation since 2003; Lead Director of TJX
Companies, Inc. since 1996; Trustee of the Woods
Hole Oceanographic Institute since 2003. Director,
Ameresco, Inc. since 2006. Director, Boston Lyric
Opera since 2002.
* Directors serve until their resignation, removal or death,
or until December 31 of the year in which they turn 72.
BLACKROCK COMMODITY STRATEGIES FUND NOVEMBER 30, 2007
Officers and Directors (continued)
Number of
BlackRock-
Advised
Position(s) Funds and
Held with Portfolios
Name, Address Fund/ Length of Currently Public
and Year of Birth Master LLC Time Served Principal Occupation(s) During Past 5 Years Overseen Directorships
Non-Interested Directors* (concluded)
Roberta Cooper Ramo Director 1999 to Shareholder, Modrall, Sperling, Roehl, 37 Funds None
40 East 52nd Street present Harris & Sisk, P.A. since 1993; President, 99 Portfolios
New York, NY 10022 American Bar Association from 1995 to 1996
1942 and Member of the Board of Governors thereof
from 1994 to 1997; Shareholder, Poole, Kelly
and Ramo, Attorneys at Law P.C. from 1977 to
1993; Director of ECMC Group (service provider
to students, schools and lenders) since 2001;
Director, United New Mexico Bank (now Wells
Fargo) from 1983 to 1988; Director, First
National Bank of New Mexico (now Wells Fargo)
from 1975 to 1976; Vice President, American Law
Institute from 2004 to 2007 and President elect
thereof since 2007.
Jean Margo Reid Director 2007 to Self-employed consultant since 2001; Counsel 37 Funds None
40 East 52nd Street present of Alliance Capital Management (investment 99 Portfolios
New York, NY 10022 adviser) in 2000; General Counsel, Director
1945 and Secretary of Sanford C. Bernstein & Co.,
Inc. (investment adviser/broker-dealer) from
1997 to 2000; Secretary, Sanford C. Bernstein
Fund, Inc. from 1994 to 2000; Director and
Secretary of SCB, Inc. since 1998; Director and
Secretary of SCB Partners, Inc. since 2000; and
Director of Covenant House from 2001 to 2004.
David H. Walsh Director 2007 to Director, Ruckleshaus Institute and Haub 37 Funds None
40 East 52nd Street present School of Natural Resources at the 99 Portfolios
New York, NY 10022 University of Wyoming since 2006; Consultant
1941 with Putnam Investments from 1993 to 2003,
and employed in various capacities therewith
from 1973 to 1992; Director, Massachusetts
Audubon Society from 1990 to 1997; Director,
The National Audubon Society from 1998 to 2005;
Director, The American Museum of Fly Fishing
since 1997.
Fred G. Weiss Director and 2007 to Managing Director of FGW Associates since 37 Funds Watson
40 East 52nd Street Chairman of present 1997; Board member of certain BlackRock- 99 Portfolios Pharmaceutical
New York, NY 10022 the Audit advised funds since 1998; Vice President, Inc.
1941 Committee Planning, Investment and Development of (pharmaceutical
Warner Lambert Co. from 1979 to 1997; Director company).
of Michael J. Fox Foundation for Parkinson's
Research since 2000; Director, Watson
Pharmaceutical, Inc. (pharmaceutical company)
since 1999; Director of Osmotica Holdings Corp.
(a drug delivery technology company) since 2003;
Director of KIMC Investments, Inc. dba MedVance
Institute (a chain of for-profit allied health
training schools) since 2003.
Richard R. West Director and 2007 to Professor of Finance from 1984 to 1995, Dean 37 Funds Bowne & Co.,
40 East 52nd Street Member of present from 1984 to 1993 and since 1995 Dean 99 Portfolios Inc. (financial
New York, NY 10022 the Audit Emeritus of New York University's Leonard N. printers);
1938 Committee Stern School of Business Administration. Vornado Realty
Trust (real
estate company);
Alexander's, Inc.
(real estate
company).
* Directors serve until their resignation, removal or death,
or until December 31 of the year in which they turn 72.
BLACKROCK COMMODITY STRATEGIES FUND NOVEMBER 30, 2007
Officers and Directors (continued)
Number of
BlackRock-
Advised
Position(s) Funds and
Held with Portfolios
Name, Address Fund/ Length of Currently Public
and Year of Birth Master LLC Time Served Principal Occupation(s) During Past 5 Years Overseen Directorships
Interested Directors*
Richard S. Davis Director 2007 to Managing Director, BlackRock, Inc. since 184 Funds None
40 East 52nd Street present 2005; Chief Executive Officer, State Street 289 Portfolios
New York, NY 10022 Research & Management Company from 2000 to
1945 2005; Chairman of the Board of Trustees,
State Street Research mutual funds ("SSR Funds")
from 2000 to 2005; Senior Vice President,
Metropolitan Life Insurance Company from 1999
to 2000; Chairman SSR Realty from 2000 to 2004.
Laurence D. Fink Director 2007 to Chairman and Chief Executive Officer of 37 Funds None
40 East 52nd Street present BlackRock, Inc. since its formation in 1998 99 Portfolios
New York, NY 10022 and of BlackRock, Inc.'s predecessor entities
1952 since 1988; Chairman of the Executive and
Management Committees; formerly, Managing
Director of the First Boston Corporation,
Member of its Management Committee, Co-head
of its Taxable Fixed Income Division and Head
of its Mortgage and Real Estate Products Group;
Chairman of the Board of several of BlackRock's
alternative investment vehicles; Director of
several of BlackRock's offshore funds; Member of
the Board of Trustees of New York University,
Chair of the Financial Affairs Committee and a
member of the Executive Committee, the Ad Hoc
Committee on Board Governance, and the Committee
on Trustees; Co-Chairman of the NYU Hospitals
Center Board of Trustees, Chairman of the
Development/Trustee Stewardship Committee and
Chairman of the Finance Committee; Trustee of The
Boys' Club of New York.
Henry Gabbay Director 2007 to Consultant, BlackRock since 2007; Managing 183 Funds None
40 East 52nd Street present Director, BlackRock, Inc. from 1989 to June, 288 Portfolios
New York, NY 10022 2007; Chief Administrative Officer, BlackRock
1947 Advisors, LLC from 1998 to 2007; President of
BlackRock Funds and BlackRock Bond Allocation
Target Shares from 2005 to 2007; Treasurer
of certain closed-end funds in the Fund complex
from 1989 to 2006.
* Messrs. Davis, Fink and Gabbay are all "interested persons," as defined in the
Investment Company Act of 1940, of the Fund/Master LLC based on their positions
with BlackRock, Inc. and its affiliates. Directors serve until their resignation,
removal or death, or until December 31 of the year in which they turn 72.
Advisory Board Member
Joe Grills* Member of 2007 Member of the Committee of Investment of 37 Funds Kimco Realty
40 East 52nd Street the Advisory Employee Benefit Assets of the Association 99 Portfolios Corporation
New York, NY 10022 Board of Financial Professionals ("CIEBA") since
1935 1986; Member of CIEBA's Executive Committee
since 1988 and its Chairman from 1991 to 1992;
Assistant Treasurer of International Business
Machines Corporation ("IBM") and Chief Investment
Officer of IBM Retirement Funds from 1986 to 1993;
Member of the Investment Advisory Committee of the
State of New York Common Retirement Fund from 1989
to 2006; Member of the Investment Advisory Committee
of the Howard Hughes Medical Institute from 1997 to
2000; Director, Duke University Management Company
from 1992 to 2004, Vice Chairman thereof from 1998
to 2004, and Director Emeritus thereof since 2004;
Director, LaSalle Street Fund from 1995 to 2001;
Director, Kimco Realty Corporation since 1997;
Member of the Investment Advisory Committee of the
Virginia Retirement System since 1998, Vice Chairman
thereof from 2002 to 2005, and Chairman thereof since
2005; Director, Montpelier Foundation since 1998, its
Vice Chairman from 2000 to 2006, and Chairman, thereof,
since 2006; Member of the Investment Committee of the
Woodberry Forest School since 2000; Member of the
Investment Committee of the National Trust for Historic
Preservation since 2000.
* Joe Grills resigned from the Advisory Board of the Fund/Master LLC,
effective December 31, 2007.
BLACKROCK COMMODITY STRATEGIES FUND NOVEMBER 30, 2007
Officers and Directors (concluded)
Position(s)
Held with
Name, Address Fund/ Length of
and Year of Birth Master LLC Time Served Principal Occupation(s) During Past 5 Years
Fund Officers*
Donald C. Burke Fund/ 2007 to Managing Director of BlackRock, Inc. since 2006; Formerly Managing Director
40 East 52nd Street Master LLC present of Merrill Lynch Investment Managers, L.P. ("MLIM") and Fund Asset
New York, NY 10022 President Management, L.P. ("FAM") in 2006; First Vice President thereof from 1997
1960 and Chief to 2005; Treasurer thereof from 1999 to 2006 and Vice President thereof
Executive from 1990 to 1997.
Officer
Anne F. Ackerly Vice 2007 to Managing Director of BlackRock, Inc. since 2000 and First Vice President and
40 East 52nd Street President present Chief Operating Officer of Mergers and Acquisitions Group from 1997 to 2000;
New York, NY 10022 First Vice President and Chief Operating Officer of Public Finance Group
1962 thereof from 1995 to 1997; Formerly First Vice President of Emerging Markets
Fixed Income Research of Merrill Lynch & Co., Inc. from 1994 to 1995.
Howard Surloff Secretary 2007 to Managing Director of BlackRock, Inc. and General Counsel of U.S. Funds at
40 East 52nd Street present BlackRock, Inc. since 2006; Formerly General Counsel (U.S.) of Goldman Sachs
New York, NY 10022 Asset Management, L.P. from 1993 to 2006.
1965
Brian P. Kindelan Chief 2007 to Chief Compliance Officer of the Funds since 2007; Anti-Money Laundering
40 East 52nd Street Compliance present Officer of BlackRock, Inc. since 2007; Managing Director and Senior Counsel
New York, NY 10022 Officer thereof since January 2005; Director and Senior Counsel of BlackRock
1959 Advisors, Inc. from 2001 to 2004 and Vice President and Senior Counsel,
thereof, from 1998 to 2000; Senior Counsel of PNC Bank Corp. from 1995 to
1998.
Neal J. Andrews Chief 2007 to Managing Director of Administration and Operations Group BlackRock, Inc.,
40 East 52nd Street Financial present since 2006; Formerly Senior Vice President and Line of Business Head of Fund
New York, NY 10022 Officer Accounting and Administration at PFPC Inc., from 1992 to 2006.
1966
Jay M. Fife Treasurer 2007 to Managing Director of BlackRock, Inc. since 2007 and Director in 2006;
40 East 52nd Street present Formerly Assistant Treasurer of the MLIM/FAM advised funds from 2005 to 2006;
New York, NY 10022 Director of MLIM Fund Services Group from 2001 to 2006.
1970
* Officers of the Fund/Master LLC serve at the pleasure of the Board of Directors.
Further information about the Fund's/Master LLC's Officers and Directors is
available in the Fund's/Master LLC's Statement of Additional Information,
which can be obtained without charge by calling 800-441-7762.
Custodian
The Bank of New York Mellon
New York, NY 10286
Transfer Agent
PFPC Inc.
Wilmington, DE 19809
Accounting Agent
State Street Bank and
Trust Company
Princeton, NJ 08540
Independent Registered Public
Accounting Firm
Deloitte & Touche LLP
Princeton, NJ 08540
Legal Counsel
Willkie Farr & Gallagher LLP
New York, NY 10019
Important Tax Information
The following information is provided with respect to the ordinary income
distributions paid monthly by BlackRock Commodity Strategies Fund for the
fiscal year ended November 30, 2007:
Interest-Related Dividends for Non-U.S. Residents
Payable Date: December 21, 2006 65.32%*
* Represents the portion of the taxable ordinary income dividends eligible
for exemption from U.S. withholding tax for nonresident aliens and foreign
corporations.
BLACKROCK COMMODITY STRATEGIES FUND NOVEMBER 30, 2007
BlackRock Fund Information
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 nonpublic 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 nonpublic 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 nonaffiliated 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 nonaffiliated 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
nonpublic 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 nonpublic 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 sign up 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 NOVEMBER 30, 2007
BlackRock Fund Information (concluded)
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 Trustees.
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/funds.
Automatic Investment Plans
Investor Class shareholders who want to invest regularly can arrange to have
$50 or more automatically deducted from their checking or savings account and
invested in any of the BlackRock funds.
Systematic Withdrawal Plans
Investor Class shareholders can establish a systematic withdrawal plan and
receive periodic payments of $50 or more from their BlackRock funds, as long
as their account 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 NOVEMBER 30, 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 Growth 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 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 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 Fund
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 NOVEMBER 30, 2007
Item 2 - Code of Ethics - The registrant (or the "Fund") has adopted
a code of ethics, as of the end of the period covered by this
report, applicable to the registrant's principal executive officer,
principal financial officer and principal accounting officer, or
persons performing similar functions. During the period covered by
this report, there have been no amendments to or waivers granted
under the code of ethics. A copy of the code of ethics is available
without charge at www.blackrock.com.
Item 3 - Audit Committee Financial Expert - The registrant's board
of directors or trustees, as applicable (the "board of directors")
has determined that (i) the registrant has the following audit
committee financial experts serving on its audit committee and (ii)
each audit committee financial expert is independent:
David O. Beim (term ended, effective November 1, 2007)
Robert M. Hernandez (term began, effective November 1, 2007)
W. Carl Kester (term ended, effective November 1, 2007)
James T. Flynn (term ended, effective November 1, 2007)
Karen P. Robards (term ended, effective November 1, 2007)
Fred G. Weiss (term began, effective November 1, 2007)
Richard R. West (term began, effective November 1, 2007)
The registrant's board of directors has determined that David O.
Beim, W. Carl Kester and Karen P. Robards qualify as financial
experts pursuant to Item 3(c)(4) of Form N-CSR.
Mr. Beim has a thorough understanding of generally accepted
accounting principles, financial statements and internal control
over financial reporting as well as audit committee functions. For
25 years, Mr. Beim was an investment banker actively engaged in
financial analysis for securities transactions and mergers. These
transactions presented a breadth and level of complexity of
accounting issues that are generally comparable to the breadth and
complexity of issues that can reasonably be expected to be raised by
the registrant's financial statements. Mr. Beim has also been a
professor of finance and economics at the Columbia University
Graduate School of Business since 1991.
Prof. Kester has a thorough understanding of generally accepted
accounting principles, financial statements and internal control
over financial reporting as well as audit committee functions.
Prof. Kester has been involved in providing valuation and other
financial consulting services to corporate clients since 1978.
Prof. Kester's financial consulting services present a breadth and
level of complexity of accounting issues that are generally
comparable to the breadth and complexity of issues that can
reasonably be expected to be raised by the registrant's financial
statements.
Ms. Robards has a thorough understanding of generally accepted
accounting principles, financial statements and internal control
over financial reporting as well as audit committee functions. Ms.
Robards has been President of Robards & Company, a financial
advisory firm, since 1987. Ms. Robards was formerly an investment
banker for more than 10 years where she was responsible for
evaluating and assessing the performance of companies based on their
financial results. Ms. Robards has over 30 years of experience
analyzing financial statements. She also is the member of the Audit
Committees of one publicly held company and a non-profit
organization.
Under applicable securities laws, a person determined to be an audit
committee financial expert will not be deemed an "expert" for any
purpose, including without limitation for the purposes of Section 11
of the Securities Act of 1933, as a result of being designated or
identified as an audit committee financial expert. The designation
or identification as an audit committee financial expert does not
impose on such person any duties, obligations, or liabilities
greater than the duties, obligations, and liabilities imposed on
such person as a member of the audit committee and board of
directors in the absence of such designation or identification.
Item 4 - Principal Accountant Fees and Services
(a) Audit Fees (b) Audit-Related Fees 1 (c) Tax Fees 2 (d) All Other Fees 3
Entity Name Current Previous Current Previous Current Previous Current Previous
Fiscal Fiscal Fiscal Fiscal Fiscal Fiscal Fiscal Fiscal
Year End Year End Year End Year End Year End Year End Year End Year End
BlackRock
Commodity
Strategies
Fund $6,600 $6,600 $0 $0 $6,100 $6,000 $1,042 $0
Master
Commodity
Strategies
LLC $31,000 $31,000 $0 $0 $9,200 $9,200 $0 $0
1 The nature of the services include assurance and related services
reasonably related to the performance of the audit of financial
statements not included in Audit Fees.
2 The nature of the services include tax compliance, tax advice and
tax planning.
3 The nature of the services include a review of compliance
procedures and attestation thereto.
(e)(1) Audit Committee Pre-Approval Policies and Procedures:
The registrant's audit committee (the "Committee") has adopted
policies and procedures with regard to the pre-approval of services.
Audit, audit-related and tax compliance services provided to the
registrant on an annual basis require specific pre-approval by the
Committee. The Committee also must approve other non-audit services
provided to the registrant and those non-audit services provided to
the registrant's affiliated service providers that relate directly
to the operations and the financial reporting of the registrant.
Certain of these non-audit services that the Committee believes are
a) consistent with the SEC's auditor independence rules and b)
routine and recurring services that will not impair the independence
of the independent accountants may be approved by the Committee
without consideration on a specific case-by-case basis ("general pre-
approval"). However, such services will only be deemed pre-approved
provided that any individual project does not exceed $5,000
attributable to the registrant or $50,000 for all of the registrants
the Committee oversees. Any proposed services exceeding the pre-
approved cost levels will require specific pre-approval by the
Committee, as will any other services not subject to general pre-
approval (e.g., unanticipated but permissible services). The
Committee is informed of each service approved subject to general
pre-approval at the next regularly scheduled in-person board
meeting.
(e)(2) None of the services described in each of Items 4(b) through
(d) were approved by the audit committee pursuant to paragraph
(c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not Applicable
(g) Affiliates' Aggregate Non-Audit Fees:
Entity Name Current Fiscal Year End Previous Fiscal Year End
BlackRock Commodity
Strategies Fund $291,642 $3,144,117
Master Commodity
Strategies LLC $293,700 $3,147,317
(h) The registrant's audit committee has considered and determined
that the provision of non-audit services that were rendered to the
registrant's investment adviser (not including any non-affiliated
sub-adviser whose role is primarily portfolio management and is
subcontracted with or overseen by the registrant's investment
adviser), and any entity controlling, controlled by, or under common
control with the investment adviser that provides ongoing services
to the registrant that were not pre-approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with
maintaining the principal accountant's independence.
Regulation S-X Rule 2-01(c)(7)(ii) - $284,500, 0%
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 and Governance 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) 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 - See Item 2
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/ Donald C. Burke
-------------------
Donald C. Burke,
Chief Executive Officer (principal executive officer) of
BlackRock Commodity Strategies Fund and
Master Commodity Strategies LLC
Date: January 16, 2008
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/ Donald C. Burke
-------------------
Donald C. Burke,
Chief Executive Officer (principal executive officer) of
BlackRock Commodity Strategies Fund and
Master Commodity Strategies LLC
Date: January 16, 2008
By: /s/ Neal J. Andrews
-------------------
Neal J. Andrews,
Chief Financial Officer (principal financial officer) of
BlackRock Commodity Strategies Fund and Master
Commodity Strategies LLC
Date: January 16, 2008